Fed and Treasury. Buying and Selling

July 29, 2020

–Yields edged slightly higher yesterday with tens squeezing just above 60, up 1.8 to 60.5.  Implied vol remains blanketed, with TYU 139.5^ settling 56 or 3% vol.  Gold soared to a new high but silver outperformed.  Gold/silver ratio now 81.5, below the triple top of 82 in 2003, 84.5 in 2008 and 83.25 in 2016. 

gold/silver ratio


–The NY Fed released a new purchase schedule, buying 12.8 billion of short term debt today 0-2.25 yrs, while the treasury auctions $44b of 7’s.  One might think that would result in a steepening trade, but the Fed will also be buying ~$5.5 billion in 30y MBS.  I am adding the links of schedules here, as they aren’t easy to immediately access on the NY Fed website.
https://www.newyorkfed.org/markets/domestic-market-operations/monetary-policy-implementation/treasury-securities/treasury-securities-operational-details#current-schedule

https://www.newyorkfed.org/medialibrary/media/markets/ambs/AMBS-Schedule-072820.pdf

–As ZH summarizes, the Fed will buy approx $9 billion per day in treasuries and MBS for the next two weeks.  

–The administration also released its plan to replace the $600 week.  It is, of course, smaller.  It was, of course, derided by Democrats.  It will, of course, result in a last minute compromise when stocks force the issue.  

–FOMC tomorrow. 

–Chongqing hit by massive flooding. “HK’s Econ Times reports that by 6 am Monday morning the water level at the Cuntan hydrologic station in Chongqing rose to 180.5 meters, exceeding the warning level for the first time this year.”  Btw, Three Gorges is 185 meters.
https://www.taiwannews.com.tw/en/news/3975669

Posted on July 28, 2020 at 5:51 am by alexmanzara · Permalink
In: Eurodollar Options

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