Archive for August, 2009
Monday, August 17th, 2009
Prices of Treasury coupon securities surged today but most of the action happened while we were sleeping as the gains in New York trading have been muted.
The yield on the 2 year note decline 4 basis points to 1.01 percent. The yield on the 3 year note slipped 7 basis ...
Posted in Uncategorized | 3 Comments »
Monday, August 17th, 2009
Swap spreads are mixed today. Two year spreads are 1 1/2 basis points wider at 41 1/4. Five year spreads are 2 1/2 basis points wider at 50 1/2. Ten year spreads are 1/4 basis point wider at 22. Thirty year spreads are one basis point tighter at NEGATIVE 16 ...
Posted in Uncategorized | Comments Off on Swaps and MBS and VOL
Monday, August 17th, 2009
Agency spreads are 3 basis points to 4 basis points wider today.
The proximate cause of the sell off is the return of risk aversion with the principal manifestation of that the equity market sell off. One dealer reported fairly active selling this morning from overseas investors.
Another dealer suggested that the ...
Posted in Uncategorized | Comments Off on Agency Market
Monday, August 17th, 2009
I bought 1000 shares at $ 94.37 a few minutes ago. I have a stop in place at $ 94.12
Posted in Uncategorized | 7 Comments »
Monday, August 17th, 2009
The price talk on the Baxter International 10 year ($ 500 million) is T+ 110 plus or minus 5 basis points.
Posted in Uncategorized | Comments Off on Corporate Bond New Issue
Monday, August 17th, 2009
Corporate bond spreads are 5 basis points to 10 basis points wider this morning as a weakening stock market saps some of the energy from the high grade investment market.
There is one new issue out there. Baxter International, a medical supply company, is offering $ 500 million 10 year notes.
I ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Monday, August 17th, 2009
Mortgages are lagging swaps by about 4 ticks this morning.
One trader posits that at this level of rates and the recent out performance of the sector, total rate of return clients and banks will be sellers.
Mortgages should lag in a rally.
Volatility has firmed and the three month/ten year ATM swaption ...
Posted in Uncategorized | Comments Off on Mbs and Some VOL
Monday, August 17th, 2009
Swap spreads are mixed this morning. Two year spreads are a basis point wider at 41. Five year spreads are a basis point wider at 39 1/2. Ten year spreads are a basis point wider at 22 1/2. Thirty year spreads are a basis point tighter at NEGATIVE 16 1/2.
Posted in Uncategorized | Comments Off on SWAPS
Monday, August 17th, 2009
The Federal Reserve will buyback December 2016 through April 2016 paper today.
On Wednesday the Federal Reserve will buyback February 2020 through February 2026 paper.
Neither of those sectors includes any of the securities auctioned last week by the Treasury so the proponents of various grassy knoll hypothesis will need to conjure ...
Posted in Uncategorized | 15 Comments »
Monday, August 17th, 2009
Three month Libor was set at 0.43125 this morning following a 0.42938 set on Friday.
Posted in Uncategorized | 2 Comments »