Archive for June, 2009
Friday, June 19th, 2009
The belly of the Treasury curve continues to cheapen. The 2year/5 year spread is nearly 162 basis points. That is a 40 year wide.
The 10 year/30 year spread is 75 basis points. That is a local narrow for that spread.
The 2year/5 year/30 year spread is 13 basis points.
I have heard ...
Posted in Uncategorized | 2 Comments »
Friday, June 19th, 2009
- 5yr Snr Bank CDS: BAC 248/258 (-5), CITI 457/467 (unch), JPM 102/110 (unch), WFC 150/160 (unch)
- 5yr Snr Broker CDS: GS 155/165 (unch), MS 217/227 (unch)
- CDS Index: IG12 141.5/142.5 (-2)
Posted in Uncategorized | Comments Off on Credit Market Open
Friday, June 19th, 2009
Yesterday I noted that Across the Curve's international headquarters is about three miles from Bethpage State Park where the US Open is being played. The weather is much better here today.
The sky is gray and sunless but there is no rain and the roads at least are drying.
So I am ...
Posted in Uncategorized | 3 Comments »
Friday, June 19th, 2009
Three month Libor set slightly higher this morning at 0.61188 versus 0.60875 yesterday.
Posted in Uncategorized | 3 Comments »
Friday, June 19th, 2009
Prices of Treasury coupon securities continued to fade in overnight trading. The overnight losses are quite modest but following a 25 basis point increase in the yield on the 10 year note in just two days I had expected some reflexive bounce. That has not happened and buyers are planted ...
Posted in Uncategorized | 1 Comment »
Thursday, June 18th, 2009
While the Treasury market swooned today TIPS performed grace and elan. The breakeven spread in the 10 year sector gapped 15 basis points to 193 from 178 yesterday.
There was another reason for the widening in swap spreads which I failed to note in my closing post. The British Bankers Association ...
Posted in Uncategorized | 1 Comment »
Thursday, June 18th, 2009
Prices of Treasury coupon securities plummeted today as the intersection of supply and economics and convexity led to waves of selling which pushed the market significantly lower in price.
The yield on the 2 year note climbed 9 basis points to 1.25 percent. The yield on the 3 year note jumped ...
Posted in Uncategorized | 2 Comments »
Thursday, June 18th, 2009
Swap spreads widened sharply today as the rising tide of Treasury yields brought in paying by money managers servicers and originators.Two year spreads are 8 basis points wider at 50 1/4. Five year spreads are 6 wider at 43 3/4. Seven year spreads are 5 basis points wider at 24 ...
Posted in Uncategorized | Comments Off on MBS and Swaps and Vol
Thursday, June 18th, 2009
The Treasury market sold off following the strong Philadelphia Fed report. The market has stabilized and is now just about back to levels which prevailed prior to release of that report. One salesmen reported that the cash 10 year bounced from a level which represented a 50 per cent retracement ...
Posted in Uncategorized | 14 Comments »
Thursday, June 18th, 2009
MBS are 6 ticks wider to swaps.
Posted in Uncategorized | Comments Off on Mortgages