Archive for September, 2009
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 ...
Posted in Uncategorized | Comments Off on Perspective on the Two Year Note Auction Via RBS (Firm Formerly Known as Greenwich Capital)
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 ...
Posted in Uncategorized | Comments Off on Recntly Priced Financials
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 ...
Posted in Uncategorized | Comments Off on Brown Brothers Perspective on the Dollar
Tuesday, September 22nd, 2009
Hoy 0.28563
Ayer 0.28938
Posted in Uncategorized | Comments Off on Libor
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 ...
Posted in Uncategorized | Comments Off on Bond Market Opening September 22 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 ...
Posted in Uncategorized | 2 Comments »
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 ...
Posted in Uncategorized | 1 Comment »
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 ...
Posted in Uncategorized | Comments Off on Vol
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 ...
Posted in Uncategorized | Comments Off on Selected Financial Names
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 ...
Posted in Uncategorized | Comments Off on MBS and Swaps and Traffic on the Grand Central Parkway