Archive for May, 2008
Friday, May 30th, 2008
Prices of Treasury coupon securities have posted modest gains today in a session marked by ennui, boredom and very light volume for an end of month session. The weather here in metropolitan New York is spectacular today and I suspect that many bond market participants decided that after a week ...
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Friday, May 30th, 2008
I just spoke with a friend who is one of my usually reliable sources. He spends his life hawking corporate bonds to the unsuspecting. He just lamented that it is extremely quiet today. Spreads are unchanged in corporates, agencies and swaps.Separately, today brings to a close the busiest month in ...
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Friday, May 30th, 2008
Benchmark Treasury debt is in the throes of a nice little rally this morning and has erased much of yesterday's sell off.The economic data which we have received this morning has not deviated dramatically from expectations and is not the motivation for the buying. I think the driving force behind ...
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Friday, May 30th, 2008
Here is a link to a site at the Federal Reserve Bank of Richmond which will tell you all you need to know about the repo market.
In my experience repo traders were woefully mistreated (a little hyperbole) but in the caste system which often prevailed in a Wall Street trading ...
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Friday, May 30th, 2008
Several readers have requested a discussion of positive carry and the ride down the yield curve.I will assume a par bond of $1mm and no accrued interest.
I will use the approximately the same set of facts I used in my closing commentary yesterday. That is, the current 2 year note ...
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Friday, May 30th, 2008
Prices of Treasury coupon securities have continued their rebound which began with the conclusion of the 5 year note auction yesterday afternoon. That auction resulted in a yield of 3.52 percent for that issue and was 2 ½ basis points cheaper than levels which prevailed in cash market trading at ...
Posted in Uncategorized | Comments Off on Some Opening Comments May 30 2008
Thursday, May 29th, 2008
Prices of Treasury coupon securities took a wild ride today as convexity selling and supply from the US taxpayers darkened sentiment. The yield on the benchmark 2 year note has climbed 3 basis points to 2.69 percent. The yield on the benchmark 5 year note has climbed 8 basis points ...
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Thursday, May 29th, 2008
Benchmark agency spreads are about a basis point wider today. The more interesting agency story was the action in the discount note market, which is generally a staid backwater.As one trader described events to me there has been a bit of a perfect storm in that market this week. The ...
Posted in Uncategorized | Comments Off on Agency Market
Thursday, May 29th, 2008
Swap spreads are about a basis point wider across the yield curve today. There was significant paying early in the day by mortgage servicers and other hedgers. Additionally, there was outright paying by hot money specs that chose swaps as a vehicle to short the market in advance of the ...
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Thursday, May 29th, 2008
Corporate bonds are unchanged in cash trading today. But that understates the true story as very little is trading and bid/offer spreads are wider today.The new issue machine is cranked up and there are several deals in the market and several from yesterday which are undergoing the absorption and digestion ...
Posted in Uncategorized | Comments Off on Corporate Bonds