Archive for November, 2009

Bond Market Open November 10 2009

Tuesday, November 10th, 2009

Prices of Treasury coupon securities are posting modest gains in overnight trading. In Germany the ZEW survey if investor confidence fell more than expected. Separately, Fitch noted that amongst the large industrial nations the UK is most likely to face the ignominy and and infamy of a credit downgrade. The yield ...

Preview of Economic Data November 10 2009 Via UBS

Tuesday, November 10th, 2009

Preview: Small business confidence lags, store sales recovering (1) The NFIB small business optimism index for Oct will be released. The index showed little change in Q3 (88.0 on average) relative to Q2 (87.8), and it remained at a historically low level. Confidence among larger businesses has rebounded more convincingly, likely ...

Swaption Vol Color

Monday, November 9th, 2009

The general themes continue in the Vol market as we are still seeing a lack of demand for gamma product and better offers in payer skew on intermediate expiries. Rates have been contained since FOMC and the 3.50ish level in the 10y note appears pretty sticky here. 1w10y traded @ ...

Bond Market Close November 09 2009

Monday, November 9th, 2009

Prices of Treasury coupon are finishing the day with just marginal changes and most of the benchmark securities are virtually unchanged. The 3 year note auction produced a superior result but it is languishing in secondary market trading. There has been very little follow through buying and dealers who missed ...

Corporate Bonds

Monday, November 9th, 2009

Corporate bond spreads are very firm today in the secondary market but with a new twist there is very heavy issuance calendar today. By far the biggest event of the day is the Cisco offering of 5 year, 10 year and 30 year securities. The firm offered $ 500 million 5 ...

Swaption Vol and MBS

Monday, November 9th, 2009

The premium on a three month/ten year ATM swaption straddle is 449 basis points. Annualized vol is 131.6 and the daily breakeven is 8.2 basis points. The premium on a 5year/10 year ATM swaption straddle is 1457 basis points. Annualized vol is119.0 basis points and the daily breakeven is 7.4basis points. The ...

Multi Tranche Deal From Cisco

Monday, November 9th, 2009

By Nikolaj Gammeltoft Nov. 9 (Bloomberg) -- Cisco Systems Inc., the largest maker of networking equipment, plans a benchmark-size note sale in three parts, according to a person familiar with the offering. The debt will have 5-, 10- and 30-year maturities and may be sold as soon as today, said the person, who declined to ...

The Three Year Note Auction: Like Dogs in Heat

Monday, November 9th, 2009

Many of the little saying I offer here have been appropriated from colorful characters with whom I worked through the years. In the early 1980s at Chase Manhattan Bank ( the original one before it became the Rube Goldberg edifice of today)  the short bill trader (he only traded the bills ...

Quiet in the Pit: EuroDollar Color

Monday, November 9th, 2009

Nothing is really trading in the Eurodollar market. The futures curve is slightly flatter which we haven't seen in a while but I don't see an order causing it. Vol is in a little bit, the December 2010 9850 straddle is probably 96/97.5 and the 9862.5 is 92/93.5. Not much ...

Excellent TIPS Commentary: Illiquidity Reigns (Or Rains)

Monday, November 9th, 2009

Early Oscar alert! Get ready to be bombarded with 'Precious', a movie who's unlikely heroine finds hope despite being forced into a life of utter despair. Unlike the bond markets, Hollywood still promises a happy ending. I bring this up after last weeks events in both the TIPS and bond markets. ...