Archive for February, 2009
Friday, February 6th, 2009
Prices of Treasury coupon securities are registering modest gains in advance of the monthly labor report. I suspect that the buyers are anticipating an even more dire result than the consensus and believe that the recent surge in yield represents a buying opportunity.
I think that this is probably last minute ...
Posted in Uncategorized | 1 Comment »
Friday, February 6th, 2009
I am puttting together my opening post and as I search the news I find this interesting nugget on steel production in Germany. I thought it was worth an individual posting as it shows the severity of the crisis in some historical perspective.
http://www.lse.co.uk/macroeconomicNews.asp?shareprice=&ArticleCode=9re03zzzgv5xf8g&ArticleHeadline=German_Q4_steel_orders_post_steepest_postwar_slump
Posted in Uncategorized | 1 Comment »
Friday, February 6th, 2009
I have written several times recently about positive carry and breakevens. Some readers have requested an explanation, particularly of how I arrived at the 1.60 yield on the 2 year note about a year from now.
I was not precise in the calculation yesterday but was roughing it out from some ...
Posted in Uncategorized | 3 Comments »
Thursday, February 5th, 2009
Prices of Treasury coupon securities posted modest yield declines today in a market buffeted by many forces but one trying to maintain some stable equilibrium ahead of the inflection point provided by the labor data tomorrow.
The yield on the 2 year note slipped 1 basis point to 0.97 percent. The ...
Posted in Uncategorized | 3 Comments »
Thursday, February 5th, 2009
One dealer commented that MBS had stopped going down as the Treasury market sold off. Originator selling was light and was swamped by purchases from Asian investors, the Federal Reserve, and money managers.
On balance, mortgages are about 4 ticks tighter to swaps.
Additionally, some money managers and hedge funds have profits ...
Posted in Uncategorized | Comments Off on MBS
Thursday, February 5th, 2009
Agency debt is tighter by 2 basis points tto 3 basis points across the curve today. The level of activity is rather light as participants await the monthly labor report tomorrow.
The one active investor was the Federal Reserve System which decided to launch the helicopter into the azure skies on ...
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Thursday, February 5th, 2009
Mortgages opened pretty close to unchanged versus swaps. Dealers report buyers of FNMA 5s.
Rolls are under pressure as balance sheet is still scarce. In an ominous note one dealer thought that rolls would be under pressure into quarter end as firms husband balance sheet. Ominous because we are not even ...
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Thursday, February 5th, 2009
Libor US$ Fixing
2/05 2/04 Change
OVERNIGHT 0.31625 0.31875 -0.00250
1 WEEK 0.36250 0.36250 0.00000
2 WEEKS 0.40000 0.40375 -0.00375
1 MONTH 0.44750 0.44500 0.00250
2 MONTH 0.95125 ...
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Thursday, February 5th, 2009
I thought my opening post was already long so I will present the economic stuff separately here.
New car sales in the UK plunged 31 percent YOY in January.
Macquaire Bank in Australia saw profits fall 50 percent in 2008 and took writedowns of $1.3 billion.
Qantas Airlines shares fell to a 13 year ...
Posted in Uncategorized | 2 Comments »
Thursday, February 5th, 2009
Prices of Treasury coupon securities are registering minimal changes in a quiet overnight session and those changes while small have been on the side of lower rates.
The yield on the 2 year note is unchanged at 0.98 percent. The yield on the 3 year note is also unchanged and it ...
Posted in Uncategorized | 11 Comments »