So there is the individual non-agency MBS CDS book with 2000+ line items. Then there are the interesting positions where they were shorting muni CDS on Nevada, California and Florida. And back in MBS space, there are billion dollar slugs of subprime mezz bonds and...
I assume some payroll expectation revisions will start flying across the screens – there were a few 350/400 numbers out there! Whoops!!! Looking at the ADP report details, it was another tough month for small goods producing firms coming in at -27k. With this survey...
It is quiet. Rates are holding at the top end of the range and the curve is maintaining a steepening bias. Swap spreads have stabilized, the Bund/US spread continues to widen, vol is drifting lower and MBS is widening a smidge. It feels like a whole lot of nothing as...
With an eventful week behind us, it’s time to get ready for some payroll fireworks. The half day Friday should be action packed, and illiquid, as equity markets are shut and bond market are open (something that happens with frequency of a venus transit eclipse). Ward...
Those who know me well know that I disavowed trading LIBOR many years ago. It all stemmed from some experiences in 2007 when I happen to stumble into making a lot of money on some seemingly worthless EDU7 puts. I was quite pessimistic on the economic outlook, but I...
Those who know me well know that I disavowed trading LIBOR many years ago. It all stemmed from some experiences in 2007 when I happen to stumble into making a lot of money on some seemingly worthless EDU7 puts. I was quite pessimistic on the economic outlook, but I had some puts from an old […]
