注意了：FED正在检讨OT

ctcld

TLT 到顶了。。。

"Operation Twist" has got the Treasury market in a knot.
One of the goals of Operation Twist, which was implemented in October, was to push investors out of Treasurys and into riskier assets such as stocks. Under the policy, the Federal Reserve, led by Chairman Ben Bernanke, is buying Treasury bonds that expire within six to 30 years, funding those purchases by selling notes and bonds with shorter maturities.
But economists and traders say there are signs the policy, taken together with the Fed's pledge to keep interest rates near zero until late 2014, has in fact pushed some investors into competition with the Fed itself. That is keeping yields on the 30-year Treasury bond lower than many expected, even after taking the planned purchases that are part of $400 billion Operation Twist into account.
With near-zero interest rates squeezing the yields on Treasurys with shorter maturities, bond investors seeking returns are flocking to 30-year Treasurys. But that is usually the realm of buy-and-hold institutions like pension funds and insurance companies. And expectations for another bond-buying program by the Fed to bolster the economy are also encouraging investors to hold tight to long-term bonds.
This confluence of factors has caused a rapid shrinking of the number of 30-year bonds that are available to trade, and it is also distorting the 30-year bond yield's role as an important gauge of inflation expectations.
On Thursday, the price of the 30-year fell with a rise in stocks, though the bond recouped some losses following a $16 billion issue. Demand was average but better than gloomy forecasts by some traders. The 30-year bond fell 31/32 to yield 3.192%. The yield traded above 3.6% in September, prior to the launch of the Operation Twist.
"If the pace of the economic growth continues to pick up, 30-year bonds at these levels make no sense," said Michael Pond, co-head of U.S. rates strategy at Barclays Capital. "[But] as long as the Fed is active in the market, it is tough to fight the Fed."
Another sign of the distorting effect of the Fed's transactions is the shrinking pool of available securities whenever it enters the market to conduct portfolio-shuffling transactions.
The average total value of "sell" offers submitted in those auctions by primary-dealer banks, which trade directly with the Fed and underwrite Treasury debt sales, fell 27% from October to January, to $5.47 billion, according to data compiled by George Goncalves and Ankit Sahni, rate strategists at Nomura Securities. Meanwhile, the ratio of the total value of the offers to the amount of the Fed's announced purchases, which stood at three to one in October, dropped to 2.22, the bank said. This is a sign, analysts say, that institutional investors are sitting on their bonds, thus propping up prices and keeping yields low.
Holding on to their long-term Treasury bonds is "making it harder for the Fed to achieve its purchases without distorting the market," said Richard Gilhooly, senior U.S. rates strategist at TD Securities in New York.
The New York Fed, which coordinates the central bank's market operations with primary-dealer banks, declined to comment for this article.
There are worries that the end of Operation Twist, scheduled for this summer, could introduce volatility and catch the legions of investors in 30-year bonds off guard. "If the Fed ends the Twist 'cold turkey' at the end of June," asks Ward McCarthy, chief financial economist at Jefferies & Co., "will long-term rates snap higher? Policy makers will start to think about this before the end of June."
Bond yields could remain subdued on their own if economic data in the U.S. start to point to weakness or if euro-zone turmoil again sends investors clamoring for haven assets.
The Bank of England said it will buy an additional £50 billion ($79.1 billion) of U.K. government bonds in a bid to shore up the economy. The Monetary Policy Committee voted to expand its program of quantitative easing to take the total scale of stimulus to £325 billion.

dsp

Thanks. That is good for stock?

SpringMountain

buy now, sell before summer

SpringMountain

awc3

CoolMax

passer

我的理解是这个问题说明了人为的干预/刺激经济总是弄巧成拙，从2004年以来的刺激政策不停失败说明了这一点。现在很多人在质疑刺激政策（QE和TW) 的有效性。

littletiger

ctcld 发表于 2012-2-10 10:46
TLT 到顶了。。。

"Operation Twist" has got the Treasury market in a knot.

totally twist.

i believe OT is to lower the long term bond RATE! it is working as planned. this paper is twisting the truth.

z_crochio

Under foreigin risk factors+FED intervention, we have seen the amazing effect of rising stock + rising treasury. RUT falling behind DOWJ during a new high is also unseen in the 3 year bull market. This tells that buyers are generally yield chasing investors that look for safety+dividend.

In september, I believed that a yield driven rally would follow. But I also believed this would be a dangerous trap, because OT by itself should not effectively hold down long term rate. 400b is 2% of the total government debt, it's not even close to half the projected deficit of 2012.

Reverse effect of this may be small falling stock + big falling treasury, unless FED renew its support in June. There is some sign of this recently, maybe caused by good news. If to play the hype, I would chase RUT. But my current trade is short treasury + short stock, before next FED intervention.