美国国债市场和国债期货

Macro-driven market environment (Risk-on and Risk-off)
But great for US Treasuries
130
Barclays 20 Year US Treasruy
125
120
115
110
105
100
95
90
85
80
2010/12/31
Trading Strategies in USTs
market trades that implement Fed’s monetary policy Dealers: regular and primary dealers Clients BrokerTec and eSpeed own the on-the-run interdealer broker business Tradeweb and Bloomberg dominate intitutional dealer-to-client trading
Bill Gross boosted Treasury holding to 38 percent of assets in Pimco’s $250.5 billion Total Return Fund
Bernanke and the US Fed
Quant Easing one, two, …. N? Operation Twist inflation target of 2% Will keep the benchmark interest rate at virtually zero
US Treasury: debt management and auctions The Fed: monetary policy Maximum employment Stable price (2% inflation target) The Federal Reserve bank of New York executes open
2011/3/31
2011/6/29
2011/9/27
2011/12/26
108 106
7-10Year US Treasuries
104
102 100 98 96 94 92 90 88 86 2010/12/31 2011/3/31 2011/6/29 2011/9/27 2011/12/26
US Treasury Daily Average Trading Volume ($Bn, SIMFA)
600.0 500.0
400.0
300.0
200.0
100.0
0.0 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
免责声明：演讲内容仅供参考，本人不对由此产生的投资行为负责
2011 was challenge for equities
1400
S&P 500
1350
1300
1250
1200
1150
1100
1050
1000 2010/12/31 2011/4/10 2011/7/19 2011/10/27 2012/2/4
But what about 2012 and Beyond? Will US Treasuries continue perform well?
Buffet: Bonds are dangerous
Bonds should come with a warning label Over the past century these instruments have destroyed the purchasing power of investors in many countries, even as these holders continued to receive timely payments of interest and principal. High interest rates, of course, can compensate purchasers for the inflation risk they face with currency-based investments -- and indeed, rates in the early 1980s did that job nicely, Current rates, however, do not come close to offsetting the purchasing-power risk that investors assume.
Part I: Instruments and Players Part II: Trading Strategies
Instruments
Treasury Bills Treasury Notes Treasury Bonds Tips Repos and Reverses in Treasuries On-the-run and Off-the-run Treasury Futures
Fed’s balance sheet Heaven securities: UST, JGB, Gilts and German Treasuries I am not so much concerned about the return on my money, but the return of my money ---Will Rogers
Laurence Fink (CEO of BlockRock)
Investors should have 100 percent of their holdings in equities because they offer higher returns than bonds. Investors who seek the safety of treasury bonds will have minimal returns and will not be able to meet their needs with the U.S. Federal Reserve expected to keep interest rates low. Greek debt crisis will be resolved as it's not in anyone's interest to have a blowup now. The European Central Bank would be able to provide liquidity to stabilize the European markets this year, Fink said
What should we do? Do we have to know the direction of the Treasury market to make money in US Treasuries?
Trading in the Treasury market
With its huge outstanding amount and incredible
US Treasury Futures
Brief History
Liquidity: trading volume and open interests
Specification Delivery options
Squeeze in Treasury futures
Players in US Treasury Market
120 118 116 114
US Treasury TIPs
112
110 108 106 104 102 100 98 2010/12/31 2011/3/31 2011/6/29 2011/9/27 2011/12/26
Pimco’s Gross Regrets ‘Mistake’
Bill Gross, manager of the world’s largest bond fund for Pimco, has admitted that it was a mistake to bet so heavily against the price of US government debt. Mr Gross emptied his $244bn Total Return Fund of US government-related securities earlier this year in a highprofile call that has backfired as the bond market has rallied. As of Monday, Pimco’s flagship fund ranked 501th out of 589 bond funds in its category. Mr. Gross's fund has been a laggard this year. “Do I wish I had more Treasuries? The fund had handed investors a return of Yeah, that’s pretty obvious,” Mr Gross 3.79% this year through Monday, compared told the Financial Times last with 7.86% on the Barclays Capital U.S. week, adding: “I get that it was my/our Aggregate Bond Index, according to mistake in thinking that the US Morningstar. economy can chug along at 2 per cent real growth rates. It doesn’t look like it
until at least late 2014 Bernanke said he is not seeking faster inflation Normal easing when reducing fed fund rate will result yield curve steeping QE and OT push down long end yield and flattening the yield curve
US Treasuries as Heaven Securities
US Debt Ceiling Debate S&P downgraded the credit rating of the United States Upheaval in the mid east European debt crisis Bernanke's operation twist: increase the duration of

源自文库
liquidity, US Treasuries is one of the best asset class for QT Good traders on both buy and sell side make many many millions of dollars Trading is a statistic game Strategy with edge you can play with it again and again A sound money management system Understand the very detail of the Market