Archive for September, 2009

Corporate Bonds

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 ...

Vol

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 ...

Miscellany

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 ...

Corporate Bond Open

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, ...

IG 12 and Some CDS

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 ...

Ten Year Technical Levels Via David Ader of CRT

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.  ...

Bond Market Opening September 17 2009

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 ...

Libor

Thursday, September 17th, 2009

Libor (the three month variety) is unchanged at 0.29188.

Open Thread

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.

Libor

Wednesday, September 16th, 2009

Today  0.29188 Yesterday  0.29338