Archive for July, 2009

Bond Market Close July 16 2009

Thursday, July 16th, 2009

Prices of treasury coupon securities posted solid gains today as the market bounced following the sharp rise in rates yesterday. Market participants reported robust buying overnight by Japanese investors as well as broad based Asian buying in the belly of the curve during stateside trading.  I have also heard of ...

Swaps and MBS and VOL and Agencies

Thursday, July 16th, 2009

Swap spreads are tighter across the yield curve today.Participants report receiving by speculators, real money and mortgage clients. Two year spreads are 1 1/2 basis points narrower at 44 1/2. Five year spreads are 1/2 basis point tighter at 48. Ten year spreads are 2 1/4 basis points narrower at 22 ...

Corporate bond spreads

Thursday, July 16th, 2009

Corporate bond spreads are quite firm except for CIT bonds which are face to face with financial ignominy and shame. The hybrid bonds of the issuer are trading single digits. There was one quite large deal in the new issue market today and it is a new name for me. RasLafan ...

MBS and Vol

Thursday, July 16th, 2009

Mortgages are out performing swaps by about 4 /32 today.  Within the coupon stack the full coupons are the winners. Volatility remains directional and with the market rebounding today vol is softer with the three month /ten year ATM straddle quoted at 624. it closed last night in the 630s.

Swap Spreads

Thursday, July 16th, 2009

Swap spreads are tighter across the yield curve. Two year spreads are a basis point  narrower at 44. Five year spreads are also a basis point tighter at 47. Ten year spreads and thirty year spreads are each 2 basis points tighter at 22 and NEGATIVE 21 1/2,respectively.

IG 12 and Some CDS

Thursday, July 16th, 2009

- 5yr Snr Bank CDS: BAC 173/183 (+5), CITI 375/385 (+10), JPM 91/96 (+1), WFC 135/145 (+8) - 5yr Snr Broker CDS: GS 137/147 (+7), MS 185/195 (+7) - CDS Index: IG12 135/136 (+4)

JPM

Thursday, July 16th, 2009

Strong results at the House of Morgan.

Velocity

Thursday, July 16th, 2009

Here are several charts from the Saint Louis Federal Reserve.I am interested in the initial chart which  plots velocity. We do not have to worry about inflation pressures and all of the high powered money sloshing about the system until those charts turn upward.

Libor

Thursday, July 16th, 2009

Libor set at 0.51 this morning after setting at 0.51375 yesterday.

Bond Market Open July 16 2009

Thursday, July 16th, 2009

Prices of Treasury coupon securities have recouped a portion of the outsized losses which they suffered yesterday. Part of the gains, I suspect, One can attribute to the fabled sound of the moribund feline striking the pavement after falling from on high. And part of the small rebound can be ...