Archive for April, 2009
Monday, April 6th, 2009
- 5yr Snr Bank CDS: BAC 340/350 (-10), CITI 625/640 (unch), JPM 180/190 (-5), WFC 280/290 (-5)
- 5yr Snr Broker CDS: GS 265/275 (unch), MS 363/373 (unch)
- CDS Index: IG12 185.5/187 (unch), HVOL12 435/450 (+5)
Posted in Uncategorized | 8 Comments »
Monday, April 6th, 2009
Some items I failed to mention in my opening post:
The Federal Reserve will purchase the August 2019 through February 2026 portion of the coupon curve today. This is virgin off the run territory as there are no active issues in this sector.
Federal Reserve Governor Warsh will speak about the economy ...
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Monday, April 6th, 2009
Prices of Treasury coupon securities have continued to slump in overseas trading as optimism abounds regarding the global financial system and the probability of a global recovery. That optimism has stirred interest in equity markets which once again have posted (modest) gains. Stock markets in Europe have gained between 1.0 ...
Posted in Uncategorized | 2 Comments »
Friday, April 3rd, 2009
Prices of Treasury coupon securities plummeted today as a variety of supply and demand factors overwhelmed that salutary( for the bond market) labor data. In addition, the ISM Service sector index contracted unexpectedly and that result which should have cheered dour bond holders caused nary a ripple of joy amongst ...
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Friday, April 3rd, 2009
Mortgages are several ticks tighter to both Treasuries and swaps. The game is the same.
As has been the case all week, premiums have been the star performers as they out perform their lower coupon cousins.
Money managers and the Federal Reserve are constant buyers and originators are fairly constant sellers.
Agency spreads ...
Posted in Uncategorized | Comments Off on A Gallimaufry of Spreads
Friday, April 3rd, 2009
The corporate bond market has a firm tone but trading volume is surprisingly subdued.
Industrial names are 3 basis points to 5 basis points better and bank and finance paper is quoted 5 basis points to 10 basis points tighter.
There was no new issuance today.
The recently issued Verizon 10 year which ...
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Friday, April 3rd, 2009
Federal Reserve Chairman Bernanke gave a lengthy speech on the Fed's balance sheet. I do not think he said anything market moving and I think he had his professor hat on.
The only noteworthy sentence (to me) is one in which he noted that the Federal Reserve was "uncomfortable" bailing out ...
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Friday, April 3rd, 2009
The Treasury market is taking a whipping and the 10 year note has broken down and trades in the mid 2.80s.
There are several factors at work here.
The market remains thin and illiquid so it does not take much to move prices.
The market is trading the supply cycle. Next week the ...
Posted in Uncategorized | Comments Off on Miscellaneous Musings
Friday, April 3rd, 2009
Two year agency spreads are flat. Five year spreads and 10 year spreads are 2 basis points to 3 basis points tighter. As we speak the Federal Reserve is procuring 4 year through 6 year agencies and the result will be available shortly after 1100AM New York time. ( I ...
Posted in Uncategorized | Comments Off on Swaps and Agencies
Friday, April 3rd, 2009
The drop in hours worked which I noted in the previous post should have economists lowering their Q1 GDP forecasts. Economists at Action Economics have lowered their Q1 forecast to -5.0 from a previous estimate of -4.5 percent.
The same firm views the labor report and extrapolates a sharp drop in ...
Posted in Uncategorized | Comments Off on More on Labor