1/19 – US Bonds First Look

19 Jan

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.


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