Archive for October, 2009
Thursday, October 8th, 2009
Swap spreads are mixed. The 2 year spread is unchanged at 35. The 5 year spread is 2 basis points tighter at 35,also. Ten year spreads are 2 basis points tighter at 16. Thirty year spreads are 2 basis points narrower at NEGATIVE 11.
Posted in Uncategorized | Comments Off on Swaps
Thursday, October 8th, 2009
Prices of Treasury coupon securities took an ugly turn today as a less than enthusiastic bidding resulted in a sloppy 30 year bond auction.
Trading was less than professional as in the hours prior to the auction the WI bond passed most of the day below 4 percent. And as I ...
Posted in Uncategorized | 1 Comment »
Thursday, October 8th, 2009
The premium on a three month/ten year ATM swaption straddle is445 basis points. Annualized vol is129.7 and the daily breakeven is 8.1 basis points.
The premium on a 5year/10 year ATM swaption straddle is1450 basis points. Annualized vol is 115.7 basis points and the daily breakeven is 7.2 basis points.
The breakeven ...
Posted in Uncategorized | Comments Off on Vol
Thursday, October 8th, 2009
The results of the 30-year bond reopening were sloppy.
The auction stopped at 4.009% vs a 100PM of 3.98%, so bidding was not
aggressive.
The bid/cover ratio was 2.37. The YTD bid/cover has averaged 2.37, but has
averaged 2.63 since the June 1 change in auction bidding rules coming into
today’s auction. Noncomps were $18.9 ...
Posted in Uncategorized | 14 Comments »
Thursday, October 8th, 2009
Mortgages are about 3 basis points tighter to swaps.
There has been light selling from originators which has been swamped by servicer buying of low coupons. Money managers have been chunky buyers of premiums. The street is short the high coupons following the slower speed story yesterday.
One trader notes that banks ...
Posted in Uncategorized | Comments Off on MBS
Thursday, October 8th, 2009
I do not have a clue on this one.
The issue trades superbly and remains through 4 percent. Every other auction which came this week came well and trades profitably. So whatever the source there is strong demand for bonds.
My problem is that I would think that by now anyone in ...
Posted in Uncategorized | 6 Comments »
Thursday, October 8th, 2009
Large stores are reporting better than expected results for September. The paper of record (NYT) notes that sales are only back at 2005 levels and the comparisons on a year over year basis look good because the world dove off a cliff last September.
Posted in Uncategorized | Comments Off on Chain Store Sales
Thursday, October 8th, 2009
Via an anonymous dealer. In the commentary the trader refers to the slope. The e mail came with a chart which I cannot reproduce and the trader is referring to a long term trend line which appears to support at the 88 level. Here is the commentary:
I THINK THIS IS ...
Posted in Uncategorized | 6 Comments »
Thursday, October 8th, 2009
Just the FT with a story naming specific countries who have chosen to debase their own currency and simultaneously buy dollars. One can be certain that money ends up somewhere in the Treasury market.
Posted in Uncategorized | 3 Comments »
Thursday, October 8th, 2009
The Treasury will auction $ 12 billion Long Bonds at 100PM today.
If one observe the price action and the shifts along the yield curve, one would arrive at a different conclusion.
The long bond in price terms is up more than 1/2 point. The 5 year note is down a tick. ...
Posted in Uncategorized | 2 Comments »