Archive for January, 2009

MBS

Tuesday, January 27th, 2009

Mortgages are 2/32 wider to the 5 year and 6/32 wider to 10 years. FHFA has proposed that the GSEs begin to reduce their portfolios each year until they reach $250 billion. That announcement, which I believe is in the market, has pressured spreads wider.Dealers with whom I have spoken have ...

Agency Spreads

Tuesday, January 27th, 2009

Agency spreads are one basis point wider in the 2 year sector and in the 5 year sector and about 3 basis points wider in the 10 year sector.The Federal Reserve bought about $1.7 billion of paper today in the 2011 through 2013 sector. That was about half of what ...

Corporate Bonds: En Fuego

Tuesday, January 27th, 2009

Corporate bonds are on fire today. The IG 11 is better by about 10 basis points and selected investment grade names are better by 20 basis points. Demand today encompasses the financial sector,too, where credits have tightened, on balance, about 10 basis points.One salesman and friend of the blog noted ...

Two Year Note Result

Tuesday, January 27th, 2009

The Treasury successfully auctioned  $40 billion 2 year notes today with an average yield of  0.925 percent. There was virtually no "auction tail" as the issue was trading at 0.923 percent in the moments prior to the auction. There was robust demand from overseas as indirect bidders (central banks) took ...

Commercial Paper Rollovers

Tuesday, January 27th, 2009

Two friends of the blog sent me copies of a Bloomberg story which details the heavy commercial paper rollovers this week which spring from the  issuance into the Fed facility established last fall when the CP market was seizing up. I spoke to the money market trader whose opinions I frequently ...

2 year/ 5year/ 30 year Fly

Tuesday, January 27th, 2009

I regularly comment on the aforementioned butterfly as it represents the performance of the belly of the curve versus the wings. I mentioned yesterday that it had reached levels not seen in quite some time at 91 basis points. One dealer whom I read this morning suggests that there is resistance ...

IG 11

Tuesday, January 27th, 2009

IG 11 is opening 205/207 which is two bps tighter.

Some Opening Comments January 27 2009

Tuesday, January 27th, 2009

Prices of Treasury coupon securities, on balance, are registering modest price gains in overnight trading. There is no particular story which hs motivated the gains. In fact, some of the overnight news is a tad bond unfriendly and the US market braces for a Guiness book of records sale of ...

Some Closing Comments January 26 2009

Monday, January 26th, 2009

Prices of Treasury coupon securities sagged today in a lackluster trading session. The 20 year TIPS auction dominated trading in the afternoon. The Treasury auctioned $8billion 20 year TIPS  at 100PM new York time. The sale met a less than enthusiastic reception from investors and the auction was a genuine ...

Corporate Bonds

Monday, January 26th, 2009

Corporate bonds are quite firm this morning. Last week the market was split with quality industrial names tightening while financial names languished. Today the industrial names remain strong but the financial names are narrowing, too. Industrials are better by 5 basis points to 10 basis points. Financials are better by about ...