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Market could be cheapening things ahead of next week’s $33 billion in supply which may require dealers to hold some inventory. The Treasury calendar gets really interesting from mid-Jan. through the Feb. auction of 30s, with $150 bil in supply all across the curve. Do the Asian CBs keep...

I agree that it is impossible to say when the liquidity issues will surface. But if you look at a market like EM debt where leveraged funds account for maybe only 20% of the open interest but over 50% of the daily trading – it seems like there is no way real money investors would accept less...

It just seems like the ridiculously low vols in treasuries have been correlated with the perpetually tight spreads. The assumption is that if spreads widen, it will be in a nice orderly fashion and no one will get hurt too badly. But it's like hedging a short otm put – as long as the delta...

Am I missing something or has there been a significant impact on the treasury market from the demand for collateral to support structured credit products. As massive amounts of money go into virtual credit instruments, there is a need for risk-free collateral that you would not have if...

Does anyone know why the market makers on the CME are not showing bid/offers on the Rand contract for the last few days? There was volume yesterday, but was it all EFP? The market makers still seem to be active for some of the other low volume pairs (e.g. NOK, SEK).

I wonder if the long-end under-performance is related to the dollar? Very interesting that the worst performing Asian stock market last week was HK (currency pegged to USD) while the best performing was Japan. Since global inflation is on the rise, the dollar should be weak given our deficits...

Hey mcurto... Seems like some rather determined sellers on the long end today are really steeping the curve. You can clearly see it in deferred EDs (red vs green). Also, the 2-10 swap spread has recently been slightly negative (which is rare!). So is the market saying the long-end has run to...

So tomorrow we get one of the most meaningless economic statistics (in terms of FOMC deliberations) - employment. Why? The BLS makes the case that unless the number is really large, it lies WELL within the margin of error. From the BLS report – Statistics based on the household and...

It sounds like they have already started reducing their mortgage portfolio (thus not having to worry about convexity hedging). They said they will look to expand their loan portfolio (syndicated/lev loans). Maybe do more in sub-prime. They did say that they are NOT expecting rates to come down...

Is this story in today’s Financial Times a sign of things to come? CME grapples with possible metals conflict The Chicago Mercantile Exchange could close the metals trading business it will inherit from the $8bn deal with the Chicago Board of Trade to preserve its new commodities with...

[Note: This post is out of sequence] I think that the reason why open interest has exploded in the treasury complex is the outflows of money out of traditional FI and into alternative FI strategies. I am sure that if you look at the numbers from pension funds(look in recent issues of P&I mag)...

It seemed like the rally (post-FOMC) was more short-covering than real money accounts extending durations. I am curious to know if implied vols moved up as funds got caught short too many deltas. The volume early on Friday was massive in cash bonds and 3mo libor, which seemed to imply the...

Steve, Is it possible to see the true NBBO for a stock on IB without subscribing to ARCA?

It did not seem to get much follow through because most of the revision was due to financial services wages. All of the Wall St. bankers/traders and hedgies cashing their 7-8 figure bonus checks. Not really a big surprise given that the Manhattan property market is still very robust at the...

Interesting article in Tues. WSJ credit column said the GSEs have recently been getting lots of requests from funds to sell callable debt as the prospect of a Fed pause increases. People are getting more comfortable with these levels holding for a while. mcurto – Are you seeing any activity...

If it was Vega, remember they also made headlines last year with some high profile trades that went bad. I think they saw a few billion dollars evaporate from their funds in a combination of redemptions and bad bets. I guess when you are playing with other peoples money you can afford to take a...

I am somewhat more bearish on the long end of the curve going forward. Look at the 20yr tip auction this week which had a 2.5% coupon. Thus, with long bond rates at 5%, the market has built in 2-3% inflation (the real thing, not core) going forward - this seems very optimistic! Inflation could...

Remember that credit spreads have not widened out very much. If the US were about to see a significant slow-down (but, according to Ben, not a recession) wouldn't credit conditions be worsening? Credit is ridiculously easy to get and the LBO funds are going berserk! Portfolio managers can either...

hey mcurto... It looks like the sizes shown on the screen in 5yr treasuries (over the last few days) seems larger than normal. Is this because of the new priority algorithm being used? http://www.cbot.com/cbot/pub/cont_detail/0,3206,1123+39391,00.html

Hey mcurto… Are you seeing many traders putting on steepeners? I would think they are now somewhat reluctant given the richness of 2s compared to Fed funds. But if 2s get in the 4.25-.50 range in the next month, and the treasury issuance calendar in late July early Aug. seems bearish for...