Archive for August, 2009

Swaps and Vol and MBS

Thursday, August 20th, 2009

Swap spreads are mostly narrower across the curve. I will start with the one spread which widened and that is the 30 year spread and it is a basis point wider at NEGATIVE 11 1/2. Two year spreads are 1 1/2 basis points narrower at 41 3/4. Three year spreads are 2 ...

Agency Spreads

Thursday, August 20th, 2009

Agency spreads are 1 basis point to 2 basis points tighter today. The Open Market Desk announced a buyback for tomorrow. The Desk will purchase August 2010 through August 2011 agency paper.

Corporate Bonds

Thursday, August 20th, 2009

The secondary market for corporate bonds is dramatically unchanged today. One veteran salesman and friend of the blog noted that the market possessed a firm tone in very early trading but softened with the unexpected increase in initial jobless claims. There is a reasonable amount of new issuance today. American Express is ...

Miscellany

Thursday, August 20th, 2009

There was substantial money manager and Federal Reserve buying of MBS late yesterday and that buying left the street short. Sources report that the buying continues this morning and has overwhelmed the modest amount of originator selling. Mortgages are about 4 ticks tighter to swaps.The Treasury just announced the supply package and ...

Amex New Issue

Thursday, August 20th, 2009

Aug. 20 (Bloomberg) -- American Express Credit Corp. plans to sell five-year notes in a benchmark offering, according to a person familiar with the transaction who declined to be identified because terms aren’t set. Benchmark typically means at least $500 million.

Philly Fed

Thursday, August 20th, 2009

Philadelphia Fed crossed the Mendoza line and is at its highest level since November 2007.

New Issues

Thursday, August 20th, 2009

Aug. 20 (Bloomberg) -- News America Inc., a unit of News Corp., plans to sell $1 billion of 11- and 30-year debt, according to a person familiar with the transaction who declined to be identified because the terms aren’t set. Aug. 20 (Bloomberg) -- Yum! Brands Inc., the owner of the Pizza Hut and Taco ...

Some Spread Stuff

Thursday, August 20th, 2009

Mortgages are opening a couple of ticks tighter to swaps. Premium coupons are outperforming discounts. The level of activity is subdued thus far. Swap spreads are narrower across the curve. Two  year spreads are 2 basis points tighter at42. Five year spreads are a basis point tighter at 42 1/2.Ten year ...

New Issue Financial Update

Thursday, August 20th, 2009

**New Issue Update: Financials          8/20/09 LAST:                  PRICED: GE     3½  8/12    200/195                +180 VS T3 RABOBK 2.65 8/12    100/95                 +92  VS T3 CS     5.3  8/19    185/180    ...

IG 12 and Some CDS

Thursday, August 20th, 2009

5yr Snr Bank CDS: BAC 163/173 (-5), CITI 275/285 (-5), JPM 69/74 (-2), WFC 98/103 (-2) - 5yr Snr Broker CDS: GS 140/150 (-5), MS 180/190 (-5) - CDS Index: IG12 121.5/122.5 (-2)