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One of my (former) colleagues made out like a bandit doing this throughout 2005, 2006 and the first half of 2007. Needless to say, fall of 2007 was not a particularly happy time for him. Luckily for everyone concerned he was on gardening leave for all of 2008 and first half of 2009.

How 'bout these? http://www.etfconnect.com/select/fundpages/fixed_etf.asp?MFID=174814 http://www.etfconnect.com/select/fundpages/gen.asp?MFID=144751 http://www.etfconnect.com/select/fundpages/gen.asp?MFID=3847

There are no EUR T-bills. The benchmark bills in the EuroZone are the French BTFs.

The days of easy and painless selling of risk premium (whichever way you look at it, options just being a specific example) are over. Some of the whole throng of peeps that were picking up pennies in front of the bulldozer got crushed. Now nobody is willing to lend you money to run these...

What maturity treasuries? Nominal treasuries: positive carry, bad in inflationary environments Gold: negative carry, good in inflationary environments Pick yer poison...

The winding down of the program doesn't have an impact on the size of the Fed's balance sheet, just its composition. In my view, it's an early signal, because it shifts the Fed's liabilities to excess bank reserves. These can be drained more easily through the upcoming tri-party reverse repos...

This winding down of the Treasury's SFP bills program reduces the debt, no? Also paves the way for a reduction in the Fed's balance sheet, i.e. it's suggest an imminent exit from the various liquidity programs. The formation of the special tri-party repo task force is a signal along similar...

The ONS is your friend... http://www.statistics.gov.uk/pdfdir/lmsuk0909.pdf

This 'un was a bit of a damp squib, neither here nor there, IMHO.

Yes, but, on balance, no matter how you slice it, dealers are liquidity providers. Their customers are liquidity takers. Enter another, competing liquidity provider. Ergo, dealers not super happy.

'Cause if you're a primary dealer in EUR guvvies (such as BTPs), you're in direct competition with BTP futures on Eurex. Investors can choose to express their views and access liquidity through futures, instead of bonds, which means that you'll lose some rather lucrative biz.

It's the basis that's been trading mostly, as far as I have heard. Liquidity ain't bad, for day one. Real money want this one quite badly, whereas dealers would love to see it crash 'n burn. It would be interesting to see who prevails.

Very interesting stuff, Mr Swan... It's a curious background you got yourself there. I happen to agree with your two scenarios for the future, but that's a discussion for another day. As I am off on vacation today and I don't know whether this thread will be alive when I get back, I wish...

Yes, the infamous PRDC (power reverse dual currency) notes linked to the level of USDJPY. There were some other factors, such as the pension fund woes, but PRDCs were by far the biggest culprit.

Unemployment in parts of Europe is higher, but it's offset by more robust social safety nets (healthcare, etc). The culture (or, should I say, cult) of property ownership is not as developed as in the US, so living your entire life in a rental flat is perfectly OK. Look on the bright side...

Hmmmm, let's see... Who discovered DNA and invented Viagra? Or is that UK doesn't count? Are you going to include Eastern Europeans also?

It's not just the US, either. Most of the European sovereigns are affected similarly, although not quite to the same extent.

OKI-DOKI... 1) I see what you mean. Personally, I always prefer to do the analysis using the correct setup (i.e. ratios, etc). When and if the analysis leads to an actual trade, I note if/how the way I express the view differs the from what's suggested by the analysis. Whatever additional...

As I said before, I don't get involved in politics, so this is not a partisan comment. I thought this article (link courtesy of the Big Picture blog) was an excellent characterization of the situation: http://www.washingtonpost.com/wp-dyn/content/article/2009/08/21/AR2009082101778_pf.html...

Naveen, firstly, to avoid ambiguity with abbreviations, let's use NTR for on-the-runs and FTR for off-the runs. I think what you're doing sorta makes sense, but you should really be careful... Taking your 2s5s example. As you point out yourself, you should plot the 2s5s NTR yield spread...