November Bwic Activity & Commentary

Dec. 2, 2010

CMBS and Non-Agency sectors saw significant gross volume drop offs in November vs October. Most other sectors were close to unchanged. A big exception was Autos, whose volumes quadrupled and DNT % actually decreased. We indexed 754 bid lists in November–about 10% more than the previous month. Liquidity seekers were better satisfied this month with DNT % generally decreasing. Liquidity in October was repeatedly strained by the large number of investors taking a few chips off the table; a phenomenon we did not observe this month. Charts are attached showing aggregate BWIC activity as well as sector break downs. Also, a new chart appears showing bid list activity by weekday and time of day. The weekday chart has few surprises with Friday being the lightest day. Wednesday is second lightest–perhaps there is some excess liquidity to be taken advantage of there. The heaviest flow day was Tuesday. With respect to BWIC time of day activity: Get to work by 10am, be back from lunch by 1pm, and leave for the day at 4pm. Old time banker’s hours still persist in some form.

Full Report Angry face

1-Click Bloomberg Yield Tables

Nov. 26, 2010

The Actions area of the bid list view page and other similar pages has been revamped. New features include the ability to create a Bloomberg Yield Table with one-click. See image below for further details.

1-Click Bloomberg Yield Table creation

The Yield Table icon can also populate an entire BC35 screen for TBA Agency hybrids. Follow the link below for an example of this: (subscription required)

Agency Arms Added To Most Actives Page

Nov. 17, 2010

Most trading in the Agency ARM space takes place before a pool has been finalized and a cusip has been assigned. Thus, defining uniqueness in this sector is a bit of a challenge. We chose to combine ticker, coupon and mtr to create a unique identifier for a hybrid arm. Check out the page to see where the lion’s share of trading is taking place in Agency ARMs.
To see what securities are most active across all sectors, go to:

New Feature Update (Time Stamps And Rate View)

Nov. 8, 2010

List 101101P -- showing bid time and rates on Date Date

Arrow A: Bid List time stamp is now hyperlinked. Click on it and you will see all bid lists occurring at the same time.
Arrow B: Rate Snapshot. Quick look at where rates were on trade date. Available on lists that are not the current trade date.
Link for list in screenshot:

Eurodollar Reports Going Subscription Only

Oct. 28, 2010

As of Monday, November 1st, all Eurodollar reports both end-of-day (currently free) and intra-day will be going subscription only.

Contact us at or +1 646-837-8848 to subscribe, or get set up with a two week free trial. Subscription rates per user are $295/month for 6 months, and $245/month for one year. Lower per user rates are obtainable via site license.

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