IG12 and Some CDS
Monday, April 27th, 2009- 5yr Snr Bank CDS: BAC 285/295 (+3), CITI 540/560 (unch), JPM 163/173 (unch), WFC 240/260 (+5) - 5yr Snr Broker CDS: GS 235/245 (unch), MS 360/375 (+5) - CDS Index: IG12 178/179.5 (+5)
Archive for April, 2009
- 5yr Snr Bank CDS: BAC 285/295 (+3), CITI 540/560 (unch), JPM 163/173 (unch), WFC 240/260 (+5) - 5yr Snr Broker CDS: GS 235/245 (unch), MS 360/375 (+5) - CDS Index: IG12 178/179.5 (+5)
Bond Market Open April 27 2009
Monday, April 27th, 2009Prices of Treasury coupon securities are engaged in one of their periodic ghoulish surges as the global outbreak of swine flu has motivated buying of government bonds. European equity markets are down sharply and indications in the futures market are that the US market will open sharply lower. Travel related stocks ...
Federal Reserve Study
Monday, April 27th, 2009The Financial Times carries a story this morning which states that Federal Reserve staff at the last meeting calculated that the proper interest rate level (given prevailing economic conditions ) was - 5 percent. The story notes that the same analysis would have called for larger levels of QE than that ...
Bond Market Close April 24 2009
Friday, April 24th, 2009Prices of Treasury coupon securities posted sharp losses today with the largest price declines occuring in the longer maturities. Theyield on the 2 year note increased 2 basis points to 0.95 percent. The yield on the 3 year note climbed 34 basis points to 1.36 percent. The yield on the ...
Corporate Bonds
Friday, April 24th, 2009The tone in the corporate bond market is as firm as it was when I posted earlier. Levels are about the same as they were earlier. One salesman and friend of the blog noted that investors still favor quality names in safe sectors. In the industrial sector Caterpillar,Dupont and Goodrich have ...
MBS and Swaps
Friday, April 24th, 2009Swap spreads are still mixed. Two year spreads are 1 3/4 basis points tighter at 60 3/4. Five year spreads are unchanged at 59. Ten year spreads are 3/4 basis points wider at 14 1/2 . Thirty year spreads are 1/4 basis point wider at NEGATIVE 37 3/4. Mortgages have outperformed ...
Swaps and Agencies
Friday, April 24th, 2009Swap spreads are mixed this morning. Two year spreads are a basis point tighter at 59. Five year spreads are unchanged at 59. Ten year spreads are a basis point wider at 15 and thirty year spreads are 2 basis points less inverted at NEGATIVE 36. Agency spreads are unchanged in ...
Corporate Bonds
Friday, April 24th, 2009The corporate bond market is overwhelmingly firm and traders are afraid to be short. There is a drumbeat of buyers and very little for sale in the new issue market. The Verizon 10 year which I follow is 5 basis points tighter than it was yesterday and rests 305/295 this morning. The ...
American Express
Friday, April 24th, 2009BN 10:17 *AMERICAN EXPRESS'S SENIOR DEBT RATING CUT TO A3 BY MOODY'S
Morning Miscellany
Friday, April 24th, 2009The Treasury curve is breaking down hard and the 2year/10 year curve has breached the 200 basis point level and currently trades at 202 basis points. The proximate cause of the steepening is an ATT deal in sterling. I do not have the breakdown by tranche but there is an 8 ...