Archive for May, 2015
Tuesday, May 12th, 2015
This is a guest post from my friend and former colleague Steve Liddy. He suggests that a regulation change forced duration shedding by China based investors and that is part of the selling which has lately overwhelmed the markets. I searched the web,too, and can find no independent confirmation.
Via Steve ...
Posted in Uncategorized | Comments Off on China Regulation Change Forces Duration Shedding?
Tuesday, May 12th, 2015
Via CRT Capital:
*** A solid takedown with a through-stop of 0.8 bp and non-dealer bidding at 64.3% vs. 59% norm ***
* 3-year auction stops at 1.000% vs. a 1.008% 1-pm bid WI.
* Dealers were awarded 35.7% vs. 41% average of the last four 3-year auctions.
* Indirects get 52.7% vs. 49% ...
Posted in Uncategorized | Comments Off on Three Year Result
Tuesday, May 12th, 2015
Via Greg Ip at the WSJ:
Central banks are getting a painful lesson in how their efforts to stabilize markets and boost their economies can, occasionally, do the opposite.
The latest example is the brutal selloff in the German bond market. Yields on the 10-year German government bond, or “bund,” hit 0.67% ...
Posted in Uncategorized | Comments Off on Stability and Instability and Liquidity and VAR
Tuesday, May 12th, 2015
Via Bloomberg:
RATES: Most Net Shorts Since Sept. in Latest JPM Survey
2015-05-12 16:00:19.502 GMT
By Robert Elson
(Bloomberg) -- The JPMorgan Treasury Client Survey for the
week ended May 11 vs weeks ended May 4, April 27
* Longs 9 vs 11 vs 9
* Neutrals 58 vs 56 vs 61
* Shorts 33 vs 33 vs ...
Posted in Uncategorized | Comments Off on JPMorgan Duration Survey
Tuesday, May 12th, 2015
This Reuters article first hit the streets on May 1 so it is a tad dated. However, I think it makes some excellent points that are worth seeing in print. The article cites a DeutscheBank report which notes that dealer inventories of corporate bonds runs currently at about $50 billion ...
Posted in Uncategorized | Comments Off on Liquidity Impairment
Tuesday, May 12th, 2015
Via CRT Capital:
We are optimistic about this afternoon's $24 bn 3-year auction and see the risk of a stop-through in light of the recent performance of new 3s, relatively good performance of the sector, and the large maturities this week in the Treasury market. On the other hand, the WI ...
Posted in Uncategorized | Comments Off on Three Year Auction
Tuesday, May 12th, 2015
Via Stephen Stanley at Amherst Pierpont Securities:
The NFIB survey of small businesses for April retraced about two-thirds of the sharp fall recorded in March. I would view most of this month-to-month volatility as noise. Once a quarter, the NFIB gathers responses from a larger sample. April was a “big” sample ...
Posted in Uncategorized | Comments Off on Economic Tidbits
Tuesday, May 12th, 2015
While I was at the gym making sure that my body is still electric the bond market has enjoyed quite a bounce. At 600AM I had marked 5s at 166 and 2s 5s at 102. As I compose this electronic missive 5s are 1.594 and 2s 5s has narrowed to ...
Posted in Uncategorized | Comments Off on Treasury market Update
Tuesday, May 12th, 2015
Via Bloomberg;
IG CREDIT: List of New Issues Expected to Price in U.S. Today
2015-05-12 14:01:13.997 GMT
By Allan Lopez
(Bloomberg) -- The following is a list of new issues
expected to price today:
* CRH America $benchmark Baa2/BBB+
* 10Y, 30Y; 144A/Reg S without reg rts
* Denoms: $200k x $1k
* Books: BofAML, Barclays, BSSA, CACIB
* Books: ...
Posted in Uncategorized | Comments Off on New Issue List For Today
Tuesday, May 12th, 2015
Via a fully paid up subscriber:
It was not that long ago that we were joking that if we had a string of two dozen 10 basis point rallies 30yr U.S. Govt bonds would yield 0%. On 3/24 the long bond offered a 2.46% yield at a dollar price of 100-24. ...
Posted in Uncategorized | Comments Off on Swap Spreads