Jan 31 Auctions, Buybacks and Morning Reading

As I highlighted in the previous weekly summary, while there are no notable auctions taking place this week, the Fed will be very active in the 5-10Y range with buybacks – also at the same time where we could potentially see a flight to quality from the political unrest abroad. It will be interesting to see how the Magic Fed desk down on Maiden Lane handles these events.

1/28 Buybacks

Today’s buybacks are from 2/15/2018 – 11/15/2020. The full SOMA sheet (with holdings as of 1/5/11) is here [GDocs]

1/24/2011 Bond Buybacks & Auctions

Good morning. Today’s auctions include the 13 & 26 week bills at 11:30AM Eastern. This week will be yet another good week for new supply with the 2Y note being auctioned on 1/25, 5Y note on 1/26 and finally the 7Y note on 1/27. Our auction statistics have been updated to include all auctions up until 1/21/11 – you can view/download the new version here [GDocs]

1/20/11 Buybacks and Auctions

Good morning:

Today’s auctions: 10Y TIPS (13Bn). Full calendar and updated stats for all auctions as of 1/19/2011 available here (Google Docs)

Today’s Buybacks: 8/15/2028-11/15/2040. You can find the updated SOMA holdings (as of 1/5/11) with auction dates (if available) for each here (Google Docs)

Have a good day.

1/19 – US Bonds First Look

Yesterday saw the curve widen for most of the major spreads. The 2s30 spread reached intraday record wides of 401bps, a level that few would have suspected that we ever would have reached. I’m sure you recall 2008/2009 when we were in the “nosebleed” section at 370-380 and then flattened back into 340-360. That seems like a memory, a different time in a land far, far away.

Overnight we are seeing pressure the PIIGS again, Greece 5Y CDS around 915 bps (35bps wider) while Greece 10Y bonds were at the time of this writing trading wider to Germany by 865bps, 21bps wider. Ireland and Portugal bonds are also wider to Bunds as well.

3PM levels (1/18):

2s5 135.9, 2s10 279 (high is 290), 2s30 396.8 (new record wide, along with intraday record 401), 5s10 141 (high is 156), 5s30 260.9, 10s30 119.9, 2s7 210, 5s7 74 (high is 79), 7s10 66.9 (high 82), 7s30 186.8.

The buybacks today will occur primarily in the middle of the 5-7 year sector of the curve; I will be watching the 5s7 curve along with 2s10 and 2s30.

Today’s Auctions and Historical Auction Stats (GDocs)

4 Week Bill (25Bn), 56 Day CMB (25Bn)

Today’s Buybacks – SOMA Holdings (as of 1/5/11) – (GDocs)

7/31/2016 – 12/31/2017

What I’m Reading This Morning

For an interesting take on the European situation, I highly recommend Professor Pinch’s piece on Minyanville here. For another take on the naughty Irish and their Euro printing press, check out Jack Barnes’ latest article here

 

Have a good day.

Bond Update – 1/14/2011

No auctions today, today’s buybacks will start at 10:15AM Eastern: 1/2015 to 6/2016. You can view the latest SOMA holdings sheet with auction overlay on Google Docs.

Have a good weekend!

1/12/11 – Bond Update

Running a bit behind this morning (shoveling the snow the drifted overnight) so this post is being written on the go. Here’s the notable action today:

Bond Auctions

10Y Note (Reopening 912828PC8) – 21B

Historical Auction stats (as of 1/11/11) with charts

Bond Buybacks

None today – NY Fed will schedule the release of an updated calendar later today (~2PM ET).

What I’m Reading

Yesterday’s conference call by Jeff Gundlach was amazing. In case you missed it, my colleagues at Stone Street have posted the presentation online for your review. This is definitely one of the must reads of the day.

• Gundlach Presentation
• GeorgetownJack – 21st Century Holding Company – Time for Investors to Let Go?

Have a good day!

1/11/11 – The Day Ahead

Here’s a list of articles I found interesting overnight, particularly a rare glimpse inside the NY Fed and the buyback operations along with today’s bond auctions and buybacks…

Bond Auctions: 1/10/11 and beyond

There’s going to be a lot of auction activity this week across most of the entire yield curve. Today we kick off the week with a 13 & 26 week bill auction.

Morning Call – July 27, 2010

Morning Call July 27 2010 (Direct PDF Link)