IG 13 and Some CDS
Wednesday, October 28th, 2009- 5yr Snr Bank CDS: BAC 102/107 (+2), CITI 160/170 (+2), JPM 53/58 (+2), WFC 93/98 (+5) - 5yr Snr Broker CDS: GS 94/99 (+8), MS 116/121 (+6) - CDS Index: IG13 104/105 (+3), HV13 190/200 (+5)
Archive for October, 2009
- 5yr Snr Bank CDS: BAC 102/107 (+2), CITI 160/170 (+2), JPM 53/58 (+2), WFC 93/98 (+5) - 5yr Snr Broker CDS: GS 94/99 (+8), MS 116/121 (+6) - CDS Index: IG13 104/105 (+3), HV13 190/200 (+5)
Evening Reading
Tuesday, October 27th, 2009GMAC seeking another infusion of public money. Populist Revolt by UAW members against givebacks. Continuing Saga of Health Care Reform. India takes first steps on its road to tighter monetary policy. Senate close to deal to extend first time home buyer credit. Weak Recovery Via Economists View. Commerce Department Jousts with biggest buyer of US debt. A ...
Preview of Economic Data Scheduled for Release October 28 2009 Via UBS
Tuesday, October 27th, 2009Durables and new home sales expected up Preview: Durables orders +1.0% est and new home sales +2.6% est in Sep (1) Durable goods orders probably rose in September (UBSe & cons 1.0%, after -2.4%). For orders excluding transportation, we expect a slightly stronger pattern (UBSe +1.4%, cons +0.8%, ...
Bond Market Close October 27 2009
Tuesday, October 27th, 2009Prices of treasury coupon securities did a rapid turn around today and wiped out a chunky portion of the markets recent losses. There are a myriad of reasons for the about face. I offer some with any ranking of their relative importance. The market had sold off significantly. If we use ...
MBS and Corporates
Tuesday, October 27th, 2009Mortgages are 4 ticks to 6 ticks wider to swaps. There has been a chunky seller of the 5 1/2 coupon. The central bank has been an active purchaser of 4s,4 1/2s, and 5s. Early in the day servicers were sellers of the 4 1/2 coupon. Money mangers, insurance companies and banks are eager ...
Wobbly Stocks
Tuesday, October 27th, 2009S&P'S HAVE BEEN IN PRETTY WELL DEFINED UP-TREND SINCE THE SECOND LEG OF THE RALLY BEGAN IN JUNE. 1062.50 IS WHERE THE LINE COMES IN TODAY WITH TODAY'S LOW AT 1060.62 MAKING A STAB BELOW. THE TREND-LINE HAS BEEN PENETRATED WHICH WOULD CONSTITUTE A FIRST WARNING. A SETTLE BELOW, TODAY, ...
Swaption Vol
Tuesday, October 27th, 2009The premium on a three month/ten year ATM swaption straddle is 496 basis points. Annualized vol is 146 and the daily breakeven is9.1 basis points. The premium on a 5year/10 year ATM swaption straddle is 1498 basis points. Annualized vol is 122.6 basis points and the daily breakeven is 7.7 basis ...
Very Strong Two Year Result Via CRT
Tuesday, October 27th, 2009**** Very strong auction with 70.6% Non-dealer awards **** * 2-year auction stops at 1.020% vs. a 1.043% 1-pm bid WI. * Dealers were awarded 29.4% vs. 45% average of last four 2-year auctions. * Indirects get 44.5% vs. 50% norm. Modest -- but many went Direct. * Directs take 26.1% vs. 5.7% average. ...
Literary Allusion and the Bond Market
Tuesday, October 27th, 2009As long time readers know I enjoy sprinkling my bond market musings with literary references. Someone forwarded me this piece from a JPMorgan writer.I dont usually identify the authors when I receive stuff by email like this but I thought that Sam Choi deserves recognition for a well written piece ...
Corporate Bonds
Tuesday, October 27th, 2009Sources report that the corporate bond market is exceedingly quiet. Spreads are firm but unchanged. There are several new issues churning through the market but none of them are market movers. Prologis is offering a benchmark 10 year. Reynolds is offering paper in the 7 year sector and Continental Airlines has an ...