Archive for April, 2009

Administrative Note

Thursday, April 30th, 2009

There will be no closing post today. I am off to the dentist.

Corporate Bonds

Thursday, April 30th, 2009

The demand for quality name investment grade paper continues pretty much unabated today. Spreads are about a nickel tighter. There is some angst over the Chrysler contretemps but it has not derailed the basic theme of spread narrowing and risk accumulation. Nokia sold $ 1billion 10 year notes today at T+ 2 ...

Agency Paper

Thursday, April 30th, 2009

Agency spreads are mixed today. Two year spreads are a basis point wider. Five year spreads are actually 8 basis points tighter and 10 year spreads are 4 basis points narrower this day. The Federal Reserve announced that it will intervene in the free market tomorrow and buy agency securities which ...

MBS, Vol and Swaps

Thursday, April 30th, 2009

Swap spreads are tighter across the curve today. Two year spreads are 1/4 basis point narrower at 55 3/4. Three year spreads are 2 basis points tighter at 55 3/4 also. Five year spreads are 1/4 basis point narrower at 53 3/4. Ten year spreads are 1 basis point tighter ...

Position Update

Thursday, April 30th, 2009

I just sold my 1000 shares of PST at $ 54.77. I am flat now and have no interest rate exposure. I covered for several reasons. Before I began chronicling the position here I had gotten short at 2.85 percent 10 year notes. i was covering the short against 3.13. I am following the ...

Treasury Update

Thursday, April 30th, 2009

The long end of the Treasury market continues to erode. Erode is too weak a word. it is being swept away. The dealer community is aggressively shooting the taxpayer in the big toe for allowing and acquiescing in profligate levels of issuance by the government of the people. As a for ...

MBS

Thursday, April 30th, 2009

I did not have MBS spreads earlier. One trader reports that mortgages are 2 1/2 basis points wider to the 5 year Treasury. Swaps are 1basis point to 2 basis points tighter. MBS have a heavy tone about them as several days of heavy origination selling weighs on sentiment. The same trader ...

Swaps and MBS

Thursday, April 30th, 2009

Swaps spreads are mostly tighter this morning. Two year spreads are one basis point wider at 56 1/2. Five year spreads are a basis point tighter at 53. Ten year spreads are 1 3/4 basis points narrower at 9. Thirty year spreads are 3 basis points tighter at NEGATIVE 44 ...

Buyback

Thursday, April 30th, 2009

The Federal Reserve will intervene in the market later this morning to purchase August 2019 through February 2026 treasury bonds.

CDS and IG 12

Thursday, April 30th, 2009

- 5yr Snr Bank CDS: BAC 273/283 (-2), CITI 565/580 (-5), JPM 153/163 (-2), WFC 230/240 (unch) - 5yr Snr Broker CDS: GS 215/225 (unch), MS 335/350 (unch) - CDS Index: IG12 164/165 (-3.5)