Archive for July, 2014

Portugal US 10 Year Spread

Wednesday, July 16th, 2014

This morning I noted the spread between US 10 year and Spain 10 years had narrowed dramatically recently. I also lamented that I am Bloombergless and  I use Spain as Portugal proxy because there is a WSJ page with practically real time data on Spain benchmarks. A fully paid up subscriber ...

Hilsenrath Article

Wednesday, July 16th, 2014

This Hilsenrath story is circulating in the market. It focuses on Yellen's comment yesterday about the yield grab in certain sectors of the market. I do not think it adds to our store of knowledge.  

What to Watch for Today

Wednesday, July 16th, 2014

Via the good folks at Bloomberg: WHAT TO WATCH: * (All times New York) Economic Data * 7:00am: MBA Mortgage Applications, week of July 11 (prior 1.9%) * 8:30am: PPI Final Demand, m/m, June, est. 0.2% (prior -0.2%) * PPI Ex Food and Energy, m/m, June, est. 0.2% (prior -0.1%) * PPI Final Demand, y/y, June, est. 1.9% ...

FX

Wednesday, July 16th, 2014

Via Mark Chandler at Brown Brothers The US dollar is trading higher against the major currencies.  Many observers are attributing dollar's gains yesterday and today to comments from Yellen.   We are concerned that this is not a fair interpretation of Yellen, or necessarily of the market.   First, the most direct ...

Espirito Santo

Wednesday, July 16th, 2014

In the overnight session the Bank of Portugal Governor made some comments which caused the price of Espirito Santo bonds to jump. According to Bloomberg he said that shareholders are interested in injecting capital into the bank and that generated the rally in the bank's debt. I watch Spain's 10 year ...

July 16 2014 Opening

Wednesday, July 16th, 2014

Prices of Treasury coupon securities have registered modest gains in overseas trading. A simple way to state the result of overseas trading is to note that longer maturity bonds continue to outperform their shorter dated cousins at every point along the curve. The yield on the benchmark 5 year note ...

Goldman Sachs, Leverage Ratios and the Repo Market

Tuesday, July 15th, 2014

I have posted several articles recently ( here and here) on the repo market and the changes there which result in a less liquid Treasury market. Bloomberg has posted a story which notes that Goldman Sachs recently failed to maintain the proper capital ratios and to reduce leverage it slashed ...

Bold Bond Prediction

Tuesday, July 15th, 2014

Hoisington Investment management is a botique investment manager located in Austin Texas. They have been around for quite a few years and have been bullish on bonds for as long as I can remember. Lacy Hunt writes the firm's quarterly report and posits that the Long Bond is undervalued and ...

Merrill Lynch On Yellen and Fed Policy

Tuesday, July 15th, 2014

Via Merrill Lynch Research: Jobs uncertainty. Today's market reaction to Fed chair Janet Yellen's Humphrey Hawkins testimony - which was initially perceived as hawkish - provided another highlight of just how nervous investors have become about the risk of tighter monetary policy, post the very strong June payrolls report. Thus, as ...

Treasury Market Update

Tuesday, July 15th, 2014

The Treasury curve has flattened and the Long Bond which had been clubbed like a baby seal in the immediate aftermath of Ms Yellen's testimony is the star of the day. When I last posted here back  at 1030AM  5s 30s was trading at 170.6 It is now 167.5 basis ...