Archive for July, 2009
Friday, July 31st, 2009
Prices of treasury coupon securities surged today. I offered the reasons in an earlier posting and those reasons remain intact.
The yield on the 2 year note has declined 6 basis points to 1.11 percent. The yield on the 3 year note has dropped 8 basis points to 1.59 percent. The ...
Posted in Uncategorized | 2 Comments »
Friday, July 31st, 2009
Corporate bonds are maintaining their firm bid and are 5 basis points to 10 basis points on the day. One salesman noted that anything spread more than 100 basis points over treasuries is probably 10 basis points tighter.
Colgate priced $ 300 million 6 year Treasuries at a yield of 3.176. ...
Posted in Uncategorized | 2 Comments »
Friday, July 31st, 2009
As measured by the premium on the three month /ten year ATM swaption straddle, vol is eroding. That premium is 597 basis points today. I marked it at 602 yesterday.
Swap spreads are a tad tighter across the curve. Two year spreads are 1 1/2 basis points tighter at 35 1/2. ...
Posted in Uncategorized | Comments Off on MBS and VOL and SWAPS
Friday, July 31st, 2009
The belly of the curve is rather robust today as yields decline sharply across the yield curve. The yield on the 2 year note has declined 6 basis points to 1.11 percent. The yield on the 3 year note has slipped 7 basis points to 1.60 percent. The yield on ...
Posted in Uncategorized | 4 Comments »
Friday, July 31st, 2009
Colgate Palmolive plans to sell $ 300 million 6 year notes. Spread talk is + 70,though to be honest I am not sure if that is versus the 5 year Treasury or verssus the off the run Treasury at the 6 year point.
And Safeway Stores is offering $ 500 million ...
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Friday, July 31st, 2009
GDP in Q2 declined less than expected in Q2 at -1.0percent versus the consensus forecast of -1.5 percent.
Revisions to prior period data show that the economic contraction was deeper than originally reported with the YOY change -3.9 percent versus an expectation of something closer to -3.0.
The biggest disappointment in the ...
Posted in Uncategorized | 11 Comments »
Friday, July 31st, 2009
Corporate bond spreads are opening about a nickel tighter.
Here are a couple of examples of how tight spreads are.
Five year Walmart paper is quoted 30/20 this morning.
Ten year Walmart paper is 65/55.
Microsoft 5 year paper is 30/25.
Microsoft 10 year paper is 55/50.
To give those numbers some perspective, one need only ...
Posted in Uncategorized | 3 Comments »
Friday, July 31st, 2009
Swap spreads are mixed.
Two year spreads are 2 basis points tighter at 35 basis points. Five year spreads are a basis point tighter at 36.Ten year spreads are a basis point tighter at 23 1/2. Thirty year spreads are flat at NEGATIVE 24
Posted in Uncategorized | Comments Off on Swap Spreads
Friday, July 31st, 2009
I should have corrected this earlier and apologize for not doing so but I am prodded to do so by a commenter.
I was perusing the news on the web last night and found a story regarding the suspension of the cash for clunker program. The source I used suggested that ...
Posted in Uncategorized | 8 Comments »
Friday, July 31st, 2009
5yr Snr Bank CDS: BAC 130/140 (unch), CITI 275/290 (-10), JPM 53/63 (-2), WFC 80/90 (unch)
- 5yr Snr Broker CDS: GS 90/100 (unch), MS 130/140 (unch)
- CDS Index: IG12 110/111 (-3)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS