Archive for July, 2009

Corporate Bond Issuance

Thursday, July 30th, 2009

Ford Motor is doing a benchmark three year deal. I have not heard price talk but there is an outstanding issue, the 7.80s of 2012 which trades to a dollar price around 92. I am told that at that level it yields around 11.25. Citibank is also raising money in the ...

Swaps and MBS

Thursday, July 30th, 2009

In the swap market there was some paying overnight from Asian investors which has weighed on sentiment. There has also been profit taking by professionals who benefited from some spread tightening. Relative value accounts are looking at the 7 year part of the swap curve (to own it) versus 5 years ...

Swaps

Thursday, July 30th, 2009

Swap spreads are opening wider this morning. Two year spreads are 2 basis points wider at 37. Five year spreads are (roll adjusted) a basis point wider. Ten year spreads are a basis point wider at 25 and thirty year spreads are 2 basis points less inverted at NEGATIVE 14 ...

Buyback

Thursday, July 30th, 2009

The Open Market Desk will intervene in the free market and will purchase Treasury securities which mature between May 2012 and November 2013

Bond Market Open July 30 2009

Thursday, July 30th, 2009

Prices of Treasury coupon securities slumped in overnight trading as stock market gains and uncertainty regarding demand for the Treasury seven year note auction (later today)pushed prices lower. The yield on the 2 year note increased 2 basis points to 1.18 percent. The yield on the 3 year note climbed 3 ...

Libor

Thursday, July 30th, 2009

Three month Libor set at 0.48313 this morning versus 0.48750 yesterday.

Bond Market Close July 29 2009

Wednesday, July 29th, 2009

Prices of Treasury coupon securities took a wild ride today as a variety of cross currents buffeted the fixed income market. Markets opened with a bid on equity market weakness in China and maintained its firm one following an ostensibly weak Durable Goods report. As the day   progressed the focus of the ...

Swaps and VOL and MBS

Wednesday, July 29th, 2009

Swap spreads are mixed. Two years adjusted for the roll are a basis point narrower at 35 1/4. Five year spreads are 2 1/4 basis points tighter at 38 3/4. Ten year spreads are 1/2 basis point wider at 22 3/4. Thirty year spreads are 2 1/2 basis points less ...

Little Yield Curve Stuff

Wednesday, July 29th, 2009

The less than enthusiastic reception for the 5 year note has prompted some shifts in the yield curve. The 2year/5year/10 year spread (using the WI ) is now about 50 basis points. That which looked cheap is now cheaper by about 5 basis points. The 2year/10 year spread has narrowed to 251  ...

Auction Results: Less Than Festive

Wednesday, July 29th, 2009

Tim Geithner threw a party today and he proved to be the most unpopular boy on the block as the response to his invitation was less than enthusiastic. The 5 year note produced a yield of 2.689 percent. I often write here of the "tail'. The "tail' in an auction is ...