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Australian 90-day bill IR’s are looking bit mispriced to me. Z8-M9 inverted from 10+ in H1 to -3 negative, so M9 can be shorted for positive roll-down. I suppose there was an element of –IBOR/OIS widening, but with Z8-M9 inverted it’s hard to argue that any hiking is still priced in. Data has...

Q2: +4.16% with good SR. Got lucky to be positioned right for BTP sell-off. U8 -> Z8: +3 RX @ -2.49 -3 G @ -0.9 +7 UXY (+2, +5) @ -0.265625 -2 UB @ 0.28125

flipped -1 6EU8 to +2 @ 1.1906. It seems that market pushed eur down on italian mess and didn't pay enough attention to praet's speech last week.

-2 XT M8 -> U8 M8: 97.1925 U8: 97.18

rolls M8 -> U8: +4 RX @ -0.1 -1 IK @ -1.9 -1 6E @ 0.0083 -2 6E @ 0.0083 +1 NOK @ 0.00045 +1 6A @ 0.00045 -1 6N @ 0.00005 Political climate in NZ looks worrisome to me. Governor Orr's comments this week that answer to housing supply problems is relaxation of Kiwibuild LVR measures are...

roll M8->U8: -3 R @ -0.97 5 UXY @ -0.78125 -2 UXY @ -0.78125 -2 WN @ -0.7109375

+8 ED H9 @ 97.38

type in post above: ED H9, not M9 +1 IK M8 @ 124.30 -1 bund m8 @ 162.49 (closed pos)

- 1 UXy M8 @ 129.50 (closed) - 10 ED M9 @ 97.47 - there is just too little priced beyond june now. The drop in IK-BTS from 205 to 80 bps over 2 days is spectacular. It's touched zero in the fourth week of November 2011 - and then recovered, but other assets also looked a lot worrisome back...

been busy with other stuff lately but short btp has been good!

+15 IR Z8 @ 97.99 -15 IR Z9 @ 97.69 / yuck, it's 30 bps, earlier saw it 22 bps ..because looked at Z8-U8. -2 6N @ 0.7259 +2 6C @ 0.7821 / cad looked 3-5% too cheap due to nafta uncertainty, moved a lil bit yesterday on rumours that trump is forcing a nafta deal, but expect more.

Another poor quarter with -0.65% qoq, -0.2 SR (and still undershooting vol target by half). The detractors have been flattening of the US curve and Australian 10 year yields falling relative to US. The catalysts for latter seem weak CPI in late January, wage data in Feb, unexplained in...

H8 -> M8 -1 6E @ 0.00855 -2 6E @ 0.00855 +1 NOK @ 0.00046

+1 6A M8 @ 0.7782 -1 6N M8 @ 0.723

I think there’s a chance that markets have underreacted to economic data since the last Bank of Canada meeting in January. Data was poor - PMI inch down, core failing to take off, exports poor, retail sales down, housing starts okay, unemployment okay. BA U8 up +11 from 97.86 to 97.97 and BA U9...

roll time H8 -> M8: -2 XT: 97.215, 97.165 +2 UXY @ -0.4609375 +1 UXY @ -0.4609375 +5 UXY @ -0.4609375 -2 WN @ -0.84375 -3 G @ 1.01 +3 RX @ -2.66 +1 RX @ -2.66 -1 IK @ -1.73

+15 ED Z8, -15 ED Z9 @ 0.355

Another follow up on lira. Effective bank funding rate is up to 12.75% from around 12% in November. 2y bond is down around 110 bps to 12.6%. 2s5 stayed at roughly -60 bps. The markets are again flirting with idea of a few rate cuts in 2019. The answer to the question posed in November in this...

It’s been a while since I visited the Fed’s balance sheet. It was more than 150b of extra treasury purchases ago when there was no info how the reinvestments would be phased out. For some reason I didn’t see this discussed in the media, but my understanding is that this year we are actually...

ED Z8-Z9 is looking too low now at 33.5. Current FF is around 141 bps + 20 bps 3mo LIBOR-FF gives us 161 bps 3mo LIBOR ex March hike pricing. Z8 is 248 bps. 248 – 161 = 87. Diff between 2018 and 2019 hikes and the ratio is too high. If the Fed has to tighten at pace of 3.5 hikes this year, then...