Archive for November, 2015

FX

Wednesday, November 11th, 2015

Via Marc Chandler at Brown Brothers Harriman: - The US dollar continues to consolidate its recent strong gains, but its pullback is shallow and corrective in nature - Many are looking for fresh clues into what the ECB will do when it meets on December 3 in Draghi’s upcoming speech at ...

More on Dealer Positions in Corporate Bonds

Tuesday, November 10th, 2015

I posted this FT piece this morning and here is the WSJ take on the issue to close the day: By KATY BURNE Nov. 10, 2015 7:42 p.m. ET 4 COMMENTS Large U.S. banks reported negative corporate-bond inventories for the first time ever by one measure, the latest twist in a market being remade by ...

More on the Collapse in Swap Spreads

Tuesday, November 10th, 2015

Via the FT: November 10, 2015 11:25 am Why are swap rates below bond yields? Michael Mackenzie and Joe Rennison US interest rate swaps, popular derivatives that track government bond yields, have experienced a spectacular collapse this month with an array of reasons being suggested by traders. This market emerged during the 1980s and has ...

Inventory Accumulation

Tuesday, November 10th, 2015

Via the WSJ: By SUZANNE KAPNER Nov. 10, 2015 7:46 p.m. ET 2 COMMENTS Unsold goods are piling up on retailers’ shelves, a worrisome trend that signals weak consumer spending heading into the Black Friday kick off to the holiday season. A glut could make it harder for department store chains to hit their earnings ...

Curvology

Tuesday, November 10th, 2015

It appears that a large part of the concession for the Long Bond auction tomorrow is in the yield curve. Just prior to the labor report I had clocked 5s30s at 135.8 and just afterwards (847AM) I marked the spread at 131.2. We are now trading at 139 which is ...

Ten Year Auction Preview

Tuesday, November 10th, 2015

Via Ian Lyngen at CRT Capital: We are optimistic about this afternoon's 10-year auction and expect non-dealer interest to be a significant test of overseas demand for the sector ahead of the looming Fed liftoff. We see the risks skewed toward a stop-through.  This morning's bid has failed to price-in a ...

Neel Kashkari

Tuesday, November 10th, 2015

The Federal Reserve Bank of Minneapolis has named Neel Kashkari to be its new President. He is a Goldman Sach alum and traveled to DC with Hank Paulson. He has worked for PIMCO and has unsuccessfully run for office, failing in a bid to unseat Jerry Brown as Governor of ...

New Issues Today

Tuesday, November 10th, 2015

Via Bloomberg: IG CREDIT: List of New Issues Expected to Price in U.S. Today 2015-11-10 15:01:00.4 GMT By Allan Lopez (Bloomberg) -- List of new issues expected to price today: * AstraZeneca $benchmark A2/A * 3Y fxd and/or FRN, 5Y, 10Y, 30Y * IPT: 3Y fxd +65, 3Y FRN 3mL equivalent, 5Y +85, 10Y +125, 30Y +150 (all ...

Inventories and GDP

Tuesday, November 10th, 2015

Via Stephen Stanley at Amherst Pierpont Securities: Wholesale inventories turned out to be much higher than initially projected by BEA statisticians in the preliminary Q3 GDP estimate.  Not only did the September non-auto wholesale inventory figure post a 0.5% increase (vs. BEA expectations of flat), but the August reading was revised ...

JPMorgan Duration Survey Got Shorter

Tuesday, November 10th, 2015

Via Bloomberg: RATES: Shorts Increase in Latest JPM Survey 2015-11-10 13:03:45.360 GMT By Robert Elson (Bloomberg) -- The JPMorgan Treasury Client Survey for the week ended Nov. 9 vs week ended Nov. 2. * Longs 20 vs 13 * Neutrals 47 vs 63 * Shorts 33 vs 24 * Net longs -13 vs -11 * "The all clients survey shows ...