JPMorgan Survey
Tuesday, August 25th, 2009All Clients Long Neutral Short Changes Aug 24, 2009 22 64 14 7 Aug 17, 2009 24 66 10 18 Aug 10, 2009 18 64 18 18 4-week avg 22 64 15 52-week avg 27 62 12
Archive for August, 2009
All Clients Long Neutral Short Changes Aug 24, 2009 22 64 14 7 Aug 17, 2009 24 66 10 18 Aug 10, 2009 18 64 18 18 4-week avg 22 64 15 52-week avg 27 62 12
Swap Spreads
Tuesday, August 25th, 2009Swap spreads are registering little change. Two year spreads are a basis point tighter at 40 1/2. Five year spreads are unchanged at 42. Ten year spreads are unchanged at 26. Thirty year spreads are unchanged at NEGATIVE 9
Supply
Tuesday, August 25th, 2009Front End Supply Today 30 Billion 1 month Bills 11:30am 27 Billion 1 yr Bills 11:30am 42 Billion 2 yr Notes 1pm.. It is all in the front end but does highlight the massive borrowing requirement of the Treasury. It is a cool $ 99 billion.
IG 12 and Some CDS
Tuesday, August 25th, 2009- 5yr Snr Bank CDS: BAC 157/167 (unch), CITI 265/275 (unch), JPM 65/70 (+2), WFC 87/92 (+2) - 5yr Snr Broker CDS: GS 133/140 (unch), MS 163/173 (unch) - CDS Index: IG12 114.5/115.5 (unch)
Bond Market Open August 25 2009 (Just Four Months to Christmas)
Tuesday, August 25th, 2009Prices of Treasury coupon securities are posting very modest losses in overseas trading. Most benchmark issues have posted yield increases of one basis point. That is off the best levels of the evening. Late last evening I was checking the markets and I had observed the 30 year bond trading ...
Bernanke: Term Number Two
Monday, August 24th, 2009The financial press is rife with stories that tomorrow President Obama will reappoint Ben Bernanke to another term as Chairman of the Federal Reserve System. I am sure that will create a genuine cacophony here in cyberspace as the gentleman stirs some passions here. We will have to wait until I am ...
Treasury Closing Levels
Monday, August 24th, 2009I wrote a post earlier which described the various reasons for the rebound in the Treasury market.I will just recount the various yield and spread changes here. The yield on the 2 year note slipped 7 basis points to 1.02 percent. The yield on the 3 year note tumbled 8 basis ...
Corporate Bonds and a Sentence on Agency Market
Monday, August 24th, 2009Corporate bond spreads are closing the day about unchanged. I am a broken record on this topic but the level of activity is quite subdued. Westpac banking was offering $ 1.5 billion 5 .5 year bonds at T+ 175 basis points. Recall that T + 175 is not a true measure of ...
Swaps and MBS and Vol
Monday, August 24th, 2009Swap spreads are mixed today. Two year spreads are 1 3/4 basis points narrower at 41 1/2. Five year spreads are 1/4 basis points narrower at 41 3/4. Ten year spreads are 1/4 basis points wider at 26. Thirty year spreads are 3/4 basis point wider at NEGATIVE 9 1/2. Volatility is melting ...