IG 13 and Some CDS: Tighter
Tuesday, October 13th, 20095yr Snr Bank CDS: BAC 116/121 (-2), CITI 213/223 (-2), JPM 65/70 (unch), WFC 90/95 (-2) - 5yr Snr Broker CDS: GS 112/117 (-1), MS 145/155 (-2) - CDS Index: IG13 98.5/99.5 (-4)
Archive for October, 2009
5yr Snr Bank CDS: BAC 116/121 (-2), CITI 213/223 (-2), JPM 65/70 (unch), WFC 90/95 (-2) - 5yr Snr Broker CDS: GS 112/117 (-1), MS 145/155 (-2) - CDS Index: IG13 98.5/99.5 (-4)
Bond Market Open October 13 2009
Tuesday, October 13th, 2009Prices of Treasury coupon securities are posting modest gains in overnight trading. The market has recouped a small amount of the carnage which transpired on Thursday and Friday in the wake of the bond auction. Several factors helped to whet the appetite of the buyers. The President of the Federal Reserve Bank ...
More on Debt Monetization from Accrued Interest Blog
Tuesday, October 13th, 2009Accrued Interest is an excellent blog. Today the author has posted a reasonable, unemotional and non hyperventilating piece on the Federal Reserve and its policy of Quantitative Ease. It is a thoughtful discussion by a practioner which I commend to you early on this fall morning.
UBS (Briefly) on the Week’s Data
Monday, October 12th, 2009Week ahead: Retail sales payback, CPI tame, IP up, Michigan down a bit? Retail sales probably fell in September (UBSe: -3.0%, cons: -2.1%) after rising sharply in August (2.7%). The pattern largely reflects auto sales related to the “cash for clunkers” auto rebate program that ended in August. Excluding autos ...
Links for a Monday Evening
Monday, October 12th, 2009Larry Summers on the battered consumer and weak demand. North Korea lobbing missles into the sea benefits the Treasury market. Saint Louis Federal Reserve President ( and John Jansen) say that falling unemployment a precondition for higher rates. Credit tight for small business. Antipodean recovery. Calls for an expansion of QE in UK.
Libor
Monday, October 12th, 2009Unchanged at 0.28438. The bond market is closed in the States today so I will be posting infrequently at best.
Zero Hedge
Friday, October 9th, 2009I have refrained from discussing the Zero Hedge blog lately. At the moment the author/authors/authoresses are in a self congratulatory mode as apparently Bloomberg is echoing something which they wrote about monetization of the debt via Federal Reserve purchases of agency paper. I was tired of fighting and it did not ...
Bond Market Close October 09 2009: Carnage Continues
Friday, October 9th, 2009Prices of Treasury coupon securities plummeted today and the initial round of curve flattening turned into a duration rout and a severe bout of curve steepening. The early curve flattening resulted from (I think) faulty interpretation of the Bernanke peroration of last evening. The utterance of the phrase "exit strategy" invoked ...
Swaps
Friday, October 9th, 2009Swap spreads have, on balance, widened from levels which I posted this morning. Two year spreads are now 3 basis points wider at 37 1/2. Five year spreads are still a basis point wider on the day at 35 1/2. Ten year spreads are finishing 2 basis points wider at 17 ...