Archive for May, 2009
Monday, May 18th, 2009
I got stopped out of my IEF position on Friday at $ 93.45 which is essentially where we are trading currently. I had entered the position at a cost of $ 93.30.
The 10 year note was trading 3.19 ish when I bought and 3.14 ish when I sold.
I am flat ...
Posted in Uncategorized | Comments Off on Position Update
Monday, May 18th, 2009
Swap spreads are ratcheting tighter as Libor declines. Two year spreads are tighter by 4 basis points at 37 3/4. Three year spreads are 3 tighter at 43. Five year spreads are 3 tighter at 43 1/2. Seven year spreads are 2 1/2 tighter at 21 1/2. Ten year spreads ...
Posted in Uncategorized | Comments Off on MBS and Swaps
Monday, May 18th, 2009
Corporate bond spreads are opening, in the words of one veteran salesman, "violently unchanged". The tone is firm but he fears that it might tend toward sloppiness as supply becomes an issue.
There was quite a bit of new issue supply last week and the market is opening to a host ...
Posted in Uncategorized | 2 Comments »
Monday, May 18th, 2009
The Citibank 10 year which priced Friday at T+ 562.5 basis points just traded at 535.
Posted in Uncategorized | 4 Comments »
Monday, May 18th, 2009
- 5yr Snr Bank CDS: BAC 200/210 (unch), CITI 410/425 (unch), JPM 115/125 (unch), WFC 135/145 (unch)
- 5yr Snr Broker CDS: GS 175/185 (unch), MS 275/285 (unch)
- CDS Index: IG12 156/157.5 (-0.5), HVOL12 348/358 (-2)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Monday, May 18th, 2009
I failed to mention earlier that the Open Market Desk will buy August 2019 through February 2026 securities today.
Posted in Uncategorized | Comments Off on Intervention
Monday, May 18th, 2009
Now playing at Across the Curve HQ Judy Collins "Classic Folk". She covers (among others) Dylan's Blowing in the Wind and the Times They Are A Changin as well as Let It Be which was originally recorded by a UK based quartet in the mid 1960s.
She also does her beautiful ...
Posted in Uncategorized | 1 Comment »
Monday, May 18th, 2009
Prices of Treasury coupon securities have posted very small changes in overnight trading. The yields on the 2 year note and the 3 year note are unchanged at 0.85 percent and 1.29 percent,respectively. The yield on the 5 year note has edged lower by a basis point to 1.99 percent. ...
Posted in Uncategorized | 3 Comments »
Friday, May 15th, 2009
Commenter Brian noted a Citibank 10 year deal. It is benchmark size. Brian thought it would price T+525.
Participants with whom I spoke thought it would price mid to high 500s. That is a healthy concession from the 475/465 quote on the Citi 2018 issue.
Posted in Uncategorized | 9 Comments »
Friday, May 15th, 2009
- 5yr Life Insurance CDS: ALL 140/160 (-35), HIG 505/535 (-185), LNC 1/4 (-7pts), MET 475/505 (-155), PRU 495/525 (-155)
- 5yr Snr Bank CDS: BAC 200/210 (-5), CITI 400/420 (unch), JPM 115/125 (unch), WFC 1138/148 (-2)
- 5yr Snr Broker CDS: GS 180/290 (-5), MS 282/292 (-3)
- CDS Index: IG12 156.5/157.5 ...
Posted in Uncategorized | 3 Comments »