Archive for September, 2009
Thursday, September 17th, 2009
Corporate bond spreads have a heavy feel about them today as the recent spate of heavy issuance takes a toll on the market's temperament. Spreads are about 5 basis points wider.
While spreads have leaked wider today , a synthesis of sentiments would hold that there might be some modest 15 ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Thursday, September 17th, 2009
The premium on a three month/ten year ATM swaption straddle is 522 basis points. Annualized vol is 154.5 and the daily breakeven is 9.65 basis points.
The premium on a 5year/10 year ATM swaption straddle is 1505 basis points. Annualized vol is 122.6 and the daily b reakeven is 7.65 basis ...
Posted in Uncategorized | Comments Off on Vol
Thursday, September 17th, 2009
Swap spreads are mixed this morning. Two year spreads are a basis point wider at 35 1/2. Five year spreads are are basis point narrower at 37. Ten year and thirty year spreads are mixed at 20 and NEGATIVE 11 1/2 respectively.
Treasury will announce new supply shortly. Forward rolls should ...
Posted in Uncategorized | 1 Comment »
Thursday, September 17th, 2009
Supply weighing a bit on the corporate bond market as traders massage the left side this morning. Here is some early morning commentary ftom one trader:
*Market is trading wider so far in financials. Bids being hit
in all the recent new issues. MS 5⅝ 19 traded down @ +225,
+226, and +229, ...
Posted in Uncategorized | 2 Comments »
Thursday, September 17th, 2009
5yr Life Insurance CDS: GNW 350/380 (-30), HIG 230/250 (-5), LNC 230/245 (unch), MET 220/235 (unch), PRU 210/225 (unch)
- 5yr Snr Bank CDS: BAC 107/115 (+4), CITI 167/177 (+3), JPM 57/62 (+1), WFC 62/67 (+2)
- 5yr Snr Broker CDS: GS 90/95 (+5), MS 127/137 (+2)
- CDS Index: IG12 ...
Posted in Uncategorized | Comments Off on IG 12 and Some CDS
Thursday, September 17th, 2009
* 10s – These touched a very interesting and critical support zone near 3.50%; the 100-day MA, 38.2% retracement of the move off the summer high yield, a previously broken trendline off the cycle yield lows, and, phew, a recent channel top. That is the proverbial line in the sand. ...
Posted in Uncategorized | Comments Off on Ten Year Technical Levels Via David Ader of CRT
Thursday, September 17th, 2009
Prices of Treasury coupon securities are posting modest losses in overnight trading in a continuation of yesterday's selloff.
I was not planted here at my work station yesterday but roaming through the myriad of emails I receive it seems that one of the reasons for the weakness yesterday was a report ...
Posted in Uncategorized | 1 Comment »
Thursday, September 17th, 2009
Libor (the three month variety) is unchanged at 0.29188.
Posted in Uncategorized | Comments Off on Libor
Wednesday, September 16th, 2009
I will be spending virtually the entire day away from Across the Curve global headquarters and will not be blogging today.
Blogging will resume tomorrow.
Here is a link to a lengthy and technical discussion of negative swap spreads.
Have a great day.
Posted in Uncategorized | 7 Comments »
Wednesday, September 16th, 2009
Today 0.29188
Yesterday 0.29338
Posted in Uncategorized | Comments Off on Libor