Archive for November, 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 ...
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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 ...
Posted in Uncategorized | Comments Off on Preview of Economic Data November 10 2009 Via UBS
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 @ ...
Posted in Uncategorized | Comments Off on Swaption Vol Color
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 ...
Posted in Uncategorized | Comments Off on Bond Market Close November 09 2009
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 ...
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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 ...
Posted in Uncategorized | Comments Off on Swaption Vol and MBS
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 ...
Posted in Uncategorized | Comments Off on Multi Tranche Deal From Cisco
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 ...
Posted in Uncategorized | Comments Off on The Three Year Note Auction: Like Dogs in Heat
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 ...
Posted in Uncategorized | Comments Off on Quiet in the Pit: EuroDollar Color
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. ...
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