Bloomberg: Morgan Stanley was burned by a wager on U.S. inflation expectations in the second quarter, three people informed of the dealings said.
Traders at the bank bet that inflation expectations for the next five years would rise in Treasury markets, while forecasts for the next 30 years would fall, according to two of the people. Such wagers on so-called breakeven rates involve paired purchases and short sales of Treasuries and Treasury Inflation Protected Securities, or TIPS, in both maturities.
The TIPS market was roiled last week by the combination of a slump in the price of crude oil and a stronger-than-expected auction of new 30-year TIPS. Source
Traders at the bank bet that inflation expectations for the next five years would rise in Treasury markets, while forecasts for the next 30 years would fall, according to two of the people. Such wagers on so-called breakeven rates involve paired purchases and short sales of Treasuries and Treasury Inflation Protected Securities, or TIPS, in both maturities.
The TIPS market was roiled last week by the combination of a slump in the price of crude oil and a stronger-than-expected auction of new 30-year TIPS. Source
Mahalanobis - am 2011-06-29 11:30 - Rubrik: Finance
Mahalanobis meinte am 29. Jun, 11:39:
R Code
library(zoo)inflation <- read.zoo("V:/Stastny/inflation.txt", header=TRUE, format="%d.%m.%Y")
usggbe05 <- inflation[,1]
usggbe30 <- inflation[,2]
spread <- usggbe30 - usggbe05
png(file="V:/stastny/inflation01.gif", width=500, height=500)
plot(usggbe05, col="red", lwd=1, ylim=c(-1,4), ylab="%", xlab="", main="US Breakeven Inflation Rates",)
lines(usggbe30, col="blue", lwd=1)
abline(h=0, lty=2)
dev.off()
png(file="V:/stastny/inflation02.gif", width=500, height=500)
plot(spread, col="dark green", lwd=2, ylab="%", xlab="", main="US Breakeven Inflation Spread",)
abline(h=0, lty=2)
dev.off()
