Between Nov 2011 and Feb 2012 this year, 10Y yields traded in a 25 bp range, a very nice flat valley plain between the little hills sandwiching them.
I am just starting to believe that yields are here to stay and it seems I am not the only one.
Check out the holdings of US Primary Dealers over the past month.
|PRIMARY DEALER HOLDINGS||LAST PX||MTD||DIFF|
|Notes < 3 Yrs||137.02||145.311||-8.291|
|Notes 3-6 Yrs||128.46||113.965||14.495|
|Notes 6-11 Yrs||153.863||110.136||43.727|
|Notes 11+ Yrs||36.341||34.1||2.241|
|Agencies < 3 Yrs||6.111||7.99||-1.879|
|Agencies 3-6 Yrs||2.955||3.759||-0.804|
|Agencies 6-11 Yr||1.745||1.276||0.469|
|Agencies 11+ Yrs||0.78||0.416||0.364|
|Corporate < 1 Yr||67.412||88.443||-21.031|
|Coprotate > 1 Yr||19.693||19.487||0.206|
I am not alone !! Charts are screaming for the 1.25% handle and it looks like Primary Dealers are running ahead of themselves.
Now I suspect we will have our Great Annual Sale soon.
And I am not alone again. And I have a Harvard man on my side.
|How Long For Low Rates ? By Kenneth Rogoff : 9 AUG 2012|
And he hasn’t seen this chart below yet.
And all the US Primary Dealers are using this Seasonality Chart as a selling point now ! BEWARE ! 10y yields have fallen every August for the past 5 years !
I do not like intimidation and I am beginning to feel like I am talking to hawkers when they resort to this.
Disclosure : I am long PST US, the Proshares double short 7-10Y Treasury ETF.
BTW, I was wrong last month.
|3-Jul-12||I HAD A DREAM TO SELL ‘EM TREASURIES|