Sept 28.

–5 yr auction today. Bernanke speaks at 5 EST about emerging economies. 
–Ten year and bond yield both up 11 bps yesterday, with tens back above 2% to 2.01.  Before the Fed meeting 30 yr was around 3.21%, plunged to 2.74 and now back to 3.11.  So perhaps the majority of “twist” pricing in the curve has already occurred.  A gov’t sponsored mass real estate refinance plan is probably going to be a lot more effective than simply trying to hold bond rates low (if that’s even possible). 
–Euro$ calendar spreads also moving out toward highs.  For example, EDM12/EDM13 fell to 1 on FOMC day, now back out to 11.5, near the high of the past month. Red/gold pack spread has jumped 30bps since last Tuesday, to 195 yesterday, up nearly 10.
–Article in WSJ notes that Man Group assets fell $6 billion (nearly 10%) due to redemptions and some negative returns.  There was another piece, (I think in FT) about financial transaction tax.  Related to drops in interest rate futures open interest?  (yesterday euro$ OI was up modestly).   
–There’s a quote from Warren Buffet, and I paraphrase, that when a company with a good reputation takes over a company with a bad one, it’s usually the latter reputation that remains intact for the combined entity.  Germany faces dilution of its credit to ‘save’ Greece.

Posted on September 29, 2011 at 7:46 am by alexmanzara · Permalink
In: Eurodollar Options

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