mysterious dip in TBT the past couple of hours
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Johnnybags
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The auction was successful
according to them. Of course they all are when the US taxpayer is forced into bidding.
according to them. Of course they all are when the US taxpayer is forced into bidding.
Emmitt2222
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The dip in TBT is actually not mysterious at all.
TBT is directly tied to the interest rates of the 20 year bond, I believe. When demand is still strong for treasuries, the interest rate goes even lower.
http://money.cnn.com/news/newsfeeds/articles/djf500/200903241411DOWJONESDJONLINE000538_FORTUNE5.htm
There is no conspiracy here.
TBT is directly tied to the interest rates of the 20 year bond, I believe. When demand is still strong for treasuries, the interest rate goes even lower.
http://money.cnn.com/news/newsfeeds/articles/djf500/200903241411DOWJONESDJONLINE000538_FORTUNE5.htm
There is no conspiracy here.
slamminshaun
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Fed isn't buying Treasuries until tomorrow.
http://www.marketwatch.com/news/story/Fed-start-buying-Treasurys-Wednesday/story.aspx?guid={5B29573F-4A1A-4297-9334-8FB374F6D1E9}
Interesting article to follow this up.....
http://www.marketwatch.com/news/story/Treasury-rally-may-over-bond/story.aspx?guid={1FEDACA3-0051-48B2-AD95-9C130491CF7F}
http://www.marketwatch.com/news/story/Fed-start-buying-Treasurys-Wednesday/story.aspx?guid={5B29573F-4A1A-4297-9334-8FB374F6D1E9}
Interesting article to follow this up.....
http://www.marketwatch.com/news/story/Treasury-rally-may-over-bond/story.aspx?guid={1FEDACA3-0051-48B2-AD95-9C130491CF7F}
not.your.average.joe
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- Jan 22, 2009
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- 750
here is from John Jansen
http://seekingalpha.com/article/127671-bond-expert-tuesday-wrap-stormy-weather
Prices of Treasury coupon securities are mostly unchanged on the day, except for the 30 year bond, which is posting substantial gains. Let me first offer a reader beware notice. It is very difficult to frame a snapshot of prices as the announcement of the buyback schedule has sparked violent price movements and I expect that will continue. For the record, I am composing this at 320PM New York time.
The yield on the 2 year note is unchanged at 0.89 percent. The yield in the 3 year note is unchanged at 1.24 percent. Similarly the yield on the 5 year note has not budged and it rests at 1.69 percent. The 10 year note is unchanged at 2.65 percent. The Long Bond has exploded and the yield is 9 basis points lower at 3.60 percent.
That sterile recitation fails to capture the price movements over the course of the day. Here are the high yields which the market attained in the moments before the Federal Reserve: 2 year 0.92 percent; 5 year 1.76 percent; 10 year 2.75 percent; 30 year 3.77 percent.
This really was a perfect and calamitous storm if you were positioned the wrong way. Many were positioned the wrong way as the trade du jour was the steepener. Hold the 2 year note and sell everything else.
The 10 year/30 year spread was 102 basis points. It is now 95 basis points. The 2year/10 year spread reached 182 basis points and it is now 176 basis points.
The 2year/5 year /30 year butterfly is 111 basis points and at the highest yields of the day it was 120 basis points. It began the day at 126 basis points.
One veteran salesman opined that by beginning with the 7 year through 10 year sector and by including the long maturities very early in the process, the Fed was protesting the rate structure which prevailed at the time of the announcement.
The 2.75 percent level on the 10 year note was about a 50 percent retracement of the 50 basis point rally of last Wednesday. Some technicians were speaking of a backup in rates into the 2.90s and thought that shorts were bulletproof through the supply. The best laid plans of mice and men often go astray.
I will not totally surrender to reader Greg, who has decried the buying by the Federal Reserve as an impingement of free markets and a process which will reduce liquidity. I will say he does make an excellent point, and the violent moves of last week and again today will make those who wish to sell short hesitant.
Swaps and MBS (3:10ET)
Swap spreads are mixed. Two year spreads are 1 1/2 basis points wider at 61. Five year spreads are 2 basis points tighter at 61 1/4. Seven year spreads have narrowed 2 1/4 basis points at 43 3/4. Ten year spreads have narrowed 1 1/2 basis points at 26 basis points. Thirty year spreads have widened 2 1/4 basis points at NEGATIVE 28 3/4.
Mortgages had been tighter to swaps most of the day but subsequent to the Fed announcement of a buyback schedule they lag swaps by 3/32.
There has been chunky receiving in the belly of curve since the announcement of the buyback schedule.
Agency Market (2:40ET)
The Agency market leaked wider today in quiet professional trading. Spreads moved tighter yesterday following a buyback by the Fed and spreads were under pressure today.
Dealers expect that Freddie Mac (FRE) will announce a 2 year or a 5 year note tomorrow or a combination of each. Freddie’s last deal was a $10billion 3 year note so anticipation of similar size has caused the air to slowly leak out of spreads.
Two year spreads are 2 basis points wider. Five year spreads are one basis point wider and ten year spreads are unchanged.
Corporate bonds (2:00ET)
The corporate bond market is a bit of a sleepy backwater today as the market digests past and current supply and anticipates future new issue offerings. One salesman stated that if it were not for the supply spreads would be 20 basis points tighter.
Financial sector names are about 5 basis points wider but that is only a function of the significant spread tightening of the last week. As an example, JPM (JPM) 10 year paper has tightened 60 basis point in the last week so some profit taking would be normal and natural.
Earlier I noted the Verizon (VZ) deal, which is being marketed as we speak. I suggested that the issue was 40 basis points cheap to comparables. The salesman with whom I just conversed says it is far cheaper. The VZ 5 1/2s of 2018 regularly trade around 300 and just inside 300 to the 10 year.
Against that background, the current issues are 80 basis points to 90 basis points cheap.
http://seekingalpha.com/article/127671-bond-expert-tuesday-wrap-stormy-weather
Prices of Treasury coupon securities are mostly unchanged on the day, except for the 30 year bond, which is posting substantial gains. Let me first offer a reader beware notice. It is very difficult to frame a snapshot of prices as the announcement of the buyback schedule has sparked violent price movements and I expect that will continue. For the record, I am composing this at 320PM New York time.
The yield on the 2 year note is unchanged at 0.89 percent. The yield in the 3 year note is unchanged at 1.24 percent. Similarly the yield on the 5 year note has not budged and it rests at 1.69 percent. The 10 year note is unchanged at 2.65 percent. The Long Bond has exploded and the yield is 9 basis points lower at 3.60 percent.
That sterile recitation fails to capture the price movements over the course of the day. Here are the high yields which the market attained in the moments before the Federal Reserve: 2 year 0.92 percent; 5 year 1.76 percent; 10 year 2.75 percent; 30 year 3.77 percent.
This really was a perfect and calamitous storm if you were positioned the wrong way. Many were positioned the wrong way as the trade du jour was the steepener. Hold the 2 year note and sell everything else.
The 10 year/30 year spread was 102 basis points. It is now 95 basis points. The 2year/10 year spread reached 182 basis points and it is now 176 basis points.
The 2year/5 year /30 year butterfly is 111 basis points and at the highest yields of the day it was 120 basis points. It began the day at 126 basis points.
One veteran salesman opined that by beginning with the 7 year through 10 year sector and by including the long maturities very early in the process, the Fed was protesting the rate structure which prevailed at the time of the announcement.
The 2.75 percent level on the 10 year note was about a 50 percent retracement of the 50 basis point rally of last Wednesday. Some technicians were speaking of a backup in rates into the 2.90s and thought that shorts were bulletproof through the supply. The best laid plans of mice and men often go astray.
I will not totally surrender to reader Greg, who has decried the buying by the Federal Reserve as an impingement of free markets and a process which will reduce liquidity. I will say he does make an excellent point, and the violent moves of last week and again today will make those who wish to sell short hesitant.
Swaps and MBS (3:10ET)
Swap spreads are mixed. Two year spreads are 1 1/2 basis points wider at 61. Five year spreads are 2 basis points tighter at 61 1/4. Seven year spreads have narrowed 2 1/4 basis points at 43 3/4. Ten year spreads have narrowed 1 1/2 basis points at 26 basis points. Thirty year spreads have widened 2 1/4 basis points at NEGATIVE 28 3/4.
Mortgages had been tighter to swaps most of the day but subsequent to the Fed announcement of a buyback schedule they lag swaps by 3/32.
There has been chunky receiving in the belly of curve since the announcement of the buyback schedule.
Agency Market (2:40ET)
The Agency market leaked wider today in quiet professional trading. Spreads moved tighter yesterday following a buyback by the Fed and spreads were under pressure today.
Dealers expect that Freddie Mac (FRE) will announce a 2 year or a 5 year note tomorrow or a combination of each. Freddie’s last deal was a $10billion 3 year note so anticipation of similar size has caused the air to slowly leak out of spreads.
Two year spreads are 2 basis points wider. Five year spreads are one basis point wider and ten year spreads are unchanged.
Corporate bonds (2:00ET)
The corporate bond market is a bit of a sleepy backwater today as the market digests past and current supply and anticipates future new issue offerings. One salesman stated that if it were not for the supply spreads would be 20 basis points tighter.
Financial sector names are about 5 basis points wider but that is only a function of the significant spread tightening of the last week. As an example, JPM (JPM) 10 year paper has tightened 60 basis point in the last week so some profit taking would be normal and natural.
Earlier I noted the Verizon (VZ) deal, which is being marketed as we speak. I suggested that the issue was 40 basis points cheap to comparables. The salesman with whom I just conversed says it is far cheaper. The VZ 5 1/2s of 2018 regularly trade around 300 and just inside 300 to the 10 year.
Against that background, the current issues are 80 basis points to 90 basis points cheap.
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