Archive for December, 2008

Some Opening Comments December 12 2008

Friday, December 12th, 2008

Prices of Treasury coupon securities have surged in overnight trading as the US Senate failed to broker a deal to rescue the Big 3 automakers from imminent bankruptcy. Will a such a filing roll through the economy T S Eliot like (not with a bang but with a whimper) or ...

Auto Bailout Talks Breakdown

Friday, December 12th, 2008

Talks to bailout the three big US auto companies appear to have ended in failure. Congressional negotiators were unable to reach an accord. Stocks have broken down hard. Dow futures are down 316 points and S and P is down 39 points. I am writing at 1107 PM and that quote ...

FDIC Bonds

Thursday, December 11th, 2008

I noted in my closing comments the healthy run for the roses by the FDIC bonds today. Here is a closing bid side run of a variety of those issues. Note on the far right columns the pricing spread versus Libor and US Treasury debt. As you can observe they ...

Closing Comment December 11 2008

Thursday, December 11th, 2008



Agency Market and Swap Spreads

Thursday, December 11th, 2008

Agency spreads are in by 3 1/2 basis points in the 2 year sector and 5 basis points in the 5 year sector. Ten year spreads have collapsed by 9 basis points. Treat all of those levels as it is a bid of a fast market there and it was ...

Ten Year Auction

Thursday, December 11th, 2008

The Treasury successfully auctioned $16 billion of 10 year notes a few minutes ago. To be precise this auction reopened the current 10 year note and as that issue has rolled down the curve this is a 9 year 11 month piece of paper.  Bidding was quite robust and the auction ...

Structure of the US Treasury Market

Thursday, December 11th, 2008

I want to thank and apologize to the author of the blog The Bond Tangent. I added that blog to my blogroll several weeks ago. It covers the municipal market, something on which I spend virtually no time on here. The proprietor of that fine site posted a paper from the ...

MBS

Thursday, December 11th, 2008

Mortgages are lagging today by 1 basis point to 2 basis points as some profit taking emerges following the recent price gains. In particular, banks have been observed taking some profits which will undobtedly be offset by losses elsewhere. One trader noted that there is a deep bid underneath the market ...

FDIC Bonds

Thursday, December 11th, 2008

This is an opening run on the FDIC bonds so it is a little late but the commentary gives a sense of the market technicals. -----Inline Attachment Follows----- if (typeof YAHOO == "undefined") { var YAHOO = {}; } YAHOO.Shortcuts = YAHOO.Shortcuts || {}; YAHOO.Shortcuts.hasSensitiveText = ...

Swaps and Agencies

Thursday, December 11th, 2008

Agency spreads are mixed with the 2 year note narrower by 3 basis points, the 5 year unchanged and the 10 year a basis point wider.  Swap spreads are mostly tighter. Two year spreads are tighter by 3 basis points at 104. Five year spreads are 5 basis points tighter at ...