ACLLC

7.1K posts

ACLLC

@acllc2

US Treasury Futures Curve, Fixed Income, Yield Curve “You lose it here and you’re in a world of hurt”

Katılım Temmuz 2019

1.8K Takip Edilen4.9K Takipçiler

ACLLC@acllc2·8h

WTI vs US Govt Bond Curve: Crude Oil vs 5s30s futures aka 4xZF:1xUB. Do steepeners improve with better ceasefire/peace talks?

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ACLLC@acllc2·11h

x.com/i/article/2037…

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ACLLC@acllc2·16h

UST 7yr Auction Results 4.255 0.8 bps tail BtC 2.43 Indirects 62.6% ZNM6 pressed 110'07, but now UNCH from 1pm mark.

ACLLC@acllc2

$44B UST 7-Year Note Auction 1pm ET Last 6 Averages: Bid-to-Cover 2.46 Indirect Bidders 60.3% (Feb: 2.50 & 63.6%)

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ACLLC@acllc2·16h

Nice backup in yields here in USTs before the $44B 7yr. ZNM6 -12/32nds since that mid-morning high

ACLLC@acllc2

$44B UST 7-Year Note Auction 1pm ET Last 6 Averages: Bid-to-Cover 2.46 Indirect Bidders 60.3% (Feb: 2.50 & 63.6%)

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ACLLC@acllc2·17h

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ACLLC@acllc2·17h

$44B UST 7-Year Note Auction 1pm ET Last 6 Averages: Bid-to-Cover 2.46 Indirect Bidders 60.3% (Feb: 2.50 & 63.6%)

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ACLLC retweetledi

Dario Perkins@darioperkins·21h

🧵Let me take you back to August 1990. Three weeks ago, Iraq invaded Kuwait, oil prices have surged, and the FOMC is meeting to decide how to respond. The economy looks wobbly. Payrolls just recorded a small decline. Greenspan talks about a credit bubble that has started to deflate. There's more than a few credit cockroaches. But nobody thinks the US economy is sliding into recession. The Maestro urges stoicism. Nobody knows what’s going to happen in the Middle East, central banks cant really alter the outcome, so its best to provide stability – by doing nothing.

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ACLLC@acllc2·1d

Reposting this old thread for context of what a "bad" Treasury auction looks like.

ACLLC@acllc2

Record Setting US Treasury Auctions On Deck: 2yr $69B, 5yr $70B 7yr $44B (not a record...) A look-back at Auction Sizes, Bidder Activity, and a flash-crash. (A thread 1/6)

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ACLLC@acllc2·1d

x.com/i/article/2036…

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ACLLC@acllc2·1d

UST 5yr Auction Results 3.980 2.29 bps tail BtC 2.29 Indirects 61.9% ZFM6 -2/32nds since 1pm mark. Not too bad considering no concession heading in. The broader market probably had its eye on a nice round 4.00% coupon, but Indirects didn't waver--coming in a hair better than the last 6 average of 61.7%

ACLLC@acllc2

$70B UST 5-Year Note Auction 1pm ET Last 6 Averages: Bid-to-Cover 2.36 Indirect Bidders 61.7% (Feb: 2.32 & 62.5%)

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ACLLC@acllc2·1d

UST 5yr Auction Stats: Dealer, Direct, Indirect takedown, and tail/through 1pm WI mark:

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ACLLC@acllc2·1d

$70B UST 5-Year Note Auction 1pm ET Last 6 Averages: Bid-to-Cover 2.36 Indirect Bidders 61.7% (Feb: 2.32 & 62.5%)

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ACLLC@acllc2·1d

Adding Lumbar as example (2022 prices vs today's)

Javier Blas@JavierBlas

We have forgotten how bad 2022 crisis was. Commodity: price today (peak in 2022) Brent: $99 ($139) EU steel: $710 ($1,435) EU wheat: €200 (€438) US corn: $4.5 ($8.2) EU gas TTF: €51 (€339) Henry Hub gas: $2.9 ($9.7) German power: €95 (€984) Urea: $660 ($910)

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ACLLC@acllc2·1d

x.com/acllc2/status/… The Feb 2021 7yr is what a bad UST auction really looks like

Alex Etra@EtraAlex

Its a catastrophe 😉

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ACLLC@acllc2·1d

Looks like a position unwind of the 3/20 FYT trade this AM in blocks.

ACLLC@acllc2

x.com/i/article/2035…

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ACLLC@acllc2·1d

That’s one of many completely scheduled, announced, and regular Reserve Management Operations that was expected since the Fall of 2025–and has been occurring since December. Nothing to do at all with an oil crisis that did not exist at the time. The details and schedules are on the NY Fed website. You can also find the policy materials there as well.

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Wimar.X@DefiWimar·2d

🚨 BREAKING FED WILL MAKE AN EMERGENCY $8.071 BILLION INJECTION INTO THE MARKET TOMORROW AT 9 AM ET, RIGHT BEFORE THE U.S. MARKET OPEN. THE RISE IN INJECTIONS IS DIRECTLY TIED TO THE OIL CRISIS. SOMETHING EXTREMELY BAD IS COMING...

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ACLLC@acllc2·2d

@StealthQE4 Nah x.com/acllc2/status/…

ACLLC@acllc2

USTs: 2yr Yield has rallied nicely since the shaky auction at 1pm, briefly regaining pre-results levels.

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QE Infinity@StealthQE4·2d

Disastrous $69 billion 2 year bond auction. 2bps tail. Rick said he was being generous grading this a D If we’re struggling to sell short duration paper. A bad sign It also indicates the FFR should be higher as the yield on this auction was 3.936%💀 We need a rate hike