Archive for April, 2009

Swap Spreads and Vol

Wednesday, April 15th, 2009

Swap spreads are tighter across the cure this day. Two year spreads are 3 basis points tighter at 54 3/4. Five year spreads are 2 1/2 basis points tighter at 57 1/2. Ten year spreads are 2 1/4 basis points tighter at 16 1/4. Thirty year spreads are 2 3/4 ...

Corporate Bonds: Still on Fire

Wednesday, April 15th, 2009

Corporate bond spreads are surging tighter. Most stuff is better by 5 basis points to 10 basis points today. There is broad based buying by an eclectic group of investors. One participant notes that street inventories are thin and the demand has forced bid offered spreads wider as traders look ...

Swaps and Agencies

Wednesday, April 15th, 2009

Two year swap spreads have narrowed 2 basis points to 55. Five year spreas are tighter by 2 basis points at 58. Ten year spreads are tighter by 1 1/2 basis points at 17. Thirty year spreads are tighter by 1 1/2 at NEGATIVE 33 1/2. Agency spreads are 3 basis ...

Empire Survey and CPI

Wednesday, April 15th, 2009

There was a huge bounce(24 points) in the Empire Survey as it moved to -14.7 from its record low in March. New orders surged 41 points to a level just below zero. Respondents opinions about the future outlook improved significantly as 51 percent of those responding expect conditions to have ...

IG 12 and CDS

Wednesday, April 15th, 2009

5yr Snr Bank CDS: BAC 265/275 (unch), CITI 560/580 (-5), JPM 168/178 (unch), WFC 235/245 (unch) - 5yr Snr Broker CDS: GS 210/220 (unch), MS 310/320 (unch) - CDS Index: IG12 176.5/178 (unch), HVOL12 425/435 (unch)

Bond Market Open April 15 2009

Wednesday, April 15th, 2009

Prices of  Treasury coupon securities are registering small mixed changes in overseas trading.  The market is searching for a theme and seems for the moment flummoxed and confused. Global economic data released overnight are mixed. Stock market performance around the globe is manifesting small mixed changes. The retail sales data yesterday ...

Bond Market: Frost Warning

Tuesday, April 14th, 2009

Prices of Treasury coupon securities surged today as a confluence of sanguine circumstances combined to force buyers into the market. Economic data released this morning was bond friendly with PPI weaker than expected. More important was the weaker than expected retail sales report which was the harbinger of a frost ...

Corporate Bonds: En Fuego

Tuesday, April 14th, 2009

The corporate  bond market is on fire this afternoon. Spreads are tighter by 5 basis points to 10 basis points in industrials,TMT and bank and finance. The VZ 10 year deal which it is my custom to follow is 15 basis points tighter at 310 bid. One salesman chronicled the recent Conagra ...

Mortgages and Swaps and Volatility

Tuesday, April 14th, 2009

Swap spreads are narrowing across the curve. Two year spreads are tighter by 3/4 basis point at 57 1/2. Three years spreads narrowed 1/4 basis point to 54 1/4. Five year spreads are tighter by 1/4 at 59 1/2. Seven year spreads are 1 1/4 basis points narrower at 35 ...

Buyback

Tuesday, April 14th, 2009

The Federal Reserve bought $7.3billion of securities from the more than $26billion offered to them. The preponderance of the purchases were in the 5 year note issued in January and the 5 year note issued in February.