"USTs are a 'broken market'", Nomura's Charlie McElligott writes, in a Thursday note recapping some of the action briefly discussed here on Wednesday evening.
Last summer, market participants marveled at the rapidity and scope of the collapse in yields. Turns out, folks hadn't seen anything yet.
"20bps+ swings [are] now becoming standard, particularly within the off-the-run space which are trading miles wide due to balance sheet dynamics, with no more dealer capacity and RV guys unwinding into clear stop-out trades", Charlie goes on to say.
He then delivers some color that underscores Wednesday's RV "blowups" chatter (more here).
"The RV funds which have rode the past 10 years of QE, quiet funding, and accommodative Fed policy are the central point of pain in the UST market", Charlie says, quoting a colleague in fixed income, who went on to essentially say that recent basis moves suggest large losses for levered trades.
Bloomberg's Cameron Crise - who spent virtually all of Wednesday furiously documenting the same thing - weighed in again on Thursday, noting that while everyone is understandably fixated on equities, there's "carnage" in fixed income.
"Relative value -- hist
Please support this website by adding us to your whitelist in your ad blocker. Ads are what helps us bring you premium content! Thank you!