Archive for August, 2009
Wednesday, August 26th, 2009
I have not posted a musical interlude here in some time. Streaming through Across the Curve Global Headquarters today is one of the great Bob Dylan albums, "Bringing It All Back Home". There are too many great songs on this album but I would single out Love Minus Zero/No Limit, ...
Posted in Uncategorized | 1 Comment »
Wednesday, August 26th, 2009
The Treasury market is once again very quiet and very well bid. At 1100AM the Open market Desk will perform its long end buyback and there is no reason for prices to decline in advance of that.
At 100PM the Treasury will christen the street with $ 39 billion 5 year ...
Posted in Uncategorized | 2 Comments »
Wednesday, August 26th, 2009
MBS are about a tick weaker to swaps this morning. The level of activity is rather subdued.
The three month/ten year ATM swaption straddle is 551 basis points as vol continues to slide.
Posted in Uncategorized | Comments Off on Mortgages and VOL
Wednesday, August 26th, 2009
By John Detrixhe
Aug. 26 (Bloomberg) -- Westfield Group plans a benchmark
sale of 6- and 10-year debt as soon as today, according to a
person familiar with the offering who declined to be identified
because terms aren’t set.
A benchmark transaction is typically at least $500 million.
Posted in Uncategorized | Comments Off on New Issue
Wednesday, August 26th, 2009
The headline print on Durables was a robust gain of 4.9 percent.
This number is very volatile and subject to chunky revisions.
When one digs into the details it is not as strong as the headline.
Non defense aircraft posted an increase of 107 percent. That is not likely to be repeated next ...
Posted in Uncategorized | 1 Comment »
Wednesday, August 26th, 2009
Swap spreads are unchanged (roll adjusting the 2 year).
Two year spreads are at 36 1/2. Five year spreads are at 41. Ten year spreads are 25 1/2. Thirty year spreads are NEGATIVE 9.
Posted in Uncategorized | Comments Off on SWAP SPREADS
Wednesday, August 26th, 2009
- 5yr Snr Bank CDS: BAC 157/165 (unch), CITI 255/265 (unch), JPM 64/69 (unch), WFC 84/89 (unch)
- 5yr Snr Broker CDS: GS 128/135 (unch), MS 160/170 (unch)
- CDS Index: IG12 114.5/115.5 (unch)
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Wednesday, August 26th, 2009
Today 0.37188
Yesterday 0.38000
Posted in Uncategorized | Comments Off on Libor
Wednesday, August 26th, 2009
Market Views
The global rates market has remained remarkably calm over the past week
in the face of substantial equity market strength. We think the
macroeconomic data and the signals from the world's central banks
justify the current combination of risk market buoyancy and
well-anchored G3 rates markets.
We expect to see more of the same ...
Posted in Uncategorized | 1 Comment »
Wednesday, August 26th, 2009
Prices of Treasury coupon securities are virtually unchanged in overnight trading. The yield on the 30 year bond is the one exception to that statement and it has declined a basis point to 4.21 percent. The other benchmark issues are unchanged. The 2 year note yields 1.06 percent. (That looks ...
Posted in Uncategorized | 1 Comment »