Archive for October, 2009
Thursday, October 15th, 2009
Prices of Treasury coupon securities have registered modest losses in overseas trading and the trend of yield curve steepening is still intact.
This is one of those days in which I have been unable to find a stand out story which might be responsible for price movements. There was some bond ...
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Thursday, October 15th, 2009
Libor is unchanged at 0.28406.
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Wednesday, October 14th, 2009
Thursday preview: Manufacturing resurgent, tame CPI, falling claims?
(1) After surging into positive territory in Aug and rising further in Sep, we forecast another relatively high reading in Oct for the current activity index in the Empire State manufacturing survey (UBSe 19.0, cons 17.3, after 18.9). ...
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Wednesday, October 14th, 2009
I posted an end of day email from a mortgage trader which was jargon filled.
The salient point is that there is extreme dislocation in the MBS market and the relationship between higher coupons and lower coupons has gone awry.
According to another dealers end of day recap, the 10 year Treasury ...
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Wednesday, October 14th, 2009
This is from a dealer's end of day email:
"It has been an extremely active session for the mortgage basis and coupon stack. We entered the afternoon 2 ticks tighter to the swaps curve and have since moved to more than 3+ tighter in 30yr 5s on heavy two way flows. ...
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Wednesday, October 14th, 2009
The premium on a three month/ten year ATM swaption straddle is491 basis points. Annualized vol is144.2 and the daily breakeven is 9 basis points.
The premium on a 5year/10 year ATM swaption straddle is1466 basis points. Annualized vol is 119.4 basis points and the daily breakeven is 7.5 basis points.
The breakeven ...
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Wednesday, October 14th, 2009
TIPS continue to outperform nominal bonds. I posted a note yesterday from a TIPS trader who mentioned that last week when the Treasury sold 10 year TIPS at auction the breakeven spread was 165 basis points. As I pen this post the spread sits at 196 basis points.
The yield on ...
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Wednesday, October 14th, 2009
Prices of Treasury coupon securities tumbled today and the longer the maturity of the debt instrument the harder was the fall.
Several factors combined to frustrate and flummox fixed income investors.
The mania for risk assets remains intact as evidenced by the rush to the equity markets. The self congratulatory meanderings of ...
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Wednesday, October 14th, 2009
I will follow with some comments later.
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Wednesday, October 14th, 2009
It has been an interesting day in MBS.
The up in coupon trade has been the big story once again. The trade outperformed early again today but has encountered some resistance as some with profits ring the register.
One dealer noted that a large seller had emerged and was unloading 5s,5 1/2s ...
Posted in Uncategorized | 5 Comments »