Archive for August, 2009
Tuesday, August 25th, 2009
The Federal Reserve Bank of Saint Louis has a great package of monetary charts and statistics available on the web.
It also comes with a little history via a discussion of the Federal Reserve's attempts to rein in excess reserve during the Depression. In the short piece the author concludes that ...
Posted in Uncategorized | 3 Comments »
Tuesday, August 25th, 2009
A brief post on corporate bonds:
Spreads are unchanged to a nickel tighter. The tone was not quite ebullient but enthusiastic as a the Case Shiller report and the Conference Board confidence report instilled buyers with courage. When business did transact it was on the offered side of the market.
Proctor and ...
Posted in Uncategorized | 3 Comments »
Tuesday, August 25th, 2009
Prices of Treasury coupon securities are registering modest gains today. Once again the curve is flattening as the market improves with the larger gains achieved in the longer maturities.
It has been particularly difficult to mine reasons for the price gains today and what I offer is a synthesis of about ...
Posted in Uncategorized | 2 Comments »
Tuesday, August 25th, 2009
I exited my TBT at $ 47.48. I lost 82 cents times 1500 shares.
Some one asked for my rationale. It was very faulty!
I thought that supply would swamp the market. It has not and the trading account will hibernate for a bit.
Posted in Uncategorized | 11 Comments »
Tuesday, August 25th, 2009
Swaps spreads are mostly tighter across the yield curve. Two year spreads have narrowed 1 1/4 basis points to 40 1/2. Three year spreads have narrowed 1 3/4 basis points to 49 3/4. Five year spreads are tighter by 1/2 basis point at 41 1/2. Seven year spreads are1/4 basis ...
Posted in Uncategorized | 10 Comments »
Tuesday, August 25th, 2009
The 2 year note was a tad sloppy with a tail of 1.2 basis points. The auction cleared at a yield of 1.119 percent. Prior to the auction the WI 2 year was trading at 1.107.
The bid to cover ratio was 2.68 versus an average of 2.9 in the last ...
Posted in Uncategorized | Comments Off on Two Year Result
Tuesday, August 25th, 2009
The Treasury will auction $ 42 billion 2 year notes in a little over an hour.
They just auctioned a block of year bills and that came with a small 3/4 basis point tail. Some argue that the 2 year note will suffer the same fate as many players are on ...
Posted in Uncategorized | 2 Comments »
Tuesday, August 25th, 2009
Agency spreads are a little tighter in the 2 year through 5 year sector and a little wider 6 years and out.
One dealer reports a steady stream of sales from foreign investors in the 2015 through 2017 sector and that is weighing on spreads.
Mortgages are about unchanged to swaps.
Originators are ...
Posted in Uncategorized | Comments Off on Miscellany
Tuesday, August 25th, 2009
Tips spreads continue to narrow ( which means that in the aggregate investors are expecting lower levels of inflation) with 10 year spreads at 180 following a 184 close.
Thirty year spreads have narrowed to 214 from 216 at the close.
One dealer noted that in the previous overnight session there had ...
Posted in Uncategorized | 4 Comments »
Tuesday, August 25th, 2009
By Caroline Hyde
Aug. 25 (Bloomberg) -- Citigroup Inc. will sell 500 million
pounds of bonds priced to yield 335 basis points over similar-
maturity government debt, according to a person with knowledge
of the transaction.
Posted in Uncategorized | Comments Off on The Citi Never Sleeps