TIPS
Monday, March 30th, 2009I gave this just a quick scan thus far but it loks to be a very informative paper on the TIPS market from the NY Fed.
Archive for March, 2009
I gave this just a quick scan thus far but it loks to be a very informative paper on the TIPS market from the NY Fed.
Bond Market Open March 30 2009
Monday, March 30th, 2009Prices of Treasury coupon securities are surging in overnight trading in response to the draconian response of the Obama Administration to requests for more financial aid by GM and Chrysler. In addition, Treasury Secretary Geithner volunteered the information that some banks would need large infusions of capital and that notice ...
Bond Market Close March 27 2009
Friday, March 27th, 2009Prices of Treasury coupon securities are posting bizarre and random price changes in a session characterized by volatility and conflicting crosscurrents. The yield on the 2 year note is unchanged at 0.91 percent. The yield on the 3 year note is a basis point lower at 1.26 percent. The yield on ...
MBS and Swaps
Friday, March 27th, 2009Mortgages are about 4 ticks tighter to Treasuries today. Down in coupon was the way to go as the premiums lagged on a bout of profit taking. Cash CMBS is 5 basis points to 25 basis points wider and the CMBX is 20 basis points to 50 basis points wider. A ...
Agency Market
Friday, March 27th, 2009It was a very quiet day in the agency market today. There was very little involvement from clients. Two year spreads are about a basis point snugger on the day. Five year spreads and 10 year spreads are somewhere between unchanged and a basis point wider. Agency traders are occupying themselves discussing ...
Buyback
Friday, March 27th, 2009The Federal Reserve bought about $ 7.5billion of 2year through 3 year paper. It was about 1/3 of what dealers offered to them. The purchase was concentrated. Very concentrated as about 75 percent of what they bought was represented by one issue, the 1 3/8 March 15 2012. That is the ...
Swaps and Agencies
Friday, March 27th, 2009Agency spreads are unchanged across the curve in quiet professional trading. Swap spreads are mostly narrower today. Two year spreads are 2 basis points tighter at 56. Five year spreads are unchanged at 52. Ten year spreads are 1 basis point tighter at 19. Thirty yeare spreads are 2 basis points ...
MBS
Friday, March 27th, 2009Mortgages are about 3 1/2 ticks tighter to the swaps curve. Flows have been light but the buyers are in control. The Federal Reserve has been a modest buyer. One commentator suggested that the Federal Reserve would lay low until more supply hits and its sustenance and succor are more necessary ...
Corporate Bonds
Friday, March 27th, 2009Here is a very interesting presentation on the pace of investment grade corporate bond issuance this year prepared by a friend who works at Bloomberg. Issuance is frantic it would seem: Of late the IG new issue corporate bond market has been in a rush. As noted before, the first quarter ...
Early Treasury Flow
Friday, March 27th, 2009In the early flow one large dealer reports active trading in Treasury market but, on balance, it lacks directional bias. There has been active trading in the 10 year note by banks but the flow there is pretty balanced. Prop traders have been better buyers in the long end while real money ...