Archive for May, 2009
Wednesday, May 13th, 2009
Mortgages are two ticks tighter to swaps.Higher coupons continue to outperform. The Federal Reserve has been a buyer and convexity clients have also bough securities. Real money seems to have favored 5 1/2s and higher coupons.
Some money center banks have been observed selling as they choose to show some realized ...
Posted in Uncategorized | Comments Off on MBS, Swaps and Some Vol
Wednesday, May 13th, 2009
The price talk on the JPM deal is T+ 275. That is right in sync with recent 5 year sector financial pricings. GE, BAC and GS all issued 5 year paper recently at between 60 and 65 cheap to outstandings.
The 2013 JPM traded at 210 this morning so the + ...
Posted in Uncategorized | 1 Comment »
Wednesday, May 13th, 2009
One trader noted that implied vols are a little higher this morning in spite of the market rally. He noted that mortgage companies have been vol buyers over the last week and that buying has been somewhat offset by an infusion of vega through the callable market.
He also noted that ...
Posted in Uncategorized | 2 Comments »
Wednesday, May 13th, 2009
JPMorgan ( a once historic bank holding company domiciled in lower Manhattan and now an aggregation of Chase Manhattan Bank, Chemical Bank, Manufacturers Hanover, Texas Commerce, Bank One, First Chicago, and National Bank of Detroit and JPMorgan) is issuing 5 year notes today in benchmark size.
The outstanding 4 3/4 2013 ...
Posted in Uncategorized | 4 Comments »
Wednesday, May 13th, 2009
- 5yr Snr Bank CDS: BAC 183/193 (+3), CITI 365/385 (+5), JPM 120/130 (+7), WFC 127/137 (+2)
- 5yr Snr Broker CDS: GS 167/177 (+7), MS 263/273 (+5)
- CDS Index: IG12 152.5/154 (+4.5), HVOL12 336/346 (+7)
Posted in Uncategorized | Comments Off on Credit Market Open
Wednesday, May 13th, 2009
Or so says the author of this piece at the FT which is generating some discussion this morning.
Posted in Uncategorized | 8 Comments »
Wednesday, May 13th, 2009
Price of Treasury coupon securities are posting small mixed changes in overnight trading. The yield on the 2 year note in unchanged at 0.88 percent while the yield on the companion 3 year note has edged higher by a basis point. In the belly of the curve the yield on ...
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Tuesday, May 12th, 2009
Prices of treasury coupon securities gyrated about today and are closing with minuscule mixed changes. There was some rate lock unwinds (I am told) and significant receiving in swaps which would have fostered the recovery in Treasuries from the lower levels which prevailed earlier in the day.
Some of the receiving ...
Posted in Uncategorized | 7 Comments »
Tuesday, May 12th, 2009
Mortgages are about unchanged to swaps today. Higher coupons outperformed their lower coupon cousins by a little bit.
Swap spreads marched tighter. Libor set lower and that set the tone for the 2 year and 3 year sectors. Two year spreads are 2 1/4 basis points narrower at 45. Three year ...
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Tuesday, May 12th, 2009
Corporate bonds are unchanged to a nickel wider today. Secondary market trading has slowed considerably as participants digest the $12 billion or so bonds which hit the market yesterday.
The premier deal yesterday was the MSFT and each tranche is better bid. The five year tranche is 87/82 and the ten ...
Posted in Uncategorized | Comments Off on Corporate Bonds