Selected Fianacial Names at the Open
Monday, October 5th, 200910/05 OPEN 10/02 OPEN BAC 7⅜ 14 245/235 260/250 BAC 5.65 18 255/245 270/260 ...
Archive for October, 2009
10/05 OPEN 10/02 OPEN BAC 7⅜ 14 245/235 260/250 BAC 5.65 18 255/245 270/260 ...
IG 13 and Some CDS
Monday, October 5th, 2009- 5yr Snr Bank CDS: BAC 118/125 (-7), CITI 205/215 (-10), JPM 70/75 (-2), WFC 83/88 (-3) - 5yr Snr Broker CDS: GS 110/115 (-8), MS 137/147 (-10) - CDS Index: IG13 103.5/104.5 (-3.5)
Swaps
Monday, October 5th, 2009Two year swap spreads are a basis point tighter at 34 1/2. Five year spreads areunchanged at 36. Ten year spreads are unchanged at 15 1/2. Thirty year spreads are unchanged at NEGATIVE 12.
TIPS
Monday, October 5th, 2009In my opening post I failed to note that the Treasury will auction a batch of TIPS today. Here is a little history and a little analysis from a TIPS trader. It was written on Friday: "Oct 8, 2008. Who could possibly forget that day? There were 3 auctions that day. ...
Bond Market Open October 5 2009
Monday, October 5th, 2009Prices of Treasury coupon securities are marginally higher in overseas trading. The decisive break of the range which occurred last week should promote dip buying this week. The 10 year note which had been locked in a 3.50 to approximately 3.25 percent range has traded into the teens and the ...
Treasury Market Update
Thursday, October 1st, 2009The Treasury market has broken the recent range (3.50/3.25 10 year yields) as the 10 year note holds below 3.25 percent. The 30 year bond is also in qquite rarified territory and once again has a 3 handle as it yields 3.98 percent. I think that the range break will animate ...
MBS
Thursday, October 1st, 2009Mortgages are opening unchanged to swaps. There was chunky selling from banks and money managers yesterday as well as a pickup in origination flows. Mortgage traders are anxiously waiting the data this evening which provide a clue regarding the amount by which the Federal Reserve has slowed purchases in its pursuit of ...
B of A on Vol
Thursday, October 1st, 2009It has been quite awhile since we have posted a "Vol Alert", but the bell is now ringing. As you know, the best correlation to Implied Vol is Realized Vol. This ratio tends to measure between 90% and 120% and averages about 110%. We send out ...
Corporate Bonds
Thursday, October 1st, 2009I get a daily email from a salesman which is a note from his financial trader with opening levels. The trader today sent out the note with three columns which contained September 15, September 30 and October 01 levels. Spreads are appreciably wider. I will reproduce just a few names with ...