Archive for October, 2009
Friday, October 9th, 2009
The premium on a three month/ten year ATM swaption straddle is476 basis points. Annualized vol is138 and the daily breakeven is 8.6 basis points.
The premium on a 5year/10 year ATM swaption straddle is1469 basis points. Annualized vol is 119.1 basis points and the daily breakeven is 7.4 basis points.
The breakeven ...
Posted in Uncategorized | Comments Off on Vol:Sweaty Palms Emerge
Friday, October 9th, 2009
One of the commenters at this blog left a link to an excellent discussion of the Fed's balance sheet by Professor Hamilton of Econbrowser
Posted in Uncategorized | 1 Comment »
Friday, October 9th, 2009
Corporate bonds are virtually unchanged. There is no issuance to speak of today.
There is no change in the customer mood and those who are in kicking the tires today are more interested in checking the offered side than the bid side.
Posted in Uncategorized | 3 Comments »
Friday, October 9th, 2009
Swap spreads are wider across the curve this morning but given the rout in the Treasury market I would classify the damage here as quite controlled.
Each of the benchmark spreads is a basis point wider. The 2 year spread is 35 1/2 basis points as is the 5 year spread. ...
Posted in Uncategorized | 3 Comments »
Friday, October 9th, 2009
Déjà vu All over Again
The Economist Magazine ran a story and leader noting that the U.S. dollar’s dominance is waning. There are numerous press articles about oil being denominated in something other than dollars and, more broadly, there is much discussion about the diversification of central bank reserves. That ...
Posted in Uncategorized | 11 Comments »
Friday, October 9th, 2009
Prices of Treasury coupon securities are posting mixed results in overnight trading but within the stack of benchmark securities there has been a noticeable flattening of the yield curve.
I was in the insomniac zone last night and was up late writing. I wrote about the Bernanke speech. I thought that ...
Posted in Uncategorized | 5 Comments »
Friday, October 9th, 2009
Unchanged at 0.28438.
Posted in Uncategorized | 1 Comment »
Thursday, October 8th, 2009
The New York Times is running a story about a rift at the Federal Reserve regarding the delicate matter of raising interest rates.
I believe that one day next week the Federal Reserve will release the minutes of the last FOMC conclave. That should prove interesting as will have a chance ...
Posted in Uncategorized | 5 Comments »
Thursday, October 8th, 2009
The Financial Times has posted a story that the Fed is testing reverse repos in the market.
The story notes that the Fed has conducted small scale tests of the procedure with custodian banks such as Bank of New York and JPMorgan.
I need to cogitate on this one but if you ...
Posted in Uncategorized | 2 Comments »
Thursday, October 8th, 2009
Chairman Bernanke delivered a rather pedantic presentation this evening on the Federal Reserve balance sheet.
He discussed the asset side of the balance sheet as well as the liability side and discussed each in relation to the financial debacle which has swirled about us since August 2007. I will refrain from ...
Posted in Uncategorized | 3 Comments »