Archive for May, 2008
Thursday, May 15th, 2008
Mortgages continue to perform superbly and are out performing Treasury market by about 5 ½ ticks. There has been chunky buying by foreigners and only intermittent profit taking which the street is delighted to position. It seems like there is a bit of a duration based bid today as the ...
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Thursday, May 15th, 2008
Prices of Treasury coupon securities extended their swoon in overnight trading as stronger than expect GDP data for the Euro region drained strength from fixed income markets and bolstered equity markets. The yield on the benchmark 2 year note has climbed 5 basis points to 2.57 percent. The yield on ...
Posted in Uncategorized | Comments Off on Opening Comments for May 15 2008
Wednesday, May 14th, 2008
Some random musings on ABX trading from a proprietary trader:
The new PenAAA tranches were better by 2 points to 3 points today (07-2,07-1,and 06-2) and the corresponding last cash flow pieces improved between 1/2 point and 1 point.
Market tone was bullish.
Some participants sold the new PenAAA tranches as a hedge.
The ...
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Wednesday, May 14th, 2008
You will have to dig a little for the pertinent piece of this story but Bloomberg notes that Level 3 Assets at Freddie Mac jumped to nearly $157 billion on March 31. That compares rather unfavorably with the $32 billion which they were lugging around at year end 2007.
For the ...
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Wednesday, May 14th, 2008
This story is funny. Russian leader Putin proposes a tax holiday for companies exploring for oil and gas. Does anyone see the irony here?
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Wednesday, May 14th, 2008
Prices of Treasury coupon securities took a roller coaster ride today and are finishing the session with mixed results. The yield on the benchmark 2 year note is 4 basis points higher and is closing at 2.51 percent. The high yield on the issue was 2.59 percent. The yield on ...
Posted in Uncategorized | Comments Off on Closing Comments May 14 2008
Wednesday, May 14th, 2008
Corporate bonds are a couple of basis points tighter today. The market was quiet and several salesmen with whom I chatted suggested that the market was busy digesting the recent supply. There was only one noteworthy deal today and that was a $700 million offering by Canadian Pacific ($400million 5 ...
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Wednesday, May 14th, 2008
Agency spreads opened wider this morning but are finishing the day unchanged. Investors took solace and succor from the Freddie Mac earnings report which registered a smaller loss than participants had expected. The significant yield increases in the Treasury market has brought in buyers across the curve in both bullet ...
Posted in Uncategorized | Comments Off on Agency Close
Wednesday, May 14th, 2008
The Penultimate ABX indices began trading for the first time today. I do not have a full background in sub prime but it is such a strange, sad, arcane and esoteric backwater. A deal might have three or four AAA tranches and they would run from first pay down to ...
Posted in Uncategorized | Comments Off on Next to Last
Wednesday, May 14th, 2008
Here is a nice piece from economist Michael Feroli at JPMorgan which examines the entrails of the CPI report:
The April CPI increased 0.21% and the core measure (excluding food and energy) rose 0.10%, both increases coming in below market expectations. The three-month annualized rate on core CPI is now running ...
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