Archive for October, 2009
Tuesday, October 6th, 2009
Corporate bond market continues firm and tenaciously clings to the gains achieved this morning. Salesmen report that there is no sense of retreat as the earlier outsized gains in stocks have been halved.
There was a bit of issuance today by companies that are not exactly household names.
Protective Life brought $ ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Tuesday, October 6th, 2009
The premium on a three month/ten year ATM swaption straddle is465 basis points. Annualized vol is135.5 and the daily breakeven is 8.5 basis points.
The premium on a 5year/10 year ATM swaption straddle is1463 basis points. Annualized vol is 116.9 basis points and the daily breakeven is 7.3 basis points.
Posted in Uncategorized | Comments Off on VOL
Tuesday, October 6th, 2009
Mortgages are a tad tighter to swaps.Premiums are outperforming lower coupons today.
Origination supply is light and manageable.
The Federal Reserve continues to occupy itself with purchases of 5s and 5 1/2s as well as 15 year 4s.
Tonight the street will pore over the release of pre pay data. The expectation is ...
Posted in Uncategorized | Comments Off on MBS
Tuesday, October 6th, 2009
* The 3-year auctions stops at 1.445% vs. a 1.440% 1-pm bid WI.
* Dealers were awarded 40% vs. 39.3% average of the last four 3-year auctions.
* Indirects get 49.1% vs. 53.6% norm -- light
* Directs take 10.8% vs. 7.2% average -- Second Largest - after June's 15.8%.
* Dealer Hit-Ratio: Dealers ...
Posted in Uncategorized | Comments Off on Three Year Auction Result Via CRT
Tuesday, October 6th, 2009
Shortly, the penurious US Treasury will auction $ 39 billion 3 year notes.
There has been robust buying of the issue today by central banks today. For the many denizens of the grassy knoll I would offer the modest proposal that central banks had to buy and planted the story about ...
Posted in Uncategorized | 5 Comments »
Tuesday, October 6th, 2009
Courtesy of the Zero Hedge blog I offer some trenchant analysis from Albert Edwards.He paints a rather dismal picture of the future and believes the levels which the equity markets touched in March are not the cycle lows.
I had a cup of coffee at Dresdner, Kleinwort Wasserstein several years ago ...
Posted in Uncategorized | 3 Comments »
Tuesday, October 6th, 2009
Mortgages are a couple of ticks tighter to swaps.
One trader noted in an email that the FNMA 4s feel heavy.He suggested that with the market (seemingly) topping out that servicers do not have as much need for convexity hedging and the 4s are suffering because of that.
Posted in Uncategorized | Comments Off on MBS
Tuesday, October 6th, 2009
Swap spreads are essentially unchanged this morning. Two year spreads are at 36. Five year spreads are 37. Ten year spreads are 17 1/2. Thirty year spreads NEGATIVE 10.
In corporate bond land spreads are tighter once again. Financial names are better by 5 basis points to 10 basis points. Industrial ...
Posted in Uncategorized | Comments Off on Morning Miscellany
Tuesday, October 6th, 2009
Gold at record high.
Posted in Uncategorized | 2 Comments »
Tuesday, October 6th, 2009
RBS Securities (the firm formerly known as Greenwich Capital) mentioned an interesting article by well respected research firm Wrightson in which Wrightson posits that some of the recent hawkish comments by Federal Reserve officials are a shot across the bow of leveraged speculators.Wrightson makes the salient point that if the ...
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