Archive for May, 2009
Tuesday, May 19th, 2009
Prices of Treasury coupon securities are closing the day with small mixed changes. The move to a steeper curve and a cheaper belly is intact.
Dealers report active and robust buying in the 2 year sector and 3 year sector by foreign central banks. On the other side of the ledger ...
Posted in Uncategorized | Comments Off on Bond Market Close May 19th 2009
Tuesday, May 19th, 2009
Agency spreads narrowed one basis point in the 2 year sector and one basis point in the 10 year sector. Five year spreads narrowed 2 basis points. Perhaps the 5 year sector benefited from the Open Market Desk announcement that it would intervene in the market tomorrow via a purchase ...
Posted in Uncategorized | Comments Off on Agency Market, MBS, Swaps and Some Vol
Tuesday, May 19th, 2009
MBS are unchanged (approximately versus swaps. FNMA 4 1/2s have been ensconced in a very narrow range while the benchmark 10 year notes twists in the wind in response to economic data and client flows.
The constant intervention of the Federal Reserve has limited the volatility in mortgages. The central bank ...
Posted in Uncategorized | Comments Off on Miscellany
Tuesday, May 19th, 2009
The aforementioned spreads march tighter. Two year spreads are tighter by 2 basis points at 35 1/2. Five year spreads are also 2 basis points tighter at 41. Te year spreads are a basis point tighter at 8 and 30 year spreads are 1 basis point tighter at NEGATIVE 42.
Posted in Uncategorized | 2 Comments »
Tuesday, May 19th, 2009
Mortgages are opening about unchanged versus swaps.
The 4s and 4 1/2s have been the best performers in the stack.
There has been modest originator selling which (in its infinite wisdom) the central bank has chosen to soak up.
Posted in Uncategorized | Comments Off on MBS
Tuesday, May 19th, 2009
Credit markets are still on fire. One commentator notes than bank and finance paper is 10 basis points to 15 basis points tighter than closing levels.
The JPM 5 year has traded at 250. The opening quote which I posted earlier was 263/258.
The GE 5 year opened at 355/50 and has ...
Posted in Uncategorized | 3 Comments »
Tuesday, May 19th, 2009
Now playing at Across the Curve HQ the debut album of Blood Sweat and Tears "Child is Father to the Man". The founder of the band was Al Kooper.
If you are familiar with Bob Dylan's Like A Rolling Stone (and how could you not be) Kooper played the organ on ...
Posted in Uncategorized | 1 Comment »
Tuesday, May 19th, 2009
5yr Snr Bank CDS: BAC 165/175 (-15), CITI 355/375 (-25), JPM 100/110 (-5), WFC 115/125 (-8)
- 5yr Snr Broker CDS: GS 150/160 (-13), MS 250/260 (-13)
- CDS Index: IG12 144/145.5 (-3.5)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Tuesday, May 19th, 2009
Some selective corporate bond quotes to start the day and the new issue pricing spread.
JPM 5 year 263/258 priced at 275
Citi 10 year 515/510 priced 562.5
GE 5 year 355/350 priced 387
Amex 5 year 513/508 priced 530
Amex 10 year 485/480 priced 505
Posted in Uncategorized | Comments Off on Corporate Bond Quotes
Tuesday, May 19th, 2009
I find this story amazing. Apparently those with pristine credit histories will subsidize those with a checkered record.
I stand by a statement I made here a few weeks ago when I offered a modest Swiftian proposal. The gene pool should be protected and anyone who carries a credit card balance ...
Posted in Uncategorized | 9 Comments »