Archive for September, 2009

Bond Market Open September 14 2009

Monday, September 14th, 2009

Prices of Treasury coupon securities have posted mixed results in overnight trading. Securities which mature in 5 years or less have registered minuscule price gains while benchmark securities which mature in seven years or more  are dramatically unchanged. Equity markets have declined in all corners of the globe and pre market ...

UBS on This Week’s Data

Monday, September 14th, 2009

Monday preview:  No data No data will be reported on Monday, although several Fed officials are scheduled to speak: Duke (8:35am), Lacker (12:30pm), and Yellen (3:50pm). Week ahead preview The PPI and CPI likely both rose sharply in August, led by a bounce in gasoline prices. The trends in core inflation probably ...

Sunday Evening Reading

Sunday, September 13th, 2009

Smoot Hawley Redux. And the FT take on the US imposition of tariff on imports of tires from China. President Obama to pledge "reform" in a speech on the anniversary of the Lehman Brothers fall from grace. A lengthy review of the response to the Lehman Brothers collapse and the ensuing panic from ...

Sunday Reading

Sunday, September 13th, 2009

Larry Summers on the jobless recovery. The New York Times on quants. Megan McCardle parses the uninsured. UK to aid small business.

Some Friday Night Reading

Friday, September 11th, 2009

Get ready for a lot of sound and fury as Congress debates increasing the debt ceiling. Nothing like a tariff war with your largest creditor as world trade shrinks. A rare appearance of sports at the acrossthecurve.com site. A class act breaks a record.

Bond Market Close September 11 2009

Friday, September 11th, 2009

Prices of Treasury coupon are finishing the day with mixed changes and across the curve the early euphoria and elation evaporated. Participants suggest (though many remain flummoxed by this week's price action ) that the market's failure to break to new highs elicited some profit taking selling by longs and some ...

Swaps and MBS and VOL

Friday, September 11th, 2009

Mortgages had a bifurcated personality this day. Money manager selling smoked the high coupons and they lag swaps by several ticks. On the other hand low coupons performed well and bested swaps by several ticks. I suspect the low coupons benefited from the appearance of the crazed convexity crowd whom probably ...

Corporate Bonds

Friday, September 11th, 2009

Corporate bonds are unchanged to a tad tighter amidst a day of very quiet trading. One salesman who is a personal friend as well as a friend of the blog states that there is a pile of money chasing a smaller pile of bonds. Issuance this week was very substantial and ...

Treasury Market Update

Friday, September 11th, 2009

The Treasury market experienced quite a rally as I was off for physical therapy for the bad back. Dealers report buying in the long end from an eclectic group of accounts. Synthesizing thoughts from several conversations I think that we are now seeing buyers who are increasingly comfortable with the idea ...

Credit Market Open

Friday, September 11th, 2009

- 5yr Snr Bank CDS: BAC 144/149 (-2), CITI 240/250 (-3), JPM 63/68 (-2), WFC 78/83 (-3) - 5yr Snr Broker CDS: GS 121/126 (-2), MS 158/163 (-5) - CDS Index: IG12 108.5/109 (-1)