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 […]

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 week which was actually quite soft on both a forward looking […]

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 noticeable effects. Overall real GDP growth […]

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 […]

And so the headlines read -- “European Leaders Agree to Rescue Greece”, “EU Sends Clear Message of Greek Support”, and “EU vows Solidarity”. Bottom line - the EU got cold feet in pushing too hard on its first test case of a rogue member nation. The banks squealed and Brussels listened. Sadly, the mess in […]

Yesterday's announcements by FNM and FRE that they will be buying out the bulk of their delinquent loans from existing pools in coming months rattled the mortgage market and sent high coupons (6s and 6.5s) swooning lower. As it stands it looks as though FNM will be buying out 127b and FRE 70b although those […]

While I am trying to get my hands on the Der Spiegel article translated to English, I did find this: http://www.newser.com/story/80527/goldman-helped-greece-hide-catastrophic-debt.html which is making the rounds this am and adding fuel to EUR fire. Bottom line is that the off balance sheet activity of large banks with the PIIGS remains the dirty little secret of […]

There are a couple things on my mind this morning as the bond markets bounce around in tight ranges. The House Financial Services Committee convenes tomorrow with Bernanke being forced to lay the groundwork for the exit strategy. Kohn's speech last week will likely provide the blueprint and I firmly believe asset sales will feature […]

What is going on in Europe is affecting ALL markets. While there are many complex forces at work, there actually is a very simple storyline that we sadly have witnessed not too long ago. At the center of the firestorm is the simple fact that European (and Global) banks are exposed to large amounts of […]