Archive for January, 2016
Tuesday, January 26th, 2016
Via Ian Lyngen at CRT Capital:
The 2-year sector is trading sideways this morning and failing to price in an outright concession while the long-end of the curve sells off. We're apprehensive about this afternoon's auction given the absence of an accommodation although a greater selloff would make the sector more ...
Posted in Uncategorized | Comments Off on Two Year Auction Preview
Tuesday, January 26th, 2016
Via Bloomberg:
RATES: Most Net Shorts Since August, JPM Survey Says
2016-01-26 12:51:17.655 GMT
By Robert Elson
(Bloomberg) -- The JPMorgan Treasury Client Survey for the
week ended Jan. 25 vs week ended Jan. 19.
* Longs 13 vs 16
* Neutrals 60 vs 62
* Shorts 27 vs 22
* Net longs -14 vs -6
* "The all clients ...
Posted in Uncategorized | Comments Off on JPMorgan Duration Survey:Rather Short
Tuesday, January 26th, 2016
Via Marc Chandler at Brown Brothers Harriman:
It May Feel Bad, But It's Different
- With equities sliding and oil pushing back below $30, it may feel like the resumption of moves in the first two and half weeks of the year, but it is different
- The North American calendar is light, ...
Posted in Uncategorized | Comments Off on FX
Tuesday, January 26th, 2016
Via Bloomberg:
Germany’s two-, three- and five-year notes rose, pushing yields to record lows, as a slide in oil and equities drove investors to the relative safety of fixed-income assets.
Europe’s government bonds advanced as Chinese stocks tumbled to the lowest level in 13 months and oil fell below $30 a barrel. ...
Posted in Uncategorized | Comments Off on German Yields Deeply Negative
Tuesday, January 26th, 2016
Via the WSJ:
FRANKFURT—Europe’s long experiment with ultralow interest rates is prompting unexpected shifts in Germany’s deeply entrenched culture of saving.
For decades, Germans have faithfully parked much of their personal wealth in old-fashioned savings institutions while shunning home buying and its associated debt. Those habits were cemented by the shock of ...
Posted in Uncategorized | Comments Off on German Risk Takers
Tuesday, January 26th, 2016
Via Bloomberg:
China’s stocks tumbled to the lowest levels in 13 months amid concern capital outflows will accelerate as the economy slows and support for the yuan eats into the nation’s foreign reserves.
The Shanghai Composite Index plunged 6.4 percent to 2,749.79 at the close. All industry groups slumped, ranging from commodity ...
Posted in Uncategorized | Comments Off on China Stocks at 13 Month Lows
Tuesday, January 26th, 2016
The benchmark Treasury took another trip below 2 percent overnight as Asian equity markets sold off and fostered a risk off climate. The 5 year note is a particular superstar on the yield curve as it has flattened to 56.8 versus the 2 year note. The 2s 5s 10s fly ...
Posted in Uncategorized | Comments Off on Treasury Market Overnight
Monday, January 25th, 2016
Via Bloomberg (an excellent article): (Click link for article with graphs)
Buyers paying almost twice average premium for benchmark notes
`Erratic behavior' pervades in Treasuries, according to RBC
In today’s bond market, there’s plenty of hand-wringing about liquidity, or rather, the lack of it.
But it’s become so pervasive that even in the market ...
Posted in Uncategorized | Comments Off on Declining Bond Market Liquidity
Wednesday, January 20th, 2016
Via an anonymous market maker:
The rates markets are having a familiar start to the year. Last January was a month of a daily grinding rally albeit for different reasons and more led by the long end. This year has been had for rockers in their 60s, anyone with assets in ...
Posted in Uncategorized | Comments Off on Excellent Swap Commentary
Wednesday, January 20th, 2016
Via Bloomberg:
WHAT TO WATCH:
* (All times New York)
* Economic Data
* 7:00am: MBA Mortgage Applications, Jan. 15 (prior 21.3%)
* 8:30am: Housing Starts, Dec., est. 1.2m (prior 1.173m)
* Housing Starts m/m, Dec., est. 2.3% (prior 10.5%)
* Building Permits, Dec., est. 1.2m (prior 1.289m,
revised 1.282m)
* Building Permits m/m, Dec., est. -6.4% (prior 11%,
revised ...
Posted in Uncategorized | Comments Off on What to Watch This Day