Archive for July, 2009
Monday, July 27th, 2009
Swap spreads are mixed. Some are flat and some a tad wider but with the Treasury market in the throes of a debacle that is not the case in the swap market.......yet.
Two year spreads are flat at 44 1/2. Five year spreads are flat at 45 1/2. Ten year spreads ...
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Monday, July 27th, 2009
- 5yr Snr Bank CDS: BAC 145/155 (-5), CITI 315/330 (-5), JPM 63/70 (-2), WFC 95/105 (-5)
- 5yr Snr Broker CDS: GS 110/120 (-5), MS 147/162 (-5)
- CDS Index: IG12 114.5/115.5 (-3)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Monday, July 27th, 2009
Prices of Treasury coupon securities are suffering the slings and arrows of outrageous fortune as well as a malaise contracted from the belief that staus quo ante is in the process of returning to the global economy and global financial markets. Today also begins a period of record issuance by ...
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Friday, July 24th, 2009
Prices of Treasury coupon securities were not quite dramatically unchanged but a huge wave of ennui engulfed the market and trading activity today was quite minimal. It was a very volatile week in the various market segments and from the earliest moments of the day participants favored inaction over action.
Action ...
Posted in Uncategorized | Comments Off on Bond Market Close 07/24/09
Friday, July 24th, 2009
Swap spreads are tighter across the yield curve. Two year spreads are 1/4 basis point tighter at 44 1/2. Five year spreads are 2 basis points tighter at 45 1/2. Ten year spreads are 2 basis points tighter at 22 1/2. Thirty year spreads are 2 1/4 basis points tighter ...
Posted in Uncategorized | Comments Off on Swaps and MBS
Friday, July 24th, 2009
Tea for the Tillerman was a great album by a fellow who departed the music scene much earlier than he should have, Cat Stevens. He has a rich voice and a great sound.
Nearly 40 years later I still enjoy listening to Wild World and Sad Laisa.
Posted in Uncategorized | 2 Comments »
Friday, July 24th, 2009
The corporate bond market, in the words of on e salesman, barely opened today. Paper is about 5 basis points tighter and there is still insatiable demand for quality paper.
The Bank America 7 year which priced at 330 yesterday is 327/323.
The 5 year Boeing priced at 110 and is 103 ...
Posted in Uncategorized | 4 Comments »
Friday, July 24th, 2009
The three month/ten year ATM swaption straddle is 632 mid and has traded as high as 640. Late yesterday the low level of vol when I wrote my closing piece had me flummoxed. In late trading vol did perk and some of the increase that I am noting actually happened ...
Posted in Uncategorized | Comments Off on Volatility
Friday, July 24th, 2009
Swap spreads are 2 basis points tighter across the curve. Two year spreads are at 43 basis points and 5year spreads are at 45 basis points. Ten year spreads are at 22 1/2 basis points and 30 year spreads remain etherized at NEGATIVE 21.
Mortgages are about in line with swaps.
Posted in Uncategorized | 2 Comments »
Friday, July 24th, 2009
Bank and financial paper is opening 5 basis points to 10 basis points tighter. The new Bank America deal which priced at 330 versus 7 year Treasury is 328/323. It had traded as tight as 321 yesterday.
Each of the Boeing tranches is better bid also. The 5year priced at 110 ...
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