Archive for February, 2008
Thursday, February 21st, 2008
The Treasury market has rallied on the weak Phiadelphia Fed manufacturing data. Most of the trading yesterday and today has centered around unwinds of curve trades. As I noted earlier the 2year/10 year spread traded on Tuesday morning at 190 basis points. Prior to the release of the weak data ...
Posted in Uncategorized | Comments Off on Treasury Update
Thursday, February 21st, 2008
The initial claims printed exactly as the pundits and prognosticators had expected at 349K. There was an upward revision of 10K to last week's data making it 358K. That leaves the four week moving average at 360.5K and, as I wrote earlier this morning that leaves that average at the ...
Posted in Uncategorized | Comments Off on Risk Resurgence(and some data)
Thursday, February 21st, 2008
I glossed over the problems of CDOs and CPDOs in a post yesterday.Bloomberg has a rather comprehensive article this morning about the situation
Posted in Uncategorized | Comments Off on Alphabet,Acronyms and Angst
Thursday, February 21st, 2008
Prices of Treasury coupon securities have posted mixed results in overnight trading and have reprised the curve flattening which had begun in US trading.The 2year note has seen its yield rise to 2. 18 percent while the yield on the benchmark 10 year has moved higher by a basis point ...
Posted in Uncategorized | Comments Off on Opening Comments
Thursday, February 21st, 2008
Dresdner bails out a SIV.
Japanese averse to risky SWF.
Ebullient equities in Asia.
Credit crunch.
Auction rate security market as a source of new longer maturity supply.
Posted in Uncategorized | Comments Off on Some Overnight News
Wednesday, February 20th, 2008
Prices of Treasury coupon securities registered mixed results today as some of the recent curve steepening was squeezed out of the market. Once again I will proceed in a non chronological fashion and lead with the 30 year bond which saw its yield drop by about 5 basis points. All ...
Posted in Uncategorized | Comments Off on Closing Commentary
Wednesday, February 20th, 2008
The text of the minutes on Bloomberg was unusually long and taxed my eyesight as I waded through the copius compendium of homogenized Fedspeak. As one would expect the tone of the tome was consistent with the 125 basis points of ease which they delivered to the markets. They had ...
Posted in Uncategorized | Comments Off on FOMC Minutes,Briefly
Wednesday, February 20th, 2008
Tips outperformed nominal Treasury debt yesterday and the greater than expected increases in headline and core CPI has spooked some investors to flee to TIPS. I watch the 10 year breakeven spread as barometer of inflation expectations. It is just a matter of taste. The spread moved 4 basis points yesterday ...
Posted in Uncategorized | Comments Off on TIPS
Wednesday, February 20th, 2008
The mortgage market is another dysfunctional mine field which a portfolio manager with whom I spoke categorized as barely functioning. Plain vanilla pass through paper trades at record wide spreads to Treasury debt. At the moment current coupon MBS is trading at +234 basis points to the blended 5year /10year ...
Posted in Uncategorized | Comments Off on MBS
Wednesday, February 20th, 2008
The corporate bond market is a debalce as are most of the high grade( or like Prince, markets formerly known as high grade)markets. The IG9, an index of high grade credits reached a new record wide today as it wdened to 163 . As recently as about a month ago ...
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