Archive for July, 2009

Five Year Note Auction

Wednesday, July 29th, 2009

At 100PM (about 2 hours and 20 minutes from this moment) the US Treasury will regurgitate $ 39 billion 5 year notes into the waiting arms of investors and dealers. The issue looks cheap on the yield curve. Bill O'Donnell of RBS Securities in his morning missive noted that the 2year/5year/10 ...

Corporate Bonds

Wednesday, July 29th, 2009

In the interest of full disclosure I remain long 1000 shares of LQD. Corporate bonds have a firm tone this morning and that which trades does trade on the offered side. However, in the early going sources report that there are not many bonds trading. The 10 year Northrop deal which priced ...

Swaps

Wednesday, July 29th, 2009

Swap spreads are mixed this morning. Two year spreads are 5 basis points tighter at 36 but the preponderance of that is the 2 year roll which is just about 5 basis points.Five year spreads are a basis point tighter at 40. Ten year spreads are a basis point tighter at ...

MBS

Wednesday, July 29th, 2009

Mortgages are opening  in line this morning. There was some origination selling of 5s late yesterday and that has continued this morning. Flows are light and this is not heavy selling. Money managers are better sellers of premium coupons and that is expected to continue. Overnight overseas investors were better sellers of GNMA ...

Morning Misses

Wednesday, July 29th, 2009

Several points which I failed to note in my opening post: The Chinese stock market took a 5 percent tumble overnight as two large lenders have acted to restrict the availability of credit. The Federal Reserve will release its Beige Book today. The Open Market Desk will conduct a buyback in the 2019 ...

IG 12 and Some CDS

Wednesday, July 29th, 2009

5yr Snr Bank CDS: BAC 142/152 (-3), CITI 312/322 (+2), JPM 62/68 (unch), WFC 90/98 (unch) - 5yr Snr Broker CDS: GS 105/115 (unch), MS 150/160 (unch) - CDS Index: IG12 117/118 (+2)

Bond Market Open July 29 2009

Wednesday, July 29th, 2009

Prices of Treasury coupon securities have posted modest gains (mostly) in overseas trading. The yield on the 2 year note is unchanged at 1.12 percent. (We are using the new 2 year note and the roll is about 4 basis points.) The yield on the  3 year note edged lower ...

Bond Market Close 07/28 /09

Tuesday, July 28th, 2009

Prices of Treasury coupon securities posted a truly bifurcated result today with yields on the shorter maturity benchmark issues rising while longer dated issued posted gains. The yield on the 2 year note climbed 4 basis  points to 1.08 percent. The yield on the 3 year note increased 5 basis points ...

Swaps and VOL and MBS

Tuesday, July 28th, 2009

Swap spreads are mixed. Two year spreads are unchanged at 41. Three year spreads are 1/4 basis point tighter at 49 3/4. Five year spreads are 2 basis points tighter at 41 1/2. Seven year spreads are one basis   point tighter at 23 3/4. Ten year spreads are 1/4 basis ...

Agency Market

Tuesday, July 28th, 2009

Agency spreads are 2 basis points to 3 basis points tighter across the curve today. One seasoned trader ( and friend of the blog) noted that the street still feels short from the Open Market Desk purchase Friday in the 2 year through 4 year sector. The trader noted that in ...