Archive for January, 2009

Administrative Note/Open Thread

Friday, January 30th, 2009

Today is a travel day for me a I return to New York from beautiful and chilly Chicago and Evanston Illinois. So I will not be blogging today. So please use this post as an open thread which worked quite well when I travelled in December. Thanks for your patience and ...

Libor

Friday, January 30th, 2009

Libor US$ Fixing                  1/30         1/29      Change OVERNIGHT     0.30500      0.22125     0.08375 1 WEEK        0.32375      0.31625     0.00750 2 WEEKS       0.36875      0.36625     0.00250 1 MONTH       0.41938      0.41250     0.00688 2 MONTH       0.91313      0.90500     0.00813 3 ...

IG 11

Friday, January 30th, 2009

IG 11 opening 3 basis points wider at 199/202.

CDS

Friday, January 30th, 2009

JPMorgan will make available to ISDA as open source technology the methodology it employs to price CDS. This is admirable but if everyone employs the same methodology, there will be very few pricing anomalies to arbitrage. Hat tip to the Alea blog.

testing

Thursday, January 29th, 2009

test

Spreads

Thursday, January 29th, 2009

Mortgages got clobbered versus swaps and one salesman said that it was Armageddon late in the day. Mortgages lagged swaps by 1/2 point to 5/8 point. The Federal Reserve has purchased several hunded billion mortgages and is significantly underwater for all its efforts. They have bought big chunks of FNMA 4s ...

Closing Comments January 29 2009

Thursday, January 29th, 2009

Prices of Treasury coupon securities plummeted today as overwhelming supply overwhelmed the markets. The 2 year note actually fared reasonably well amidst the carnage as its yield increased just 4 basis points to 0.94 percent. From that point on the carnage was rather heavy as paroxysms of selling drove yields ...

Corporates Ad Nauseam

Thursday, January 29th, 2009

Secondary corporate bond spreads are unchanged by the supply tsunami. One salesman noted early weakness which has since been erased. He thought that secondary industrial paper is actually a tad tighter. The secondary market is quiet as investors focus on the issuance.Conoco Pete prices talk is 270 in the 5 ...

Some New Issue Price Talk

Thursday, January 29th, 2009

I do not have spread talk for the Hess tranches.ATT is offering a 5 year, a 10 year and a 30 year. The spread talk on each leg is 300 to 3 1/8.  I am told that is a concession to outstanding paper of about 50 basis points.Goldman Sachs is ...

More Corporate Supply

Thursday, January 29th, 2009

Hess is offering a 5 year and a 10 year and Goldman Sachs is offering a non FDIC wrapped 10 year.