Archive by Author

NY Fed Primary Dealers Report – July 28, 2011

29 Jul

This is the latest NY Fed Primary Dealers report covering dealer position activity as of 7/20/2011.

Overall Dealer UST positions decreased vs. the previous week by 2.31bn to -29.049bn. Maturities less than 3 years decreased by 9.398bn to 12.983bn; maturities 6-11 years increased by 1.579bn to -18.167bn, while maturities greater than 11 years increased by 1.574bn to 4.287bn. TIPS: Total TIPS positions decreased by 541mn to -619mn. Dealer Corporate positions totals decreased by 1.972bn to 100.467bn. Maturities less than 1 year decreased by 1.737bn to 22.486bn while maturities greater than 1y decreased by 235mn to 77.981bn. Dealer MBS positions decreased by 3.741bn to 82.528bn. Continue reading

7 Year Auction Results

28 Jul

Results of today’s 7 year auction:

Yield Price Indirect % Bid To Cover Coupon
June 29 2.43 99.65 32.17 2.62 2.38
July 28 2.28 99.81 39.55 2.63 2.25

Updated August issuance calendar which will (??) change after August 2nd.

US Bond Auction Calendar, Statistics and Charts [GDocs]

And one more chart you don’t want to miss, from our colleague Dutch Book

Quick Look: Weekly Jobless Claims

28 Jul

Quick Take: Some improvement, but still not enough. One print does not a trend make. Last week was revised from 418k to 422k. Continue reading

7/27 Auction Results

27 Jul

Today’s 5 day CMB and 5 Year auction results are out. The full auction calendar for August will be updated tomorrow, but please note that it (probably) will change. By how much is anybody’s guess.

5 Day CMB

Yield Price Indirect % Bid To Cover Coupon
July 27 0 100 0 4.58 0

5 Year Note

Yield Price Indirect % Bid To Cover Coupon
Jun 28 1.61 99.45 37.62 2.59 1.50
July 27 1.58 99.62 36.59 2.62 1.50

Updated Auction Calendar, Statistics, Chartbook [GDocs]

7/26 Auction Results (All)

26 Jul

Today’s Auction Results:

4 Week

Yield Price Indirect % Bid To Cover Coupon
Jul 19 0.01 100.00 47.86 4.49 0.01
Jul 26 0.06 100.00 54.18 5.30 0.06

1 Year (52 Week)

Yield Price Indirect % Bid To Cover Coupon
Jun 28 0.20 99.80 27.39 4.15 0.20
Jul 26 0.20 99.80 29.82 4.63 0.20

2 Year

Yield Price Indirect % Bid To Cover Coupon
Jun 27 0.40 99.96 22.00 3.08 0.38
Jul 26 0.42 99.92 27.67 3.14 0.38

Updated Auction Calendar, Stats, Charts Document [GDocs]

Employment, Prejudice, Deferred Productivity and Insanity

26 Jul

You’ve heard it again and again: the unemployment situation is bad. Indeed, it is bad – for a certain group of individuals: what we are seeing is an emergence of a dual economy when it comes to those who are employed and those who are not. My colleague, The Analyst posits that the jobs may not come back due to a phenomenon called a Deferred Productivity Shock:

What if shocks like the most recent (current?) financial crisis allow, if not downright encourage firms to play catch-up, by taking drastic and quick action to recognize previously un-recognized productivity gains?  If GDP and BLS data is even remotely accurate, it seems like we’re now, post-crisis, doing more with less, and there’s very little reason to expect this trend to reverse course anytime soon, if ever.” -The Analyst, Stone Street

Continue reading

13 & 26 Week Auction Results, Updated Issuance Calendar

25 Jul

Today’s 13 and 26 week auction results are out with higher yields and higher participation compared to the previous auction. Today’s auction announcements include the scheduled 4 week bill and a 5 Day CMB maturing on 8/2/2011. Continue reading