Archive for January, 2015

MBS

Wednesday, January 14th, 2015

In a note written at 1140AM (thirty five minutes ago) a trader reports recovery of mortgages which had hemorrhaged after the open. At the time the note was composed 3.5s were just 2 wider and 3s were actually a + tighter. Some of that was in anticipation of purchases by ...

MBS

Wednesday, January 14th, 2015

One trader just entitled a note "Getting Ugly in MBS ". The higher coupons (4s and 4.5s) are 10 ticks higher. The 3s and 3.5s are 5 wider.Fifteen year paper is 5 to 6 wider. How do you say negative convexity?  

what to watch today

Wednesday, January 14th, 2015

via Bloomberg: WHAT TO WATCH: * (All times New York) Economic Data * 7:00am: MBA Mortgage Applications, Jan. 9 (prior 11.1%) * 8:30am: Retail Sales Advance, Dec., m/m, est. -0.1% (prior 0.7%) * Retail Sales Ex Auto, Dec., est. 0.0% (prior 0.5%) * Retail Sales Ex Auto and Gas, Dec., est. 0.5% (prior 0.6%) * Retail Sales Control Group, Dec., ...

FX

Wednesday, January 14th, 2015

Via Marc Chandler at Bloomberg: ECJ Decision Gives ECB Broad Discretion, Euro Slips - The preliminary indications by the European Court of Justice are that the ECB's Outright Monetary Transaction initiative was "in principle" consistent with the ECB mandate - The yen, not the dollar, is the strongest of the major currencies today - ...

Corporate Bond Trading Yesterday

Wednesday, January 14th, 2015

Via Bloomberg: IG CREDIT: High Volume Day; 2 to Price; JPM Exits Blackout 2015-01-14 11:05:17.785 GMT By Robert Elson (Bloomberg) -- Trace count for secondary trading closed at $18.3b yday vs $12.4b on Monday, $16.5b last Tuesday. $18.3b yday, more than on 99.4% of trading days since Jan. 2005; 16th highest since Jan. 2005. * 144a trading added ...

Gundlach Sees Disappointing US Growth

Wednesday, January 14th, 2015

Via Bloomberg: Gundlach Says U.S. Growth May Disappoint on Oil Drop Effect (1) 2015-01-14 00:28:40.388 GMT (Updates with comments on oil from 10th paragraph.) By Mary Childs (Bloomberg) -- Jeffrey Gundlach, co-founder of $64 billion investment firm DoubleLine Capital, said the U.S. economy may grow at a slower rate than economists expect this year, as falling oil prices ...

January 14 2015 Opening

Wednesday, January 14th, 2015

Prices of Treasury coupon securities have registered very modest gains in overseas trading. The principal focus of participants was the continued slump in commodity prices. This time the culprit was copper which at one point in the session traded to its lowest level since the dark and sinister days of ...

European Court Rules on Legality of QE

Wednesday, January 14th, 2015

The European Court of Justice has given its imprimatur to QE by the ECB with a ruling today that bond buying by the central bank was legal "in principle". Via the FT: ECB’s bond plan is legal ‘in principle’ Claire Jones in Frankfurt The hope is that the ECB, led by president Mario Draghi, ...

Eclectic Topics Via Merrill Lynch

Tuesday, January 13th, 2015

Via Merrill Lynch: 4Q earnings growth slowed by oil, dollar. Tomorrow's release of 4Q results from JPM and WFC will kick off the earnings reporting season for US high grade issuers. Three more large US banks are scheduled to release results later this week as well. The bank earnings are expected ...

Auction Result

Tuesday, January 13th, 2015

Via CRT Capital: *** The auction was soft with a 1.4 bp tail and non-dealer bidding at 59.2% vs. 58% norm *** * 10-year auction stops at 1.930% vs. 1.916% 1-pm bid WI. * Dealers were awarded 40.8% vs. 42% average of last four 10-year Reopenings. * Indirects get 50.0% vs. 48% norm. * Directs ...