Archive for October, 2008

Credit Suisss on the Chicago PMI

Friday, October 31st, 2008

Here is a note that economists at Credit Suisse distributed on the Chicago PMI. In their opinion it is worse than scary. CHICAGO PMI 37.8 Oct vs 48.0 consensus, 56.7 Sep   New Orders 32.5 Oct vs 53.9 Sep   Production 30.9 Oct vs 71.4 Sep   Employment 41.5 Oct vs 49.1 Sep   Inventories ...


Friday, October 31st, 2008

Mortgages are keeping pace with swaps and are three basis points to four basis points tighter on the day. On balance, there has been better buying and the market should maintain its firm tone as the index buyers emerge for month end. One dealer writes that FNMA 5s have been in ...

Kidder Reports

Friday, October 31st, 2008

This is an interesting website. It engages in some blog aggregation and some news gathering from other sources. But it also has a treasure trove of historical relationships which I do not think that you will find anywhere else for free. Give it a review as I think it is worthwhile ...

Money Markets

Friday, October 31st, 2008

My money market correspondent reports that the short term money markets are awash in a mountainous sea of liquidity. The target funds rate seems "symbolic" as the central banks push to flood the system with dollar liquidity has forced the funds rate down to 25 basis points. He notes that there ...


Friday, October 31st, 2008

Swaps are tighter by 4 1/2 basis points in the 2 year sector at 112 basis points. Five year spreads are tighter by 5 at 100 basis points but most of that is the roll on the new 5 year. Ten year spreads are a basis point tighter at 1 basis ...


Friday, October 31st, 2008

Libor continues to plunge. Overnight Libor set this morning at 41 basis points versus 73 basis points yesterday. Three month Libor declined to 3.03 from 3.19 yesterday.


Friday, October 31st, 2008

San Francisco Federal Reserve Bank President Yellen opines that if the economy remains weak that the FOMC would move Federal Funds target closer to zero. She sees adverse feedback loop at work and wishes to avoid the Japanes experience.

Some Opening Comments October 31 2008

Friday, October 31st, 2008

Prices of Treasury coupon securities rebounded in overnight trading as the market breathed a sigh of relief that this initial round of supply from the Treasury has been tucked away by dealers and investors. Monetary ease and a stock market decline in Japan helped, too. In Europe, inflation slowed to ...

Administrative Note

Thursday, October 30th, 2008

I have some personal business to attend to and will not blog until later in the day.

Closing Comments October 29 2008

Wednesday, October 29th, 2008

Prices of Treasury coupon securities moved in bifurcated fashion today as the carrot of a one percent funds rate seduced buyers into the front end of the market while the long end of the bond curve languished on supply fears and continued deleveraging by hedge funds.I want to take a ...