Wednesday, September 21, 2011

US Curve

Sep/13 we recommended clients get long (L - S) the curve. This trade has done poorly. Two - 10 for example, the spread we preferred, last +169, vs +179. Sep/13.

We supposed on the 13th that the better part of today’s Fed action was priced in, we expected an unfriendly CPI on the 15th (the result) and finally, we expect more vigor ahead than most.

Instead, the IMF report yesterday flattened the curve some; today’s action leveled it.
 

Robert Craven

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