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...
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...
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...
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,...
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...
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...
I spent the bulk of Friday last week trying to convince numerous clients, traders, salespeople and even some reporters that the discount rate move was not meaningful for the monetary policy outlook. More importantly, I tried to refocus attention to the data from last...
It used to be painful to read a Plosser speech. I recall this little gem from early 2008: “I am still optimistic that the economy will improve appreciably by the third and fourth quarters of 2008, and that is when any monetary policy action today will begin to have...
1. Record Steepness - 5s30s at 234 and 2s10s at 288 are new records for the curve which were set late Friday and into the Asia session this morning. While it is no doubt difficult to for all asset managers to buy the record highs, the fact remains that we have broken...
1. Record Steepness - 5s30s at 234 and 2s10s at 288 are new records for the curve which were set late Friday and into the Asia session this morning. While it is no doubt difficult to for all asset managers to buy the record highs, the fact remains that we have broken key levels. Those […]
