Archive for April, 2014

Curvology

Thursday, April 17th, 2014

The yield curve is power flattening again today after a very brief overnight steepening interlude. The 5s 30s spread is at 177.6 basis points a few minutes ago when I marked it. When I marked prices at 555AM the spread was 181.2 basis points and yesterday at 600AM the spread ...

Overnight Flows

Thursday, April 17th, 2014

Courtesy of CRT Capital: OVERNIGHT FLOWS:  Treasuries were little changed overnight and the curve just modestly steeper.  Overnight volumes were light with cash trading at 72% of the 10-day moving-average, while TY came in at 60% of norms.  10s were the most active issue, taking a 38% marketshare, while 5s managed ...

Higher Rates in UK

Thursday, April 17th, 2014

This story is making the rounds in the UK as economists predict sharply higher rates there next year.

Mark Chandler on FX

Thursday, April 17th, 2014

Via Mark Chandler of Brown Brothers: The US dollar is trading heavier against the euro, sterling,and yen, but is somewhat firmer against the dollar bloc in mostly subdued activity.  Full liquidity will not return until next Tuesday.  Sterling is trading at new 4-year highs today.  After the strong employment data, more ...

Asset Allocation in Japan

Thursday, April 17th, 2014

In my opening note I made reference to an adviser to the GPIF in Japan who has suggested that the fund significantly reduce holdings of local debt. Here is a link to the Bloomberg story on that topic.

Portugal Yields Tumbling

Thursday, April 17th, 2014

The search for yield has driven bond buyers to Portugal which until recently was considered a financial leper. Yields on 10 year bonds in Portugal fell 12 basis points yesterday and according to a trader whose note inspired me to write this yields are down another 6 basis points this ...

April 17 2014 Opening

Thursday, April 17th, 2014

Prices of benchmark Treasury securities in the belly of the curve and the Long Bond have posted very small mixed changes when measured against levels which prevailed at 800PM last evening in New York. The yield on the 5 year note has declined a basis point to 1.64 percent. The ...

Overnight Focus

Wednesday, April 16th, 2014

This is something that my friends at Pierpont Securities are putting out regularly and it is a nice little primer on the important data releases while we in the States are slumbering peacefully or otherwise. Via Pierpont Securities: AUSTRALIA: March data on auto sales, with YOYU comparisons negative for the last 7 ...

Merrill Lynch on Consumer Spending

Wednesday, April 16th, 2014

Merrill Lynch is part of Bank of America which is a colossal retail bank which reaches into ever nook and cranny of America. The bank has access to info which allows then to track spending patterns and make some judgements about consumer spending based on credit card and debit card ...

Beige Book

Wednesday, April 16th, 2014

Via CRT Capital: EIGHT OF 12 FED DISTRICTS SAY GROWTH `MODEST OR MODERATE' << same as last month -- CONSUMER SPENDING ROSE IN MOST AREAS AS WEATHER IMPROVED >> specifically cited by NY and Philadelphia -- PRICE PRESSURES mostly steady, scattered reports of increases -- LABOR MARKET CONDITIONS `MIXED BUT GENERALLY POSITIVE' -- MANUFACTURING HAS IMPROVED ...