Archive for February, 2009
Thursday, February 5th, 2009
From time to time I have highlighted various Treasury market trades which highlight the extreme state of dysfunction and illiquidity in the Treasury market. A bond trader and firm friend of the blog has compiled a list of such trades and he chronicles the improvement in those spreads. By improvement ...
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Wednesday, February 4th, 2009
Prices of Treasury coupon securities are closing the day with modest changes in spite of the announcement by the Treasury that the supply spigot is on full open and bonds will be flowing at a record pace.
The yield on the 2 year note is unchanged at 0.96 percent. The yield ...
Posted in Uncategorized | Comments Off on Some Closing Comments February 04 2009
Wednesday, February 4th, 2009
The highlight of the trading session today was the announcement by the Treasury of the February refunding package and in concert with that the changes in the auction cycles necessitated by the financial crisis and recession.
The Treasury did announce that they will auction $32 billion 3 year notes, $21 ...
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Wednesday, February 4th, 2009
Agency spreads are posting minimal changes. Two year and five year benchmarks are unchanged while 10 year spreads are about 3 basis points tighter.
Swap spreads are little changed with the high profile points on the curve +1/2 basis point to -1/2 basis point.
I will write more about the Treasury refunding ...
Posted in Uncategorized | Comments Off on Swap Spreads and Agency Spreads
Wednesday, February 4th, 2009
Mortgages are 1basis point to 2 basis points tighter to the benchmark 5 year treasury note. Origination selling has been light. Domestic banks have been buyers and sellers. Foreigners have taken a liking to GNMA 5s and 5 1/2s and have been better buyers of those issues.
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Wednesday, February 4th, 2009
* January ISM non-manufacturing rose to 42.9 (consensus 39) from 40.1, up for the second month in a row, although still clearly at a contractionary level
* The business activity index rose to 44.2 from 38.9 and is up since 11pts since the November reading of 33.3. New orders 41.6 from ...
Posted in Uncategorized | Comments Off on HSBC on ISM
Wednesday, February 4th, 2009
I was a little late beginning this morning so I published without the usual complement of overseas news.
Seychelles, an island chain in the Indian Ocean, (which I believe I contacted when I was an active ham radio operator) recorded an inflation rate of 63.3 percent in December. As an aside ...
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Wednesday, February 4th, 2009
IG 11 opening one better at 193/195.
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Wednesday, February 4th, 2009
Libor US$ Fixing
2/04 2/03 Change
OVERNIGHT 0.31875 0.31125 0.00750
1 WEEK 0.36250 0.35125 0.01125
2 WEEKS 0.40375 0.40125 0.00250
1 MONTH 0.44500 0.44500 0.00000
2 MONTH 0.95125 0.94875 ...
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Wednesday, February 4th, 2009
Prices of Treasury coupon securities have rebounded somewhat in overnight trading from the depressed levels attained yesterday. The yield on the 2 year note slipped 3 basis points to 0.93 percent. The yield on the 3 year note declined 4 basis points to 1.34 percent. The yield on the 5 ...
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