Libor
Friday, July 24th, 2009Libor set at .50188 today versus 0.50375 yesterday.
Archive for July, 2009
Bond Market Open July 24 2009
Friday, July 24th, 2009Prices of Treasury coupon securities are registering small losses in overnight trading. The yield on the 2 year note increased 2 basis points to 1.03 percent. The yield on the 3 year note increased 1 basis point to 1.59 percent. The yield on the 5 year note climbed 2 basis ...
Bond Market Close July 23 2009
Thursday, July 23rd, 2009Prices of Treasury coupon securities tumbled hard today as an exodus from Treasury paper into riskier assets weighed on sentiment. An ebullient stock market exercised similar power as did the heavy supply which the street will confront next week. The yield on the 2 year note crossed above 1 percent again ...
MBS and VOL and Swaps
Thursday, July 23rd, 2009Mortgages are about 2/32 tighter to swaps. There has been some origination based supply as well as some convexity based selling. That supply has been countered with buying from an eclectic group of investors. Some believe that the supply based selling is over and further believe that theTreasury market will hold ...
Corporate Bonds
Thursday, July 23rd, 2009Corporate bond spreads are 5 basis points to 10 basis points tighter on the day. One salesman ( and friend of the blog) notes that the tightening has ceased for the day because there are no more bonds around. He cites the prospect that the funds rate will remain at zero ...
Supply Tsunami
Thursday, July 23rd, 2009The Treasury will auction something in the neighborhood of $ 236 billion in securities next week. Let me breakdown the component parts. I will begin with the one piece of the puzzle which is not yet set in stone. prognosticators expect that on Monday the Treasury will announce an auction of $ ...
Volatility
Thursday, July 23rd, 2009The three month/ten year ATM swaption straddle which I chronicle here regularly is softer today. It trades around 619 basis points and it closed in the mid 620s. i had thought with the debacle in the market that vol would be higher but I am picking up that it is unchanged ...
Buyback
Thursday, July 23rd, 2009The Federal Reserve bought $3 billion Treasuries in the long end of the curve. Check this link to the New York Fed for a breakdown.
More on the Treasury Market
Thursday, July 23rd, 2009I have also picked up rumours of a large seller of the 5 year and 10 year sector this morning. Rumour mongerers allege the seller was from the Middle East. Separately, I reported yesterday that Asian central banks were prospective buyers around 3 5/8 percent on 10 year notes.I am told ...
On the Treasury Market Drubbing
Thursday, July 23rd, 2009The Treasury market has turned rather ugly. The belly of the curve has taken a drubbing and the yield curve is steeper. The 2year/10 year spread is now 263 basis points versus 259 basis points at the open. The 10 year/30 year spread is 2 basis points narrower at 88 basis points. ...