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Enron Mail |
MAY DAY ... a holiday? or a (bond-market) plea for help?
Relative Value: 1. TYM1 / TYU1 still somewhat undervalued 2. TYM1 also relatively cheap compared to deliverable securities 3. UST: (a) 6 to 10 month TEDs very cheap (b) current 5yr somewhat rich vs Libor © 2yr roll is somewhat undervalued 4. GSE: (a) 2yr to 3yr Benchmark / Reference Notes likely to underperform both Libor and other GSE over near term (b) '05 paper relatively cheap vs Libor and otehr GSE paper © issues under 14 mos trading cheap (funding adjusted) Comments: 1. Refunding announcement tomorrow: (a) new 5yrs - roll is likely to open too cheap, (b) 10yrs - reopening 2. If data from Housing & (recent) auto production are "right" vs confidence reports ... then FedFunds Futures are probably overvalued (a) key facets of today's NAPM? ... employment & vendor deliveries .. if both are stronger... Previous Expect Overall 43.1 44 Employment 40.4 Vendor 48.3 (b) auto & light truck sales: previous was 14.2 combined, should be roughly unch WDC The information contained herein is based upon sources that we believe to be reliable, but we do not represent that it is complete or accurate. Estimates and expectations expressed are not a representation or a guarantee that such estimates or expectations will be achieved. Nothing contained herein should be considered as an offer to sell or a solicitation of an offer to buy any financial instruments discussed herein. Any opinions expressed herein are solely those of the author. As such, they may differ in material respects from those of, or expressed or published by or on behalf of Carr Futures, its affiliates, officers, directors or employees. Carr Futures. Carr Futures 150 S. Wacker Dr., Suite 1500 Chicago, IL 60606 USA Tel: 312-368-6149 Fax: 312-368-2281 soblander@carrfut.com http://www.carrfut.com
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