Archive for December, 2014

More MBS

Wednesday, December 17th, 2014

In an earlier post I noted that 3s were better by 3 ticks while the rest of the stack had improved by 1 to 1+ ticks. In a very recent note another trader reports buying in 4s and 4.5s and all mortgages are now 4 ticks to 4+ ticks better ...

CPI

Wednesday, December 17th, 2014

As I noted earlier I did not focus on the CPI print this morning. I read through some research and here is the piece from TDSecurities which points out the disinflationary thrust of that report. Via Millan Mulraine at TDSecurities; A dis-inflationary thrust has re-emerged owing to the collapse in energy prices. ...

TIPS

Wednesday, December 17th, 2014

TIPS breakevens are trading well today. The 5 year break is at 118 versus 114 midday yesterday. The 10 year is at 168 versus 163 yesterday. The 30 year is at 197 currently versus 192 yesterday. I will confess I have not paid rapt attention to the CPI report released this ...

MBS

Wednesday, December 17th, 2014

Mortgages are having a fine day led by 3s which are 3 ticks tighter to Treasuries. Higher coupons are 1 to 1+ ticks better. One market maker suggested that most of what goes on this morning is position squaring ahead of the central bank.

Swap Spreads

Wednesday, December 17th, 2014

It has been some time since I wrote on other asset classes besides Treasuries. I spoke to a market maker this morning and asked him what he thought the resting position is in the street as we approach FOMC time. He commented that traders had been in paid positions but the ...

FX

Wednesday, December 17th, 2014

Via Marc Chandler at Brown Brothers Harriman: Dollar Recovers, Oil Doesn't - The US dollar's recovery that began yesterday continues today - The FOMC meeting today is the main focus; US CPI figures to be released earlier are of little consequence - Japan's trade deficit was smaller than expected, but this reflected a ...

Secondary market corporate bond trading yesterday

Wednesday, December 17th, 2014

Via Bloomberg: IG CREDIT: Spread Widening Accelerates, New 2014 Records Set 2014-12-17 10:57:55.136 GMT By Robert Elson (Bloomberg) -- The final Trace count for secondary trading was $13.6b vs $11.6b Monday and $17b the previous Tuesday. 10- DMA at $15b vs $15.5b as $18.1b on Dec 2 falls from the count; 10-DMA of only Tuesday sessions $15.5b. * ...

December 17 2014 Opening

Wednesday, December 17th, 2014

Prices of Treasury coupon securities have tumbled in overnight trading as the frantic risk off theme which dominated trading yesterday has faded. The yield on the benchmark 5 year note has climbed to 1.556 from 1.513 at the close of trading in New York yesterday. The yield on the 7 ...

Bank Of England Minutes

Wednesday, December 17th, 2014

Via Bloomberg: *BOE INTEREST-RATE VOTE 7-2; ASSET-PURCHASE VOTE 9-0 *BOE SAYS U.K. NEAR-TERM ACTIVITY STRONGER THAN ANTICIPATED *BOE MINORITY: SURVEYS SUGGEST WAGE GROWTH MAY PICK UP SHARPLY *BOE MINORITY SAYS SHOULD LOOK THROUGH SHORT-TERM PRICE CHANGES *BOE SAYS EURO-AREA OUTLOOK REMAINS SUBDUED *BOE MAJORITY SAYS SIGNS OF WAGE-GROWTH PICKUP PROMISING *BOE SAYS OIL-PRICE DECLINE IS NET STIMULUS ...

Ravaged Ruble Rebounds

Wednesday, December 17th, 2014

The Russian currency has rebounded from its ignominious slide yesterday as the Finance Ministry announced that the currency is undervalued and also stated that it has begun to intervene in the market to support the currency. According to the WSJ the Finance Ministry holds $7 billion in reserves. That is ...