Archive for May, 2009
Thursday, May 21st, 2009
Libor continues to plummet. Three month libor has declined 5.5 basis points to 0.66125.
One year Libor has slipped 6.25 basis points to 1.48625.
The Federal Reserve will conduct a buyback in the September 2013 through February 2016 sector today.
Agency spreads have richened to the point at which one can sell a ...
Posted in Uncategorized | 6 Comments »
Thursday, May 21st, 2009
Prices of Treasury coupon securities are registering,on balance very small losses in overnight trading. The overnight news was not bond friendly as S and P maintained its AAA rating on the UK but the rating agency did opine that its outlook for that country had shifted to negative.
The yield on ...
Posted in Uncategorized | 3 Comments »
Thursday, May 21st, 2009
S and P has maintained it AAA rating on 19th century superpower, the United Kingdom, but has revised its outlook to negative. S and P cited the country's increasing debt burden for the move.
The Bloomberg story notes that UK bond spreads versus Bunds widened about 9 basis points after the ...
Posted in Uncategorized | 1 Comment »
Wednesday, May 20th, 2009
Prices of Treasury coupon securities have posted solid gains today with most of the gains achieved after the release of the minutes of the last FOMC meeting.
The yield on the 2year note declined 5 basis points to 0.83 percent. The yield on the 3 year note dropped 6 basis points ...
Posted in Uncategorized | 3 Comments »
Wednesday, May 20th, 2009
Corporate bonds remain on fire. The tone is even firmer than it has been recently. One salesman said that one bond deal today epitomized the turn in psychology.
Praxair sold $500million of a one year Libor based floater at Libor + 9. In his opinion that represents a level which would ...
Posted in Uncategorized | 6 Comments »
Wednesday, May 20th, 2009
I have been visiting the dentist and have just returned to Across the Curve Headquarters complex. Thanks to everyone who commented in my absence.The following was in the email box when I returned and gives some flavor to what the dealer/author entitled a grabathon:
WE FIRST SAW IT IN EMERGING MARKETS ...
Posted in Uncategorized | 1 Comment »
Wednesday, May 20th, 2009
I just bought 1000 IEF at $ 92.95 with the 10 year at 3.228 ish.
I think there is a chance to scalp a few basis points here. The Open market Desk is intervening twice today and again tomorrow. That should take quite a bit of paper out of the street.
I ...
Posted in Uncategorized | 6 Comments »
Wednesday, May 20th, 2009
At 1100AM the Treasury will announce its next round of supply when it discloses the details of next weeks auctions of 2year,5year and 7 year notes. Last month the Treasury sold $ 40 billion 2 year notes, $ 35 billion 5 year notes and $ 26billion 7 year notes.
Most analysts ...
Posted in Uncategorized | 9 Comments »
Wednesday, May 20th, 2009
Swap spreads are mixed. The 30 year spread has traded in the ozone for quite some time and it is actually lagging a bit. It is wider by 3/8 s of a basis point this morning at NEGATIVE 40 5/8.
Other swap spreads in the shorter end of the curve continue ...
Posted in Uncategorized | Comments Off on Swap Spreads
Wednesday, May 20th, 2009
Mortgages are opening a tick or so wider to swaps this morning. At this juncture flows have been very light.
One dealer commented that the Federal Reserve operation has reached a point that unless origination selling is greater than about $6billion per day,it matters little to the market.
Another trader noted that ...
Posted in Uncategorized | Comments Off on MBS