I find this info great, keep it coming. I know goldmans said 11.5 was a big level yesterday, perhaps they were loading up.
They did same thing this morning, another probably 15,000 to the same levels. And locals probably just scratch again. This time no bid afterward, although we do push out new highs. Whoever has sold all this will be hurting if we keep grinding higher.
This afternoon looked like PIMCO (through Goldman) buying about 12,000 ten years or so from 14 down to 12, then back up to 14 on the close (mostly screen). So its obviously them buying down here the last few days, but who is selling? And how much are they hurting? Gotta be the dealers and some hedge funds. Locals just scratching a lot of this for the most part, got a few ticks out of the PIMCO stuff later today.
What about the thirty year market? Are there indications that PIMCO or Goldman is selling ZB's while buying ZN's?
Higher oil prices combined with PIMCO's belief that risk premiums on long term bonds are too low is ONE of several reasons why I suspect PIMCO to sell 30 year bonds while buying the 10 year right now. <i>With the Fed near the end of its tightening cycle and the term risk premium embedded in the yield near zero, cyclical logic screams that the most important looming change in the âconventional basis of valuationâ will be the yield curve: PIMCO firmly believes that over the next 1-2 years, the curve will once again become a curve.</i> http://www.pimco.com/LeftNav/Late+Breaking+Commentary/FF/2006/FF+January+2006.htm