Archive for January, 2009
Friday, January 9th, 2009
Prices of Treasury coupon securities have, on balance, registered robust gains in response to the lugubrious labor report released this morning. While benchmark securities have registered gains they are have retreated from the best levels attained earlier.The yield on the 2 year note has slipped 7 basis points to 0.75 ...
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Friday, January 9th, 2009
Two year sector swaps are tighter by 2 basis points at 54 1/2. Three year swaps are 1 1/2 basis points tighter at 52 1/4. Five year swaps are wider by 4 1/4 basis points at 54 1/3. Ten year sector swaps are 2 basis points wider at 17 1/4 ...
Posted in Uncategorized | Comments Off on MBS and Swaps
Friday, January 9th, 2009
The yen continues to appreciate versus the dollar and is flirting with a break below 90. The conventional wisdom,at least as I perceive it, holds that a break significantly below 90 will bring BOJ intervention to stem the yen's rise.
The Japanese economy is mired in the same morass as the ...
Posted in Uncategorized | 6 Comments »
Friday, January 9th, 2009
Agency spreads are tighter by 2 basis points to 3 basis points in the 2 year sector and by about a basis point in the 5 year sector. Ten year paper is unchanged.
The Federal Reserve purchased $1.400 billion of 2 year paper and 3 year paper this mornng.I spoke with ...
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Friday, January 9th, 2009
The selling in ABX which I wrote about late yesterday continues today. Retail clients are sellers and the villain of the piece is the cramdown legislation.
AAAs and penultimates are off 2 points to 3 points
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Friday, January 9th, 2009
Mortgages are anywhere between 1/4 point and 1/2 point weaker to swaps. Premiums are outperforming. Some of the outperformance reflects the steepening of the yield curve and some reflects that prepays came in slower than expected.
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Friday, January 9th, 2009
* The unemployment rate jumped higher in December, rising to 7.2% (consensus 7.0%) from 6.8% in November (Nov upwardly revised from 6.7%). Nonfarm payrolls in December matched expectations at -524k (consensus -525k), but there were net revisions of -154k to the previous two months. Hourly earnings rose 0.3%.
* The unemployment ...
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Friday, January 9th, 2009
IG 11 opened unchanged at 201/204.
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Friday, January 9th, 2009
Libor US$ Fixing
1/09 1/08 Change
OVERNIGHT 0.10250 0.10250 0.00000
1 WEEK 0.24750 0.26625 -0.01875
2 WEEKS 0.29250 0.31375 -0.02125
1 MONTH 0.36625 0.38625 -0.02000
2 MONTH 0.96625 1.03750 -0.07125
3 MONTH 1.26000 1.35375 -0.09375
4 MONTH 1.36250 1.45500 -0.09250
5 MONTH 1.48625 1.57750 -0.09125
6 MONTH 1.60000 1.68625 -0.08625
9 MONTH 1.74500 1.82875 -0.08375
12 MONTH 1.85500 1.92500 -0.07000
Posted in Uncategorized | 5 Comments »
Friday, January 9th, 2009
Prices of Treasury coupon securities have edged higher in overseas trading as the investing world acts out its monthly version of waiting for Godot as participants anticipate the important US labor report at 830AM New York time. Pundits and paid professional prognosticators posit poor payroll results once again and an ...
Posted in Uncategorized | 3 Comments »