Libor
Wednesday, September 23rd, 2009Today 0.28500 Yesterday 0.28563
Archive for September, 2009
Act Two
Wednesday, September 23rd, 2009I have a severe case of logorrhea this morning. The yield on the two year note has climbed 2 basis points to 1.03 percent. The yield on the three year note has increased 2 basis points to 1.54 percent. The yield on the five year note has increased 3 basis points ...
Bond Market Open September 23 2009( Act One)
Wednesday, September 23rd, 2009Prices of Treasury coupon securities have drifted modestly lower in overnight trading as traders wait with bated breath the potentially market moving events of today. In the first instance, Timothy Geithner and his minions will auction $ 40 billion 5 year notes. That is the largest batch of 5 year notes ...
Reverse Repo
Tuesday, September 22nd, 2009I wrote about this yesterday. *FED SAID TO START TALKS WITH DEALERS ON USING REVERSE REPOS 2009-09-22 18:36:49.873 GMT STORY TO FOLLOW. --DAVE LIEDTKA -0- Sep/22/2009 18:36 GMT
Bond Market Close September 22 2009
Tuesday, September 22nd, 2009Prices of Treasury coupon securities have posted solid gains in todays trading. Most of the gains were subsequent to the announcement of the result of the 2 year note auction. I would have thought that the immediacy of the FOMC announcement tomorrow as well as the spate of supply on ...
Ultra Long Bond Contract
Tuesday, September 22nd, 2009Here is a link to the CME press release on the new contract. I am going to reprise here my comments (via cutting and pasting ) on the effect that this new instrument will have on swap spreads. It is at the very end of my previous post and deserves ...
Late Afternoon Miscellany
Tuesday, September 22nd, 2009Mortgages are trading in line with swaps. Traders report a slight up in coupon bias from money managers with buyers of that coupon versus lower coupons. Hedge funds have been sellers of the FNMA 5 1/2 butterfly. In the overnight session overseas investors were better buyers of low coupon GNMAs. Corporate bonds are ...
Two Year Result
Tuesday, September 22nd, 2009A ham on rye result as the 2 year auction stopped on the screws at 1.034 percent. One analyst noted that the direct bid award was the largest on record at 11 percent versus a 3 percent average. The bid to cover ratio was 3.23 and one analyst noted that is the ...
Swaps and MBS
Tuesday, September 22nd, 2009Mortgages are unchanged to swaps and swaps are pretty much unchanged to Treasuries. The 2 year swap spread is 37 1/2 and the 5 year spread is 38 1/2. The 10 year spread is 21 1/2 and the 30 year spread is NEGATIVE 8 1/2.
Bill Auctions
Tuesday, September 22nd, 2009There are two bill auctions today in which the Federal Reserve has an opportunity to roll over its holdings of bills which mature on September 24. Those holdings total $ 5,938,000,000 and it would make more sense for the SOMA account to mature those bills rather than its nearly $ ...