Archive for May, 2009

SWAPS and VOL and MBS

Tuesday, May 26th, 2009

Swap Spreads are posting small mixed changes. Two year spreads are 1/2 basis point tighter at 40 1/4. Five year spreads 1/2 basis point wider at 48 1/2. Ten year spreads are unchanged at 15. Thirty year spreads are 1/2 basis point tighter at -31 1/2. The three month 10 year ...

Treasury Market

Tuesday, May 26th, 2009

The Treasury market had a strong bid early but has withered in the face of an ebullient equity market and an auction of $ 40 billion 2 year notes and upbeat economic data. Participants report central bank buying concentrated in the front end (though a smattering of participation in the 10 ...

Corporate Bonds

Tuesday, May 26th, 2009

Quiet but firm is the byword. More buyers than sellers. But not alot of activity. The new issue calendar is light and the high profile offering of the day thus far is a 7 year deal from Met Life.

IG 12 and Some CDS

Tuesday, May 26th, 2009

- 5yr Snr Bank CDS: BAC 155/165 (+3), CITI 355/375 (+5), JPM 95/105 (unch), WFC 115/125 (unch) - 5yr Snr Broker CDS: GS 143/153 (+3), MS 235/245 (unch) - CDS Index: IG12 149/150.5 (+2)

Selected Corporate Bond Quotes

Tuesday, May 26th, 2009

JPM 4.65 2014 250 /245 priced 275 GE 5.9 2014 345/340 priced 387 C 8 .5 2019 492/487 priced 562

Exit Strategy

Tuesday, May 26th, 2009

No Exit is a play by French author and existentialist par excellence Jean Paul Sarte. Apparently the Federal Reserve does not wish to be trapped in a strategy with no exit and is in active discourse on how they unwind the massive provision of liquidity when it is economically appropriate to ...

Libor

Tuesday, May 26th, 2009

Three month Libor set at 0.66375 this morning versus 0.66 previously. One year Libor set at 1.55250 this morning versus 1.53125 previously.

Bond Market Opening May 26 2009

Tuesday, May 26th, 2009

Prices of Treasury coupon securities are posting meager gains in overnight trading following the debacle which they experienced last week. Equity markets in Europe are registering modest declines and there is some geopolitical fear wafting through the air following the North Korean nuclear test over the weekend. The yield on the ...

Economic Data May 26 2009

Tuesday, May 26th, 2009

The Conference Board will release May Consumer Confidence today.It remains historically low but economists are forecasting a small rise to 43 from 39.2 The housing market has been the villain of the economic piece since its peak in late 2006. The Case Shiller report should show that the decline in home ...

Weekend

Friday, May 22nd, 2009

I  will be checking here periodically over remainder of the day but unless something momentous happens I  am through blogging for the day. My thanks to all for the copious and cogent comments from  so many this week. Enjoy the long weekend. JJJ