FT Alphaville » US Treasuries http://ftalphaville.ft.com FT Alphaville - Market Commentary - FT.com Fri, 24 May 2013 21:30:09 +0000 en hourly 1 http://wordpress.org/?v=3.3.2 The US collateral shortage lives on http://ftalphaville.ft.com/2013/05/17/1506362/the-us-collateral-shortage-lives-on/ http://ftalphaville.ft.com/2013/05/17/1506362/the-us-collateral-shortage-lives-on/#comments Fri, 17 May 2013 12:01:30 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1506362 Scott E.D. Skyrm, repo specialist and author of an upcoming book on MF Global, presented an interesting repo chart on his blog this week:

As the chart shows, so-called GC repo rates are once again trading below the Fed Funds rate.

Continue reading: The US collateral shortage lives on]]> http://ftalphaville.ft.com/2013/05/17/1506362/the-us-collateral-shortage-lives-on/feed/ 0 A digital solution for the repo squeeze? http://ftalphaville.ft.com/2013/04/15/1459822/a-digital-solution-for-the-repo-squeeze/ http://ftalphaville.ft.com/2013/04/15/1459822/a-digital-solution-for-the-repo-squeeze/#comments Mon, 15 Apr 2013 09:03:31 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1459822 In March we noted that the Federal Reserve had issued a request for information on who is holding large positions in the 2023 US Treasury note, following reports that the issue was experiencing repo difficulties. Not only was the issue trading in negative territory in the repo markets, there were reports of significant fails.

As ever with repo markets, information was scarce. Given the risk-on sentiment at the time, this seemed strange.

Continue reading: A digital solution for the repo squeeze?]]> http://ftalphaville.ft.com/2013/04/15/1459822/a-digital-solution-for-the-repo-squeeze/feed/ 0 A 2023 US T-note squeeze? http://ftalphaville.ft.com/2013/03/15/1425122/a-2023-us-t-note-squeeze/ http://ftalphaville.ft.com/2013/03/15/1425122/a-2023-us-t-note-squeeze/#comments Fri, 15 Mar 2013 15:42:21 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1425122 A hat tip to John Kemp at Reuters for drawing our attention to this from the US Treasury on Friday:

WASHINGTON – The Treasury is calling for Large Position Reports from those entities whose reportable positions in the 0-3/4% Treasury Notes of September 2013 equaled or exceeded $2 billion as of close of business Wednesday, December 8, 2010. This call for Large Position Reports is a test. Entities with reportable positions in this note equal to or exceeding the $2 billion threshold must report these positions to the Federal Reserve Bank of New York.

Continue reading: A 2023 US T-note squeeze?]]> http://ftalphaville.ft.com/2013/03/15/1425122/a-2023-us-t-note-squeeze/feed/ 0 Are rates mispriced or are investors missing something? http://ftalphaville.ft.com/2013/02/22/1396292/are-rates-mispriced-or-are-investors-missing-something/ http://ftalphaville.ft.com/2013/02/22/1396292/are-rates-mispriced-or-are-investors-missing-something/#comments Fri, 22 Feb 2013 11:39:59 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1396292 The disconnect we've noticed between commodity fundamentals and forward rates appears to be popping up in other asset classes as well.

Priya Misra, rates strategist at Bank of America Merrill Lynch, makes a very interesting point on Friday about what she sees in her sector.

Continue reading: Are rates mispriced or are investors missing something?]]> http://ftalphaville.ft.com/2013/02/22/1396292/are-rates-mispriced-or-are-investors-missing-something/feed/ 0 Doubting the bull market in Treasuries is over… http://ftalphaville.ft.com/2013/01/29/1359282/doubting-the-bull-market-in-treasuries-is-over/ http://ftalphaville.ft.com/2013/01/29/1359282/doubting-the-bull-market-in-treasuries-is-over/#comments Tue, 29 Jan 2013 13:36:11 +0000 David Keohane http://ftalphaville.ft.com/?p=1359282 US Treasuries are kicking up with the 10 year threatening to push through 2 per cent for the first time in quite a while. It’s a little bit of economic optimism — better data means more chances of Fed tightening.

Capital Economics did the needful and put voice to the idea that the bull rally in Treasuries might have further to run for all sorts of not very contrarian reasons (our emphasis):

Continue reading: Doubting the bull market in Treasuries is over…]]> http://ftalphaville.ft.com/2013/01/29/1359282/doubting-the-bull-market-in-treasuries-is-over/feed/ 0 The return of negative US repo rates http://ftalphaville.ft.com/2013/01/29/1358332/the-return-of-negative-us-repo-rates/ http://ftalphaville.ft.com/2013/01/29/1358332/the-return-of-negative-us-repo-rates/#comments Tue, 29 Jan 2013 08:41:25 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1358332 Take note. This is an important observation from TD Securities, especially in light of all the talk that US Treasury/safe haven trades are dead in the water.

Our emphasis:

Continue reading: The return of negative US repo rates]]> http://ftalphaville.ft.com/2013/01/29/1358332/the-return-of-negative-us-repo-rates/feed/ 0 First time in a while: 10 year Treasuries pierce 2 per cent http://ftalphaville.ft.com/2013/01/28/1357662/first-time-in-a-while-10-year-treasuries-pierce-2-per-cent/ http://ftalphaville.ft.com/2013/01/28/1357662/first-time-in-a-while-10-year-treasuries-pierce-2-per-cent/#comments Mon, 28 Jan 2013 16:23:15 +0000 Paul Murphy http://ftalphaville.ft.com/?p=1357662 In case you missed the moment earlier on Monday, here’s the yield on US 10 year paper breaking through 2 per cent – albeit momentarily. At pixel the reading stood at 1.99…

Continue reading: First time in a while: 10 year Treasuries pierce 2 per cent]]> http://ftalphaville.ft.com/2013/01/28/1357662/first-time-in-a-while-10-year-treasuries-pierce-2-per-cent/feed/ 0 What’s bugging gold? http://ftalphaville.ft.com/2012/12/20/1315162/whats-bugging-gold/ http://ftalphaville.ft.com/2012/12/20/1315162/whats-bugging-gold/#comments Thu, 20 Dec 2012 09:44:12 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1315162 We made the case a few weeks ago that the gold price may have reached its choke level and that it was arguably capped from that point on. One good indicator of this, we noted, was the divergence between the gold price — which had been flat-lining for some time — and real interest rates.

It’s also hard to ignore gold’s reaction to the latest Fed announcement, which has been intriguingly bearish to say the least

Continue reading: What’s bugging gold?]]> http://ftalphaville.ft.com/2012/12/20/1315162/whats-bugging-gold/feed/ 0 “China not a currency manipulator, everyone back to work” http://ftalphaville.ft.com/2012/11/27/1285043/china-not-a-currency-manipulator-everyone-back-to-work/ http://ftalphaville.ft.com/2012/11/27/1285043/china-not-a-currency-manipulator-everyone-back-to-work/#comments Tue, 27 Nov 2012 21:28:57 +0000 Cardiff Garcia http://ftalphaville.ft.com/?p=1285043 Or if you prefer the US Treasury Department-ese version:

Based on the analysis in this report, Treasury has concluded that no major trading partner of the United States met the standards identified in Section 3004 of the Act during the period covered in the Report.

Continue reading: “China not a currency manipulator, everyone back to work”]]> http://ftalphaville.ft.com/2012/11/27/1285043/china-not-a-currency-manipulator-everyone-back-to-work/feed/ 0 A reason to be bullish short-term USTs http://ftalphaville.ft.com/2012/11/23/1278403/a-reason-to-be-bullish-short-term-usts/ http://ftalphaville.ft.com/2012/11/23/1278403/a-reason-to-be-bullish-short-term-usts/#comments Fri, 23 Nov 2012 15:10:51 +0000 Izabella Kaminska http://ftalphaville.ft.com/?p=1278403 What we love about Bank of America Merrill Lynch’s ‘Liquid Insight’ team is that when they make calls on Treasuries and rates, they account for the impact of collateral markets and the repo effect — not to mention the general shortage of safe assets.

Take the following chart from their latest note:

Continue reading: A reason to be bullish short-term USTs]]> http://ftalphaville.ft.com/2012/11/23/1278403/a-reason-to-be-bullish-short-term-usts/feed/ 0