Archive for July, 2014

Chinese Company Close to Default

Thursday, July 17th, 2014

Bloomberg and Reuters are reporting a story that a construction company in China will default on a payment of interest and principal on a note maturing on July 23.The company, Huatong Road and Bridge Company, faces a 400 million yuan payment (about $64 million)  on that day. Early this year ...

Merrill Lynch on Vol

Wednesday, July 16th, 2014

Via Merrill Lynch: Turning up the vol. Have uncertainties increased or decreased since the late-May low in interest rates? The answer depends on who you ask, as we have seen significant decouplings between credit implied vols on the one side, and rates and equity implied vols on the other. Whereas one ...

Market Commentary

Wednesday, July 16th, 2014

Via Richard Gilhooly at TDSecurities : The long end caught a decent bid today and ended half a point higher, with the 30yr yield 2.5bp lower and back below the auction stop at the 3.34% close. The recent low yield of 3.32% is now within striking distance and a break would ...

Ms Yellen is Watching

Wednesday, July 16th, 2014

Bloomberg just reported this "grab for yield" and I wonder if the Fed is watching; The Republic of Côte d’Ivoire Priced 750mm  10 yr priced 5.625% (308.9)

Curve Flattening Trade Thoughts

Wednesday, July 16th, 2014

The curve flattening trade continues to rumble on and as we speak 5s 30s is about 164 basis points which is the lowest level of the year. I keep spreads in an old fashioned notebook here at acrossthecurve.com global headquarters and began doing that March 03 when I lost access ...

Natural Rate of Interest

Wednesday, July 16th, 2014

This is an interesting post from the Economists View blog which posts an article from the New York Fed's Liberty Street Economics Blog on the natural rate of interest. The Fed blog argues that in a time of uncertainty and risk aversion such as one through the economy just passed ...

Bank of Canada

Wednesday, July 16th, 2014

TDSecurities on Bank of Canada rate decision: CA: Bank of Canada Remains Dovish in Looking Through Inflation   The Bank of Canada left the overnight rate unchanged at 1.00%. The accompanying communiqué and MPR remained dovish by looking through rising inflation to focus on a softer growth outlook.   The international outlook was ...

Treasury Market

Wednesday, July 16th, 2014

Volumes are light in the Treasury market. I have heard of end user buying of the Long Bond and fast money entering flatteners against the 5s and 7s. One dealer reported robust interest in callable agency paper as some structures hit yield bogey targets of buyers. The one theme that is ...

Corporate Bonds

Wednesday, July 16th, 2014

Corporate Bond spreads experienced a minor blip yesterday when Ms Yellen in an ex cathedra pronouncement proclaimed certain sectors overvalued. That interlude was brief and spreads are 1 basis point to 2 basis points tighter this morning across all sectors of the investment grade horizon. However, there is very little ...

Swap Spreads

Wednesday, July 16th, 2014

Swap spreads are unchanged today. Swap spreads had moved following release of FOMC minutes last week when participants took note of the discussion about the spread between reverse repo and IOER. That conversation caused spreads to widen. My swap market interlocutor reports that spreads have retrace half of that widening.