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Bond rally nearing an end?
- Thread starter gharghur2
- Start date
L
Lance Carson
SNIFFING OF STOP LOSSES AGAIN:
"Last month, the Treasury Department told bond dealers it had observed a rise in suspicious trading that it said distorted prices in the markets for Treasury securities over the past two years."
"Last month, the Treasury Department told bond dealers it had observed a rise in suspicious trading that it said distorted prices in the markets for Treasury securities over the past two years."
Treasury has always been suspicious of dealer trading activities, most of it due to 10yr futures open interest that is WAY more than any of the outstanding cheapest-to-deliver issues out there for the past two years (i.e. PIMCO getting squeezed by Citadel in June 2005). This is really not a big deal, the 10yr just gets squeezed into special rates in REPO a little more often. This is the price to pay for increased activity of hedge funds in the Treasury futures market.
L
Lance Carson
Not what the facts I heard from the Bond Pit
Quote from mcurto:
Treasury has always been suspicious of dealer trading activities, most of it due to 10yr futures open interest that is WAY more than any of the outstanding cheapest-to-deliver issues out there for the past two years (i.e. PIMCO getting squeezed by Citadel in June 2005). This is really not a big deal, the 10yr just gets squeezed into special rates in REPO a little more often. This is the price to pay for increased activity of hedge funds in the Treasury futures market.
Had a similar situation with teh BOC telling dealers up here that the activity's been a little iffy... Basically it's a lot easier to do a "Dr. Evil" trade with Canadian notes, they are a lot less liquid especially ever since the fed gov started running surpluses, it's made things more interesting without fresh paper being pumped out on a regular basis...
Quote from mcurto:
That would be pretty interesting with the Canadian notes if someone like PIMCO ever got involved there because of yield differentials. How much daily volume does the benchmark note futures contract trade? I have heard of guys spreading it versus the US 10yr futures quite a bit.
Avg daily volume in Sept was 24,130 cars per day for the ten year, nominal value is 100K... Obviously you're looking at a MUCH smaller market for these things... Definitely could do some damage if a big US player came in like Pimco...
Ya, I've heard that you can easily spread it, both trade electronically, the only thing you really have to worry about is obviously getting the ratio right and hedging your currency exposure...
The trap door opened in the Bond Pit today.
The bulls will be disappearing into the abyss as they unload their longs. Maybe Ben will give them an opportunity to get out before the market forces them out.
The trend is down and da BEARS are back in town.
Dem other bears are 6 - 0 too!
The bulls will be disappearing into the abyss as they unload their longs. Maybe Ben will give them an opportunity to get out before the market forces them out.
The trend is down and da BEARS are back in town.
Dem other bears are 6 - 0 too!
Quote from onlytronalso:
The trap door opened in the Bond Pit today.
The bulls will be disappearing into the abyss as they unload their longs. Maybe Ben will give them an opportunity to get out before the market forces them out.
The trend is down and da BEARS are back in town.
Dem other bears are 6 - 0 too!
Technical level for myself would be the 110 handle for the long bond futs, we break down from that and we could see a faster move lower...
Anyone hear about the Bank of America liquidation of nearly 100 billion in MBS (mortgage-backed securities). I believe this story came out last week and not sure if they are done yet or have even started. Its a fairly bearish play at face value. If they were spread against Treasuries it doesn't make sense, because MBS usually outperforms as rates go higher. Any help on understanding the implications of this on the Treasury market are appreciated.