Archive for October, 2009
Tuesday, October 13th, 2009
The secondary market in corporate bonds is moribund. Very little is trading and what transacts, as was the case earlier today, trades on the right side.
However, the action is in the new issue market. I noted several deals earlier and that list has lengthened and the volume of issuance is ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Tuesday, October 13th, 2009
The premium on a three month/ten year ATM swaption straddle is474 basis points. Annualized vol is138.7 and the daily breakeven is 8.7 basis points.
The premium on a 5year/10 year ATM swaption straddle is1462 basis points. Annualized vol is 117.6 basis points and the daily breakeven is 7.35 basis points.
The breakeven ...
Posted in Uncategorized | Comments Off on Swaption Vol
Tuesday, October 13th, 2009
Mortgages have a split personality today. The up in coupon trade continues to be a big winner and the full coupons are about 3 basis points to 4 basis points better than swaps.
The lower coupon bonds are trailing swaps by 1 basis point to 2 basis points.
Banks were buyers on ...
Posted in Uncategorized | Comments Off on MBS
Tuesday, October 13th, 2009
The latest H.8 report released on Friday evening showed that large domestic banks were net sellers of $33 billion MBS over the week ending on September 30th (or about 5 percent of their total MBS holdings). It is likely that one or a combination of major domestic banks sold several ...
Posted in Uncategorized | 6 Comments »
Tuesday, October 13th, 2009
I feel like a broken record whenever I say this, but here we go again- TIPS
trade very well once this morning, despite the rally in the nominal market. We
are wider about 3bps in the 10 year sector and 2bps in the back end of the
curve. The flow has been almost ...
Posted in Uncategorized | 1 Comment »
Tuesday, October 13th, 2009
The sun is setting on the Federal Reserve's buyback program. Today the Open Market Desk purchased nearly $ 3 billion of paper in the May 2016 through August 2019 sector.
The preponderance of the purchase was a non benchmark issue,the 5 1/8 May 2016 which was originally issued as a 10 ...
Posted in Uncategorized | 5 Comments »
Tuesday, October 13th, 2009
I am hearing that the KFW deal is $ 3billion and the price talk is swaps plus 7 BPS.
Posted in Uncategorized | Comments Off on KFW
Tuesday, October 13th, 2009
Mortgages are opening one tick to two ticks wider to swaps.
One trader suggested in a morning e mail that fuller coupons would once again benefit from slower prepays.
The same writer also suggested that banks might be sellers. He did not offer a reason but I suspect that as we approach ...
Posted in Uncategorized | Comments Off on Morning Miscellany
Tuesday, October 13th, 2009
I am wondering if there is a futures market in pumpkins and if we should look for a squeeze at delivery time?
And will the Obama Administration appoint a czar to proscribe pay of pumpkin providers ?
Posted in Uncategorized | 8 Comments »
Tuesday, October 13th, 2009
Two year swap spreads are unchanged at 37. Ditto on the 5 year spread. Ten year spreads are unchanged at 17. Thirty year spreads are one basis tighter at NEGATIVE 10 1/2.
Posted in Uncategorized | Comments Off on SWAPS