Australian 90-day bill IR’s are looking bit mispriced to me. Z8-M9 inverted from 10+ in H1 to -3 negative, so M9 can be shorted for positive...
Q2: +4.16% with good SR. Got lucky to be positioned right for BTP sell-off. [IMG] U8 -> Z8: +3 RX @ -2.49 -3 G @ -0.9 +7 UXY (+2, +5) @...
flipped -1 6EU8 to +2 @ 1.1906. It seems that market pushed eur down on italian mess and didn't pay enough attention to praet's speech last week.
-2 XT M8 -> U8 M8: 97.1925 U8: 97.18
rolls M8 -> U8: +4 RX @ -0.1 -1 IK @ -1.9 -1 6E @ 0.0083 -2 6E @ 0.0083 +1 NOK @ 0.00045 +1 6A @ 0.00045 -1 6N @ 0.00005 Political climate in...
roll M8->U8: -3 R @ -0.97 5 UXY @ -0.78125 -2 UXY @ -0.78125 -2 WN @ -0.7109375
+8 ED H9 @ 97.38
type in post above: ED H9, not M9 +1 IK M8 @ 124.30 -1 bund m8 @ 162.49 (closed pos)
- 1 UXy M8 @ 129.50 (closed) - 10 ED M9 @ 97.47 - there is just too little priced beyond june now. The drop in IK-BTS from 205 to 80 bps over 2...
been busy with other stuff lately but short btp has been good!
+15 IR Z8 @ 97.99 -15 IR Z9 @ 97.69 / yuck, it's 30 bps, earlier saw it 22 bps ..because looked at Z8-U8. -2 6N @ 0.7259 +2 6C @ 0.7821 / cad...
Another poor quarter with -0.65% qoq, -0.2 SR (and still undershooting vol target by half). The detractors have been flattening of the US curve...
H8 -> M8 -1 6E @ 0.00855 -2 6E @ 0.00855 +1 NOK @ 0.00046
+1 6A M8 @ 0.7782 -1 6N M8 @ 0.723
I think there’s a chance that markets have underreacted to economic data since the last Bank of Canada meeting in January. Data was poor - PMI...
roll time H8 -> M8: -2 XT: 97.215, 97.165 +2 UXY @ -0.4609375 +1 UXY @ -0.4609375 +5 UXY @ -0.4609375 -2 WN @ -0.84375 -3 G @ 1.01 +3 RX @ -2.66...
+15 ED Z8, -15 ED Z9 @ 0.355
Another follow up on lira. Effective bank funding rate is up to 12.75% from around 12% in November. 2y bond is down around 110 bps to 12.6%. 2s5...
It’s been a while since I visited the Fed’s balance sheet. It was more than 150b of extra treasury purchases ago when there was no info how the...
ED Z8-Z9 is looking too low now at 33.5. Current FF is around 141 bps + 20 bps 3mo LIBOR-FF gives us 161 bps 3mo LIBOR ex March hike pricing. Z8...
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