Archive for July, 2009

Bond Market Close July 17 2009

Friday, July 17th, 2009

Prices of Treasury coupon securities are experiencing some severe vertigo in very, very, light summer Friday trading. Universally market participants report that the level of activity is very light. Against that background, bond prices have suffered sharp declines. What are the local short term causes of the slippage? The Housing Starts data ...

Swaps

Friday, July 17th, 2009

Swap spreads are wider across the curve but not enough to suggest massive paying. Two year spreads are 2 1/4 basis points wider at 46 1/4. Five year spreads are just 1/4 basis point wider at 48 3/4. Ten year spreads are a solitary basis point wider at 23 1/2. Thirty ...

Forty Years

Friday, July 17th, 2009

This weekend will mark 40 years that man first set foot on the moon. In a couple of weeks we will also celebrate the anniversary of the Woodstock weekend. I am still hooked on much of the music of that era. Amidst the hoopla for those two historic occasions I have seen ...

Musical Interlude

Friday, July 17th, 2009

I am enjoying one of the great albums of yesteryear "Cosmo's Factory ' by Credence Clearwater Revival. There is the famous "Who'll Stop the Rain" as well as a spectacular version of the Motown classic "I Heard It Through the Grapevine". A final little treat is their version of the bluesy "Before ...

Treasury Market

Friday, July 17th, 2009

The level of activity is muted and several have pointed out that it is a beautiful summer Friday and many desks are half staffed as the young and the restless head for playas east and south of the great metropolis. The 10 year note is revisiting the 50 percent retracement level ...

IG 12 and Some CDS

Friday, July 17th, 2009

- 5yr Snr Bank CDS: BAC 167/177 (-3), CITI 370/380 (-3), JPM 85/90 (-2), WFC 130/140 (unch) - 5yr Snr Broker CDS: GS 130/140 (unch), MS 180/190 (unch) - CDS Index: IG12 131.75/132.75 (+2)

Libor (Corrected)

Friday, July 17th, 2009

Three month Libor sets at 0.5375 versus 0.51 yesterday. I flunked proof reading.  As several have pointed out it should be 0.50375. Many apologies.

Bond Market Open July 17 2009

Friday, July 17th, 2009

Prices of Treasury coupon securities are registering minuscule gains in overseas trading. A quick perusal of the news manifests a very light flow of data with only some antipodean statistics to light our path. In Australia exports in Q2 fell by the most since 1974 as the Export price Index fell ...

UBS on Q2 GDP

Friday, July 17th, 2009

Economists at UBS have revised their thinking on Q2 GDP (raising their estimate slightly). Even more interesting (to me) are their thoughts on the pace of inventory liquidation, final sales and net exports. It is a worthwhile read. Final sales stabilizing, inventories down sharply again in Q2. Although real GDP fell ...

Late Night Links for Insomniacs

Friday, July 17th, 2009

Health Care Reform Runs into Snag. JPMorgan and Goldman Sachs go to the head of the class. 435 micro economic geniuses in the House. And some gloomy macroeconomics. EconomistsView with a pithy piece on the FOMC economic outlook