tag:blogger.com,1999:blog-34323687.post7353119663999264826..comments2024-03-29T03:19:56.674+00:00Comments on Macro Man: A few thoughts on bondsMacro Manhttp://www.blogger.com/profile/12324967552369915949noreply@blogger.comBlogger14125tag:blogger.com,1999:blog-34323687.post-11612929637457944642014-05-08T16:16:21.938+01:002014-05-08T16:16:21.938+01:00No worries - I'm in a similar position. Still,...No worries - I'm in a similar position. Still, you might have been pleasantly surprised by being wrong in this instance!Anonymoushttps://www.blogger.com/profile/08460804131597801816noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-63061962200371907882014-05-08T15:36:36.727+01:002014-05-08T15:36:36.727+01:00Doh! Good catch. It looks like I mistakenly c...Doh! Good catch. It looks like I mistakenly compared the forward swap curve with the spot Treasury curve, not the spot swap curve. The point stands, therefore, just in a substantially weakened form....the flattener has generally been profitable, just not quite as profitable as you might think. That's what you get when you don't have an editor....Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-67331959660123501162014-05-08T15:07:14.924+01:002014-05-08T15:07:14.924+01:00Not be the bearer of bad news, but is the chart sh...Not be the bearer of bad news, but is the chart showing 5s30s swaps 3m forward correct? I graphed it and it looks totally different, and has the forward curve about 12bps lower at the Nov highs, not the 30bps you mention. Is yours right? 10 bps a month neg carry for a curve trade sounds a lotAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-14803966673887557032014-05-08T15:06:33.512+01:002014-05-08T15:06:33.512+01:00Not be the bearer of bad news, but is the chart sh...Not be the bearer of bad news, but is the chart showing 5s30s swaps 3m forward correct? I graphed it and it looks totally different, and has the forward curve about 12bps lower at the Nov highs, not the 30bps you mention. Is yours right? 10 bps a month neg carry for a curve trade sounds a lotAnonymoushttps://www.blogger.com/profile/08460804131597801816noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-6067173084344415482014-05-07T10:23:18.854+01:002014-05-07T10:23:18.854+01:00With Italian/Spanish yields making new lows amidst...<br />With Italian/Spanish yields making new lows amidst the liquidity slosh, my question will be for the real money guys (who are under-invested/short duration); at what level would they cut and start chasing ?<br />Can't be too far away right?<br /><br />Not to mention the summer period + Brazil world cup spanning through May - July, death by a thousand cuts* on the -ve carry<br /><br />PS: noted the small amendment on your 2nd screenshot =) <br />Hedgesarefordogstopissonnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-21874868330954860962014-05-07T03:47:53.709+01:002014-05-07T03:47:53.709+01:00Mr macro man. While you are studiously commenting ...Mr macro man. While you are studiously commenting on the markets, might I suggest a topic soon to be on the tips of he financial press, the Feds reverse repo operations. In a recent bberg interview Einhorn had with the beard it seems The Fed believes they have the tool box needed to control excess reserves should a time come when banks actually decide to use them. <br /><br />But as grants writes this week the Feds rrp program is an open invitation on bank runs as financial institutions will by pass the inter bank market in times of stress and seek to repo directly with the fed who is full of assets. Though apparently the fed is aware of such risks. <br /><br />Any thoughts. Is the repo market operations going to be a game changer. abee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-27764557029382463842014-05-06T19:03:05.862+01:002014-05-06T19:03:05.862+01:00my new role sees me in the EU peddling UK services...my new role sees me in the EU peddling UK services and today had front end of a "Eur/gbp moves not helping us" comment in a meeting re proposed and revised budgets. small fry stuff and of course fx hedging strategies were suggested by yours truly to surprise if the creatives the other side of the table.. suddenly the theoretical becomes very real. Polemichttps://www.blogger.com/profile/05985506596290073453noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-52683532958986627522014-05-06T17:14:13.860+01:002014-05-06T17:14:13.860+01:00Euro going for 1.40 as well, AUD near highs, JPY l...Euro going for 1.40 as well, AUD near highs, JPY looking to break out of recent range and CNY strength. Even RUB is joining the party. Only CAD cant buy a bid (everyones fav cross short)<br /><br />LB, I guess you and I arent the only ones going on a European vacation ;)<br /><br />MM, cheers on the flatenner real world explination. Spreads are always easy on charts, hard to executeabee crombiehttps://www.blogger.com/profile/13320039155613443039noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-46847322493149294602014-05-06T15:45:43.525+01:002014-05-06T15:45:43.525+01:00C says
LB,
have you not heard ,the Uk is booooooom...C says<br />LB,<br />have you not heard ,the Uk is boooooooming and Betty will be banging buck 2 :1 before you know it. Betty so deserves to be wearing Jimmy Choo's !<br />Unfortunately, when Mr exports global sales staggering on FX translation meets Mrs electioneering policy job done and votes bought, then Betty and pavement will be an unhappy collision.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-12589685957076533912014-05-06T14:38:09.025+01:002014-05-06T14:38:09.025+01:00On an unrelated topic, Betty is currently totterin...On an unrelated topic, Betty is currently tottering around on 8 inch heels, and knocking on the door of 1,70. Time for a tumble? Or is this just the usual rule of LB visiting UK in a few weeks, so £ soaring?Leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-32868656436812853832014-05-06T14:13:13.413+01:002014-05-06T14:13:13.413+01:00Quality stuff. Almost as though MM could read LB&#...Quality stuff. Almost as though MM could read LB's mind. LB has been long the long bond all year, with a few efforts to hedge, which have generally been what MM would call "execrable attempts at short-term trading". Other than the weeks where I tried thinking, it's worked really well, in other words. Even better have been last year's bombed out rate-sensitive yield vehicles, REITs, preferreds and so on.Leftbacknoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-3801554289047798152014-05-06T13:43:34.734+01:002014-05-06T13:43:34.734+01:00Yeah, that would be one reason. Another would be ...Yeah, that would be one reason. Another would be to avoid the mandatory SEF clearing that comes with doing 'benchmark' swaps.<br /><br />Really though, I used the 3m fwd example as it is the easiest way to show the negative carry graphically without a system better than the Bloomberg courtesy login.Macro Manhttps://www.blogger.com/profile/12324967552369915949noreply@blogger.comtag:blogger.com,1999:blog-34323687.post-23618545015481510502014-05-06T13:40:51.104+01:002014-05-06T13:40:51.104+01:00Silly question ... Why would one do that 5-30 flat...Silly question ... Why would one do that 5-30 flattener using forward swaps? Is it to avoid paying/receiving intermediate coupons? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-34323687.post-44299677449380616362014-05-06T12:15:21.312+01:002014-05-06T12:15:21.312+01:00Completely unrelated... The new font colour is muc...Completely unrelated... The new font colour is much better. Thanks !Anonymousnoreply@blogger.com