Archive for April, 2014
Tuesday, April 8th, 2014
The Treasury market has held a firm bid now for some time. However, my contacts report better selling of 5s 10s and 30s in reasonable size by real money clients. I am not sure why we are grinding higher in price. I would attribute some of the move to positioning ...
Posted in Uncategorized | Comments Off on Treasury Market Update
Tuesday, April 8th, 2014
Via RBS Securities
Treasury auctioned $30bn in new 3yr notes at 0.895% versus a 1:00pm level of 0.894% so the auction came with a 0.1bp tail.
0.1bp tail (6-auction average 0.2bp thru)
Bid/Cover 3.36X (6-auction average 3.35X)
Indirects 27.3% (6-auction average 34.3%) *below average*
Directs 24.0% (6-auction average 17.6%) *highest since Feb 2013*
Dealers 48.8% (6-auction ...
Posted in Uncategorized | Comments Off on Three Year Result
Tuesday, April 8th, 2014
Richard Gilhooly of TDSecuriites opines on the decoupling of the yen and the equity markets. An excellent and worthwhile read.
Via Richard Gilhooly of TDSecuriteis:
US equities have rebounded led by the Nasdaq this morning, while $/Yen has de-coupled and is trading down 1 big figure, testing support at 102.00, begging the ...
Posted in Uncategorized | Comments Off on Yen Decoupling
Tuesday, April 8th, 2014
I wrote yesterday about a bullish chart formation in the 10 year note. I beat Barron's by a day and here is their take on the topic.
Via Barrons:
By Michael Aneiro
Treasuries experienced a rare technical condition this week as yields have fallen in recent days while stocks slipped. Here’s Guy LeBas, ...
Posted in Uncategorized | Comments Off on Death Cross
Tuesday, April 8th, 2014
Swap spreads are about 1/4 basis point narrower across the curve. There has been some receiving as the corporate calendar contains some deals which are swap candidates. Separately, with the 3 year roll in the neighborhood of 4.5 basis points the 3 year swap spread will look narrow optically tomorrow ...
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Tuesday, April 8th, 2014
Jack Lew and his acolytes and subalterns will offer the investing public a chance to buy $30 billion 3 year notes at 100PM new York time today. I think the issue is very cheap and will go quite well. The range on the outstanding 3 year note over the past ...
Posted in Uncategorized | Comments Off on Three year Note Auction Today
Tuesday, April 8th, 2014
Mortgages are 1 to 1+ tighter today following 4 to 5 ticks of tightening yesterday. Buyers yesterday were REITS and fast money types rather than bank portfolios and money managers. Origination was light yesterday and was expected to be light again today.
There is a Bloomberg story floating around about a ...
Posted in Uncategorized | Comments Off on MBS
Tuesday, April 8th, 2014
Via Bloomberg And I am Late and Apologize:
Longs Move Sharply Higher, Most Since November, Says JPM
The JPMorgan Treasury Client Survey for the week ended April 7 vs
week ended March 31:
• Longs 25 vs 13
• Neutrals 55 vs 64
• Shorts 20 vs 23
• Net Longs 5 vs -10
• "The all clients ...
Posted in Uncategorized | Comments Off on JPM Duration Survey
Tuesday, April 8th, 2014
Via Mark Chandler of Brown Brothers:
The US dollar is broadly lower today. The strength of the dollar bloc has been joined by the euro, sterling and the yen. Now that the dust settled from last week’s two big events, the ECB meeting and the US jobs report, a couple things ...
Posted in Uncategorized | Comments Off on Mark Chandler on US$
Tuesday, April 8th, 2014
Prices of Treasury coupon securities have registered very small changes in a listless overnight session. Against that background the yield curve is flatter. The yield on the benchmark 5 year note (relative to 1000PM levels) is 0.7 basis points higher at 1.691. The yield on the 10 year note is ...
Posted in Uncategorized | Comments Off on April 08 2014 Opening