Archive for July, 2009
Wednesday, July 22nd, 2009
Corporate bond spreads are mixed today. There was early morning weakness in financial names in response to the Morgan Stanley earnings as well as some shuffling of paper in response to a downgrade of Bank America credit card paper.
However, quality non financial names are 5 basis points to 10 basis ...
Posted in Uncategorized | 1 Comment »
Wednesday, July 22nd, 2009
Swap spreads are mixed today. Two year spreads are unchanged at 43 1/2. Five year spreads are 1 3/4 basis points narrower at 46. Ten year spreads are 1/4 basis point tighter at 20 1/4. Thirty year spreads are 1/4 basis points wider at NEGATIVE 24.
One salesperson noted some conversations ...
Posted in Uncategorized | Comments Off on Swaps and VOL and MBS
Wednesday, July 22nd, 2009
Here is a link to an exhaustive and informative article by the always cogent Professor Hamilton of Econbrowser.
Posted in Uncategorized | Comments Off on Federal Reserve Balance Sheet
Wednesday, July 22nd, 2009
Agency spreads are unchanged in the 2 year sector and a basis point tighter in the 5 year sector. Ten year spreads are a basis point wider.
Federal Home Loan Bank priced a 3 year note today at T+35. This issue has not budged and is 35/34.5.
One analyst with whom I ...
Posted in Uncategorized | Comments Off on Agency Spreads
Wednesday, July 22nd, 2009
Mortgages remain in line with swaps.
There has been some pick up in origination selling as rates have declined but that selling has been met by the steady force of buying by the Federal Reserve purchases.
The three month/ten year ATM straddle is 626 basis points this morning.
Posted in Uncategorized | Comments Off on MBS and Some VOL
Wednesday, July 22nd, 2009
Mortgages are opening very quietly and are a couple of ticks tighter to swaps.
The level of activity is very subdued.
Posted in Uncategorized | Comments Off on MBS
Wednesday, July 22nd, 2009
The treasury market is under some pressure this morning.
Sources with whom I speak report speculators have been busy buying the back end and selling the front end. That does not look so swell right now as the 2 year note has barely budged whilst the Long Bond has declined about ...
Posted in Uncategorized | Comments Off on Treasury Market
Wednesday, July 22nd, 2009
Morgan Stanley earnings disappointed investors this morning and that has precipitated a sell off in corporate bond spreads and in financial names in particular.
Some Morgan Stanley paper is as much as 20 basis points wider from previous day closing levels.
And the recent Citibank deal is now underwater. It is 385/380. ...
Posted in Uncategorized | Comments Off on Some Spreads
Wednesday, July 22nd, 2009
By Brad Skillman
July 22 (Bloomberg) -- Charge-offs on U.S. credit cards as
measured by Moody’s Credit Card Index rose in June, reaching a
record 10.76 percent.
Posted in Uncategorized | 1 Comment »
Wednesday, July 22nd, 2009
William O Donnell is an analyst and strategist with RBS Securities (the firm formerly known as Greenwich Capital). He publishes an excellent piece each morning.
He notes in his report this morning that investors have been busy unwinding Bund/Treasury trades. Bunds have lagged Treasuries by 8 basis points to 9 basis ...
Posted in Uncategorized | 8 Comments »