Archive for April, 2008

A Liquidity Trickle

Monday, April 14th, 2008

After I finished the prior post regarding the swap market, I decided to visit with a trader who has trafficked in money market instruments for over 20 years and who has been anonymously quoted in this space previously. This trader notes a significant improvement in liquidity in money market space. He ...

Swap Spreads

Monday, April 14th, 2008

 Swap spreads have begun to leak wider following the great tightening which began with the JPMorgan/Federal Reserve rescue/bailout of Bear Stearns. On Friday March 14th The 5 year swap spread closed at nearly 94 basis points and tightened to 77 basis points last Monday April 7. At the present moment ...

MBS

Monday, April 14th, 2008

 MBS flows generally muted today except for some 15 year buying from servicers and overseas interest in 30 year paper. Spreads are following swaps wider and stuff is 2 basis points weaker to 10 years and 5 wider to the 5 year.

Corporate Bonds

Monday, April 14th, 2008

 Corporate bond spreads in the cash market for secondary trading are in the words of a fromer colleague”violently unchanged". The IG10 is a little wider at  as it closed Friday at 128/129 and rests currently at about 131. It had been quoted as wide as 132/134 earlier.The new issue market ...

Liquidation and Capitulation

Monday, April 14th, 2008

This piece was out last week and in a sense is indicative of the winding down of the credit crunch.  I suspect the the winding down ,though ,may be the Beatles Long and Winding Road. Basically six CDOs totalling $2.8 billion are set for liquidation this week.

Some Overnight Flows

Monday, April 14th, 2008

Asian real money selling of 2 year notes. Central banks sellers of 5 years. Bank sellers of 2 years. Spec sellers of 5 years. Real money selling of off the run 2 year series. Real money in Europe buys 5 year.

Opening Comments for April 14 2008

Monday, April 14th, 2008

 Prices of Treasury coupon securities are posting modest gains in overnight trading. The yield on the benchmark 2 year note has tumbled 5 basis points to 1.69 percent. The yield on the 5 year note has slipped 3 basis points to 2.54 percent. As one moves out to the longer ...

Sunday Evening Links

Sunday, April 13th, 2008

The week is just beginning and the effects of the protracted crisis remain in full view as the press reports that Wachovia will open the week with announcement of a capital infusion. And the FT muses on what the earnings announcements from Merrill and Citi might bring. The shoppers are staying home ...

Closing Commentary April 11 2008 (Abbreviated)

Friday, April 11th, 2008

 Prices of Treasury coupon securities registered sharp,but in my opinion ,tempered gains today in response to the disappointing earnings news and forward outlook from bellwether industrial and financial giant General Electric. Additionally,the University of Michigan preliminary reading for April Consumer Confidence skidded to 63 from 69.5 in March.This level represents ...

Vaporized

Friday, April 11th, 2008

 I thought that this was humorous in a sick way. There is an on line periodical called Total Securitization which I can not access or link to but someone sent me an article from which describes the fate of a CDO called TABS 2007-7. UBS was the underwriter and given ...