Archive for October, 2009
Monday, October 26th, 2009
* 5-year TIPS auction stops at 0.769% vs. 0.800% 1-pm bid WI.
* Bid/Cover 3.10 vs. 2.47 Reopening average -- 2nd highest for a reopening.
* Dealers were awarded 51.7% vs. 66.2% average of Reopenings.
* Indirects get 47.8% vs. 31.3% norm.
* Directs take 0.5% vs. 2.5% average.
* Dealer Hit-Ratio: Dealers take 21.6% ...
Posted in Uncategorized | Comments Off on TIPS Auction Results Via CRT
Monday, October 26th, 2009
The Treasury market has bounced off its lows and the stock market has cratered after opening stronger.
Traders report that financial stocks have taken a pretty decent battering and that that led to the demise of the S and P. I profess no special knowledge of equities so if you are ...
Posted in Uncategorized | 1 Comment »
Monday, October 26th, 2009
The premium on a three month/ten year ATM swaption straddle is502basis points. Annualized vol is148.6and the daily breakeven is9.3basis points.
The premium on a 5year/10 year ATM swaption straddle is1496 basis points. Annualized vol is123.7 basis points and the daily breakeven is 7.7 basis points.
The breakeven levels yesterday were 8.9 and ...
Posted in Uncategorized | 2 Comments »
Monday, October 26th, 2009
Mortgages are tighter to Swaps and Treasuries.
Lower coupons are a couple of ticks better and higher coupons are 4 ticks better.
The level of activity is muted.
There is speculation in the Treasury market about hedging of extension risk but mortgage sources have not heard of any (yet).
Posted in Uncategorized | Comments Off on MBS
Monday, October 26th, 2009
Here is a piece from David Ader of CRT on the technical breakdown in the 10 year note. The trade through 3.52 augurs a push to 3.72, according to Mr Ader.
"* We're watching a pretty okay reverese head & shoulders patterns -- see attached. 10s just moved over the right ...
Posted in Uncategorized | 2 Comments »
Monday, October 26th, 2009
The Treasury market has an ugly pallor about it to begin the week. The salient question is to determine the cause of the sell off and breakdown in US Treasury land.
I like to keep things simple. The market is cratering because the US Treasury is engaging in a week long ...
Posted in Uncategorized | 1 Comment »
Monday, October 26th, 2009
Corporate bonds are firm and buying interest abounds. However, at this juncture on a Monday morning there is very little business being transacted.
New issue market is quiescent also. I noted the Japn Finace Corp isuei a previous post. I have heard of a 5 year by a multi syllabic German ...
Posted in Uncategorized | Comments Off on Corporate Bonds
Monday, October 26th, 2009
Swap spreads are showing very little change this morning.
Two year spreads are unchanged at 37 1/2. Five year spreads areunchabed at 36 1/2. Ten year spreads have budged and are a basis point wider at 19. Thirty year spreads are unchanged at a (still ridiculous nearly a year later) NEGATIVE ...
Posted in Uncategorized | Comments Off on Swaps
Monday, October 26th, 2009
Japan Finance to Sell Three-Year, Dollar-Denominated Notes
2009-10-26 11:54:33.757 GMT
By Bryan Keogh
Oct. 26 (Bloomberg) -- Japan Finance Corp., the government-
backed lender, plans to sell three-year global notes denominated
in dollars, according to a person familiar with the
benchmark offering.
The debt may yield 15 basis points to 20 basis points more
than the mid-swap rate, ...
Posted in Uncategorized | Comments Off on Japan Finance Corp Dollar Issue
Monday, October 26th, 2009
Bloomberg carries this article on the need for the US Treasury to lengthen the average maturity of its debt. Simply stated that would require the issuance of more longer dated paper and less sales of bills and 2 year notes.
One analyst at FTN Securities (an unnamed analyst) suggests that the ...
Posted in Uncategorized | 5 Comments »