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Deeper Derivative Dive To Less ‘Dollar’

By |2016-12-29T13:13:06-05:00December 29th, 2016|Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

The Office of the Comptroller of the Currency won’t release its collection of bank call reporting for Q3 2016 until January. There is a great deal about the aggregate US bank derivative book in that particular quarter that is of particular interest. Though we will have to wait for that update, there is still some value in reviewing parts of [...]

…At The Beginning

By |2015-02-18T16:39:34-05:00February 18th, 2015|Bonds, Economy, Federal Reserve/Monetary Policy, Markets|

It was a bit of a shock in June 2014 when the repo market experienced sudden and sharp disorder. The surge in fails seemingly did not fit the conditions as convention held them in the middle of last year when everything was supposedly running so smoothly. In the eight months since then, repo fails have not much calmed, which has [...]

More Than The ‘Gamma Trap’

By |2015-02-17T17:27:04-05:00February 17th, 2015|Bonds, Economy, Federal Reserve/Monetary Policy, Markets|

Though it is now more than four months into the past, the events of October 15 remain relevant and will likely stay that way for some time to come. The mainstream seems to have made peace with the idea of electronic trading in some primordial state in treasury markets, but to anyone with even a little knowledge of credit markets [...]

Something Perturbs ‘Dollar’ Funding

By |2015-02-04T16:58:25-05:00February 4th, 2015|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

Oh Europe. I have a growing sense that US credit markets are repeating the leadup to last October 15, though there isn’t any obvious expression of any such illiquidity (at the moment). For one thing, the eurodollar curve has taken the FOMC’s bluffs in complete stride, in fact doing the exact opposite as you would expect of a very close [...]

Taper: Too Little, Too Late?

By |2014-06-17T15:21:34-04:00June 17th, 2014|Bonds, Currencies, Economy, Federal Reserve/Monetary Policy, Markets|

For my mind there are two actual explanations for tapering QE, neither of which follows the mainstream idea that the economy has gained sufficient “footing.” That provides the cover by which QE’s taper can be sold while preserving “credibility”, but it does not line up with anything else outside of the straightest line in the Establishment Survey. Instead, tapering is [...]

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