Archive for September, 2009
Thursday, September 24th, 2009
15 pm | by John Jansen |
The premium on a three month/ten year ATM swaption straddle is 476 basis points. Annualized vol is 139.5 and the daily breakeven is 8.7 basis points.
The premium on a 5year/10 year ATM swaption straddle is 1448 basis points. Annualized vol is 117.5 and ...
Posted in Uncategorized | 2 Comments »
Thursday, September 24th, 2009
The auction cleared at 3.005 which was the offered side when bids were submitted.
Indirect bidders copped nearly 62 percent of the bonds
Posted in Uncategorized | Comments Off on Seven Year Result
Thursday, September 24th, 2009
Analyst David Ader of CRT expects a strong auction today with a stop through the market:
"All of our pre-auction indicators point to a strong bidder showing at the 7-year, however we’re cognizant that we are not alone in this view – leaving us leery that the dealer community will bid ...
Posted in Uncategorized | Comments Off on David Ader of CRT on the Seven Year Note
Thursday, September 24th, 2009
The Treasury will auction the largest batch of seven year notes in the modern era ($ 29 billion) in about an hour. There is a very funny Woody Allen piece from the 1970s entitled My Speech to the Graduates in which he defines the modern era ending with the recording ...
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Thursday, September 24th, 2009
Here is a long piece from a Bank of America analyst on relative value in the MBS market and the extent to which Federal Reserve and Treasury purchases distort the market ( or at least traditional value metrics):
"Until recently, most of the relative value trades across the 30-year coupon stack ...
Posted in Uncategorized | 8 Comments »
Thursday, September 24th, 2009
Swap spreads are opening mixed.
Two year spreads are unchanged at 29 1/2. Five year spreads are 4 basis points tighter at 32 1/2. Most of that (about 3 basis points ) is the roll into the new 5 year note. Ten year spreads are a basis point narrower at 19. ...
Posted in Uncategorized | 2 Comments »
Thursday, September 24th, 2009
- 5yr Life Insurance CDS: GNW 390/420 (unch), HIG 210/225 (-5), LNC 215/230 (-5), MET 210/220 (-5), PRU 215/230 (unch)
- 5yr Snr Bank CDS: BAC 106/111 (unch), CITI 173/183 (unch), JPM 63/68 (unch), WFC 68/73 (unch)
- 5yr Snr Broker CDS: GS 95/100 (unch), MS 132/137 (unch)
- CDS ...
Posted in Uncategorized | Comments Off on Credit Stuff
Thursday, September 24th, 2009
Some very interesting stuff on the TIPS market via William O' Donnell of RBS Securities (the firm formerly known as Greenwich Capital).
"Today's WSJ highlights the inflows into TIPS from domestic investors who seeking inflation protection. We've seen a recent uptick in TIPS inflows but our buyers have been more international ...
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Thursday, September 24th, 2009
Via a friend of the blog:
LARGE BUYER ($5.6 BLN NOTIONAL) OF PUTS ON THE S&P YESTERDAY AFTERNOON RESPONSIBLE FOR THE DAY'S ROUND TRIP. ONLY $260MM PREMIUM, SO OUT OF THE MONEY BUT STILL A SEEKER OF PROTECTION...
Posted in Uncategorized | Comments Off on S and P Put Buyer Yesterday
Thursday, September 24th, 2009
Today 0.28313
Yesterday 0.28500
Posted in Uncategorized | Comments Off on Libor