Archive for July, 2014

July 31 Opening

Thursday, July 31st, 2014

Prices of Treasury coupon securities are registering very modest gains when measured against levels which prevailed last evening around 945PM. I am perplexed by the price action and after scouring the usual sources I am still confused. The US equity futures are off 13 S and P points and the ...

Affordbale Care Act Back in the News

Wednesday, July 30th, 2014

This is an issue on which I am very partisan and this story from the Obama friendly NYTimes makes a prima facie case on why the government should be as uninvolved in our lives as is humanly possible. It seems that the rollout debacle and incompetence  in establishing health care ...

Regarding Reverse Repo

Wednesday, July 30th, 2014

Analysts have speculated on what will happen when the FOMC someday in the not too distant future hikes rates and uses reverse repos as its main policy tool. (As an aside, when I worked at the Open Market Desk circa 1980 this tool was a matched sale and I am ...

Corporate Bonds

Wednesday, July 30th, 2014

As one soon to be retired veteran described it to me corporate bonds are " violently unchanged' in quiet trading. The market opened better bid this morning on the back of GDP and the ebullient equity market. Ebullience proved to be ephemeral and as equities slid spreads moved back to ...


Wednesday, July 30th, 2014

The curve is shifting all around today so there is some welcome volatility in the market. The 2s 5s 10s butterfly has broken to a new cycle wide and trades at 45. That fly broke down in the sell off this morning and is making a new low as the market ...

Seven Year Result

Wednesday, July 30th, 2014

Via CRT Capital: *** A weak takedown with a 1.2 bp tail and non-dealers awarded 62.6% vs. 66% norms. Directs were particularly light at 15.2%, suggesting limited interest from depository institutions. *** * 7-year auction stops at 2.250% vs. 2.238% 1pm bid WI. * Dealers were awarded 37.4% vs. 34% average of last ...

Swaps and MBS

Wednesday, July 30th, 2014

Swap spreads are mixed today. Two year spreads are wider by two basis points as the expectation of a more rapid FOMC tightening has caused Euros to sell off hard and that sell off has pressured spreads wider. The reds are down 7 basis points and the greens and blues ...

Hilsenrath Article

Wednesday, July 30th, 2014

Via Jon Hilsenrath at the WSJ: Wednesday’s surprisingly strong report on second-quarter economic growth should keep the Federal Reserve on track to finish its bond-buying program in October, while intensifying the debate about when to start raising short-term interest rates without resolving it. The new figures provide the Fed relief that the ...

Seven Year Auction Preview

Wednesday, July 30th, 2014

Via CRT Capital: The proximity of this afternoon’s 7-year supply to the FOMC will present the largest challenge for the auction and merits an additional concession either beforehand or at the auction itself via a tail. Yesterday’s strong 5-year auction benefited from elevated direct awards, presumably a function of buying by ...


Wednesday, July 30th, 2014

Via a fully paid up subscriber; According to Der Spiegel, the G7 is planning to make a statement on RUSSIA some time this afternoon, which coincides with comments from a German govt spokesperson earlier today, who said that the G7 were discussing ways to coordinate Russian sanctions.