Archive for April, 2009
Thursday, April 16th, 2009
It appears that disappointment is coursing through the TIPS market. As I mentioned earlier the breakeven spread on 10 year TIPS was 135 basis points in the moments just prior to the Federal Reserve intervention. The spread closed last night at 130.
It has returned to the 130 level. I would ...
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Thursday, April 16th, 2009
Maybe the Fed was making a statement about its expectations for futute inflation as the Desk purchased a piddling amount ($ 1.5 billion ) of TIPS. The street had offered more than $ 15 billion.
I would suspect that with this operation complete that the street will gleefully begin to set ...
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Thursday, April 16th, 2009
In a few moments the Federal Reserve will buy TIPS. The breakeven spread on the 10 year is 136 currently which is 5 basis points richer than the late close yesterday. The 130/131 level is the level to which the recent 10 year auction tailed and should serve as support.
Dealers ...
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Thursday, April 16th, 2009
Corporate bond spreads are still firm and about a nickel tighter.
JPMorgan has released its earning and is out from under the blackout cloud. Against that background, they have announced a 10 year global deal. Prices talk is low to mid 300s. That is whisper talk. There is no official guidance ...
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Thursday, April 16th, 2009
Mortgages have opened a tad tighter to Treasuries. In overseas trading investors were better sellers of premiums and better buyers of the low coupons. Practically all of the overnight flow was in GNMAs.
Origination selling out of the chute this morning is on the light side.
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Thursday, April 16th, 2009
5yr Snr Bank CDS: BAC 250/260 (-10), CITI 535/555 (-15), JPM 157/167 (-8), WFC 225/235 (-7)
- 5yr Snr Broker CDS: GS 200/210 (-5), MS 300/310 (-5)
- CDS Index: IG12 175/176.5 (unch), HVOL12 415/425 (unch)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Thursday, April 16th, 2009
In my opening post I lamented that I could not find a solid reason for the decline in bond prices overnight. I had sought refuge in the safest of havens and blamed it on the equity market.
Bloomberg has a story on issuance in Europe overnight. It looks as though Spain ...
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Thursday, April 16th, 2009
Prices of Treasury coupon securities have posted modest declines in overseas trading. I cannot discern a precise reason. Equity markets in Europe remain robust so that might diminish the allure of risk free assets. There is nothing in the overnight economic news which have would have precipitated the sell off ...
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Wednesday, April 15th, 2009
Prices of Treasury coupon securities traveled a rocky road today and are finishing the session with small mixed changes.The trading day opened with a strong advance as the momentum developed yesterday continued. That advance stalled as rate locking hedging pressured the market lower.
The scuttlebutt ( a word I have never ...
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Wednesday, April 15th, 2009
Mortgages are lagging swaps by about 2 basis points today. The level of activity is rather muted. Lower coupons have modestly outperformed their high coupon relatives.
Originator selling has been offset by strong demand from money managers.
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