bund, t-bond t-note ecc SOLO LONG FOR EVER
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Fleursdumal
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gastronomo
Forumer storico
Ciao Avv. a lunedi
gastronomo
Forumer storico
US Treasury mulls special lending facility
Fri Jul 22, 2005 12:02 PM ET
WASHINGTON, July 22 (Reuters) - The U.S. Treasury Department said on Friday it is considering a special lending facility to be a lender of last resort when demand for Treasury securities exceeds supply in the debt repurchase market.
Treasury is asking bond dealers for comment on the issue and plans to follow up with a more detailed proposal at its November refunding meeting.
Treasury is taking the action to address an increased incidences of "fails episodes," when demand for Treasuries in the repurchase market has outstripped supply, a Treasury official told reporters at a briefing.
Treasury will announce its quarterly refunding plans on Wednesday and is widely expected to unveil plans to reintroduce the 30-year bond to give the government greater flexibility to borrow across a range of maturities.© Reuters 2005. All Rights Reserved.
Fri Jul 22, 2005 12:02 PM ET
WASHINGTON, July 22 (Reuters) - The U.S. Treasury Department said on Friday it is considering a special lending facility to be a lender of last resort when demand for Treasury securities exceeds supply in the debt repurchase market.
Treasury is asking bond dealers for comment on the issue and plans to follow up with a more detailed proposal at its November refunding meeting.
Treasury is taking the action to address an increased incidences of "fails episodes," when demand for Treasuries in the repurchase market has outstripped supply, a Treasury official told reporters at a briefing.
Treasury will announce its quarterly refunding plans on Wednesday and is widely expected to unveil plans to reintroduce the 30-year bond to give the government greater flexibility to borrow across a range of maturities.© Reuters 2005. All Rights Reserved.
gastronomo
Forumer storico
Interessante
11:53am ET - Market Moves Higher on Attractive-Looking Yields: Treasuries are trading at new session highs across the curve after yields on the long-end pushed to levels not seen since May. The 10-year has gradually seen buyers step in after its yield hit 4.280% overnight. The 10-year has fallen 6 basis points in yield on the session after rising 12bps yesterday. The spread between the 2- and 10-year yields is tilting slightly flatter to 32.2bps. Government bonds across the globe saw buying interest with the 10-year bund and 10-year JGB ticking higher in price, lower in yield. The spread between the 10-year US treasury and 10-year German bund sits at 99.5bps. The market continues to digest the implications of China revaluing its currency (please see 11:05E.T. comment). The debate is whether or not a 2.1% revaluation of the yuan will result in China purchasing more or less US treasuries. China is the second largest foreign holder of US government debt, and in the last 12 months through May, the net foreign security purchases report shows China bought more treasuries than any other country. As of May, the Chinese held a total of $243.5B in treasuries. Obviously, the June and July net foreign security purchases report will garner a significant amount of attention. The yen is holding steady after weakening on the dollar overnight. The dollar regained some ground overnight on the yen as traders believed the biggest daily advance in more than three years yesterday was excessive (Bloomberg.com). The dollar is generating some buying interest versus the euro as it hits strongest level of the session at 1.2082, nearly a 1.0% gain on the session.
11:05am ET - Analysts, Economists, Strategists Differ on Impact of CNY Revaluation:
Morgan Stanley believes the move by China may cut demand for US treasuries as the "foreign-reserve diversification play is likely to predominate." Chief global economist for MWD, Stephen Roach, wrote that the revaluation allows China to begin shifting out of dollar-denominated assets and may serve as a "signal for other Asian central banks" to follow suite. Roach believes Malaysia removing its seven-year peg and adopting a managed float is a "clear example of this trend." (Bloomberg.com)
HSBC believes treasuries may benefit from China's decision to let its currency appreciate. The firm believes treasuries may get a boost because the Chinese government may have to buy more dollars to fend off speculators betting the yuan will extend its gains. China may end up buying more dollars to keep the yuan within a trading band of 0.3% around its new peg of 8.11 to the USD, and invest the money in the treasury market. Steve Major, head of fixed income strategy at HSBC, believes "If the yuan strengthens on expectations of further revaluations this will result in renewed intervention"...The change in currency policy "could, at the margin, contribute to lower bond yields." (Bloomberg.com)
Barclays Capital FI strategist in London said in a Bloomberg interview, "The Chinese had pegged their currency for over a decade leaving room for some appreciation, which means you can have a smaller trade deficit and moderate inflationary pressures in the US. There is potential for the Chinese not to buy so many treasuries." In addition, firm believes that the move to some sort of basket will mean the Chinese have to buy more euro reserves, which is potentially good for European bond markets. In a report to clients, two separate FI strategists at Barclays are recommending buying TIPS as the yuan move may put pressure on US prices. Firm says, "The move is likely to raise import prices over the coming years and has the potential to stimulate the US economy through stronger growth." Firm looks for "inflation premiums to move higher."
James McCormick, head of currency strategy at Lehman Brothers, believes that the worst case scenario is that the Chinese move to 8.11 and that's all that happens. McCormick says, "Without a doubt the yen will be part of the basket of currencies and that means you'll have more long term demand for Japanese bonds than in the past and the long term effect for the yen is pretty positive." In addition, McCormick forecasts the yuan moving to 7.90 by the end of the year and another 3-5% appreciation next year. (Bloomberg.com)
PIMCO's McCulley in a Bloomberg TV interview saying that yesterday was a "very, very big day." McCulley believes it's "hugely important" and China's actions "fits like a hand in glove for what Mr. Greenspan wants." PIMCO's Louanges believes the main impact of China's revaluation is the "continuation of the underperformance of the US bond market comparted to the Euro-land bond market...Yesterday's step is a signal towards less dollar purchases, less treasury purchases from the central bank" Louanges believes the yield gap between the 10-year treasury and 10-year German bund will widen to above 100 basis points this month and "much more the rest of the year." (Bloomberg.com)
Jim O'Neill, chief economist at Goldman Sachs, believes China's decision yesterday will ease trade tensions with the US. O'Neill believes "it will be the beginning of a number of moves over the next few years." His counterpart at Bear Stearns, David Malpass, agrees trade tensions will be eased, but does not assume China's actions will "translate into an effective 'crawling peg' by which China's currency could begin a long upward march against the dollar." (Bloomberg.com)
Briefing.com note - Hope this helps, there is a lot of research out there on China revaluing and many differing opinions
11:53am ET - Market Moves Higher on Attractive-Looking Yields: Treasuries are trading at new session highs across the curve after yields on the long-end pushed to levels not seen since May. The 10-year has gradually seen buyers step in after its yield hit 4.280% overnight. The 10-year has fallen 6 basis points in yield on the session after rising 12bps yesterday. The spread between the 2- and 10-year yields is tilting slightly flatter to 32.2bps. Government bonds across the globe saw buying interest with the 10-year bund and 10-year JGB ticking higher in price, lower in yield. The spread between the 10-year US treasury and 10-year German bund sits at 99.5bps. The market continues to digest the implications of China revaluing its currency (please see 11:05E.T. comment). The debate is whether or not a 2.1% revaluation of the yuan will result in China purchasing more or less US treasuries. China is the second largest foreign holder of US government debt, and in the last 12 months through May, the net foreign security purchases report shows China bought more treasuries than any other country. As of May, the Chinese held a total of $243.5B in treasuries. Obviously, the June and July net foreign security purchases report will garner a significant amount of attention. The yen is holding steady after weakening on the dollar overnight. The dollar regained some ground overnight on the yen as traders believed the biggest daily advance in more than three years yesterday was excessive (Bloomberg.com). The dollar is generating some buying interest versus the euro as it hits strongest level of the session at 1.2082, nearly a 1.0% gain on the session.
11:05am ET - Analysts, Economists, Strategists Differ on Impact of CNY Revaluation:
Morgan Stanley believes the move by China may cut demand for US treasuries as the "foreign-reserve diversification play is likely to predominate." Chief global economist for MWD, Stephen Roach, wrote that the revaluation allows China to begin shifting out of dollar-denominated assets and may serve as a "signal for other Asian central banks" to follow suite. Roach believes Malaysia removing its seven-year peg and adopting a managed float is a "clear example of this trend." (Bloomberg.com)
HSBC believes treasuries may benefit from China's decision to let its currency appreciate. The firm believes treasuries may get a boost because the Chinese government may have to buy more dollars to fend off speculators betting the yuan will extend its gains. China may end up buying more dollars to keep the yuan within a trading band of 0.3% around its new peg of 8.11 to the USD, and invest the money in the treasury market. Steve Major, head of fixed income strategy at HSBC, believes "If the yuan strengthens on expectations of further revaluations this will result in renewed intervention"...The change in currency policy "could, at the margin, contribute to lower bond yields." (Bloomberg.com)
Barclays Capital FI strategist in London said in a Bloomberg interview, "The Chinese had pegged their currency for over a decade leaving room for some appreciation, which means you can have a smaller trade deficit and moderate inflationary pressures in the US. There is potential for the Chinese not to buy so many treasuries." In addition, firm believes that the move to some sort of basket will mean the Chinese have to buy more euro reserves, which is potentially good for European bond markets. In a report to clients, two separate FI strategists at Barclays are recommending buying TIPS as the yuan move may put pressure on US prices. Firm says, "The move is likely to raise import prices over the coming years and has the potential to stimulate the US economy through stronger growth." Firm looks for "inflation premiums to move higher."
James McCormick, head of currency strategy at Lehman Brothers, believes that the worst case scenario is that the Chinese move to 8.11 and that's all that happens. McCormick says, "Without a doubt the yen will be part of the basket of currencies and that means you'll have more long term demand for Japanese bonds than in the past and the long term effect for the yen is pretty positive." In addition, McCormick forecasts the yuan moving to 7.90 by the end of the year and another 3-5% appreciation next year. (Bloomberg.com)
PIMCO's McCulley in a Bloomberg TV interview saying that yesterday was a "very, very big day." McCulley believes it's "hugely important" and China's actions "fits like a hand in glove for what Mr. Greenspan wants." PIMCO's Louanges believes the main impact of China's revaluation is the "continuation of the underperformance of the US bond market comparted to the Euro-land bond market...Yesterday's step is a signal towards less dollar purchases, less treasury purchases from the central bank" Louanges believes the yield gap between the 10-year treasury and 10-year German bund will widen to above 100 basis points this month and "much more the rest of the year." (Bloomberg.com)
Jim O'Neill, chief economist at Goldman Sachs, believes China's decision yesterday will ease trade tensions with the US. O'Neill believes "it will be the beginning of a number of moves over the next few years." His counterpart at Bear Stearns, David Malpass, agrees trade tensions will be eased, but does not assume China's actions will "translate into an effective 'crawling peg' by which China's currency could begin a long upward march against the dollar." (Bloomberg.com)
Briefing.com note - Hope this helps, there is a lot of research out there on China revaluing and many differing opinions
gastronomo
Forumer storico
Treasuries rebound, yields retreat from 2-mo highs
Fri Jul 22, 2005 03:21 PM ET
CHICAGO, July 22 (Reuters) - U.S. Treasury debt prices bounced on Friday, finding a flight-to-safety bid from events in London related to recent bomb attacks, plus profit-taking by holders of short positions.
The bearish impact of two days of testimony from Federal Reserve Chairman Alan Greenspan, the scrapping of China's yuan peg to the U.S. dollar and hawkishly-construed minutes from the June Fed policy-setting meeting started to fade, leaving dealers to square their books before the weekend.
Support emerged in overnight trading from Asian demand and later from news that British police had shot dead a man suspected of involvement in recent bomb attacks on the London transit system.
Security jitters and a tendency to seek out the safety of the bond market continued amid reports, later disproved, that a U.S. Senate building had been evacuated.
The 10-year Treasury note (US10YT=RR: Quote, Profile, Research) rose 15/32 to yield 4.22 percent, down from 4.27 percent on Thursday, and could next challenge 4.19 percent. The next overhead yield target is 4.30 percent.
The 30-year bond (US30YT=RR: Quote, Profile, Research) jumped 1-1/32 to yield 4.44 percent, down from 4.50 percent on Thursday. Two-year note (US2YT=RR: Quote, Profile, Research) yields were at 3.91 percent, down from 3.93 percent. Five-year Treasury notes (US5YT=RR: Quote, Profile, Research) rose 7/32 to yield 4.04 percent, down from 4.08 percent.
Dealers also concluded that the shift in China's currency policy announced on Thursday, until followed up by further adjustments, could have limited near-term impact on bonds.
A small increase in the price of imported goods could push up U.S. prices a bit but might be absorbed by companies rather than passed directly through to consumers.
"The anxiety about the shift in the Chinese regime may fade and that probably will be bond positive," said William Dudley, chief U.S. economist at Goldman Sachs.
The two-year/10-year yield curve fell to 31 basis points from 34 basis points on Thursday, continuing what some dealers see as a flattening toward zero.
"The curve has flattened despite the terror premium, with Greenspan's upbeat tone on the economy and more rate hikes encouraging the bid to migrate down the curve," said strategists at Action Economics.
December Eurodollar futures (EDZ5: Quote, Profile, Research) already factor in a year-end federal funds rate near 4.0 percent and there seems to be little appetite for pushing implied yields higher.
Eurodollar spreads also strengthened after days of weakness, removing some of the implied Fed tightening for 2006 seen earlier in the week.
Still, some dealers think bonds are setting up for further weakness given the tone of Greenspan's testimony to Congress and the outlook for further Fed tightening.
"The Fed thinks neutral is well above where we are now -- if that's right then short-term rate expectations are likely to rise," Dudley said.
Much of next week's data, including reports on July consumer confidence on Tuesday, and June durable goods and the Fed's Beige Book on Wednesday, could give an upbeat reading on the economy.
Fri Jul 22, 2005 03:21 PM ET
CHICAGO, July 22 (Reuters) - U.S. Treasury debt prices bounced on Friday, finding a flight-to-safety bid from events in London related to recent bomb attacks, plus profit-taking by holders of short positions.
The bearish impact of two days of testimony from Federal Reserve Chairman Alan Greenspan, the scrapping of China's yuan peg to the U.S. dollar and hawkishly-construed minutes from the June Fed policy-setting meeting started to fade, leaving dealers to square their books before the weekend.
Support emerged in overnight trading from Asian demand and later from news that British police had shot dead a man suspected of involvement in recent bomb attacks on the London transit system.
Security jitters and a tendency to seek out the safety of the bond market continued amid reports, later disproved, that a U.S. Senate building had been evacuated.
The 10-year Treasury note (US10YT=RR: Quote, Profile, Research) rose 15/32 to yield 4.22 percent, down from 4.27 percent on Thursday, and could next challenge 4.19 percent. The next overhead yield target is 4.30 percent.
The 30-year bond (US30YT=RR: Quote, Profile, Research) jumped 1-1/32 to yield 4.44 percent, down from 4.50 percent on Thursday. Two-year note (US2YT=RR: Quote, Profile, Research) yields were at 3.91 percent, down from 3.93 percent. Five-year Treasury notes (US5YT=RR: Quote, Profile, Research) rose 7/32 to yield 4.04 percent, down from 4.08 percent.
Dealers also concluded that the shift in China's currency policy announced on Thursday, until followed up by further adjustments, could have limited near-term impact on bonds.
A small increase in the price of imported goods could push up U.S. prices a bit but might be absorbed by companies rather than passed directly through to consumers.
"The anxiety about the shift in the Chinese regime may fade and that probably will be bond positive," said William Dudley, chief U.S. economist at Goldman Sachs.
The two-year/10-year yield curve fell to 31 basis points from 34 basis points on Thursday, continuing what some dealers see as a flattening toward zero.
"The curve has flattened despite the terror premium, with Greenspan's upbeat tone on the economy and more rate hikes encouraging the bid to migrate down the curve," said strategists at Action Economics.
December Eurodollar futures (EDZ5: Quote, Profile, Research) already factor in a year-end federal funds rate near 4.0 percent and there seems to be little appetite for pushing implied yields higher.
Eurodollar spreads also strengthened after days of weakness, removing some of the implied Fed tightening for 2006 seen earlier in the week.
Still, some dealers think bonds are setting up for further weakness given the tone of Greenspan's testimony to Congress and the outlook for further Fed tightening.
"The Fed thinks neutral is well above where we are now -- if that's right then short-term rate expectations are likely to rise," Dudley said.
Much of next week's data, including reports on July consumer confidence on Tuesday, and June durable goods and the Fed's Beige Book on Wednesday, could give an upbeat reading on the economy.
ditropan
Forumer storico
Ecchime, ci ho messo un pò per rispondere alla richiesta del nostro illustrissimo avvocato. 
.... ecco tutte le curve dei rendimenti min e max anno per anno dal 1993 correlate dalle tabelle, lustrati gli occhi Cesare !!!
In tabella ci sono i rendimenti di :
FF = fed Fund (denaro corrente)
5Y = tesaury a 5 anni
10Y = t-note
30Y = t-bond
nelle tabelle sottostanti ho fatto un pò di conti per vedere la differenza di rendimento tra i divesi bond ed il denaro corrente :
5Y-FF = rendimento titolo a 5 anni - rendimento denaro corrente,
10Y-FF = rendimento titolo a 10 anni - rendimento denaro corrente,
30Y-FF = rendimento titolo a 30 anni - rendimento denaro corrente,
ed un confronto di rendimenti tra il 10 anni ed il 30 anni (30Y-10Y) .... per l'oramai storico spread di Fleursdumal.
inoltre ho riportato anno per anno l'inflazione su base annua nella casella Inf.B.A. con la quale ho potuto calcolare il tasso reale epurato dall'inflazione min e max del t-bond (T.nat. min, T.nat. Max). Il tasso reale l'ho ottenuto sottraendo il rendimento del t-bond al valore dell'inflazione su base annua dell'anno corrente.
ed ecco i grafici con tutte le curve dei rendimenti, per ogni anno ho riportato la curva con il rendimento massimo e minimo all'intermno di ogni anno, nel nome della serie ci ho messo la dati di quando questo si è verificato.
Trateggiata in celeste è stata riportata l'inflazione su base annua relativa all'anno considerato.
nel 2005 in vede ho messo pure la curva dei rendimenti aggiornata a venerdì 22/07/2005.
dulcis in fundo riporto il grafico dell'inflazione dal 1991 ad oggi ed un confronto dei rendimenti tra i fed funds ed il t-bond, dal quale si vede chiaramente come quei cornutazzi degli yankees siano riusciti dal 1994 ad oggi ad abbassare i rendimenti del 30 anni pur inflazionando a manetta stampando un mare di denaro (massa M3 quì non rappresentata).
... Notare i rendimenti odierni del t-bond vicini al 4% quando invece nel periodo 1994-1996 con un'analoga inflazione (contenuta a dire del vecchio Greenspaan) i rendimenti dei fed fund e del t-bond erano nettamente più elevati.
Per un confronto più completo mi mancano i dati sull'occupazione e sul pil da poter schiaffare sul grafico ... se qualcuno ne è in possesso e vuole gentilmente cedermeli farebbe cosa assai gradita.
... ed ecco l'andamento dello spread 30Y-10Y ... negli anni lo spread si è mosso all'interno della fascia formata dalle 2 serie min e max :
.... ecco tutte le curve dei rendimenti min e max anno per anno dal 1993 correlate dalle tabelle, lustrati gli occhi Cesare !!!
In tabella ci sono i rendimenti di :
FF = fed Fund (denaro corrente)
5Y = tesaury a 5 anni
10Y = t-note
30Y = t-bond
nelle tabelle sottostanti ho fatto un pò di conti per vedere la differenza di rendimento tra i divesi bond ed il denaro corrente :
5Y-FF = rendimento titolo a 5 anni - rendimento denaro corrente,
10Y-FF = rendimento titolo a 10 anni - rendimento denaro corrente,
30Y-FF = rendimento titolo a 30 anni - rendimento denaro corrente,
ed un confronto di rendimenti tra il 10 anni ed il 30 anni (30Y-10Y) .... per l'oramai storico spread di Fleursdumal.
inoltre ho riportato anno per anno l'inflazione su base annua nella casella Inf.B.A. con la quale ho potuto calcolare il tasso reale epurato dall'inflazione min e max del t-bond (T.nat. min, T.nat. Max). Il tasso reale l'ho ottenuto sottraendo il rendimento del t-bond al valore dell'inflazione su base annua dell'anno corrente.
ed ecco i grafici con tutte le curve dei rendimenti, per ogni anno ho riportato la curva con il rendimento massimo e minimo all'intermno di ogni anno, nel nome della serie ci ho messo la dati di quando questo si è verificato.
Trateggiata in celeste è stata riportata l'inflazione su base annua relativa all'anno considerato.
nel 2005 in vede ho messo pure la curva dei rendimenti aggiornata a venerdì 22/07/2005.
dulcis in fundo riporto il grafico dell'inflazione dal 1991 ad oggi ed un confronto dei rendimenti tra i fed funds ed il t-bond, dal quale si vede chiaramente come quei cornutazzi degli yankees siano riusciti dal 1994 ad oggi ad abbassare i rendimenti del 30 anni pur inflazionando a manetta stampando un mare di denaro (massa M3 quì non rappresentata).
... Notare i rendimenti odierni del t-bond vicini al 4% quando invece nel periodo 1994-1996 con un'analoga inflazione (contenuta a dire del vecchio Greenspaan) i rendimenti dei fed fund e del t-bond erano nettamente più elevati.
Per un confronto più completo mi mancano i dati sull'occupazione e sul pil da poter schiaffare sul grafico ... se qualcuno ne è in possesso e vuole gentilmente cedermeli farebbe cosa assai gradita.
... ed ecco l'andamento dello spread 30Y-10Y ... negli anni lo spread si è mosso all'interno della fascia formata dalle 2 serie min e max :
ditropan
Forumer storico
Dal grafico, volendo guardare al bello (... e sarebbe pure ora 
) se quel canale sui rendimenti del t-bond vuol dire qualcosa allora il target superiore corrisponde circa al 5,4% che grosso modo vorrebbe dire un 105-104 di quotazione del t-bond future. Anche in previsione del fatto che i tassi entro fine anno sono visti al 3,75% - 4%.
color grigio il grafico del t-bond Yeld (rendimenti).
Questo Grafico invece mostra i rendimenti netti dall'inflazione del t-bond negli anni. In giallo l'iflazione, invece i rendimenti hanno oscillato dentro la fascia formata dalle 2 serie min e Max.
negli anni pure essendo risalita l'inflazione ed i tassi a breve i rendimenti netti del 30 anni non hanno seguito ... il famoso cundurum.
) se quel canale sui rendimenti del t-bond vuol dire qualcosa allora il target superiore corrisponde circa al 5,4% che grosso modo vorrebbe dire un 105-104 di quotazione del t-bond future. Anche in previsione del fatto che i tassi entro fine anno sono visti al 3,75% - 4%.
color grigio il grafico del t-bond Yeld (rendimenti).
Questo Grafico invece mostra i rendimenti netti dall'inflazione del t-bond negli anni. In giallo l'iflazione, invece i rendimenti hanno oscillato dentro la fascia formata dalle 2 serie min e Max.
negli anni pure essendo risalita l'inflazione ed i tassi a breve i rendimenti netti del 30 anni non hanno seguito ... il famoso cundurum.
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