July 12

July 12.  Longer treasuries eased in front of this week’s auctions, continued firmness in stocks was also a factor.   Curve steeper with 2/10 spread adding about 4 bps to 243. Red/gold pack spread closed 245, up 6 bps on the day. Ten year yield at 3.05%.
–Near eurodollar contracts are stubbornly bid, with EDU10 only a few bps away from three month libor setting.  The shorts that had been encouraged by hand-wringing about the end of the ECB’s long term financing operation have been squeezed out.
–A couple of recent reports have indicated the Fed is concerned about renewed signs of economic weakness and is considering appropriate measures.  Typically, the end of July is the final half of Bernanke’s semiannual testimony formerly known as Humphrey Hawkins.  I called the Fed, went to Senate Banking Committee website, etc, but couldn’t get info on the exact date; I am guessing July 20.  In any case, this testimony could describe new Fed actions to boost liquidity.  Next FOMC is Aug 10.  
–Most important data of week likely to be retail sales Wed, expected to show a modest decline, (but bear in mind big drop in May Cons Credit).
–ZeroHedge notes bankruptcy rumors for Portugal’s largest private bank, Banco Comercial Portugues.

Posted on July 31, 2010 at 8:48 am by alexmanzara · Permalink
In: Eurodollar Options

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