Archive for August, 2009


Monday, August 31st, 2009

For the Libor junkies London is closed today so there is no new setting.

Bond Market Open August 31 2009

Monday, August 31st, 2009

Prices of Treasury coupon securities are posting solid gains in overnight trading. Equity markets around the globe have turned wobbly and that has sparked a search for safe haven assets. In addition, today is the last day of the month and the much anticipated index extension is upon us and ...

Consumer Spending

Saturday, August 29th, 2009

Here is an excellent New York Times article on the recession driven shift in consumer spending patterns.

Treasury Market

Friday, August 28th, 2009

The Treasury market has rebounded from its early morning setbacks and is now better on the day. The 10 year which had traded for a brief time above 3.50 percent has seen buyers and is trading at 3.44 percent. There are several catalysts for the rebound. The Federal Reserve bought $ 2billion in ...

Swaps and A Little Vol and Corporates

Friday, August 28th, 2009

Swap spreads are unchanged today. Two year spreads are at 36 basis points. Five year spreads are at 37 basis points. Ten year spreads rest at 23 basis points and 30 year spreads are NEGATIVE 8 1/2. The three month /ten year ATM swaption straddle is 528 basis points this morning. Corporate ...

Canada to issue Dollar Bonds

Friday, August 28th, 2009

Canada Plans U.S.-Dollar Global Bond Issue, First in a Decade 2009-08-28 14:04:05.373 GMT By Greg Quinn Aug. 28 (Bloomberg) -- Canada plans to sell U.S.-dollar bonds worldwide in “the near future,” the first such sale in more than a decade, Finance Minister Jim Flaherty said on the department’s Web site today.

Credit Market Open

Friday, August 28th, 2009

5yr Snr Bank CDS: BAC 157/165 (-8), CITI 260/270 (-3), JPM 64/69 (-1), WFC 84/89 (-2) - 5yr Snr Broker CDS: GS 123/128 (-4), MS 157/167 (-3) - CDS Index: IG12 113.5/114.5 (-1)


Friday, August 28th, 2009

Analysts at Brown Brothers in their morning piece on the dollar note that risk seems to be back in vogue once again. The stock market in China slumped 3 percent overnight and the "tentacles" (a great word from the Brown Brothers folks) of that decline have not spread around the globe. Brown ...

Libor Skips a Handle

Friday, August 28th, 2009

Today 0.34750 Yesterday 0.36063

Negative Interest Rates in Sweden

Friday, August 28th, 2009

All of the quantitative ease in the world would prove futile in stimulating economic growth if banks hoard the new cash as excess reserves and do not lend it. To encourage bank lending Sweden recently embarked on a program of negative interest rates whereby banks pay the central bank for holding ...