Archive for January, 2008

MBS and Vol

Thursday, January 31st, 2008

Volatility was higher today but most of that rise came between 300PM and 500PM yesterday. In today's trading session itself vol was flat but sustained the gains achieved in the back end of yesterday's session. MBS was about 6 basis point wider versus Treasuries. JJJ

Treasury and Agency Recap January 31 2008

Thursday, January 31st, 2008

Prices of Treasury coupon securities are registering modest gains today with the largest price increases in longer maturities. The yield on the 2 year Treasury is virtually unchanged from late yesterday at 2.16 percent and the yield on the benchmark 10year note has slipped about 3  basis points to 3.64 ...

Corporate Bonds

Thursday, January 31st, 2008

Corporate bond trading activity remains light in both the primary issuance market as well as the secondary market. One trader said that secondary trading had been confined to a narrow group of high profile go go names. At the open this morning paper was cheaper by 3basis points to as ...

Subprime Subdued

Thursday, January 31st, 2008

S and P downgrades a big chunk of the subprime universe late yesterday. I spoke with an aficionado of that market sector to discern the reaction. The reaction was muted and subdued. My interlocutor notes that most of the bad news is already reflected in current prices.( He noted that ...

Spread Widening: Limited

Thursday, January 31st, 2008

I just finished a conversation with a former colleague who manages a mostly mortgage portfolio. He made the point that the spread widening trade is beginning to feel a little tired. Swap spreads and mortgage spreads are wider but not by much and by not as much as one would ...

Back at My Work Station

Thursday, January 31st, 2008

I have returned as the medical doctor cancelled on me. I have gleaned some information from friends since I came back. Monoline insurers remain the flavor du jour. Participants await more downgrades in that sector and do not believe that the market(s) currently reflect the magnitude and severity of what will ensue. Against ...

Data Barrage

Thursday, January 31st, 2008

On a personal note I have a doctor appointment that will have me away from the PC for a large chunk of the day. And as I am a modern day Luddite I do not hang out at Starbucks or other hot spots with my laptop. In fact I dont ...

Some Overnight Flows

Thursday, January 31st, 2008

Tokyo real money buyer of bonds. Asian end user buyer of 5years. Real money account UK sells 5year part of curve in favor of 2 year sector. European seller 5years. Hedge fund seller 10years. Asian buyer callable agencies. USA based seller of 2years

January 31,2008 Opening Comments

Thursday, January 31st, 2008

Prices of Treasury coupon securities are posting modest gains in overnight trading but have retreated from the best levels attained at the opening of the Asian session. At that time the residue of the Fitch downgrade of FGIC remained in the air and equity markets in Asia were sharply lower. ...

Some Morning News

Thursday, January 31st, 2008

 Marketwatch on MBIA . Subprime losses strike Japan. Standard Chartered takes back an SIV.