Trader Comments
- “A trade that should take seconds took minutes,” said Jon Jonsson, a fixed-income portfolio manager at Neuberger Berman.
- “You can’t have a conversation with Treasury traders without them going on a rant about Treasury liquidity,” said Hani Redha, a multiasset portfolio manager at PineBridge Investments. “That just means that moves get amplified. You’re going to get overshoots in both directions.”
- Trend followers scooped up roughly $128 billion of eurodollar futures, contracts tied to the expected level of benchmark interest rates, in the past week to close out their so-called short trades, according to Nomura estimates.
- The swift reversal in expectations for Fed rate increases and bond yields led quant funds to their worst two-day stretch on record since at least 2000, falling 7.7%, according to Nomura.
- JPMorgan Chase & Co. analysts recently said that liquidity in the Treasury market has fallen to the lowest levels since March 2020, during the pandemic market crash. “Treasury market functioning is severely impaired, similar to what unfolded this time three years ago,” the firm’s analysts wrote in a note to clients.
The above comments are from the WSJ article Market Stress Snarls Trading in U.S. Treasurys
Wild Action
Unprecedented Swings
We have seen wild action in US treasuries in the past week. Traders plowed into leveraged bond shorts expecting more hikes.
Then suddenly we have gone from a 50 basis point hike to none at all for the March 22 FOMC.
Never before have we seen such a amazing swings this close to an FOMC announcement.
Bank Bailouts and Contagion
The swings are related to a huge bank bailout as discussed on Match 13 in Yellen Said “No Bailout” But It’s a Huge Bailout of the Banking System
Today, I reported Bank Contagion Spreads to Europe, Credit Suisse Sinks to a New Record Low
The Fed finally convinced everyone that it meant higher for longer, then a few days later people are discussing rate cuts. What a hoot.
Expect some hedge funds to blow up over this bond market volatility.
I will post some Treasury charts after the close and data is available from the New York Fed.
This post originated at MishTalk.Com.
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barrels a day, down by 6.4% from the same period last year. Over the past
four weeks, motor gasoline product supplied averaged 8.8 million barrels a
day, down by 0.4% from the same period last year. Distillate fuel product
supplied averaged 3.7 million barrels a day over the past four weeks, down
by 12.5% from the same period last year.
6.7% compared with the same four-week period last year.
The West Texas Intermediate crude oil price was $76.55 per barrel on March
10, 2023, $3.07 less than last week’s price, and $32.76 below the price one
year ago. The spot price for conventional gasoline at New York Harbor was
$2.505 per gallon, $0.146 less than a week ago, and $0.694 less than a year
ago. The New York Harbor spot price for No. 2 heating oil fell $0.122 to
$2.618 per gallon, $0.820 less than the price last year.
gallon on March 13, 2023, $0.067 higher than last week’s price, but $0.859
less than the price last year. The national average retail diesel fuel price
dropped to $4.247 per gallon, $0.035 less than last week, and $1.003 lower
than the price one year ago