Archive for June, 2009

Bond Market Close June 30 2009

Tuesday, June 30th, 2009

Prices of Treasury coupon securities sagged modestly today as the much ballyhooed month end / quarter end trade failed to materialize. There were several factors at work. The market has rallied 50 basis points from the high yields attained in early June and that has probably induced some discretionary selling. Dealers ...

Agency Spreads

Tuesday, June 30th, 2009

Agency spreads were mixed this final day of the second quarter. Ten year spreads were tighter by one basis points or two. That sector benefited from the long end buy back by the Federal Reserve. Five year spreads are just a basis point tighter and 2 year spreads are one ...

MBS and Swaps and VOL

Tuesday, June 30th, 2009

Swap spreads are wider across the curve today. They have leaked a basis point wider since I posted on the topic earlier in the day. The conventional wisdom attributes the widening to the Oracle corporate deal which was expected to be in the $ 3billion to $ 4 billion vicinity. ...

MBS

Tuesday, June 30th, 2009

Mortgages are a tick or two tighter to swaps and buyers have emerged as the Treasury market recovers. The plunge in stocks is for the moment buttressing the Treasury market bid. Dealer s report real money buying of mortgages as well as money managers, the Federal Reserve and Asian investors. As we ...

Corporate Bonds

Tuesday, June 30th, 2009

Corporate Bond spreads are marginally tighter on this final day of the quarter. The focus of many investors is to get in sync with the index and that has generated OWIC and BWIC activity. New issue activity is also prominent. The French Telecom deal of yesterday priced at 195 and has ...

Swap Spreads

Tuesday, June 30th, 2009

Swap Spreads are two basis points wider across the curve. Two year spreads are at 40 basi spoints. Five year spreads are at 41 basis points. Ten year spreads are at 24 basis points and 30 year spreads are NEGATIVE 14.

IG 12 and Some CDS

Tuesday, June 30th, 2009

- 5yr Snr Bank CDS: BAC 215/225 (-5), CITI 413/433 (-7), JPM 103/113 (-5), WFC 145/155 (-7) - 5yr Snr Broker CDS: GS 143/153 (-5), MS 200/210 (-5) - CDS Index: IG12 131.5/133 (-3)

Selected Corporate Bond Quotes

Tuesday, June 30th, 2009

C 5.65 2018 400/390    tighter by 5 basis points JPM 6.3 2019     265/255    tighter by 5 basis points GS 7.5 2019 300 /290      tighter by 10 basis points

Buybacks Today

Tuesday, June 30th, 2009

In my initial posting I failed to mention some buy back activity today. The Open Market Desk will purchase the May 2016 through May 2019 sector of the Treasury market at 1100AM. And they will purchase the 2016 through 2032 sector of the agency market at 200PM.

Bond Market Open June 30 2009

Tuesday, June 30th, 2009

Prices of Treasury coupon securities posted marginal declines in overnight trading. The yield on the 2 year note climbed by the most  as it edged higher 3 basis points to 1.12 percent. The yield on the 3 year note increased 2 basis points to 1.62 percent. The yield on the ...