Archive for January, 2009

Corporate Bonds

Wednesday, January 21st, 2009

The corporate bond market is traveling the same road which it traversed yesterday. Investors are treating bank and finance paper as if it has some social disease and should be shunned and avoided. The carnage is not as bad today as it was yesterday. Paper is about 5 basis points ...

World Has Yen for Japanese Currency

Wednesday, January 21st, 2009

The yen is screaming against the dollar,the Euro and the pound. There were rumors of a huge option expiration which would have caused the move. There has also been talk of a secular change in which the woes of the UK will reduce the stature of the currency in the ...

CMBS Turmoil

Wednesday, January 21st, 2009

I have not closely followed the turmoil in the CMBS market as the deal on the Hancock building in Boston defaults. Here is an interesting and witty summary from a blog with the witty name Mock the Markets.

MBS and Swaps

Wednesday, January 21st, 2009

Mortgages are 2 ticks to 3 ticks tighter to Treasuries today. Lower coupons seem to be outperforming the higher coupons as the market sells off. One trader noted that some servicers need duration and the quickest and easiest way for many to buy it is via FNMA 4s. So he ...

European Bonds

Wednesday, January 21st, 2009

In Europe yields on 10 year bonds have dropped 8 basis points in the UK and 3 basis points in Germany. Yields on Italian Spanish and Greek bonds have widened by 7 basis points ,4 basis points, and 10 basis points respectively against Germany. Irish bonds have widened by 26 ...

IG 11

Wednesday, January 21st, 2009

The aforementioned index is opening one wider at 222 1/2  / 224 1/2.

Libor

Wednesday, January 21st, 2009

Libor US$ Fixing 1/21 1/20 Change OVERNIGHT 0.18750 0.14125 0.04625 1 WEEK 0.25875 0.24250 0.01625 2 WEEKS 0.30125 0.28313 0.01812 1 MONTH 0.35625 0.35250 0.00375 2 MONTH 0.86625 0.86125 0.00500 3 MONTH 1.12500 1.12250 0.00250 4 MONTH 1.29750 1.29125 0.00625 5 MONTH 1.43625 1.42625 0.01000 6 MONTH 1.55875 1.54500 0.01375 9 MONTH 1.71750 1.70875 0.00875 12 MONTH 1.84000 1.83000 0.01000

Opening Comments for January 21 2009

Wednesday, January 21st, 2009

Prices of Treasury coupon securities slumped modestly in overseas trading as supply fears trump fears of global economic meltdown. Global equity markets tumbled in sympathy with the drop in the US market yesterday and governments around the world continue to hover protectively over a fragile financial sector.The overnight press is ...

Closing Comments January 20 2009

Tuesday, January 20th, 2009

Prices of Treasury coupon securities traveled a rocky road today and are closing the first day of the Obama Presidency with diverse results. As I related in my opening commentary, the longer maturity paper sold off sharply overnight on supply fears. That fear gave way to fears about the banking ...

Agency Paper

Tuesday, January 20th, 2009

Agency spreads are tighter by 2 basis points in the 2 year sector and about 2 basis points in the 5 year sector. Ten year paper has narrowed by as much as 4 basis points. One trader noted that the higher yield levels earlier today successfully attracted some buyers. He ...