Archive for August, 2009
Tuesday, August 18th, 2009
Corporate bonds are pretty much unchanged in a day of very quiet trading. One seasoned veteran and friend of the blog who had taken several days off returned to the fray and pronounced that the "attitude" is still firm.
He observed that the bank and financial sector is 10 basis points ...
Posted in Uncategorized | 3 Comments »
Tuesday, August 18th, 2009
I have not posted a musical interlude in a while.
Streaming through Across the Curve Global HQ this morning is "Disraeli Gears".
There is hardly an unworthy song on the album.
Sunshine of Your Love was a Top 40 hit at the timebut I favor "Strange Brew" and "Tales of brave Ulysses".
Clapton and ...
Posted in Uncategorized | 3 Comments »
Tuesday, August 18th, 2009
Mortgages are now improving versus swaps. Swap spreads are unchanged and MBS is about 2 basis points tighter to Treasuries.
One veteran mortgage trader posits that servicers will be forced to buy 4 percent coupons and/or receive swaps when the FNMA 4 1/2 reach a dollar price of 100-16.
The issue currently ...
Posted in Uncategorized | 1 Comment »
Tuesday, August 18th, 2009
I posted a piece earlier which I extracted from the morning commentary of David Ader of CRT. That post delineated some of the favorable technicals developing in the 10 year note.
I received another email from another trader which struck a similar note. This trader observed (by his reckoning) resistance for ...
Posted in Uncategorized | 6 Comments »
Tuesday, August 18th, 2009
Mortgages are opening the day unchanged to a plus tighter versus swaps. Premium coupons are lagging their low coupon cousins.
Swap spreads are wider across the yield curve.
Two year spreads are a basis point wider at 42. Five year spreads and 10 year spreads are also a basis point wider at ...
Posted in Uncategorized | Comments Off on Swaps and MBS and VOL
Tuesday, August 18th, 2009
JPMorgan has for many years surveyed its customer base every Monday to determine where fixed income investors are relative to their bogey. Someone forwarded this week's results to me and I present them for your edification and trading benefit:
THIS WEEK LAST WEEK TWO-WEEKS AGO
LONG 24 ...
Posted in Uncategorized | 4 Comments »
Tuesday, August 18th, 2009
I remain long the 1000 TLT which I purchased yesterday afternoon.
Posted in Uncategorized | Comments Off on Full Disclosure
Tuesday, August 18th, 2009
Here is an excerpt from the morning note of David Ader of CRT which details some positive technical developments yesterday for the 10 year Treasury. He begins with a negative assessment for equities:And here’s the thing. Stocks broke down technically and if our charts
are correct have substantial further losses – ...
Posted in Uncategorized | Comments Off on Technicals
Tuesday, August 18th, 2009
Prices of Treasury coupon securities have retreated in overnight trading as better than expected economic data has buoyed European stock markets and fueled a rise in US markets in pre market trading.
The market moving news was a report of a sharp rise in the German IFO. The index(which is a ...
Posted in Uncategorized | 1 Comment »
Tuesday, August 18th, 2009
Hot off the press with news that three month Libor is 0.4250 this morning after setting at 0.43125 yesterday.
Posted in Uncategorized | 3 Comments »