Archive for March, 2014
Tuesday, March 25th, 2014
Liberty Street Economics is the economics blog operated by the Federal Reserve Bank of New York and it publishes some fine articles. There is one recent post which is an excellent primer on convexity and negative convexity and hedging. The article notes that the composition of the MBS market has ...
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Tuesday, March 25th, 2014
Via the good folks at Bloomberg:
RATES: Longs Fall as Shorts Are Steady in Latest JPM Survey
2014-03-25 11:22:08.85 GMT
By Robert Elson
March 25 (Bloomberg) -- The JPMorgan Treasury Client Survey
for the week ended March 24 vs week ended March 17.
* Longs fall to 11 vs 17
* Neutrals at 64 vs 59
* Shorts, ...
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Tuesday, March 25th, 2014
The Treasury will auction $96 billion of coupons this week beginning with $32 billion 2 year notes today. Tomorrow and Thursday will bring $35 billion 5s and then $29 billion 7s. David Ader of CRT raises the point that this is not quite as odious and onerous as it seems ...
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Tuesday, March 25th, 2014
*PLOSSER SAYS `THE UNEMPLOYMENT RATE MATTERS A LOT'
NEWS: PLOSSER: QE WILL BE REDUCED ON FED'S STATED SCHEDULE PLOSS...
NEWS: PLOSSER: QE WILL BE REDUCED ON FED'S STATED SCHEDULE PLOSS...
*PLOSSER: QE WILL BE REDUCED ON FED'S STATED SCHEDULE
*PLOSSER SAYS BOND PURCHASES COULD END IN OCTOBER OR NOVEMBER
*DJ Fed's Plosser: Better to Focus ...
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Tuesday, March 25th, 2014
Mark Chandler of Brown Brothers comments on the rise in the ruble and other EM developments.
Via mark Chandler at Brown Brothers:
The Russian ruble and equity market are advancing today. At the day's lows near RUB35.6560, the dollar was at one month lows against the ruble. While the Financial Times is ...
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Tuesday, March 25th, 2014
The Russian Ruble has breached the 36 level and that is the best level for that currency versus the US$ in quite sometime. The FT carries a blog post on the topic and if I can paraphrase and include my own bias the rally in the ruble reflects the failure ...
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Tuesday, March 25th, 2014
Prices of Treasury coupon securities are a tad better than levels I last recorded at 130PM yesterday and in that time frame the belly has manifested,on balance some improvement. So the yield on the 2 year note rests at .437 basis points and that is nearly back to Friday closing ...
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Monday, March 24th, 2014
The reverse repo facility engineered by the FOMC is a hot topic and some believe that it will some day supplant the out of favor funds rate as the Fed's principal tool. There is no free lunch and this FT article describes the pitfalls of the Fed's dominance of the ...
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Monday, March 24th, 2014
Via Richard Gilhooly at TDSecurities:
The long-end of the Treasury curve resumed Friday's rally after a sell-off overnight as 2 and 3yr note yields made new highs for the year. The weakness at the front-end permeated up to 5yr notes, which came within 1bp of the intra-day high yield for the ...
Posted in Uncategorized | Comments Off on Treasury Market Commentary
Monday, March 24th, 2014
Via Gabriel Mann at RBS Securities:
Our Treasury flows were 2-way in 10’s by real money, fast money buying of 5’s, and real money buying of 30’s. In swaps, we had an insurance company paying 10yr rate while fast money was paying 3yr rate and FV spreads. In TIPS, we had ...
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