Archive for May, 2014

Spread Product

Friday, May 30th, 2014

Mortgages are unchanged to a tad better against swaps in the higher coupons but lagging in the lower coupons. So FNMA 4 1/2s are about a tick better than swaps while the FNMA 3s are lagging by about 3 ticks and 4 1/2s are lagging swaps by a plus. I ...

Treasury Market Update

Friday, May 30th, 2014

Prices of Treasury coupon securities are sagging this morning as the rush to lower yields has run its course for now. There are several reasons which participants have cited  for the higher yields today. I would start by quoting myself from this morning (which is obnoxious and i apologize) but ...

Overnight Flows

Friday, May 30th, 2014

Via CRT Capital: OVERNIGHT FLOWS:  Treasuries are pretty much unchanged from late closing levels though 3s and 5s are a bit weaker giving a slightly flatter curve.  There was official selling in 3s out of Asia, light buying in 10s, and not too much on the month-end extension front.  Some real ...

FX

Friday, May 30th, 2014

Via Mark Chandler of Brown Brothers Harriman: (One point worth noting is that Chandler notes in this post that there was no increase in Federal Reserve holdings of securities on behalf of foreign central banks in the data released yesterday.Many have speculated that those entities have driven the rally and ...

May 30 2014 Opening

Friday, May 30th, 2014

Prices of Treasury coupon securities have registered small losses in overnight trading and sit well below the intra day highs attained in some giddy trading yesterday. The 10 year note currently rests around 2.47 percent which is well off the intraday low of 2.41 which it touched yesterday. The Long ...

Kansas City Fed President Concerned About Financial Stability

Friday, May 30th, 2014

Some headlines from comments made by Kansas City Fed President Esther George. She is a bit hawkish as she is concerned (as well she should be) that keeping rate too low for too long will encourage excessive and imprudent risk taking. 30-May-2014 10:10 - U.S. FED'S GEORGE: FED SHOULD RAISE RATES ...

back to the future

Thursday, May 29th, 2014

It is hard to make this stuff up. My previous post moments ago was an FT article detailing the use of leverage in the carry trade as investors struggle to earn greater returns. Those trades ended in a vale of tears as the economy spiraled into a near depression in ...

Deja Vu All Over Again

Thursday, May 29th, 2014

This is a great article on the complacency gripping the credit markets. The FT details the carry trade and the use of leverage that have chosen to employ to garner greater returns. This type of activity eventually brought the global system to a supine position in 2008 and 2009 when ...

Some Customer Flow Stuff

Thursday, May 29th, 2014

Via RBS Securities: Our Treasury flows were fast money buying of 10’s and real money selling of 7’s and 5’s. In swaps, we had bank receiving of 5yr rate, insurance receiving of 10yr rate, and fast money paying of 5’s-10’s-30’s and receiving of 10yr rate. In TIPS, we had fast money ...

Mutual Fund Flows

Thursday, May 29th, 2014

Bank America Merrill Lynch reports heavy flows into fixed income bond funds with flows into those funds totaling $19 billion over the last four weeks. Equity based mutual funds suffered $ 7 billion of outflows in that same period. Via Merrill Lynch Research: More buying of duration. As interest rates continue to ...