Archive for October, 2009
Thursday, October 15th, 2009
Money managers have been big buyers of 4s and 4 1/2s this morning. One trader suggests that the winners on the up in coupon trade are following the old dictum that no one ever got fired for taking a profit.
Banks have been big buyers of 15 year paper.
Posted in Uncategorized | Comments Off on MBS
Thursday, October 15th, 2009
Walgreen's has announced that it will spend about $ 2billion buying back the company's stock.
This is the first deal such as this in recent memory.
I called a corporate bond salesman and a syndicate desk operative and neither had heard the news.
The syndicate desk gentleman thought that corporations would embark on ...
Posted in Uncategorized | 1 Comment »
Thursday, October 15th, 2009
Short dated vol continues to richen.
The premium on a three month/ten year ATM swaption straddle is499 basis points. Annualized vol is146.9 and the daily breakeven is 9.2 basis points.
The premium on a 5year/10 year ATM swaption straddle is1464 basis points. Annualized vol is 119.9 basis points and the daily breakeven ...
Posted in Uncategorized | Comments Off on Swaption Vol
Thursday, October 15th, 2009
It is a quiet start in Treasuries with prices lower and the curve steeper.
On balance the economic data this morning were a tad stronger than expected. The Empire Survey was stronger and Philadelphia Fed was weaker. CPI is a push and the initial jobless claims posted another decline. So on ...
Posted in Uncategorized | Comments Off on Treasury Update
Thursday, October 15th, 2009
Corporate bond spreads are firm today in a quiet market. One salesman noted that in his opinion the name of the game is now spread compression.
There are some quality names which have hit a wall. He noted that IBM, Walgreens,Pfizer and Honeywell all have bonds in the 8 year through ...
Posted in Uncategorized | Comments Off on Corporates
Thursday, October 15th, 2009
Swaps are unchanged . Two year spreads are at 38. Five year spreads are 37 1/2. Ten year spreads are 17 1/2. Thirty year spreads are NEGATIVE 9.
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Thursday, October 15th, 2009
One treasury trader told me yesterday that there had been some genuine carnage in the muni market. I do not have any sources in that sector so I did not mention it in anythng I wrote.
However, I just found a fine explanatory post over at Accrued Interest and link to ...
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Thursday, October 15th, 2009
The EU and South Korea have reached a tentative free-trade agreement that will phase out duties over the next five years. It is the biggest free-trade agreement since NAFTA in 1994. The current bilateral trade of around $113 bln could increase by 50%, according to some estimates. The ...
Posted in Uncategorized | Comments Off on Free Trade and the Korean Won Via Brown Brothers
Thursday, October 15th, 2009
Here is an interesting excerpt from the morning email of William O' Donnell of RBS Securities (the firm formerly known as Greenwich Capital).
News & Impending Events: RealtyTrac Inc. reported that Q3 US home foreclosures were +5% sequentially and +23% YOY. Some 938,000 homeowners received a foreclosure notice in Q3 and ...
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Thursday, October 15th, 2009
7:17 *GOLDMAN SAYS IT'S 'SEEING GROWTH ACROSS A NUMBER OF SECTORS'
7:16 *GOLDMAN SACHS 3Q COMPENSATION/BENEFITS EXPENSES $5.35B :GS US
7:16 *GOLDMAN 3Q REVENUE $12.4B; EST. $10.98B :GS US
7:15 *GOLDMAN 3Q EPS $5.25; EST. $4.18 ...
Posted in Uncategorized | Comments Off on Goldman and Nokia Headlines