Archive for September, 2009

Administrative Note Redux

Wednesday, September 30th, 2009

After much effort my computer is back and operating here on the world wide web. Unfortunately, I will not be blogging today as I must be in the big city for a series of meetings. Blogging will resume tomorrow. Thank you and have a great day. JJJ

Technical Difficulties/ Open Thread

Tuesday, September 29th, 2009

Once again we are experiencing technical difficulties here at the Across the Curve headquarters.  Blogging will resume as soon as the issue has been resolved.  Please feel free to discuss below (though if you are new to the site, your comments won't appear because I won't be able to approve ...

Bond Market Close September 28 2009

Monday, September 28th, 2009

There is not alot trading so I am going to dispense with my normal close. The yield on the 2 year not is unchanged at 0.98 percent. The yield on the 3 year note has increased a basis points to 1.47 percent. The yield on the 5 year note has declined ...

Swaption Vol

Monday, September 28th, 2009

The premium on a three month/ten year ATM swaption straddle is468 basis points. Annualized vol is136.8 and the daily breakeven is 8.55 basis points. The premium on a 5year/10 year ATM swaption straddle is1443 basis points. Annualized vol is 115.8 and the daily  breakeven is 7.2basis points Breakeven levels  yesterday were 8.6 ...

More MBS

Monday, September 28th, 2009

One dealer reports that the Federal Reserve has been a chunky buyer of the 15 year sector on the mortgage market. He notes that this is the Desk's first foray into that sector in several weeks and the sector benefits as it outperforms the 30 year sector by 3 ticks.

MBS

Monday, September 28th, 2009

Mortgages have opened about in line with swaps. The Yom Kippur holiday has dampened customer flows. There is a bit of resistance developing as dollar prices ramp higher. On the other hand MBS has benefitted from servicer buying, Federal Reserve buying and lower vol.

Swap Spreads

Monday, September 28th, 2009

Swap spreads are mostly tighter today. The 2 year spread is unchanged at 31 1/2. Five year spreads are a basis point tighter at 31. Ten year spreads are a basis point tighter, also, at 15 1/2. Thirty year spreads have narrowed a basis point to NEGATIVE 12.

Treaty of Lisbon

Monday, September 28th, 2009

The Treaty of Lisbon was signed in late 2007 and the intent of the document is to improve the efficiency of the EU. Later this week Irish voters will participate in a referendum on the treaty. Bellow are some thoughts from Brown Brothers analysts on the topic: For the second time in ...

Libor

Monday, September 28th, 2009

Libor is unchanged at 0.28250.

Bond Market Open September 28 2009

Monday, September 28th, 2009

Prices of Treasury coupon securities are either unchanged or just a tad lower in overseas trading. The yield on the 2 year note has increased a basis point to 0.9 percent. The yield on the 3 year note has increased by a basis point to 1.47 percent. The yield on the ...