Archive for July, 2015

Pre FOMC Guest Post

Wednesday, July 29th, 2015

Via my friend Steve Liddy. This is an excerpt from his full note as the graphs he appends to it do not reproduce well on my low rent blog. My apologies to Steve for that. As I noted yesterday, 5y5y fwd inflation expectations have dropped. Now, should spot commodity prices have ...

Secondary Market Corporate Bond Trading Yesterday

Wednesday, July 29th, 2015

Via Bloomberg: IG CREDIT: CVS Issues Led Trading on Client Flows; 2 to Price 2015-07-29 10:06:06.554 GMT By Robert Elson (Bloomberg) -- Secondary IG trading saw a final Trace count of $16.3b vs $11.7b Monday, $15.3b the previous Tuesday. * Most active issues over 3 years: * CVS 5.125% 2045 was 1st with 2-way client flows accounting for ...

Today’s New Issue Calendar

Tuesday, July 28th, 2015

Via Bloomberg: IG CREDIT: List of New Issues Expected to Price in U.S. Today 2015-07-28 14:01:00.0 GMT By Allan Lopez (Bloomberg) -- 9 new issues expected to price today: * Sherwin Williams $750m A2/A * 10Y, 30Y * IPT 10Y +135, 30Y +170 (both area) * Books: BofAML, C, JPM * American Express Credit Corp. $benchmark A2/A- * 3Y fxd ...

JPM Duration Survey

Tuesday, July 28th, 2015

Via Bloomberg: RATES: Shorts Drop Sharply in Latest JPM Survey 2015-07-28 11:21:20.539 GMT By Robert Elson (Bloomberg) -- The JPMorgan Treasury Client Survey for the week ended July 27 vs week ended July 20. * Longs 17 vs 15 * Neutrals 61 vs 52 * Shorts 22 vs 33 * Net longs -5 vs -18 * "The all clients survey ...

Two Year Note Auction

Tuesday, July 28th, 2015

Via Ian Lyngen at CRT Capital: The 2-year sector is trading lower this morning, pricing in a modest outright concession although still outperforming the rest of the curve. We're constructive on this afternoon's auction as it benefits from a trend of solid investment fund demand and this sector has a strong ...

What to Watch Today

Tuesday, July 28th, 2015

Via Bloomberg: WHAT TO WATCH: * (All times New York) * Economic Data * 9:00am: S&P/CaseShiller 20 City m/m SA, May, est. 0.3% (prior 0.3%) * S&P/CS 20 City y/y, May, est. 5.6% (prior 4.91%) * S&P/CS 20 City NSA, May, est. 180.34 (prior 177.01) * S&P/CS U.S. HPI m/m, May, est. 0.10% (prior -0.02%) * S&P/CS U.S. HPI ...

FX

Tuesday, July 28th, 2015

Via Marc Chandler at Brown Brothers Harriman: Dollar Mixed as Markets Consolidate - Consolidative trade prevails as the two-day FOMC meeting gets under way - The rout in Chinese equities continued - The gains in the dollar bloc seem largely about position adjustments; the proximate spur may be RBNZ Governor Wheeler's speech later ...

Overnight Flow

Tuesday, July 28th, 2015

Slim pickings here overnight. I have heard of active two way flow in the 10 year sector. Interpreting the emails I have read it appears there was better buying in the sector and it was led trading accounts.

New Wides in Spreads

Tuesday, July 28th, 2015

Via Bloomberg: IG CREDIT: Spreads Again Make New Wides for 2015; Pipeline Grows 2015-07-28 09:58:35.991 GMT By Robert Elson (Bloomberg) -- FINRA’s TRACE data unavailable for Monday. $12.5b was estimated by Bloomberg vs $9.8b Friday as reported by TRACE. * Most active issues, according to Bloomberg estimates: * CVS 5.125%% 2045 was 1st with 2-way client flows accounting for ...

Mechanics of FOMC Tightening

Tuesday, July 28th, 2015

This is a very long and very interesting article from Cardiff Garcia at the FT on the mechanics of FOMC tightening. The article discusses the difficult and novel path the FOMC will traverse as it employs its Reverse Repo Facility to vacuum up excess reserves. The fear is that lenders will ...