Archive for September, 2009

Perspective on the Two Year Note Auction Via RBS (Firm Formerly Known as Greenwich Capital)

Tuesday, September 22nd, 2009

Comments/Analysis: Today's big event is the record $43B auction of Treasury 2y notes. The average Bid/Cover in the last six 2yr auctions is 2.83X and the 2yr has come, on average (last 6), -0.3bp through the 1pm level. Indirects have averaged 48% in the last 6 auctions but since June, that ...

Recntly Priced Financials

Tuesday, September 22nd, 2009

**Recent New Issues in Financials: 9/22/09 LAST:           PRICED: MET  2⅞  9/12     +130/120        +160 PRU  3⅝  9/12     +200/190        +225 PRU  4¾  9/15     +255/245        +250 MS   5⅝  9/19     +230/225        +225 PNC  4¼  9/15     +180/175        +185 GE   4⅜  9/15     +209/204        +200 BACR ...

Brown Brothers Perspective on the Dollar

Tuesday, September 22nd, 2009

ECB's Weber comments suggesting that the euro's rise is in line with fundamentals added fuel to the fire that was already burning the dollar today, but is noteworthy on other grounds. First, it reminds one how quiet officials have been on the recent slide in the dollar.  It offers a ...

Libor

Tuesday, September 22nd, 2009

Hoy 0.28563 Ayer  0.28938

Bond Market Opening September 22 2009

Tuesday, September 22nd, 2009

Prices of Treasury coupon securities drifted lower in overnight trading as strengthening equity markets and supply weighed on sentiment. Investor appetite for risk has returned and the $/Euro is flirting with the $ 1.48 level. The yield on the 2year note is unchanged at 0.98 percent. The yield on the 3 ...

Bond Market Close September 21 2009

Monday, September 21st, 2009

Prices of Treasury coupon securities are posting very small mixed changes today amidst extremely light trading volumes in the Treasury market. The market opened with a early bid as a small risk aversion trade appeared to be developing. (See crumbling commodities and stronger dollar for evidence of that.) The bid faded ...

Corporate Bonds

Monday, September 21st, 2009

Corporate bond spreads are essentially unchanged this day and the main focus of participants is once again supply. One portfolio manager commented that new issuance was rather heavy for a Monday. In another instance a syndicate desk operative suggested that the pace of issuance by necessity would slow from the torrid ...

Vol

Monday, September 21st, 2009

The premium on a three month/ten year ATM swaption straddle is 501 basis points. Annualized vol is 148.1 and the daily breakeven is 9.3 basis points. The premium on a 5year/10 year ATM swaption straddle is 11477 basis points. Annualized vol is 120.4 and the daily b reakeven is 7.5basis points. Vol ...

Selected Financial Names

Monday, September 21st, 2009

9/21 UPDATE         9/18 OPEN BAC 7⅜  14       215/205             210/200                                   BAC 5.65 18       220/210             215/205                      ...

MBS and Swaps and Traffic on the Grand Central Parkway

Monday, September 21st, 2009

My apology for the late start. I drove my wife to the airport this morning and i had to contend with heavy traffic in each direction. Swaps are mostly unchanged. Two year spreads are a basis point tighter at 36 1/2. The other benchmarks are unchanged. The 5 year spread is ...