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189 Posts Total by "macrosam":
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macrosam
(United States)
5 Posts by Anonymous "macrosam":
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macrosam
United States
Posts: 190
14 years ago
Apr 9, 2010 13:13
In Thread: EUR
Greece trying to cause a short squeeze on their bonds. Any trades executed through HDAT (electronic platform controlled by Bank of Greece) that is unable to deliver (i.e. seller cannot deliver cash bond sold) then must go to a reop auction where they are forced to borrow the bonds (at likely punishing rates) to deliver.
macrosam
United States
Posts: 190
14 years ago
Apr 9, 2010 0:54
In Thread: EUR
Ashraf, you touched on this in today's IMT but to further expound, how unusual do you find it that the yield spreads on the other euro zone peripherals such as Spain, Italy, Portugal and so on (Ireland appears to actually implement their austerity measures well so I exclude them) have not blown on nearly to the extent that Greece's has? Is one way to interpret this as the bond market not seeing the contagion spreading beyond Greece, i.e. betting on a market accpetable (delay and pray) resolution? I saw Greece's yield curve go inverted today and was then astounded to observe the spreads to the Bund on the other peripherals.

What outcomes would be beneficial to the euro in terms of near-term appreciation? Aside from an ECB rate hike, which is unlikely, would a withdrawal of Greece from the monetary union actually boost the value of the euro? Would any IMF, EU, or combination of the two funded solution create anything other than a short-term short covering rally?

Thank you
macrosam
United States
Posts: 190
14 years ago
Apr 8, 2010 14:28
In Thread: EUR
disregard that last post please
macrosam
United States
Posts: 190
14 years ago
Apr 8, 2010 14:27
In Thread: EUR
No longer inverted after Trichet's comments likely caused a bit of short covering, 2yr now trading at 7.23
macrosam
United States
Posts: 190
14 years ago
Apr 8, 2010 14:12
In Thread: EUR
Greek has an inverted yield curve this morning!

1Y 7.24
2Y 7.21
3Y 7.66
4Y 7.64
5Y 7.29
6Y 7.33
7Y 7.38
8Y 7.30
9Y 7.39
10Y 7.35
15Y 7.22
macrosam
United States
Posts: 190
14 years ago
Apr 7, 2010 20:51
In Thread: USD
Equities down, treasuries up, oil down, gold and silver up, copper down, dollar up. This has the making of a flight-to-quality, no?
macrosam
United States
Posts: 190
14 years ago
Apr 7, 2010 20:08
In Thread: USD
By Steve Matthews
April 7 (Bloomberg) -- Federal Reserve Bank of Kansas City
President Thomas Hoenig said the central bank should consider
starting to raise its key interest rate sometime soon to
about 1 percent to prevent asset bubbles from emerging.
I would view a move to 1 percent as simply a continuation
of our strategy to remove measures that were originally
implemented in response to the intensification of the financial
crisis that erupted in the fall of 2008 he said today in the
text of a speech in Sante Fe, New Mexico.
macrosam
United States
Posts: 190
14 years ago
Apr 7, 2010 19:41
In Thread: Commodity FX (CAD AUD NZD NOK)
10yr treasury auction (actually a re-opening) went very well. The auction priced 3+ bps through the 1PM bid, high bid to cover ratio (maybe highest ever) and treasuries continue to rally post auction.
macrosam
United States
Posts: 190
14 years ago
Apr 7, 2010 14:26
In Thread: GBP
Hung parliament possibility will keep a lid on GBP long enough for credit-rating downgrade concerns to resurface taking GBP down to 1.45 or below. Expect it to stay fairly range-bound between mid 1.53s and double bottom until then.
macrosam
United States
Posts: 190
14 years ago
Apr 7, 2010 13:02
In Thread: USD
I wouldn't use the term backwardation towards interest rate futures as ultimately the futures reference the (forward) yield curve. But in your example, let's say I compare the June 10yr futures trading at 115-13 today to the September 10yr futures trading at 113-31. Why is there a decrease in price? One main reason is that the Sep 10yr future is referencing the 3% of 2/17 US Treasury as the cheapest to deliver (this is trading at 97-21) while the Sep 10yr future is referencing the 4.75% of 8/17 as its cheapest to deliver (this is trading around a price of 108-17). The cheapest-to-deliver treasury in Sept is more expensive than it is in June.
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