Archive for August, 2009
Wednesday, August 19th, 2009
With the rally in the Treasury market this morning TIPS are lagging and have surrendered virtually all of the gains of yesterday. Breakevens on the 10 year are back around 172 basis points after finishing yesterday at 177.
One trader suspects that there should be buying if the spread approaches 168.
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Wednesday, August 19th, 2009
Swap spreads are narrower across the curve.
Two year spreads are 1 basis point tighter at 42 1/2. Five year spreads are 1 basis point tighter at 42. Ten year spreads are 2 basis points tighter at 23 1/2. Thirty year spreads are 2 basis points tighter at NEGATIVE 14 1/2.
A ...
Posted in Uncategorized | Comments Off on Swaps and Swaption VOL
Wednesday, August 19th, 2009
Financial names are opening 5 basis points to 10 basis points weaker this morning. Here some quotes.
JPM 6.3 2019 175/165 versus 170/160 yesterday.
BAC 5.65 2018 300/290 versus 295/285.
GS 7 .5 2019 220/210 versus 210/200
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Wednesday, August 19th, 2009
Libor has opened at 0.41875 versus 0.4250 yesterday.
Posted in Uncategorized | 4 Comments »
Wednesday, August 19th, 2009
Prices of Treasury coupon securities are surging in overnight trading as equity market investors hastily and in disorderly fashion exit stocks for something safer.
China is leading the charge as its market declined more than 4 percent overnight. A Bloomberg story notes that the market in China has declined nearly 20 ...
Posted in Uncategorized | Comments Off on Bond Market Open AUgust 19 2009
Wednesday, August 19th, 2009
The Wall Street Journal has a story which delineates the reluctance of John Q Public to take his wallet out of his pocket and spend.
Where will the consumption come from to build a sustainable recovery?
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Tuesday, August 18th, 2009
My TLT position bit the dust today and I lost 25 cents on 1000 shares.
I am flat the fixed income market.
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Tuesday, August 18th, 2009
Preview: Weekly mortgage applications and AIA data
The economic data calendar on Wednesday is limited to weekly mortgage applications (week of August 14) and the American Institute of Architects’ (AIA) billings index (July). (1) The mortgage applications purchase index has yet to show the strengthening suggested by most other home sales ...
Posted in Uncategorized | Comments Off on UBS on Economic Calendar for August 19 2009
Tuesday, August 18th, 2009
Prices of Treasury coupon securities took a gentle tumble today but a tumble it was nonetheless. Bond market participants took no solace from the improvement in the stock market. The demise of the equity market yesterday bolstered Treasuries but the recovery and China and the subsequent recovery here contributed to ...
Posted in Uncategorized | Comments Off on Bond Market Close August 18 2009
Tuesday, August 18th, 2009
Swap spreads leaked quite a bit wider across the curve today. There was some paying by servicers and speculators were active payors.
Two year spreads are 2 1/2 basis points wider at 43 1/4. Three year spreads are 2 basis points wider at 50 3/4. Five year spreads are 2 1/2 ...
Posted in Uncategorized | Comments Off on Late Day Spread Market Comments