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Just ride the wave...sec charge is silly...15mm?? honestly? Tide going out soon.

My holding period is little longer...due to my mobility (trade these in partnership), and my personal comfort with a short time frame in notes/bonds. I've been short (10s) since thanksgiving with no timeouts. 4.1-4.2 on 10s is where I step out probably, as I am not willing to gamble that QE2...

7Y,10Y spreads back in positive territory, the latter hanging on by 1 bp hah! Just a question for those who follow this thread. How many are actually short treasuries? Anyone long? Have a good weekend all!

hope this document attaches nicely. ok it worked when I tried opening it. Anyway this is commentary from a few sources over past 3 days.

Hope nobody got run over the train yesterday and today ^_^ btw 7,10Y swap spreads negative...so much for the maginot! :p Couldn't find the 30Yspread article at work, actually nothing pre-May09..but got some stuff on 10Y spreads...emailed myself to collect and share.

ty Hoenig $_$

Martinghoul - Yes you can get long duration with bonds. But this whole conversation was motivated by how to go about geting long duration without cash. So outright cash purchases are out the door. Then you brought up repos as a means to get long dated duration. You can't. Then you said I...

Sorry, didn't see this post before writing my last one. I'd still have to differ though saying they are identical to swaps. Swaps let you target any portion of the curve you want. Wanna get the 20y-30y point..do a 20yforward starting 10y swap etc. Repo's are short term, and therefore only...

I don't think I am wrong. The nominal maturity of the bond has nothing to do with the dv01. Notice all the graphs in the text books are always 'time to aturity' and not 'nominal maturity'? If an overnight repo is on a 10y or a 30y it doesnt have similar dv01 to actually buying a 10y or 30y...

weighted avg maturity of the cashflows. repos are short term...doesnt matter if you repo a 30 year bond...

If you are using repo's for bonds the Duration added will be limited by the term of the repo. Swaps offer long duration for 0 cash.

no, that is the answer to the joke from page 2 of this thread.

the location of the dirtbag

What's the difference between a Harley and a Hoover?

Unclear what you meant the alternative was - using the repo market or buying bonds.

Ok gimme a week or so. I'll try to answer your questions in order 1.Market makers do have a balanced book, or close to one at the end of each day. Institutions like the one I work for love using rec fixed swaps to manage duration. What does ISDA netting have to do with your question or...

No there is not, there would be a lot of confidence restored knowing that you aren't dealing with insolvent P.O.S. companies that are on life support. Lehman? please, their trading CP went elsewhere, and whatever scraps of trading desks could be salvaged, barclays bought. Bankruptcy restores...

I like your post except for one thing. You mention algos. Then in the very next sentence you mention there are no rules for making money.

IMO they should have stayed the #$% out of it, and when these firms started losing their shirt to just watch and wave as they sank. This whole too-big-to fail nonsense is what 'they' blankfein, mack, dimon, pandit etc... what you to think They are not the only investment banks! I guarentee...

I'd rather not say. We were one of the 19 that got stress tested as a hint though. Dunno commodities, my job is mostly in the rates world, though we do a lot of credit, FX, and equity as well. My advisor in university had another student who went to work at Constellation, he's not a trader...