Archive for July, 2009

Bond Market Close July 31 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 ...

Corporate Bonds: Return of the Yield Whores

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. ...

MBS and VOL and SWAPS

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. ...

Treasury Market Update

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 ...

Colgate Palmolive

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 ...

GDP

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 ...

Corporat Bonds: Tight

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 ...

Swap Spreads

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

Apology/Correction

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 ...

IG 12 and Some CDS

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)