Archive for November, 2009

Swap Spreads

Friday, November 20th, 2009

Swap spreads are not manifesting any distress. At the moment the benchmarks are a basis point wider across the curve. Two year spreads are at 32 and five year spreads trade at the same 32 level. Ten year spreads are at 12. Thirty year spreads are NEGATIVE 10 1/2. I think that it ...

Corporate Bonds

Friday, November 20th, 2009

Corporate bond spreads are firm today and remain at the tight end of the tights. One salesman noted some bid lists. He said that they were not inordinately large but in the aggregate were on the chunky side. The same gentleman also noted that the lists were trading quite well and ...

Ukraine Default Story

Friday, November 20th, 2009

Here is a piece that Merrill Lynch or is it Bank America put out this morning regarding a default by the Ukraine: "Rumors circulated this morning that Ukraine sovereign debt would be under pressure for default, possibly related to Ukraine State Railway failing to make $110 million payment plus $8 mln ...

Some London based Commentary

Friday, November 20th, 2009

A reader sent this along and it is commentary from a  London based trader. Note the comment about the "scramble for collateral". That is a reference to the forces driving bill rates to negative levels and other short rates to record lows. This is a fellow trading a position and there ...

Bond Market Open November 20 2009

Friday, November 20th, 2009

Prices of Treasury coupon securities are registering, on balance, modest changes in overseas trading. The massive wall of liquidity sloshing through the market has driven short rates lower while the longer maturities are unchanged. Against that background, the yield on the 2 year note has edged lower by 2 basis points ...

More on Negative T Bills

Thursday, November 19th, 2009

In my closing post I noted that T bill rates arein negative territory and gave some reasons for that. Here is an excerpt from David Ader of CRT on that same topic; "We instead take our cue from activity in the financing markets, where year end is playing its hand – ...

Very Interesting Article on Repo Via Barclays

Thursday, November 19th, 2009

The House of Representatives is working on a draft bill that would more closely regulate large financial institutions in an effort to reduce the systemic risk that pushed the economy deep into recession. The nearly 300-page bill deals with a number of tough issues, including the role of the Federal Reserve in providing ...

Bond Market Close November 19 2008

Thursday, November 19th, 2009

Prices of Treasury coupon securities have posted modest gains today but have retreated from their best levels as the 10 year note flirted with the 3.30 level which has acted as a barrier in the recent past. I do not speak to often of the T bill market but yields in ...

MBS Color

Thursday, November 19th, 2009

Mortgage Update.... -mortgages put in a nice fight yesterday battling back from morning/overnight wides as a wide array of investors used the two day widening to scale in underweights. This morning we've seen lighter flows and once again current coupons are feeling lethargic, slipping 1-2/32 wider vs the curve, with decent selling from originators and apathetic ...

Philly Fed

Thursday, November 19th, 2009

The Philly Fed Index popped from 11.5 to 16.7. The entrails of the report manifest some strength with increases in new orders, shipments, employment and the average work week.