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 ...
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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. ...
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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. ...
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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 ...
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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 ...
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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 ...
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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
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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 ...
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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)
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