Archive for March, 2009
Friday, March 20th, 2009
Prices of Treasury coupon securities post bifurcated results today with minimal price advances in securities with maturities of 5 years and less and modest prices declines for securities in the long end of the yield curve.
The yield on the 2 year note dropped one bass point to 0.87 percent. The ...
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Friday, March 20th, 2009
Mortgage spreads are about 3 ticks wider to swaps. Originator selling has swamped buying from the Federal Reserve.
There has been some active trading in GNMAs also. Originators are sellers in this sector as well but banks, overseas investors and domestic money managers are on the buy side.
Fifteen year paper has ...
Posted in Uncategorized | Comments Off on MBS and Swaps
Friday, March 20th, 2009
I think I will be employing the word "quiet" quite frequently as I compose these little sector vignettes this afternoon.
The agency market was quiet today and spread movements were mixed. Paper out to 4 years was tighter by 1 basis point to 3 basis points. The Federal Reserve is buying ...
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Friday, March 20th, 2009
The Treasury market is quiescent and soggy ahead of the weekend. Customer activity is on the light side. The market is soggy for the day trade as supply next week looms and participants anticipate rate lock selling by prospective corporate issuers.
Off the runs have a bid as traders do not ...
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Friday, March 20th, 2009
The Federal Reserve Bank of New York has notified dealers that it will buy agency debt on Monday March 23 2009. The purchases will be in the 2011 through 2013 part of the yield curve.
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Friday, March 20th, 2009
Mortgages have experienced a rollercoaster opening (the words of one participant) and are about 1/4 point wider on the day. The principal driver of activity has been heavy selling by originators.
Asian clients were buyers of 5s. This author did not state this but another correspondent has reported that Asian investors ...
Posted in Uncategorized | Comments Off on Some Spread Stuff
Friday, March 20th, 2009
Fed Chair Bernanke will speak on a panel with FDIC Chair Bair at a community bankers’ convention. He will have a prepared text, “The Financial Crisis and Community Banking”. There will be Q&A. Fed officials customarily do not speak in public forums for about a week before ...
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Friday, March 20th, 2009
5yr Snr Bank CDS: BAC 300/310 (+5), CITI 525/535 (unch), JPM 155/165 (+5), WFC 208/218 (-2)
- 5yr Snr Broker CDS: GS 252/262 (unch), MS 355/365 (+2)
- CDS Index: IG11 231/232.5 (+2)
Posted in Uncategorized | Comments Off on IG 11
Friday, March 20th, 2009
The dollar is posting gains against the yen and Euro this morning. One analyst notes that $1.3740 is the 3 year moving average for the Euro. A break of that level should push the Euroto $1.40.
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Friday, March 20th, 2009
A Credit Trader is a relatively new blog and it carries an informative and interesting post on CDS and the critics of that financial device.
The author still works on the street as a trader.
Posted in Uncategorized | 10 Comments »