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http://acrossthecurve.com/ - A daily bond market chronicle
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acrossthecurve.com - 4 days ago
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acrossthecurve.com —
I began writing this blog in January 2008
and it has been a far greater success than...
I had ever dreamed possible. It has been my privilege to inform and illuminate my readers about the daily movements in the fixed income markets and to do so as the ...
(more)
A Note to My Readers
Comments
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Abnormal Returns
found this 4 days agofound this
Heightened concerns about the global banking sector are front and center today. There are two press articles to note. The first is the FAZ story warning that the two regional banks that hold a majority stake in West LB indicate they are prepared to let the bank become insolvent. This may be ...
Government
Gordon Brown
TARP
Prices of Treasury coupon securities are posting modest gains in overnight trading.
We are well into the holiday we and I suspect that trading volumes will be on the light side,notwithstanding the chunky auction of 5 year notes later today. That process should dominate the bond market ...
Government
Treasury Bills
Preview: Confidence, home prices, GDP, ASA staffing, FOMC minutes
(1) The Conference Board consumer confidence index probably fell again in Nov. That would match the pattern in other measures in early Nov. (2) Home prices have turned upward since Q2, probably reflecting strength in ...
Government
Federal Open Market Committee
Gross Domestic Product
Prices of Treasury coupon securities are posting small mixed changes on this day when the Treasury began the process of regurgitating $ 116 billion of securities via sales of 2 year notes, 5 year notes and 7 year notes.
In initial trading this morning the curve steepened rather sharply and ...
Government
Treasury Bills
$44B in new 2yr notes come at 0.802% or right on top of 1pm levels.
*U.S. AWARDS 44.5% OF 2-YR TO INDIRECT BIDDERS
*U.S. TWO-YEAR NOTES BID/COVER RATIO 3.16 AT AUCTION
Direct bidders took 4.7% of the auction (well down from last month and back to averages seen before Sept. The Dealer award ...
Stocks
Sotheby's
Alltel
The 2 year stopped approximately at the level at which it was trading prior to auction.
The auction yield was 0.802.
Other
In a few minutes the Treasury ( for the second time ) will auction the largest batch of 2 year notes issued since man began to walk erect.
Traders believe that it will go quite well and expect a stop inside of market levels ( currently 0.80 percent).
Other
Corporate bonds are firm at the open as investors genuflect to the strong signals emanating from the equity market. One salesman noted that most sectors are 1 basis point to 2 basis points wider.
There are no new issues on the burner at the present time.
Just to make the point of the extent ...
Stocks
American Express
Mortgages are 1 basis point to 1 1/2 basis points tighter to swaps.
There has been some bank buying of the 15 year sector. The buying has been by small and medium sized banks.
The Bullard comments about extending the MBS QE have not had a strong result thus far.
One trader in an email ...
Other
Swap spreads are unchanged across the curve.
Two year spreads are 32 1/2. Five year spreads are 32. Ten year spreads are 11 1/2. Thirty year spreads are NEGATIVE 11.
Other
ONLY ONE REFERENCE TO INTERVENTION WITH A MONETARY FIGURE ATTACHED AND THAT’S HKMA BUYING $300MM U.S. EQUIVALENTS. TAIWAN WAS SAID TO BE IN THE MARKET BUT NO SIZE WAS ATTACHED. THE ECB CONDUCTED A € 5.75 BLN SWAPS WITH THE SWISS NATIONAL BANK TO MAINTAIN LIQUIDITY IN THE SWISS MARKET BUT ...
Stocks
Alltel
BearingPoint
European Central Bank
American Greetings
Federal Reserve
With U.S. T-bill yields hovering near zero, today’s weekly bill auctions may attract more general market attention than usual. Here is what is going on: due to the approaching debt ceiling, the US debt managers have reduced T-bill sales. At the same time, the demand for short-term ...
Government
Gordon Brown
Bill Clinton
Analysts at CRT in that firm’s morning note point out that the imbalance between speculative positions in the very short end of the market and shorts in longer maturities are as wide as they have been since April 2008. Here is the relevant paragraph from CRT:
“Finally, we’ll ...
Other
Prices of Treasury coupon securities are posting modest losses in overseas trading.
The once mighty greenback is faltering versus the Euro as that currency has gained about a penny. Gold has raced to a record high and oil is posting solid gains.
European equity markets have posted robust ...
Government
acrossthecurve.com - 6 days ago
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acrossthecurve.com —
The New York Times carries a story on
the financing debacle which the US will face as...
debts come due over the next several years. I do not think that the Treasury has thought through the arduous task that it will confront when the exigencies of ...
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Day of Reckoning
Professor James Hamilton of the University of San Diego and also of the first rate blog Econo Browser chimed in on the debate about plunging bill rates. Here is an excerpt from a Bloomberg story:
“The question is what are you going to do with all the money that has been created?” said James ...
Government
James Hamilton
University of Cambridge
Bill Clinton
Michael Bloomberg
The week ahead
Orders for durable goods likely rose moderately in October (UBSe 1.0%, cons 0.5%, after 1.4%). We forecast a decline in the Conference Board measure of consumer confidence (UBSe 45.5, cons 47.5, after 47.7) in November, while our forecast for the Michigan measure (UBSe 66.5, ...
Stocks
Housing Market
UBS AG
Federal Housing Finance Agency
Gross Domestic Product
Populists, faux populists, bloggers and other commentators have taken aim at the Federal Reserve and its formerly sacrosanct independence. The one exalted institution is under assault on all sides.
Here is some non hyperventilating prose on the topic by Tim Duy at Economists View.
