Archive for August, 2008
Wednesday, August 6th, 2008
The FT has a fascinating story about a report of the Counterparty Risk Management Policy Group headed by Gerald Corrigan. He was President of the New York Fed in the 1990s and has been instrumental in molding and formulating risk management policies for derivatives and structured reports.
The latest report became ...
Posted in Uncategorized | 6 Comments »
Wednesday, August 6th, 2008
Prices of Treasury coupon securities tumbled today as Hank Paulson and his subalterns began the real world process of distributing securities to end users. The Treasury sold $17 billion new 10 year notes today at a yield of 4.075 percent. That stop out level was fully 1 basis point through ...
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Wednesday, August 6th, 2008
Agency spreads opened the day 2 basis points to 3 basis points wider today in response to the troublesome earnings report from Freddie Mac. Subsequently, reason and calm triumphed over emotion and spreads have narrowed and are closing about 1 basis point wider on the day.The rationale for only a ...
Posted in Uncategorized | Comments Off on Agency Debt
Wednesday, August 6th, 2008
Freddie CDS opened early this morning 220/230 which was about 20 wider than the previous close.
I just received a more recent quote at 225/235.
Posted in Uncategorized | Comments Off on FRE CDS
Wednesday, August 6th, 2008
The market for corporate bonds is back in the doldrums. The IG 10 is violently unchanged at 132. Secondary paper in the cash market trades by appointment only. One participant noted that the market is very illiquid and there is still a significant tiering of liquidity. Financial names of any ...
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Wednesday, August 6th, 2008
The Treasury in short order will auction $17 billion in newly minted 10 year notes. I think this paper is very cheap on the curve and one will be rewarded for buying against other parts of the curve.The issue has widened against the 2 year note from around 130 basis ...
Posted in Uncategorized | Comments Off on Ten Year Auction
Wednesday, August 6th, 2008
The English word mortgage shares a Latin root with words which deal with death such as mortal or mortify. The Latin root is mors which literally means death. Mortgage takes its meaning from the Old French word for "dead pledge".I mention this because the mortgage market today is a near death ...
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Wednesday, August 6th, 2008
Bank buying 10s.
Hedge funds buying 10s
Asian Central banks buying 5s
Central Banks buying 10s
Posted in Uncategorized | 1 Comment »
Wednesday, August 6th, 2008
Freddie Mac sub debt has traded 10 basis points to 15 basis points wider this morning from levels which prevailed in late trading yesterday.
CDS currently quoted 220/230.
Posted in Uncategorized | Comments Off on Freddie Mac CDS
Wednesday, August 6th, 2008
Prices of Treasury coupon securities have posted modest gains in overseas trading. Economic data released overnight once again manifest clear evidence of weakness. German factory orders declined 2.9 percent in June versus expectations of a small gain. The report for the previous month was revised lower, too was revised lower.Spanish ...
Posted in Uncategorized | Comments Off on Opening Comments August 6 2008