Archive for June, 2009
Friday, June 12th, 2009
Swap spreads ratcheted tighter today. I must admit surprise as I spent some time away from Across the Curve's magisterial headquarters today. I expected a quiet non descript day after a wild week.
The level of activity was not huge but it was constant. One derivative salesman said that mortgage servicers ...
Posted in Uncategorized | 4 Comments »
Friday, June 12th, 2009
As I begin to write my closing posts i am listening to Jethro Tull's "Benefit" which was released in 1970.
Posted in Uncategorized | 2 Comments »
Friday, June 12th, 2009
One dealer is touting the above captioned MBS . It is down 8 ticks today while the FNMA 4 1/2s are up 18 ticks.
At a dollar price of 105 27/32 at a CPR if 20 the bond yields 4.85 percent. The dealer in question had a chunky bid at that ...
Posted in Uncategorized | 3 Comments »
Friday, June 12th, 2009
Mortgages are opening with FNMA 4 1/2s 3 ticks better to swaps.
There has been some interested in the premium coupons late yesterday and today but not enough to salvage them versus 4 1/2 which they lag by 4 ticks.
Posted in Uncategorized | Comments Off on MBS
Friday, June 12th, 2009
Here is post from the always interesting Brad Setser. He shows that Mom and Pop have plunged into the Treasury market and have taken up some of the heavy lifting of financing the deficit.
I believe that the last available data on the savings rate showed that the rate had jumped ...
Posted in Uncategorized | 4 Comments »
Friday, June 12th, 2009
- 5yr Snr Bank CDS: BAC 173/183 (unch), CITI 365/375 (unch), JPM 83/90 (unch), WFC 110/120 (unch)
- 5yr Snr Broker CDS: GS 115/125 (-5), MS 195/205 (-5)
- CDS Index: IG12 127/128.5 (unch)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Friday, June 12th, 2009
The Wall Street Journal reports the the Federal Reserve is unperturbed by the recent rise in rates and views it a part of the markets acknowledgement of a recovering economy. The author asserts that the FOMC will not increase the amount of purchases at its next meeting. The story also ...
Posted in Uncategorized | 8 Comments »
Friday, June 12th, 2009
Libor probing lower as it opens at 0.62438 versus 0.62938 yesterday.
Posted in Uncategorized | 3 Comments »
Friday, June 12th, 2009
Prices of Treasury coupon securities continues their resurgence in overnight trading. I am sure that many (myself included) did not anticipate that the 30 year auction would go off without a hitch and now many of those investors are buyers on dips rather than sellers on rallies. (Someone criticized my ...
Posted in Uncategorized | 3 Comments »
Thursday, June 11th, 2009
Prices of Treasury coupon securities surged today as investors flocked to the bond market and the prospect of 4 percent 10 year notes and 30 year bonds trading behind 4.75 percent.
There are a litany of reasons for the change of heart by investors.
The MBS market is an appropriate place to ...
Posted in Uncategorized | 2 Comments »