Archive for March, 2009


Tuesday, March 31st, 2009

Here is a wonderful compilation of the guarantees issued by the Federal Reserve,the Federal government and the FDIC since the financial crisis entered full bloom in 2007.

Closing Comments March 30 2009

Monday, March 30th, 2009

Prices of Treasury coupon securities have posted modest gains today as the weakness in the equity market has kept the bond market well bid. There was a mini roller coaster ride in the long end of the market as the size of the buyback by the Open Market Desk failed ...

Agency Spreads

Monday, March 30th, 2009

Agency spreads have tightened over the course of the afternoon on the back of the annuncement that the Federal Reserve would purchase 2015 through 2017 sectors and assorted bonds in the long end. Against that background, spreads in the 10 year sector are about 5 basis points tighter as participants front ...

MBS and Swaps

Monday, March 30th, 2009

The salesman with whom I spoke regarding these market sectors described the market as eerily quiet. Swaps spreads are mixed with all sectors either unchanged or a tad tighter. The 2 year spread is unchanged at 54 1/2. The 5 year spread is 1/2 basis point tighter at 51 1/4. The ...

More on Buyback

Monday, March 30th, 2009

Prior to the buyback the 10 year/30 year spread was about 85 basis point. Disillusionment regarding the amount the Federal Reserve bought has caused a sell off and the spread is 90 basis points now.

Long End Buyback

Monday, March 30th, 2009

The Federal Reserve purchased about $2.5 billion of long maturity Treasuries. They bought less than 30 percent of what the street offered and disappointed by purchasing only $ 2.5 billion. There was also some disappointment that once again the Fed is concentrating on the active issue. In this case they purchased ...

Morning Miscellany

Monday, March 30th, 2009

Market participants went home for the weekend with a view that three main factors would influence trading this week and that none would disturb the newly discovered equanimity. However, participants awoke on Monday morning to an Obama Administration with a harsh bankruptcy leaning attitude toward the auto companies, a G 20 ...

Brief MBS

Monday, March 30th, 2009

Originators have been sellers early of 4s and on the other side the Federal Reserve as is its wont has been a buyer.Banks have also been observed on the buy side.

Lipstick on a Pig

Monday, March 30th, 2009

FASB will attempt to do that later in the week when they crumble in front of the pressure to change the rules on mark to market accounting. I believe they meet on April 2 to resolve the issue. The market is not the issue nor should it be. The market exposed ...

IG 12 and Some CDS

Monday, March 30th, 2009

5yr Snr Bank CDS: BAC 385/395 (+15), CITI 610/620 (+20), JPM 198/208 (+5), WFC 285/295 (+15) - 5yr Snr Broker CDS: GS 295/305 (+5), MS 390/405 (+5) - CDS Index: IG12 187.5/189 (+5), HVOL12 456/466 (+8)