Archive for October, 2009
Tuesday, October 6th, 2009
I have previously excerpted pieces of analysis by Brown Brothers on the currency market. With stories circulating about the demise of the greenback as well as the unexpected rate increase from Australia I thought that the write up today was pertinent:
There is a UK press story suggesting a secret meeting ...
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Tuesday, October 6th, 2009
Prices of Treasury coupon securities have, on balance, posted small losses in overnight trading. The one exception is the Long Bond which is unchanged in quiet professional trading at a yield of 4.01 percent.
The yield on the 2 year note increased 3 basis points to 0.90 percent. The yield on ...
Posted in Uncategorized | Comments Off on Bond Market Open October 6 2009
Tuesday, October 6th, 2009
Libor is unchanged at 0.28406.
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Monday, October 5th, 2009
Prices of Treasury coupon securities are posting small mixed changes today with most of the benchmark curve posting modest losses.
There is an interesting debate being waged at the moment regarding the near term direction of the market.
I would align myself with a camp that expects small concessions for the auction ...
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Monday, October 5th, 2009
Here is a nice article on credit spreads from the blog Accrued Interest.
Here is a piece of financial blogging trivia: Accrued Interest was my first choice for the name of this blog. I was disappointed when I found out the name was already taken.
I have operated with the Across the ...
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Monday, October 5th, 2009
The premium on a three month/ten year ATM swaption straddle is468 basis points. Annualized vol is136.8 and the daily breakeven is 8.55 basis points.
The premium on a 5year/10 year ATM swaption straddle is1466 basis points. Annualized vol is 115.8 and the daily breakeven is 7.2basis points
Breakeven levels yesterday were 8.5 ...
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Monday, October 5th, 2009
10-year TIPS auction stops at 1.51% vs. a 1.54% 1-pm bid WI.* Bid/Cover 3.12 vs. 2.10 reopening average -- tied for the 2nd highest ever* Dealers were awarded 55.6% vs. 65.9% average of the last four Reopenings.* Indirects get 44% vs. 35.6% norm -- strong for a reopening. * ...
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Monday, October 5th, 2009
Mortgages are pretty much in line with swaps this morning. There is no untoward movement within the coupon stack.
Dealers report buying by the Federal Reserve and mortgage servicers.
Real money accounts have been observed going down in coupon.
One traders e mail suggested that the market was drifting into year end mode.
Yikes!!! ...
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Monday, October 5th, 2009
Financial names are 10 basis points to 15 basis points tighter this morning. Other names (generically) are about a nickel tighter. One salesman (and friend of the blog since inception) says that he will not describe the market as "en fuego' but there is robust demand for bonds.
There is some ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Monday, October 5th, 2009
The Treasury market is trading quite well this morning and the yield curve is flattening.
Some participants with whom I have spoken anticipate that the market will not falter as we proceed through this week's wave of supply.
One salesman noted that much of the selling on Friday came after a week ...
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