CREDIT MARKET OPEN
Monday, October 19th, 20095yr Snr Bank CDS: BAC 118/123 (-2), CITI 203/213 (-4), JPM 61/66 (unch), WFC 96/101 (unch) - 5yr Snr Broker CDS: GS 108/113 (-2), MS 150/155 (unch) - CDS Index: IG13 95.75/96.5 (-2)
Archive for October, 2009
5yr Snr Bank CDS: BAC 118/123 (-2), CITI 203/213 (-4), JPM 61/66 (unch), WFC 96/101 (unch) - 5yr Snr Broker CDS: GS 108/113 (-2), MS 150/155 (unch) - CDS Index: IG13 95.75/96.5 (-2)
Bond Market Open October 19 2009
Monday, October 19th, 2009Prices of Treasury coupon securities have sagged in overnight trading and the yields on most of the benchmark issues have risen 4 basis points. The motivating factor behind the move is angst about central bank monetary policy and the possibility that the US central bank might drain liquidity via reverse ...
Bond Mmarket Close October 16 2009
Friday, October 16th, 2009Prices of Treasury coupon securites ended the day with a bifurcated result as longer maturities flourished while shorter dates languished. I think that theme in the capital markets today was risk reduction and the outcome in the Treasury market reflects that. Over the course of this week bond yields rose and ...
Corporate Bonds
Friday, October 16th, 2009There is very little going on in the corporate bond market. The consensus is that spreads are dramatically unchanged but firm. When I reported this morning they were a bit squishy. Participants with whom I spoke did hold the opinion that issuance could pick up next week. As one contact put it, ...
Swaption Vol
Friday, October 16th, 2009The premium on a three month/ten year ATM swaption straddle is496 basis points. Annualized vol is143.7and the daily breakeven is 9.0 basis points. The premium on a 5year/10 year ATM swaption straddle is1471 basis points. Annualized vol is 120 basis points and the daily breakeven is 7.5 basis points. The breakeven levels ...
MBS
Friday, October 16th, 2009The risk reversal of which I spoke earlier is apparent in a small way in the MBS market. One trader ( a little earlier) in an email noted the changes for the week in the various coupons. FNMA 4 1/2s had declined 38/32. The FNMA 5s had dropped 13/32. The 5 ...
CRT on the Consumer Sentiment Number: Inflation Expectations Rebound
Friday, October 16th, 2009* OCT. REUTERS/MICHIGAN CONSUMER SENTIMENT INDEX AT 69.4 * OCT. MICHIGAN SENTIMENT INDEX COMPARES WITH 73.3 FORECAST Oct. Sept. Aug. July June May April March Feb. Jan. U Mich 69.4 73.5 65.7 66.0 70.8 68.7 65.1 57.3 56.3 61.2 1-yr Inf Exp 2.8% 2.2% 2.8% 2.9% 3.1% 2.8% ...
Treasury Update
Friday, October 16th, 2009It is a very quiet day thus far in the Treasury market with the yield curve displaying a propensity to flatten. It might be just a case of some risk reduction into the weekend as the curve has steepened substantially of late. I note that the dollar has improved versus yen ...
Corporates Bonds
Friday, October 16th, 2009Corporate bond spreads have opened unchanged. One salesman and friend of the blog since its inception said that it was unchanged to a tad weaker as opposed to most recent days when it is unchanged to a tad firmer. He noted that the market is very quiet and thought that if ...