| T-Bills |
 |
Treasuries |
|
Swap Spread |
|
Semi - B |
| |
Price |
Yield |
|
Price |
Yield |
Bid |
Ask |
Bid |
Ask |
1 month |
-0.005 - -0.015 |
-0.01 |
2 Year |
99.232 / 99.232 |
0.258 |
27.75 |
31.75 |
0.532 |
0.572 |
3 month |
0.018 -0.007 |
0.013 |
3 Year |
99.15 / 99.15 |
0.428 |
28.00 |
32.00 |
0.708 |
0.748 |
6 month |
0.043 -0.033 |
0.038 |
5 Year |
100 / 100 |
0.995 |
27.50 |
31.50 |
1.273 |
1.313 |
1 year |
0.107 - 0.097 |
0.102 |
7 Year |
99.26 / 99.27 |
1.525 |
22.75 |
26.75 |
1.755 |
1.795 |
| |
|
|
|
10 Year |
100.2 / 100.2 |
2.051 |
|
15.75 |
19.75 |
|
2.212 |
2.252 |
| |
|
|
|
30 Year |
112 / 112 |
3.127 |
|
-25.75 |
-21.70 |
|
2.878 |
2.918 |
Deposits |
|
Commercial Paper |
|
Fed Funds |
|
Spot FX |
|
Libor |
| |
Bid |
Ask |
|
15 day |
0.25 |
|
Bid |
Ask |
|
CHF |
0.8955 / 0.8957 |
|
1 month |
0.23889 |
1 month |
0.15 |
0.25 |
|
30 day |
0.25 |
|
0.08 |
0.12 |
|
EUR |
1.3624 / 1.3624 |
|
3 month |
0.36856 |
2 month |
0.19 |
0.29 |
|
60 day |
0.28 |
|
High |
Low |
|
CAD |
1.0226 / 1.0229 |
|
6 month |
0.54839 |
3 month |
0.23 |
0.33 |
|
90 day |
0.32 |
|
0.10 |
0.10 |
|
JPY |
76.510 / 76.530 |
|
9 month |
0.69489 |
4 month |
0.26 |
0.36 |
|
180 day |
0.45 |
|
Last |
Close |
|
GBP |
1.5645 /1.5650 |
|
1 Year |
0.85489 |
5 month |
0.30 |
0.40 |
|
|
|
|
0.10 |
0.10 |
|
AUD |
0.9895 / 0.9897 |
|
|
|
6 month |
0.38 |
0.48 |
|
|
|
|
|
|
|
|
|
|
|
|
9 month |
0.55 |
0.65 |
|
|
|
|
|
|
|
|
|
|
|
|
1 Year |
0.70 |
0.80 |
|
|
|
|
|
|
|
|
|
|
|
|
CDs Domestic |
Yankee |
|
Active Agencies |
|
On REPO |
|
BID |
ASK |
BID |
ASK |
|
|
Spreads |
Yield |
|
ON |
0.300 |
1 month |
0.27 |
0.25 |
0.27 |
0.25 |
|
FHLB 1.375 05/14 |
16.50 |
14.50 |
0.583 |
|
1W |
0.080 |
2 month |
0.30 |
0.28 |
0.30 |
0.28 |
|
|
20.50 |
18.50 |
0.449 |
|
2W |
0.080 |
3 month |
0.35 |
0.32 |
0.35 |
0.32 |
|
FHLB 5 11/17 |
16.50 |
14.50 |
2.210 |
|
1M |
0.100 |
6 month |
0.50 |
0.45 |
0.50 |
0.45 |
|
|
|
|
|
|
|
|
9 month |
0.65 |
0.55 |
0.65 |
0.55 |
|
|
|
|
|
|
|
|
1 Year |
0.80 |
0.65 |
0.80 |
0.65 |
|
|
|
|
|
|
|
|
| Bank Rates |
|
30 Y MBS |
BEY |
TSY/SP |
|
TED Spread |
| DISCOUNT |
0.75 |
BROKER |
2.00 |
GNMA 5.5 |
110.53 |
110.56 |
0.8487 |
63 / 3Y |
|
Price |
%Chg |
| PRIME |
3.25 |
COFI |
1.35 |
GOLD 5.5 |
108.19 |
108.22 |
2.6740 |
233 / 3Y |
|
0.351 |
3.19% |
| |
|
|
|
|
FNMA 5.5 |
108.53 |
108.56 |
2.5593 |
221 / 3Y |
|
|
|
Treasury Auctions and Results
Tuesday, September 27th, 2011
US Treas to sell $30B in 4-week Bills. 10:00 am When issue bid of 0%. ***A T-bill cannot be issued lower than 0%. Bid side is negative***
US Treas to sell $30B in 2-year notes. 10:00 am When issue bid of .245%.
Wednesday, September 28th, 2011
US Treas to sell $35B in 5-year notes.
Thursday, September 29th, 2011
US Treas to sell $29B in 7-year notes.
The auctions were pretty vanilla last week as most of the stats for all 3 issues were at their 10-week averages. The best auction was the 30-year, which had a bid to cover ratio of 2.85, the highest since last March and .25 higher than its 10-week average. Foreign investors were also active bidding for the 30-year, receiving 39.4% of the allocation, the highest since last April and an increase of 27.2% over last month. The 3-year had a bid to cover ratio of 3.15 (average 3.18) and a indirect bid of 35.7% (average 35.9%). The 10-year was almost directly on top of its averages as well, with a bid to cover ratio of 3.03 compared to an average of 3.13 and an indirect bid of 48.5% compared to 47.1%.
With the market increasingly pricing in the chance of the Fed's "operational twist", it stands to reason why the longer bonds, especially the 30-year, performed well. However, this is a staunch reversal from last month's auctions in which we saw strong bidding on the short-end as a result of the Fed's announcement of keeping rates low until 2013. It is important to note that all 3 auctions set records for lowest yields at issuance last week. The stats are listed below.
| 3-Year Auction Results |
| Date |
Amount Auctioned (B) |
Bid to Cover |
Indirect Bidding |
Primary Dealer |
High Yield |
| November 8, 2010 |
$32 |
3.26 |
35.0% |
51.1% |
0.575% |
| December 7, 2010 |
$32 |
2.91 |
36.7% |
45.4% |
0.862% |
| January 11, 2011 |
$32 |
3.06 |
39.4% |
44.5% |
1.027% |
| February 8, 2011 |
$32 |
3.01 |
27.6% |
62.3% |
1.349% |
| March 8, 2011 |
$32 |
3.22 |
34.4% |
53.3% |
1.298% |
| April 12, 2011 |
$32 |
3.25 |
33.7% |
57.4% |
1.280% |
| May 10, 2011 |
$32 |
3.29 |
32.7% |
51.9% |
1.000% |
| June 7, 2011 |
$32 |
3.28 |
37.5% |
55.2% |
0.765% |
| July 12, 2011 |
$32 |
3.22 |
34.5% |
48.9% |
0.670% |
| August 9, 2011 |
$32 |
3.29 |
47.9% |
41.0% |
0.500% |
| September 12, 2011 |
$32 |
3.15 |
35.7% |
53.7% |
0.334% |
| Average |
$32.0 |
3.18 |
35.9% |
51.1% |
0.933% |
3-Year Note
Amount Auctioned: $32B
Coupon Rate: .25%
Yield Awarded: .334% ***RECORD LOW YIELD AWARDED IN 3-YEAR AUCTION HISTORY***
Bid to Cover Ratio: 3.15 (a decrease of .14 from last's month auction)
Indirect Bidding: 35.7% (a decrease of 12.2% from last month's auction)
Primary Bidding: 53.7% (an increase of 12.7% from last month's auction)
| 10-Year Auction Results |
| Date |
Amount Auctioned (B) |
Bid to Cover |
Indirect Bidding |
Primary Dealer |
High Yield |
| November 9, 2010 |
$24 |
2.80 |
56.6% |
34.0% |
2.636% |
| December 8, 2010 |
$21 |
2.92 |
44.4% |
44.2% |
3.340% |
| January 12, 2011 |
$21 |
3.30 |
28.2% |
38.5% |
3.388% |
| February 9, 2011 |
$24 |
3.23 |
71.3% |
28.2% |
3.665% |
| March 9, 2011 |
$21 |
3.32 |
53.0% |
40.5% |
3.499% |
| April 13, 2011 |
$21 |
3.13 |
42.4% |
51.7% |
3.494% |
| May 11, 2011 |
$24 |
3.00 |
47.2% |
44.4% |
3.210% |
| June 8, 2011 |
$21 |
3.23 |
50.6% |
41.0% |
2.967% |
| July 13, 2011 |
$21 |
3.17 |
41.9% |
44.1% |
2.918% |
| August 10, 2011 |
$24 |
3.22 |
35.4% |
33.0% |
2.140% |
| September 13, 2011 |
$21 |
3.03 |
48.5% |
40.4% |
2.000% |
| Average |
$22.2 |
3.13 |
47.1% |
40.0% |
3.126% |
10-Year Note
Amount Auctioned: $21B
Coupon Rate: 2.125%
Yield Awarded: 2.000% ***RECORD LOW YIELD AWARDED IN 10-YEAR AUCTION HISTORY***
Bid to Cover Ratio: 3.03 (a decrease of .19 from last's month auction)
Indirect Bidding: 48.5% (an increase of 13.165% from last month's auction)
Primary Bidding: 33% (an increase of 7.4% from last month's auction)
| 30-Year Auction Results |
| Date |
Amount Auctioned (B) |
Bid to Cover |
Indirect Bidding |
|
High Yield |
| November 10, 2010 |
$16 |
2.31 |
38.4% |
50.8% |
4.320% |
| December 9, 2010 |
$13 |
2.74 |
49.5% |
42.4% |
4.410% |
| January 13, 2011 |
$13 |
2.67 |
37.8% |
49.9% |
4.515% |
| February 10, 2011 |
$16 |
2.51 |
43.1% |
48.9% |
4.750% |
| March 10, 2011 |
$13 |
3.02 |
40.7% |
53.0% |
4.569% |
| April 14, 2011 |
$13 |
2.83 |
47.2% |
42.0% |
4.531% |
| May 12, 2011 |
$16 |
2.43 |
33.0% |
58.2% |
4.380% |
| June 9, 2011 |
$13 |
2.63 |
38.4% |
52.3% |
4.170% |
| July 14, 2011 |
$13 |
2.8 |
37.8% |
40.3% |
4.198% |
| August 11, 2011 |
$16 |
2.08 |
12.2% |
68.3% |
3.750% |
| September 14, 2011 |
$13 |
2.85 |
39.4% |
43.3% |
3.310% |
| Average |
$14.2 |
2.60 |
37.8% |
50.6% |
4.359% |
30-Year Note
Amount Auctioned: $13B
Coupon Rate: 3.75%
Yield Awarded: 3.310% ***RECORD LOW YIELD AWARDED IN 30-YEAR AUCTION HISTORY***
Bid to Cover Ratio: 2.85 (an increase of .77 from last's month auction)
Indirect Bidding: 39.4% (an increase of 27.2% from last month's auction)
Primary Bidding: 43.3% (a decrease of 25% from last month's auction)
T-bills
- There is little change in T-bills from last week.
- There is still very high demand for the supply and that leads to negative nominal rates.
- Increased supply can only go so far as even if there was not excess demand we still have a Fed Funds effective rate trading around .09% that will keep rates low as well.
- When possible please submit orders the day before the needed settle date. This helps us get better execution for our clients.
New Issue Corps
***NO NEW DEALS OF NOTE***
Secondary Corp Issues
- Corporate spreads continue to widen as uncertainty over Europe, Operation Twist, and growth estimates continue to weigh on the market.
- There is a general "de-risking", which has resulting in selling finance and bank names (who's spreads have increase the most) and buying Treasuries. While treasury yields decrease, the amount that spreads are increasing actually results in a higher overall yield for secondary corporate paper.
- With these low rates, corporate finance departments have been issuing debt. These new issue bonds are closer to par but have significantly lower income and pose higher interest rate risk than those secondary pieces trading at a premium.
- There is still a serious lack of supply in years 2018 and 2019 outside finance names and secondary pieces trading above $115.
- Supply for fixed to float corporates is small but we are seeing some issuance. These names are typically finance or insurance companies and a lot of them are reverse order bonds1 meaning that it can have a variable deal sizes. We are focusing on bonds that reset to CPI YOY over resetting to libor. With current Fed mandates if the bonds resets to libor next year you could see significant interest rate risk.
|
|
1 A reverse order bond is a new issue in which there is no set deal size at the announcement of the offer. The deal size is therefore variable as if the underwriter gets $50,000,000 in orders that is the deal, however if they only get $1,000,000 in orders, that is the deal size. Reverse order bonds pose a risk to liquidity as the smaller the deal size the less liquid the bond.
|
A Rated Industrials |
|
|
|
|
| Maturity |
9/27/2011 |
09/19/20011 |
Change |
vs. Utilities |
vs. Finance |
| 1 year |
77 |
78 |
(1) |
(22) |
(33) |
| 2 year |
81 |
81 |
0 |
(47) |
(73) |
| 3 year |
87 |
87 |
0 |
(44) |
(70) |
| 5 year |
111 |
111 |
0 |
(9) |
(56) |
| 7 year |
135 |
122 |
13 |
20 |
(54) |
| 10 year |
145 |
135 |
10 |
(10) |
(43) |
|
A Rated Utilities |
|
|
|
|
| Maturity |
9/27/2011 |
09/19/20011 |
Change |
vs. Industrials |
vs. Finance |
| 1 year |
99 |
98 |
1 |
22 |
(11) |
| 2 year |
128 |
128 |
0 |
47 |
(26) |
| 3 year |
131 |
130 |
1 |
44 |
(26) |
| 5 year |
120 |
118 |
2 |
9 |
(47) |
| 7 year |
115 |
112 |
3 |
(20) |
(74) |
| 10 year |
155 |
149 |
6 |
10 |
(33) |
|
A Rated Finance |
|
|
|
|
| Maturity |
9/27/2011 |
09/19/20011 |
Change |
vs. Industrials |
vs. Utilities |
| 1 year |
110 |
105 |
5 |
33 |
11 |
| 2 year |
154 |
147 |
7 |
73 |
26 |
| 3 year |
157 |
151 |
6 |
70 |
26 |
| 5 year |
167 |
161 |
6 |
56 |
47 |
| 7 year |
189 |
176 |
13 |
54 |
74 |
| 10 year |
188 |
172 |
16 |
43 |
33 |
|
BBB Rated Industrials |
|
|
|
|
| Maturity |
9/27/2011 |
09/19/20011 |
Change |
vs. Utilities |
vs. Finance |
| 1 year |
155 |
157 |
(2) |
38 |
(111) |
| 2 year |
169 |
170 |
(1) |
24 |
(111) |
| 3 year |
196 |
197 |
(1) |
46 |
(127) |
| 5 year |
210 |
210 |
0 |
55 |
(102) |
| 7 year |
215 |
216 |
(1) |
52 |
(121) |
| 10 year |
226 |
211 |
15 |
56 |
(93) |
|
BBB Rated Utilities |
|
|
|
|
| Maturity |
9/27/2011 |
09/19/20011 |
Change |
vs. Industrials |
vs. Finance |
| 1 year |
117 |
128 |
(11) |
(38) |
(149) |
| 2 year |
145 |
156 |
(11) |
(24) |
(135) |
| 3 year |
150 |
162 |
(12) |
(46) |
(173) |
| 5 year |
155 |
161 |
(6) |
(55) |
(157) |
| 7 year |
163 |
168 |
(5) |
(52) |
(173) |
| 10 year |
170 |
170 |
0 |
(56) |
(149) |
|
BBB Rated Finance |
|
|
|
|
| Maturity |
9/27/2011 |
09/19/20011 |
Change |
vs. Industrials |
vs. Utilities |
| 1 year |
266 |
254 |
12 |
111 |
149 |
| 2 year |
280 |
267 |
13 |
111 |
135 |
| 3 year |
323 |
314 |
9 |
127 |
173 |
| 5 year |
312 |
292 |
20 |
102 |
157 |
| 7 year |
336 |
304 |
32 |
121 |
173 |
| 10 year |
319 |
287 |
32 |
93 |
149 |
| 9/28//2011 |
Corporate Yields Comparison by Sector |
7/5/2011 |
| Term |
A Industrial |
A Utility |
A Corporate |
A Industrial |
A Utility |
A Corporate |
| 1 Year |
0.87% |
1.09% |
1.20% |
0.86% |
1.06% |
1.13% |
| 2 Year |
1.05% |
1.52% |
1.78% |
0.97% |
1.44% |
1.63% |
| 3 Year |
1.28% |
1.72% |
1.98% |
1.16% |
1.59% |
1.80% |
| 5 Year |
2.06% |
2.15% |
2.62% |
1.95% |
2.02% |
2.45% |
| 7 Year |
2.82% |
2.62% |
3.36% |
2.61% |
2.51% |
3.15% |
| 10 Year |
3.44% |
3.54% |
3.87% |
3.31% |
3.45% |
3.68% |
|
|
|
|
|
|
|
| 9/28/2011 |
Corporate Yields Comparison by Sector |
7/5/2011 |
| Term |
BBB Industrial |
BBB Utility |
BBB Corporate |
% Change |
% Change |
% Change |
| 1 Year |
1.65% |
1.27% |
2.76% |
1.65% |
1.36% |
2.62% |
| 2 Year |
1.93% |
1.69% |
3.04% |
1.86% |
1.72% |
2.83% |
| 3 Year |
2.37% |
1.91% |
3.64% |
2.26% |
1.91% |
3.43% |
| 5 Year |
3.05% |
2.50% |
4.07% |
2.94% |
2.45% |
3.76% |
| 7 Year |
3.62% |
3.10% |
4.83% |
3.55% |
3.07% |
4.43% |
| 10 Year |
4.25% |
3.69% |
5.18% |
4.07% |
3.66% |
4.83% |
***Note that in this chart below, a negative number in the "rich/cheap" field means it is a good value.***
| Issuer Name |
Coupon |
Maturity |
Price |
YTM |
Nominal Spread |
Mod Dur |
Rich/ Cheap |
S&P |
Mdys |
| CATERPILLAR FINL SVCS MTNS B |
1.900 |
12/17/2012 |
101.444 |
0.722 |
52 |
1.215 |
16 |
A |
A2 |
| OCCIDENTAL PETE CORP DEL |
1.450 |
12/13/2013 |
101.270 |
0.872 |
56 |
2.177 |
25 |
A |
A2 |
| GENERAL ELEC CAP CORP MTN BE |
2.100 |
01/07/2014 |
100.063 |
2.071 |
176 |
2.215 |
-12 |
AA+ |
Aa2 |
| WAL MART STORES INC |
1.625 |
04/15/2014 |
102.303 |
0.716 |
35 |
2.494 |
17 |
AA |
Aa2 |
| WAL MART STORES INC |
3.200 |
05/15/2014 |
105.974 |
0.908 |
53 |
2.522 |
-2 |
AA |
Aa2 |
| DANAHER CORP DEL |
1.300 |
06/23/2014 |
101.048 |
0.913 |
52 |
2.690 |
36 |
A+ |
A2 |
| MEDTRONIC INC |
3.000 |
03/15/2015 |
106.253 |
1.160 |
60 |
3.313 |
33 |
AA- |
A1 |
| ABBOTT LABS |
2.700 |
05/27/2015 |
104.886 |
1.334 |
73 |
3.479 |
21 |
AA |
A1 |
| HEWLETT PACKARD CO |
2.125 |
09/13/2015 |
99.232 |
2.328 |
165 |
3.783 |
-65 |
A |
A2 |
| MICROSOFT CORP |
1.625 |
09/25/2015 |
102.325 |
1.031 |
35 |
3.846 |
12 |
AAA |
Aaa |
| PROCTER & GAMBLE CO |
1.800 |
11/15/2015 |
102.292 |
1.231 |
51 |
3.965 |
13 |
AA- |
Aa3 |
| JPMORGAN CHASE & CO |
2.600 |
01/15/2016 |
98.838 |
2.888 |
213 |
4.027 |
-1 |
A+ |
Aa3 |
| MEDTRONIC INC |
2.625 |
03/15/2016 |
104.183 |
1.652 |
85 |
4.222 |
17 |
AA- |
A1 |
| WAL MART STORES INC |
2.800 |
04/15/2016 |
106.060 |
1.423 |
60 |
4.244 |
3 |
AA |
Aa2 |
| LOWES COS INC |
2.125 |
04/15/2016 |
101.856 |
1.700 |
88 |
4.297 |
16 |
A |
A1 |
| BB&T CORPORATION |
3.950 |
04/29/2016 |
105.493 |
2.673 |
185 |
4.145 |
108 |
A |
A2 |
| APPLIED MATLS INC |
2.650 |
06/15/2016 |
101.557 |
2.300 |
144 |
4.394 |
-41 |
A- |
A3 |
| DANAHER CORP DEL |
2.300 |
06/23/2016 |
102.907 |
1.661 |
80 |
4.469 |
26 |
A+ |
A2 |
| JPMORGAN CHASE & CO |
3.150 |
07/05/2016 |
99.737 |
3.209 |
235 |
4.376 |
-14 |
A+ |
Aa3 |
| CAMPBELL SOUP CO |
3.050 |
07/15/2017 |
105.724 |
2.001 |
88 |
5.303 |
24 |
A |
A2 |
| DEERE JOHN CAP CORP MTNS BE |
2.800 |
09/18/2017 |
102.499 |
2.350 |
118 |
5.493 |
0 |
A |
A2 |
| WAL MART STORES INC |
4.125 |
02/01/2019 |
112.852 |
2.221 |
75 |
6.381 |
9 |
AA |
Aa2 |
| MORGAN STANLEY |
5.625 |
09/23/2019 |
95.163 |
6.407 |
480 |
6.305 |
-167 |
A |
A2 |
| DEERE & CO |
4.375 |
10/16/2019 |
113.923 |
2.461 |
84 |
6.773 |
28 |
A |
A2 |
| ABBOTT LABS |
4.125 |
05/27/2020 |
110.956 |
2.700 |
97 |
7.276 |
17 |
AA |
A1 |
| TARGET CORP |
3.875 |
07/15/2020 |
108.588 |
2.769 |
100 |
7.457 |
16 |
A+ |
A2 |
| GENERAL ELEC CAP CORP MTN BE |
4.375 |
09/16/2020 |
100.641 |
4.288 |
249 |
7.364 |
26 |
AA+ |
Aa2 |
| PEPSICO INC |
3.125 |
11/01/2020 |
102.932 |
2.758 |
94 |
7.812 |
5 |
A- |
Aa3 |
| HEWLETT PACKARD CO |
3.750 |
12/01/2020 |
97.731 |
4.048 |
222 |
7.594 |
-107 |
A |
A2 |
| KELLOGG CO |
4.000 |
12/15/2020 |
108.179 |
2.979 |
113 |
7.681 |
3 |
BBB+ |
A3 |
| GENERAL ELEC CAP CORP MTN BE |
4.625 |
01/07/2021 |
103.480 |
4.169 |
232 |
7.463 |
42 |
AA+ |
Aa2 |
| MERCK & CO INC NEW |
3.875 |
01/15/2021 |
108.931 |
2.779 |
92 |
7.815 |
25 |
AA |
A1 |
| MEDTRONIC INC |
4.125 |
03/15/2021 |
110.615 |
2.840 |
94 |
7.912 |
21 |
AA- |
A1 |
| CAMPBELL SOUP CO |
4.250 |
04/15/2021 |
110.239 |
3.009 |
110 |
7.788 |
1 |
A |
A2 |
| LOWES COS INC |
3.750 |
04/15/2021 |
104.593 |
3.189 |
128 |
7.909 |
-15 |
A |
A1 |
| WAL MART STORES INC |
4.250 |
04/15/2021 |
112.358 |
2.770 |
86 |
7.827 |
3 |
AA |
Aa2 |
| U S BANCORP MTNS BK ENT |
4.125 |
05/24/2021 |
107.559 |
3.209 |
129 |
7.912 |
156 |
A+ |
Aa3 |
| APPLIED MATLS INC |
4.300 |
06/15/2021 |
103.547 |
3.858 |
191 |
7.840 |
-82 |
A- |
A3 |
| DANAHER CORP DEL |
3.900 |
06/23/2021 |
108.604 |
2.881 |
96 |
8.091 |
21 |
A+ |
A2 |
|
3.217 |
6.336 |
104.534 |
2.418 |
121 |
5.477 |
7 |
A+ |
A1 |
Agencies
- With the Treasury rally we are seeing a lot of callable agency bonds called back to the GSE's.
- This means that GSE's will call more seasoned bonds and issue new bonds with lower coupons, which especially on the long-end will mean that it will increase the amount of interest rate risk with the new issues.
- We are focusing on 1x calls and quarterly calls when they offer a significant coupon pick-up to 1x's. American calls are very rich right now as the company that issues these the most is Federal Farm Credit. Since FFCB is the lowest issuer investors are willing to buy a FFCB name with an continuous call at no additional coupon or yield to 1x's because they want the FFCB for diversification.
- With the amount of bonds being called, the new issue market should be busy in the next couple of weeks. Many times when the GSE's are calling bonds and reissuing at lower coupons the settle dates might not be as long as they have in recent in months. However, the amount of time between the announcement date and the settle date depends on the immediate funding needs of the GSE's.
-
|
US Treas Rates vs. US Agency Bullet Rates |
| Term |
US Treas |
US Agency |
Spread |
| 3 Months |
0.0102% |
0.0395% |
0.0293% |
| 6 Months |
0.0305% |
0.0954% |
0.0649% |
| 1 Year |
0.1017% |
0.1973% |
0.0956% |
| 2 Years |
0.2432% |
0.4178% |
0.1746% |
| 3 Years |
0.4146% |
0.6670% |
0.2524% |
| 5 Years |
0.9544% |
1.2641% |
0.3097% |
| 7 Years |
1.4690% |
1.7323% |
0.2633% |
| 10 Years |
1.9919% |
1.8369% |
-0.1550% |
Ronnie Weiner, MFE
Assistant Vice President, PFG - Columbus - Portfolio Management
Senior Trader
The Huntington National Bank
41 South High Street, (HC0520) , Columbus, OH 43287
Phone: 614/480-4669 Fax: 614-480-5467
Email: ronald.weiner@huntington.com
http://www.huntington.com
NOT A DEPOSIT * NOT INSURED BY ANY GOVERNMENT AGENCY * NOT FDIC INSURED * NO BANK GUARANTEE * MAY LOSE VALUE |
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