Archive for July, 2009
Thursday, July 30th, 2009
Ford Motor is doing a benchmark three year deal. I have not heard price talk but there is an outstanding issue, the 7.80s of 2012 which trades to a dollar price around 92. I am told that at that level it yields around 11.25.
Citibank is also raising money in the ...
Posted in Uncategorized | 4 Comments »
Thursday, July 30th, 2009
In the swap market there was some paying overnight from Asian investors which has weighed on sentiment. There has also been profit taking by professionals who benefited from some spread tightening.
Relative value accounts are looking at the 7 year part of the swap curve (to own it) versus 5 years ...
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Thursday, July 30th, 2009
Swap spreads are opening wider this morning. Two year spreads are 2 basis points wider at 37. Five year spreads are (roll adjusted) a basis point wider. Ten year spreads are a basis point wider at 25 and thirty year spreads are 2 basis points less inverted at NEGATIVE 14 ...
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Thursday, July 30th, 2009
The Open Market Desk will intervene in the free market and will purchase Treasury securities which mature between May 2012 and November 2013
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Thursday, July 30th, 2009
Prices of Treasury coupon securities slumped in overnight trading as stock market gains and uncertainty regarding demand for the Treasury seven year note auction (later today)pushed prices lower.
The yield on the 2 year note increased 2 basis points to 1.18 percent. The yield on the 3 year note climbed 3 ...
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Thursday, July 30th, 2009
Three month Libor set at 0.48313 this morning versus 0.48750 yesterday.
Posted in Uncategorized | Comments Off on Libor
Wednesday, July 29th, 2009
Prices of Treasury coupon securities took a wild ride today as a variety of cross currents buffeted the fixed income market.
Markets opened with a bid on equity market weakness in China and maintained its firm one following an ostensibly weak Durable Goods report.
As the day progressed the focus of the ...
Posted in Uncategorized | 14 Comments »
Wednesday, July 29th, 2009
Swap spreads are mixed. Two years adjusted for the roll are a basis point narrower at 35 1/4. Five year spreads are 2 1/4 basis points tighter at 38 3/4. Ten year spreads are 1/2 basis point wider at 22 3/4. Thirty year spreads are 2 1/2 basis points less ...
Posted in Uncategorized | Comments Off on Swaps and VOL and MBS
Wednesday, July 29th, 2009
The less than enthusiastic reception for the 5 year note has prompted some shifts in the yield curve.
The 2year/5year/10 year spread (using the WI ) is now about 50 basis points. That which looked cheap is now cheaper by about 5 basis points.
The 2year/10 year spread has narrowed to 251 ...
Posted in Uncategorized | Comments Off on Little Yield Curve Stuff
Wednesday, July 29th, 2009
Tim Geithner threw a party today and he proved to be the most unpopular boy on the block as the response to his invitation was less than enthusiastic.
The 5 year note produced a yield of 2.689 percent. I often write here of the "tail'. The "tail' in an auction is ...
Posted in Uncategorized | 14 Comments »