Archive for November, 2008

Some Post Thanksgiving Reading

Sunday, November 30th, 2008

Swedish auto makers Saab and Volvo may seek aid from the Swedish government. The ECB will meet on Thursday and I found this interesting snapshot of the factors the ECB will consider as it gathers. Reports from Japan indicate that the BOJ will hold an emergency meeting to discuss methods of battling ...

Black Friday: Not a Debacle

Saturday, November 29th, 2008

Bloomberg with an article on Black Friday and consumer spending. The bottom line is that it was not a complete disaster. I just found this one in the Financial Times and it is not quite as sanguine in its view

November 28 2008 Closing Comments

Friday, November 28th, 2008

Prices of Treasury coupon securities posted solid gains in quiet an illiquid post Thanksgiving trading. The bond market will close in two hours at 200PM New York time. There was some month end buying that fueled the price gains.The yield on the 2 year note slipped 4 basis points to ...

Some Opening Comments November 28 2008

Friday, November 28th, 2008

Prices of Treasury coupon securities registered mixed results in overnight trading. Since a body in motion tends to stay in motion the recent trend of flattening of the yield curve remained in force as short maturities posted modest yield increases while longer maturities posted modest yield declines.The yield on the ...


Wednesday, November 26th, 2008

I want to take this opportunity to thank all of the readers of this blog for their support since its inception in January. I appreciate the many kind words and compliments that have been directed my way the last several months. I would be remiss if I did not publicly thank ...

Agency Spreads

Wednesday, November 26th, 2008

Agency spreads have held the gains attained yesterday. Two year spreads are tighter by 5 basis points. Five year and ten year spreads are each tighter by 3 basis points to 4 basis points.


Wednesday, November 26th, 2008

The 10 year treasury is flirting with the 3.00 percent level again. Participants view the Federal Reserve announcement yesterday as motivation and impetus for a huge curve flattening trade which is underway as we speak. Here is some of the logic. The banking system is taking advantage of the opportunity to finance ...

MBS and Swaps

Wednesday, November 26th, 2008

Mortgages are 8 ticks wider to swaps. The decline in rates led to some heavy origination yesterday and originators are sellers today. Ergo, some supply driven underperformance rather than some flight to quality trade. Swap spreads are leaking wider but there is no haemorrahage. Two year spreads are 1/2 basis point ...

From the Trend is Your Friend Department

Wednesday, November 26th, 2008

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IG 11

Wednesday, November 26th, 2008

The last quote I have seen on the IG 11 is 236 1/2  / 239 1/2.  That is five tighter than the close.  The trader who sent that out thinks that the street has used the IG 11 as an hedging instrument and that lifting of those hedges has the ...