Extension
Friday, September 25th, 2009I mentioned this in something I wrote today and do not recall which post. Anyway the FT has a story regarding the exodus from money funds and very low rates to points out the curve via bond funds.
Archive for September, 2009
I mentioned this in something I wrote today and do not recall which post. Anyway the FT has a story regarding the exodus from money funds and very low rates to points out the curve via bond funds.
Bond Market Close September 25 2009
Friday, September 25th, 2009Prices of Treasury coupon securities put in a most bifurcated performance today with benchmark issue maturing in 5 years or less languishing whilst the gaggle of bonds with longer maturities loved life and lurched higher. There were a variety of reasons for the significant curve flattening. Federal Reserve Governor Warsh kindled the ...
Exotic Option Hedging
Friday, September 25th, 2009Exotic option hedging contributed to the flattening of the Treasury curve today. Here is an excerpt of an explanation of the option structure and what forced the hedging: " Power Reverse Dual Currency notes.. Yield enhanced notes issued in Japan. - They pay a coupon in USD linked to the USD/JPY ...
SWAPS
Friday, September 25th, 2009Swap spreads are finishing the day mixed. Two year spreads are a basis point wider at 31 basis points. Five year spreads are flat at 32. Ten year spreads are a basis point tighter at 16 1/2. Thirty year spreads are flat at NEGATIVE 11.
MBS
Friday, September 25th, 2009Mortgage spreads are moving pretty much in line with swap spreads. The Federal Reserve has been soaking up 5s while money managers have been better buyers of 5 1/2s and 6s. There has been quite a bit of activity in the 15 year sector. Lower mortgage rates has fostered quite a bit ...
Musical Interlude
Friday, September 25th, 2009Regular readers know that I am a sucker for Bob Dylan and other artists covering Bob Dylan's songs. So now playing at Across the Curve global headquarters is "Postcards of the Hanging" which is a collection of renditions of Dylan performed by the Grateful Dead. I particularly enjoy their version of Desolation ...
VOL
Friday, September 25th, 2009The premium on a three month/ten year ATM swaption straddle is 479 basis points. Annualized vol is 138 and the daily breakeven is 8.6 basis points. The premium on a 5year/10 year ATM swaption straddle is1450 basis points. Annualized vol is 116.5 and the daily breakeven is 7.3basis points Breakeven levels yesterday ...
Freddie Mac Portfolio
Friday, September 25th, 2009The retained mortgage portfolio at Freddie Mac is declining with alacrity. It peaked in March of this year at $ 867 billion and was down to $ 780 billion at the end of August. The portfolio has declined at a particularly rapid rate in July and August as it fell $ ...
Treasury Miscellany
Friday, September 25th, 2009The Treasury yield curve has flattened in early trading. The 2year/10 year spread has flattened to 240 basis points from 242 when I composed my opening piece. The 10year/30 year spread has flattened to 77 basis points from 80 at the open. If you wish to view the full arc of the yield ...
More on the Warsh Article in WSJ
Friday, September 25th, 2009I have heard an interesting theory on the Warsh article. A portfolio manager with whom I converse as well as an economist report to me that there has been a reasonable amount of speculation the Warsh would be leaving the Board in a reasonably short period of time. The theory is that ...