Archive for May, 2009
Friday, May 29th, 2009
I am in beautiful Charlottesville Virginia today . Blogging today will be sparse from this point on as I am with my lovely wife,daughters and granddaughter. So family time takes precedence.
It appears that the sell off the other day was an exhaustion /climax trade from the crazed convexity crowd.
As I ...
Posted in Uncategorized | 7 Comments »
Friday, May 29th, 2009
Mortgages are about 6 ticks better to swaps this morning.
Swap spreads remain in narrowing mode. When i reported on them earlier the dealer with whom I had spoken had noted an absence of paying and only minimal receiving. That has changed somewhat as participants now report some chunky receiving. It ...
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Friday, May 29th, 2009
One observer noted that it is Groundhog Day with corporate bonds quite firm. Buyers abound and what has traded transacts on the offered side.
Financial have an especially firm tone aided by the capital raising success of Bank of America.
Here are some quotes on the recent MSFT deal : 5year 70/65 ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Friday, May 29th, 2009
Swap spreads much tighter this morning as the convexity hedgers have headed to the sidelines. Two year spread 5 basis points tighter at 38. Five year spreads also 5 tighter at 43 1/2. Ten year spreads 6 basis points tighter at 22 1/2 and 30 year spreads 6 basis points ...
Posted in Uncategorized | 3 Comments »
Friday, May 29th, 2009
- 5yr Snr Bank CDS: BAC 150/160 (-3), CITI 345/360 (unch), JPM 93/103 (-2), WFC 113/123 (unch)
- 5yr Snr Broker CDS: GS 133/143 (-2), MS 230/240 (-5)
- CDS Index: IG12 140.5/142 (-1)
Posted in Uncategorized | Comments Off on Credit Market Open
Friday, May 29th, 2009
Libor set at 0.65625 this morning which is down from 0.66750 yesterday.
Posted in Uncategorized | Comments Off on Libor
Thursday, May 28th, 2009
I am out of here for awhile so feel free to comment away in my absence.
Enjoy the rest of the day.
JJJ
Posted in Uncategorized | 20 Comments »
Thursday, May 28th, 2009
The three month10 year ATM straddle is 624 basis points.
Swap spreads are mixed and off their worst levels by 2 basis points to 3 basis points.
Dealers report some convexity hedgers paying but some thought that much of the widening was traders front running widening which has not materialized to the ...
Posted in Uncategorized | Comments Off on Swaps and Vol
Thursday, May 28th, 2009
Here is some flesh on the bones of the Ford Motor deal I spoke of in the previous post.
It will be benchmark size with a 5 year maturity. It will carry an 8 percent coupon and a dollar price of 82. I am sure the folks at Ford are sure ...
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Thursday, May 28th, 2009
Sources report that Ford Motor is bringing a 5 year deal. That will be interesting.
Morgan Stanley is reopening 5 year and 10 year deals. I hear that the total is $ 1.5 billion but do not have a split. The price talk is 365 and the bonds were 340/330 earlier.
Travellers ...
Posted in Uncategorized | Comments Off on Corporate Bonds