Archive for November, 2008
Wednesday, November 19th, 2008
This was sent to me by a friend of the blog and captures some of the issues which confronted the credit markets and which I think will re-emerge today.
CDS on Berkshire , the Warren Buffett AAA-rated company traded at 388bp.
The spread on the top, “AAA” rated CMBX-5 rose to a ...
Posted in Uncategorized | 4 Comments »
Wednesday, November 19th, 2008
Prices of Treasury coupon securities, on balance, continued the strong advance which began yesterday. (The 2 year note traded at the lowest yield level since the dawn of time but has set back modestly since it touched that new low yield level.) Trading remains motivated by fears that the recession ...
Posted in Uncategorized | Comments Off on Some Opening Comments November 19 2008
Tuesday, November 18th, 2008
That is the word that one market participant used to describe the action in the CMBS market today. I am sorry to be writing this so late but I just found it as I checked emails and thought it worth posting.
CMBX AAAs widened by 130 basis points. AJ tranches widened ...
Posted in Uncategorized | 10 Comments »
Tuesday, November 18th, 2008
Prices of Treasury coupon securities surged today as persistent buying in the long end of the market sparked a rally across the curve. Money managers and pension fund players in need of duration waved in the 10 year sector and the 30 year sector.The yield on the 2 year note ...
Posted in Uncategorized | 1 Comment »
Tuesday, November 18th, 2008
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Posted in Uncategorized | Comments Off on HSBC on NAHB
Tuesday, November 18th, 2008
Two year swap spreads are unchanged at 107 ¼ basis points. Five year spreads are 2 ¼ basis points tighter at 103 ½ basis points. Ten year spreads are 1 basis point tighter at 31 ¼ basis points and 30 year spreads are 8 ¼ basis points more negative at ...
Posted in Uncategorized | Comments Off on Swaps and Mortgages
Tuesday, November 18th, 2008
The corporate bond market as measured by the IG 11 has begun to crumble. The index is currently quoted 226/228 which is about 19 basis points wider on the day.Why the sharp spike out in that spread today? I think it is partly a result of the significant widening in ...
Posted in Uncategorized | 10 Comments »
Tuesday, November 18th, 2008
Brad Setser has a spectacular article on his blog about the move out of agencies by China and their replacement with Treasury bills and notes. It is an extraordinarily good analysis and I highly recommend it.
Posted in Uncategorized | 6 Comments »
Tuesday, November 18th, 2008
There is carnage in the asset backed markets again. I am not well versed on this stuff but in cobbling together a story it is pretty ugly. So by way of example one derivative veteran noted that the last cash flow AAA pieces of the ABX Index have declined 14 ...
Posted in Uncategorized | 3 Comments »
Tuesday, November 18th, 2008
Swap spreads are 4 basis points to 5 basis points across the curve except in the 10 year bucket which is only 3 basis points tighter. I had not watched the 30 year spread in a while but it is now NEGATIVE 23 ½ basis points.Agency spreads are suffering additional ...
Posted in Uncategorized | 4 Comments »