Hopefully, everyone has copy of the new monthly. As discussed in that document, we see the next 3 months as calm for fixed income. Nonetheless, we will no doubt have some “in range fireworks” as we did last week. Over the last 5 trading days, we went from 2.78 to 2.83 back to 2.75 in […]
You are unauthorized to view this page.
Brian Sack (aka mini-Ben) gave a speech last night reiterating the basic exit structure put forth by the Chairman in February. There was little new in the speech, but there are a few parts worth repeating here as we enter the battle zone on asset sales between the Presidents and the Governors. First, everyone agrees […]
It’s a calm start to the week with 10s firmly in the middle of a very tight long term range – 3.60/3.80. “Roll adjusted”, 5s30s is starting the week at the all-time highs of 231 and 2s10s is about 5bps off its record highs at 281. I see very little on the immediate horizon to […]
I have been visiting the ECB since Thursday hence the lack of commentary since Wednesday. Here are a few quick thoughts as I jump back in front of the screens. As discussed Wednesday, playing the range is the best game in town. 10s are now back towards 3.70 and vol has been properly taken out […]
We have been bouncing along the bottom end of the 2010 trading range in 2yr, 5yr and 10yr Treasury yields for the last few sessions (80bps in 2s, 2.25 in 5s and 3.60 in 10s give or take a few bps). Given what’s going on in risk asset markets, this morning’s little 5bps pop in […]
It’s a slow pre-payroll day with the range trade very much in play. First some Fed appointment thoughts: the leading “mainstream/insider” candidates seem to be Romer, Yellen and Tarullo for Vice Chairman. In all cases this would be a dovish tilt from Kohn. That said, we have Larry Summers, Timmy G (and maybe Paul Volcker) […]
This is a surprise in terms of the timing of the announcement, but the idea that he would leave after his term is up in the late spring is not a great surprise. He has been talking of retirement for some time and maybe he did not get a warm and fuzzy feeling from the […]
As I look at “MOVE Index GP W” on my Bloomberg, I cannot help but think that the vol market is saying something quite different than the panicky global headlines would suggests. MOVE, a gamma index for Treasury implied volatilities, is flirting with lows not seen since the summer of 2007, when all of this […]
Just a quick note today in between meetings on the west coast – First, there are no surprises I can find in the HH testimony today. It was a classic Ben Bernanke “dovish” speech, with the classic market reaction taking stocks and bonds higher. The extended period is alive and well and the economic outlook […]