Archive for February, 2008

Closing Comments February 29 2008

Friday, February 29th, 2008

 Prices of Treasury coupon securities surged today powered by credit fears, weak economic data and a rapidly wilting stock market. Credit fears emmanate from the ongoing credit crunch and associated deleveraging which has taken mortgage based hedge funds hostage this week. Economic data has been uniformly weak and that the ...

Unintended Consequences

Friday, February 29th, 2008

 A market based friend of mine passes along an interesting story about the origins of the recent burst of margin calls which have roiled the MBS markets. Supposedly , a large European based investment bank domiciled in a neutral country had need to off load some positions.A very large on ...

Some Thoughts On Surcharges, Caps and Liquidiy

Friday, February 29th, 2008

 The MBS market is still a shambles and illiquidity reigns. For many years prior to the onset of this crisis last year bid to offer spreads on pass through paper had tightened significantly and it was easy for large institutional players to shift around billion dollar blocks of TBA paper ...

Morning and Mourning Has Broken

Friday, February 29th, 2008

The preponderance of economic data suggests that the economy is in a recession and given the risks that the FOMC has outlined that suggests that rates will go lower faster and stay there longer than any one would have thought just a few weeks ago. The equity market is having ...

Economic Data

Friday, February 29th, 2008

The Chicago Purchasing Managers Survey was an unmitigated disaster and presages a weak national survey on Monday. The index tumbled to 44.5 (consensus 49.5) from 51.5 in the prior month. Employment plunged dramatically dropping to33.5 from 47. Production declined to 46.5 from 51.3. Supplier deliveries fell to 39.6 from 61.7. The one bright spot ...

Some Links for February 29 2008

Friday, February 29th, 2008

A Bloomberg story which suggests we have only seen the tip of the iceberg. An interesting analysis of the origins of the current crisis. A very interesting discussion by Professor Hamilton of Ben Bernanke as highwire performer.

Opening Commentary February 29 2008

Friday, February 29th, 2008

 Prices of Treasury coupon securities are registering robust gains in overseas trading but are little changed from levels attained early in Tokyo trading.As best I can ascertain the news is not significantly different time than it was when I wrote last evening at 700PM ET. Equity markets around the globe ...

A Late Night Report

Thursday, February 28th, 2008

 Prices of Treasury coupon securities are surging to new highs in overnight trading and as has been its wont the 2 year note leads the pack. In my closing commentary written about 300PM ET the 2 year note was trading at a yield of 1.86 percent. It is 900PM ET ...

Agency Market

Thursday, February 28th, 2008

 Agency spreads opened tighter as duration buying infected this sector ,too, but faded as the day progressed. Two year paper is about unchanged on the day while 5 year and 10 year spreads are about 2 basis points wider. Dealers report some selling in the front end as absolute yield levels ...

MBS

Thursday, February 28th, 2008

 Mortgage spreads tightened between 3 basis points and 7 basis points and the magnitude of the move depended on the coupon. The huge buying of yesterday continues as real money, banks and servicers look for duration. So FNMA 5s have outperformed swaps by 6 basis points and the 5 ½ ...