Archive for September, 2009

Corporate Bonds

Thursday, September 10th, 2009

Corporate bond spreads are a couple of basis points tighter again today. The tone is quite firm and that which trades trades on the "right" side.Recent issuance has been gobbled up by investors as there are still too many dollars in zero percent accounts seeking yield. Several large names are issuing ...

Swaps

Thursday, September 10th, 2009

Swap spreads are unchanged in the early trading. Two year spreads are at 33 basis points and 5 year spreads rest at 36 basis points. Ten year spreads are at 17  basis points and 30 year spreads are at NEGATIVE 17 1/2.

Goldman Sachs Via Bloomberg

Thursday, September 10th, 2009

Goldman Says Deleveraging May Keep Fed Rate Low for ‘Years’ 2009-09-10 08:28:31.430 GMT By Simon Kennedy Sept. 10 (Bloomberg) -- The Federal Reserve may keep interest rates low for “many years” to help U.S. consumers and companies as they pare back debt, according to economists at Goldman Sachs Group Inc. Sluggish spending as households reduce debt could ...

Credit Market Open

Thursday, September 10th, 2009

- 5yr Snr Bank CDS: BAC 152/157 (unch), CITI 253/260 (+2), JPM 66/71 (unch), WFC 83/88 (unch) - 5yr Snr Broker CDS: GS 129/134 (unch), MS 163/170 (unch) - CDS Index: IG12 113/114 (+1)

Bond Market Open September 10 2009

Thursday, September 10th, 2009

Prices of benchmark US Treasury securities are virtually unchanged in overnight trading. The yield on the 2 year note is 0.92 basis points. The yield on the 3 year note is 1.48  percent. The yield on the 5 year note is 2.36 percent. The yield on the 7 year note ...

Libor

Thursday, September 10th, 2009

today 0.29969 yesterday 0.29869

Bond Market Close 09/09/09

Wednesday, September 9th, 2009

Prices of Treasury coupon securities are posting small mixed changes today with the yield curve steepening for the 10 year note and the 30 year bond auction tomorrow. The yield on the 2 year note declined 2 basis points to 0.92 percent. The yield on the 3 year note slipped 3 ...

Swaps and MBS

Wednesday, September 9th, 2009

Mortgages are a tick tighter to swaps. Swap spreads are tighter across the yield curve. Two year spreads are 1 1/2 basis points tighter at 33 1/2. Five year spreads are 2 basis points tighter at 36. Ten year spreads are 3 basis points tighter at 17. Thirty year spreads are ...

Swaption VOl

Wednesday, September 9th, 2009

I have for some time presented each day the the premium on the three month/ten year ATM swaption straddle. Beginning today I will add the 5year/10 year ATM swaption straddle and will offer a slightly different presentation. 3mx10y   495  147bp  9.2bp/day 5yx10y  1475  121bp  7.6bp/day The 495 and the 1475 are the premiums one ...

Zero Hedge and the Ten Year Result

Wednesday, September 9th, 2009

The Zero Hedge blog consumes much time and effort on the topic of the Federal Reserve and monetization of the debt. I have involved myself in several high level fracases with the folks who run that blog. I had promised myself that I would not be controversial again regarding that site ...