Archive for July, 2009

Swap Spreads

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 ...

IG 12 and Some CDS

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)

Bond Market Open July 27 2009

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 ...

Bond Market Close 07/24/09

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 ...

Swaps and MBS

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 ...

Musical Interlude

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.

Corporate Bonds

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 ...

Volatility

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 ...

Swaps and MBS

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.

Corporate Open

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 ...