Position Report: It Hurts to Catch a Falling Sword
Friday, May 22nd, 2009I had purchased 1000 IEF yesterday at 92.11 I just exited that position at 91.75. I am flat.
Archive for May, 2009
I had purchased 1000 IEF yesterday at 92.11 I just exited that position at 91.75. I am flat.
MBS and SWAPS and VOL
Friday, May 22nd, 2009Swap spreads are pushing wider as the market breaks out of the range. Servicers have been busy paying this morning. Two year spreads are a basis point wider at 39 1/2. Five year spreads are 3 basis points wider at 47. Ten year spreads are 4 basis points wider at 14 ...
Breakdown
Friday, May 22nd, 2009The Treasury market is suffering what seems to be its 19th nervous breakdown this morning. The 10 year note penetrated the old yield high of 3.38 percent and with that level out of the way is set to challenge 3.50. Market participants in the universe in which I traffic report ...
CDS and IG 12
Friday, May 22nd, 20095yr Snr Bank CDS: BAC 155/165 (-5), CITI 355/375 (-5), JPM 100/110 (unch), WFC 118/128 (-2) - 5yr Snr Broker CDS: GS 147/157 (-3), MS 238/248 (-2) - CDS Index: IG12 144.5/146 (unch)
TIPS
Friday, May 22nd, 2009I have commented recently about the signals from the TIPS market and the recent superb performance of those instruments. I happened upon a blog a few minutes ago called Calafia BeachPundit. The author is an economist and makes an excellent and worthy presentation on the topic. A quick perusal of other ...
Bond Market Open May 22 2009
Friday, May 22nd, 2009Prices of Treasury coupon securities in overnight trading have performed their periodic imitation of a moribund feline striking the pavement after falling from on high. In that case and in the case of the bond market today the bounce is quite minimal. The yield on the 2 year note has declined ...
Agency and Corporate Bonds,Briefly
Thursday, May 21st, 2009Agency spreads are mixed. The 2 year sector is unchanged to a tad tighter. The 5 year sector is flat and 10 year paper is a 2 basis points wider. Traders note light issuance and Federal Reserve and real retail buying which creates beneficent technicals. One trader noted demand for step up ...
TIPS
Thursday, May 21st, 2009Ten Year Tips are closing at 173 breakeven which is as wide as I have seen them in this cycle.
Bond Market Close May 21 2009
Thursday, May 21st, 2009Prices of Treasury coupon securities took a derisive shellacking today as the bond market collapsed rather dramatically under the strain of supply issues, and more ominously, sovereign credit concerns. Let me record the carnage first and then address the reasons for the destruction. The yield on the 2 year note has ...