Archive for December, 2013
Wednesday, December 4th, 2013
Swap spreads counterintuitively (to me) are tighter today. One veteran market maker suggested the following explanation. First there is no mortgage related paying by the crazed convexity crowd. So there is no pressure from that group. In addition forwards are rather compelling. A 10 year swap beginning in 5 years ...
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Wednesday, December 4th, 2013
Mortgages have stabilized and are off their worst levels of the day as higher yields have attracted honest to God retail to the fray. The 15 year paper which lagged in the widening episode earlier has led the charge back. Origination remains a non factor.
Corporate spreads remain in an ethereal ...
Posted in Uncategorized | Comments Off on Spread Product Update
Wednesday, December 4th, 2013
Swap spreads are unchanged in the shorter stuff and a basis point tighter in the 10s and 30s. Dealers note that in the recent squeeze in 10s that spread traded down to 3.75 and as that spread approaches 10 traders tend to look to receive as that is a natural ...
Posted in Uncategorized | Comments Off on Swap and Swaptions
Wednesday, December 4th, 2013
Mortgages are 6 to 7 ticks wider versus Treasuries. One dealer with whom I spoke reported some chunky selling. He noted that 15 year paper was lagging which he said was unusual. He also thought this indicated REIT selling. Origination selling is light thus far and real money portfolios are ...
Posted in Uncategorized | Comments Off on MBS
Wednesday, December 4th, 2013
The ADP data has precipitated a strafing of the belly of the bond market. The 5s 10s 30s spread which I follow is now north of 33 and is poised to take out the December 2010 high of 35 basis points.
Similarly, there is cruel and unusual punishment if you put ...
Posted in Uncategorized | Comments Off on Treasury Carnage
Wednesday, December 4th, 2013
Japanese stocks tumbled a little more than 2 percent over night. Here are some thoughts from Mark Chandler at Brown Brothers on that and other Japanese topics:
We have been concerned that there would be a wave of profit-taking ahead of the capital gains tax hike in Japan on January 1. ...
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Wednesday, December 4th, 2013
Before this site crashed yesterday I noted a chunky debt offering from Microsoft. The firm sold in US dollars $ 1.25 billion 5 year notes +35 to the 5 year Treasury. The firm also found unsuspecting investors for $1.5 billion 10 years at +90 to the 10 year Treasury. Finally ...
Posted in Uncategorized | Comments Off on Mister Softee Bonds
Wednesday, December 4th, 2013
Prices of Treasury coupon securities are registering very small changes in a quiet overnight session. Investors have hunkered down to observe the ADP data today and the monthly labor report on Friday morning. I show the 5 s 10s spread virtually unchanged at 138.9 and 5s 30s practically unmoved at ...
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Tuesday, December 3rd, 2013
The WSJ is reporting that one day next week apparatchiks and bureaucrats at the alphabet soup of agencies which oversee the financial industry will finalize the Volcker rule which bars proprietary trading by banks. The Journal story notes that the finalized rule will be a stricter version than originally proposed ...
Posted in Uncategorized | Comments Off on The Only Perfect Hedge is in a Japanese Garden
Tuesday, December 3rd, 2013
My occasional forays into politics here have focused on criticism of ObamaCare and the implementation of the program via the flawed website. Well then the technology problems which plagued this site today and prevented access to it might be providing a bit of schadenfreude for those who thought I was ...
Posted in Uncategorized | Comments Off on Schadenfreude and Technology