Dec 29. Treaury supply weighing

Dec 29. Eurodollars continue to plunge as the Fed announced an interest bearing term deposit facility which could serve to drain excess reserves.  Red pack fell over 6.5 bps.  Ten year yield rose 3.5 bps to 3.84% as the treasury auctions 5 year notes today, followed by 7’s tomorrow.  Consumer Confidence also today, expected 53.0 from 49.5.  Supply is the major factor weighing on fixed income in a generally thin market.

–From Reuters,  Fannie reported a decline in its mortgage portfolio and increases in delinquencies: “In October, the most recent figures available, the conventional single-family serious delinquency rate rose 26 basis points to 4.98 percent. A year earlier, the rate was 1.89 percent.”  In a generally strong stock market yesterday both Goldman and Morgan Stanley were lower; financials generally underperforming.

–In midcurve options, the was a seller of 30k mid June 9750/9800p spd at 19.5, and a seller of 25k EOU (mid Sept) 9812/9850c spd at 10.5-11.0.  Both new positions.

Posted on December 29, 2009 at 5:10 am by alexmanzara · Permalink
In: Eurodollar Options

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