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’The corporate funding twist
Treasuries have gone through the looking glass.
As we’ve discussed, it’s largely because market participants have become overly obsessed with holding safe-haven securities, demanding Treasuries and nothing else.
Through the looking glass with US Treasuries and gold
We’ve been harping on for a while now about how a scarcity of quality collateral in the market (read US Treasuries) has been wreaking havoc in the repo markets — and how QE-related large scale asset purchases have only added to the problem.
How to serve front-end yields up with a Twist
The chatter on Friday in response to the stomach-punching payrolls is that we’re headed for Operation Twist Part Deux — number 13 on our list of Fantasy Fed options — though not outright QE3 in the form of large scale asset purchases.
Peering into a US money market fund
There’s been a lot of talk about how the US money market mutual funds are pulling their money out of the eurozone. And generally chopping and changing the nature of their investments.
But how exactly do the mechanics of that work,
How yields track nominal GDP changes
Yes, we know what happened today: gold down, dollar up, 10-year Treasury yields climbed to 2.30 per cent.
We heard. Jeeeeest a bit less room for Bernanke to let us down on Friday.
But if you think treasury yields are about to make a sustained,
When US Treasuries diverge from Italian bonds… [Updated]
Attention algobots, headline traders and French regulators.
In this post we are going to direct readers to some publicly available information about Lyxor’s (Societe Generale’s asset management arm) fixed income ETFs.
Stop worrying about China and US Treasuries
An exasperated Michael Pettis always makes for an enlightening Michael Pettis column.
This time he trains his eye on the possible implications of the recent announcements by China that this time it means what it says about diversifying its reserve holdings out of USD assets.
30-year old WLTM $$$ ISO LTR
Heartbreaking. The FT’s Telis Demos points us in the direction of some barmy post-auction action in 30-year US Treasuries:
That’s the largest intra-day basis points move since 1987.
There was an abysmal auction of the long bonds earlier on Thursday.
When a government bond becomes a Giffen good
So, Swiss short-term market rates are now fully negative:
But it’s not just short-term rates. As of Thursday anyone holding two-year or three-year Swiss bonds is apparently demanding that the price exceeds the coupon-included return in order to be tempted to sell.
Operation Twist — and shout
Strange, fast, markets. The S&P 500 closed at 1,172.53, up 53 points, or 4.74 per cent. That’s the biggest one day rise since 20 October, 2008. 10-year Treasury yields touched crisis lows. And the US dollar…
Yields at record lows and it’s EURUSD vs CHF
Looks like QE2.0 is going down a treat in the FX and bond markets.
First, 3-year, 5-year, and 10-year charts.
Nice little price bump here for those buying 3-years at the first post-downgrade auction.
Found: the patriotic relief rally
The US treasury conducted its first post-downgrade auction of Treasuries on Tuesday and, guess what, it’s a record breaker.
Three-year yields were sold at a record low yield of 0.5 per cent, which means the US could easily be confused for a AAA sovereign:
Who has to act on Treasuries?
Leaving aside the volatility and growth fears, who is really compelled to sell Treasuries as a result of the S&P downgrade?
The answer, when it has all played out, might go some way to explaining just how powerful the ratings agencies are right now.
The safest of havens…
Here’s this year’s biggest one day rise in US 10-year yields:
Rumours of S&P announcing something on the US rating after the bell are jostling for attention with the Berlusconi Bounce.
Debt ceiling: winners
Barring a Republican rebellion in the House of Representatives, the Budget Control Act of 2011 will be passed by both houses of Congress on Monday, and sent to the President for his signature.
Despite the resurrection of real market-shifting news on Monday,
Safe haven alternatives, London property edition
As FT Alphaville and others have duly noted, the search for the ultimate safe haven alternative is on.
RBS now points to one possible alternative, London luxury-home prices.
From their European rates morning research note:
The safest of safe havens?
10-year US Treasuries just had their biggest one day rally since March 2009.
Perhaps the old AAA is the new AAA, after all. (No one mention the US dollar.)
Contingency planning in six charts
Morgan Stanley’s US interest rate strategists have included a lovely set of charts in their latest research note that portray the moves in short-term markets due to the debt ceiling impasse. The strategists stress that the price moves don’t reflect liquidity shortages but are “the functional equivalent of a tightening,
Dick Bove says – the search for a new safe haven is on
Gold? Pffft.
The euro? Too euro-trash.
The dollar? Puh-lease.
Rochdale banking analyst Richard Bove reckons the search is on to find a new global safe haven. Because even if this US debt debacle gets sorted by lifting the ceiling,
Risk off, with nowhere to go
A miserable day.
At one point the headline on the Reuters home page read: “Wall Street slides on earnings, economy, politics.” Short of blaming the collective wisdom of the two cultures, there was nothing left.
Single point of failure
(Chart from a Fitch report. Background here, here — and here.)
(Settlement) failure is an option
What if the persistent number of settlement fails was deliberately done?
A sort of unconventional financing for the market participants doing the failing, if you will.
It’s not far-fetched. We know that back in 2008 for instance,
The price of distressed Treasuries
More and more folks are arguing (see Bob Janjuah, Caroline Baum, or Joe Weisenthal) that in the event of an imminent United States sovereign default, there’s only one thing to hold:
United States sovereign debt.
Bob’s on bear alert
Nomura’s Bob ‘the bear’ Janjuah returned to his keyboard last week.
Not much has changed since then. He still thinks Greece, Portugal and Ireland are insolvent nations, the developed world isn’t really recovering economically (hello,
Risk on… wait, never mind
Remember when risk assets bounced on Bernanke’s testimony suggesting that QE3 was now under more serious consideration within the FOMC?
That was at 10am EST on Wednesday, but then the rally lost its legs.
US Treasury: NOBODY MENTION CHINA
The Department of the Treasury
MEMORANDUM
To: Staff (All)
Re: C***A
Reuters has painstakingly followed up on a rule change made in 2009 to how bidders in US debt auctions are classified,
$8,000bn speaks reserve currencies
The dollar is down, the euro is out, and SDRs are in. Results from UBS’s reserve management survey, canvassing institutions with a collective $8,000bn of assets:
