IG 12 and Some CDS
Friday, March 27th, 2009- 5yr Snr Bank CDS: BAC 335/345 (-10), CITI 570/580 (-15), JPM 180/190 (-5), WFC 250/260 (unch) - 5yr Snr Broker CDS: GS 275/285 (unch), MS 380/390 (+5) - CDS Index: IG12 180/182 (+2
Archive for March, 2009
- 5yr Snr Bank CDS: BAC 335/345 (-10), CITI 570/580 (-15), JPM 180/190 (-5), WFC 250/260 (unch) - 5yr Snr Broker CDS: GS 275/285 (unch), MS 380/390 (+5) - CDS Index: IG12 180/182 (+2
Mighty Greenback
Friday, March 27th, 2009The Euro and other currencies ( except yen) have broken down versus the dollar. One analyst I read (who does not permit direct attribution) cites the cause as the failure of the Euro to break higher this week. He does not ascribe the move to fundamental factors but rather to ...
Opening Comments March 27 2009
Friday, March 27th, 2009Prices of Treasury coupon securities have edged higher in quiet overseas trading. The yield on the 2 year note has edged lower by 2 basis points to 0.89 percent. The yield on the 3 year note has slipped 3 basis points to 1.24 percent. The yield on the 5 year ...
Bond Market Close March 26 2009
Thursday, March 26th, 2009Prices of Treasury coupon securities rebounded today following the supply induced bout of delirium tremens yesterday. The yield on the 2 year note has declined 5 basis points to 0.90 percent. The yield on the 3 year note has slipped 7 basis points to 1.26 percent. The yield on the ...
MBS and Swaps
Thursday, March 26th, 2009Mortgages are about 2 1/2 ticks better than swaps today. Premium coupons (6 1/2s and 7s) outperformed low coupons. Money managers are busy taking profits on those trades and one participant noted that he was not sure from whence the impetus springs for today's gains. The Federal Reserve was quiet in ...
Corporate Bonds
Thursday, March 26th, 2009Corporate Bonds have maintained their firm tone throughout the day. The spread improvement which I noted this morning is still intact with TMT and industrial names about 10 better and financials 5 better. Volumes are on the light side and the new issue calendar is light,too. Berkshire Hathaway priced $ 750 million ...
Seven Year Result
Thursday, March 26th, 2009The seven year auction was a rather bland affair and lacked the fireworks of the 5 year note auction. The auction average was 2.384 which was slightly through the 2.385 bid side which prevailed at auction time. Indirect bidding slumped to 28 percent from 38.7 percent at the initial auction last month. One ...
Seven Year Auction
Thursday, March 26th, 2009The Treasury will auction $24 billion 7 year notes in a little over an hour. When they have done that they will have completed a Guinness book of record week in which they sold $ 98 billion of coupon securities. I suspect that this auction will go well. Th5year/7 year/10 year butterfly ...
TIPS
Thursday, March 26th, 2009TIPS spreads generally move at a rather glacial or slow motion pace. That has not been the case since the FOMC announced it would monetize the national debt last Wednesday. Last Tuesday evening the breakeven spread on 10 year TIPS closed at 115 basis points. It is trading about 145 basis ...
Negative Bill Rates
Thursday, March 26th, 2009On another post a commenter named Joe inquired about the re emergence of below zero and negative bill rates. He wondered if it is normal quarter end machinations or something more nefarious (his word and a great word). I spoke with a friend of the blog who is a bill trader. ...