Archive for March, 2015

High Repo Rates

Tuesday, March 31st, 2015

Via Bloomberg: Elevated GC Repo Reflects Reluctance to Add to Balance Sheets 2015-03-31 12:47:56.462 GMT By Alexandra Harris (Bloomberg) -- UST GC repo trading around 50bps/35bps at quarter-end amid regulations forcing largest banks to hold more collateral on their balance sheets. * Mortgage repo traded as high as 70bps, according to TD Securities * Raised levels expected within dealer ...

Crazy

Tuesday, March 31st, 2015

Via a fully paid up subscriber: German Two-Year Note Yield Drops to Record-Low Minus 0.257%

Hawkish Lacker

Tuesday, March 31st, 2015

Via Bloomberg: Fed’s Lacker Sees ‘Strong’ Case to Raise Rates at June Meeting 2015-03-31 11:53:48.660 GMT By Jeff Kearns (Bloomberg) -- Federal Reserve Bank of Richmond President Jeffrey Lacker said the main interest rate should be raised in June amid a stronger job market, consumer-spending growth and inflation heading back toward the Fed’s target. “A strong case can ...

What to Watch Today

Tuesday, March 31st, 2015

Via Bloomberg: WHAT TO WATCH: * (All times New York; may be subject to delays) Economic Data * 9:00am: ISM Milwaukee, March, est. 51.5 (prior 50.32) * 9:00am: S&P/Case-Shiller 20 City m/m SA, Jan., est. 0.6% (prior 0.87%) * S&P/CS 20 City y/y, Jan., est. 4.6% (prior 4.46%) * S&P/CS 20 City NSA, Jan., est. 172.90 (prior 173.02) * ...

FX

Tuesday, March 31st, 2015

Via Marc Chandler at Brown Brothers Harriman: Dollar Back on Top as Q1 Ends - The US dollar is finishing the month as it began, with underlying strength - The Fed's leadership continues to point to a rate increase sometime in the June-September period - The month-end, quarter-end, and fiscal year-end flows, ahead of ...

JPM Duration Survey

Tuesday, March 31st, 2015

Via Bloomberg: RATES: Longs and Shorts Rise in Latest JPM Survey 2015-03-31 11:14:31.630 GMT By Robert Elson (Bloomberg) -- The JPMorgan Treasury Client Survey for the week ended March 30 vs weeks ended Mar. 23, 16. * Longs 13 vs 9 vs 11 * Neutrals 65 vs 71 vs 67 * Shorts 22 vs 20 vs 22 * Net ...

Overnight Economic Data

Monday, March 30th, 2015

Via Robert Sinche at Amherst Pierpont Securities: AUSTRALIA: The BBerg consensus expects February Private Sector Credit Growth to rise 6.3% YOY, which would be the strongest since Jan 2009, although far below the 16.5% peak of December 2007 as consumer spending moderated and capital investment weakened materially in recent years. S. KOREA: ...

Eclectic Topic Via Merrill Lynch

Monday, March 30th, 2015

Via Merrill Lynch Research: Monday, 30 March 2015 Situation Room No longer more bang for the buck US IG credit has compressed significantly to EUR IG and the EUR/USD basis swap has declined further. As result, on a currency hedged basis there is no longer more attractive value in USD over EUR denominated spreads. Thus, following ...

Iran Nuke Deal and Oil Prices

Monday, March 30th, 2015

A fully paid up subscriber forwarded this article from the UK Telegraph: By Andrew Critchlow, Commodities editor 9:01PM BST 29 Mar 2015 Flights to Tehran from Dubai have been crammed in recent months with Western executives flooding into the Iranian capital ahead of a potential lifting of economic sanctions. Potentially one of the ...

FX

Monday, March 30th, 2015

Via Marc Chandler at Brown Brothers Harriman: Drivers for the Week Ahead - The calendar impacts the investment climate with reduced liquidity ahead - Whether Greece remains in the monetary union remains an open question - Varoufakis has failed to get other debtor countries like Spain, Italy, and France to defect from the consensus - ...