Archive for September, 2008

Agency Market

Monday, September 29th, 2008

Agency spreads widened quite a bit today. Spreads in the 2 year sector are 10 basis points to 12 basis points wider. Five year sector spreads have widened 5 basis points to 10 basis points as have spreads in the 10 year sector. Illiquidity has triumphed and it is very difficult ...

Mortgages

Monday, September 29th, 2008

Mortgages are nearly a point wider to swaps. Swaps are 1 ½ wider in the 2 year sector and 2 ½ basis points tighter in the 5 year sector and 2 ¾ basis points tighter in the 10 year sector.Servicers preoccupied themselves by receiving in the swap market and by ...

Corporate Bonds

Monday, September 29th, 2008

Corporate bond spreads as represented by the IG 10 are 178 ish currently after opening at 170 and subsequently trading into the mid 160s. There is virtually no trading of cash securities.  I have heard several (two, actually) suggest that this might place the union of Citibank and Wachovia at jeopardy and ...

Random Musings

Monday, September 29th, 2008

Several traders and portfolio managers with whom I speak decried the forced union of Citibank and Wachovia. There are questions about how Citi will absorb the losses. One trader quipped that it was the financial equivalent of two drunks without a light pole to lean on  propping one another up. ...

Money Markets

Monday, September 29th, 2008

The money market trader with whom I regularly converse tells me that the dislocations "are so extreme that the market has ceased to function."He notes that the announcement of a massive increase in liquidity has failed to dent the problem and that probably 95 percent of trading is overnight basis. ...

Morgan Stanley

Monday, September 29th, 2008

Morgan Stanley CDS 13/15

Mortgages

Monday, September 29th, 2008

Mortgages are 4 ticks wider to Treasury paper and 3 ticks wider to swaps. Trading volume is extremely light.

IG 10

Monday, September 29th, 2008

The IG 10 is quoted about 162 1/2 which is about 7 1/2 basis points tighter than the 170 basis point quote I received earlier this morning.

Opening Comments September 29 2008

Monday, September 29th, 2008

Prices of Treasury coupon securities are surging this morning as the credit crunch metastasizes across the ocean in spite of the agreement by the United States Congress to inject $700 billion into the banking system to purchase debilitated assets.Over the weekend three European governments have intervened to save Fortis Bank. Hypo ...

JPMorgan Re Interest on Reserves

Monday, September 29th, 2008

This is the JPMorgan take on the provison of the new law which allows the Fed to pay interest on reserves. It is a much clearer explanation than I offered earlier. Tucked away in the details of the TARP legislation is a small clause that could revolutionize monetary policy-making in the ...