Archive for May, 2009
Wednesday, May 27th, 2009
Swap spreads continue to blow out as investors hedge risk. (The horse has left the barn and is several miles away and they are locking the door now.)
In my last posting on spreads 2 year spreads were 43 3/4. They have actually tightened to 43 1/4. Five year spreads were ...
Posted in Uncategorized | Comments Off on Miscellany
Wednesday, May 27th, 2009
A loyal reader and commenter named Greg posted a comment earlier which I thought deserved wider distribution. He discusses the plight of the US government and what it faces down the road.
I thought that it was well written and thought provoking so I am featuring it here. It begins after ...
Posted in Uncategorized | 19 Comments »
Wednesday, May 27th, 2009
The price action in the corporate bond market defies explanation as demand remains voracious insatiable.
Two examples. One salesman noted that he traded some Dow 7.60 2014 to a customer yesterday at 540. The same bond traded today at 515.
Second example. Norfolk and Southern priced at 10 year deal at T+ ...
Posted in Uncategorized | 2 Comments »
Wednesday, May 27th, 2009
One trader in a note reports that conventional wisdom held that FNMA 4s would not trade appreciably below dollar price 99-16. That issue as of his writing was trading at 97-23 and he is comparing the carnage to the MBS dustup of 2003.
There has been massive selling of mortgages by ...
Posted in Uncategorized | 5 Comments »
Wednesday, May 27th, 2009
I always thought that the 2year/10 year and the 2year/30 year record wides of 273 and 369 were the bond market equivalent of the Dimaggio 56 game hitting streak in baseball.
Not so at least on 2year/10 year. Participants report that 2year/10 year just traded at 273 matching the record of ...
Posted in Uncategorized | 7 Comments »
Wednesday, May 27th, 2009
That was a great movie for sure. But we seem to be repeating the experience of yesterday in the bond market and it aint pretty.
The 5 year note went quite well. It stopped through the market and foreign participation was robust.
However, it seems that the plight of mortgage holders has ...
Posted in Uncategorized | 4 Comments »
Wednesday, May 27th, 2009
Ten year TIPS breakeven spread now 186. It closed 183 last night and when the 10 year TIPS auctioned in April it was 140ish.
Posted in Uncategorized | Comments Off on TIPS
Wednesday, May 27th, 2009
i will be away from corporate headquarters until a little after the 5 year note auction.
On a market note one dealer reports that mortgages are getting "smoked" amidst heavy selling. That is a function of convexity also.
See you a little later.
Posted in Uncategorized | 10 Comments »
Wednesday, May 27th, 2009
Swap spreads are considerably weaker than when I wrote of them earlier.
Market participants report very heavy paying by convexity based accounts which is the reason for the very long caption for this post. In my years in the bond market the crazed convexity crowd was always the last in for ...
Posted in Uncategorized | 1 Comment »
Wednesday, May 27th, 2009
Corporate bonds are very well bid. Most paper is 5 basis points to 10 basis points tighter. Financial paper is about 10 basis points to 20 basis points tighter.
Bank of America paper is enjoying some robust spread tightening in response to the good news that it as made significant progress ...
Posted in Uncategorized | 5 Comments »