Archive for September, 2008
Thursday, September 18th, 2008
The IG 10 is opening around 185/190. I believe that it closed around 200 last night.
Reader Fullcarry pointed out in a comment that GC Treasury paper is trading at 90 basis points this morning. Yesterday morning it was changing hands at 25 basis points. So there is at least a token ...
Posted in Uncategorized | 16 Comments »
Thursday, September 18th, 2008
Prices of Treasury coupon securities have tumbled in overseas trading as the concerted efforts of central banks around the globe to reduce tensions in the frazzled money markets have diminished the safe haven bid for Treasury debt.
The yield on the benchmark 2 year note has jumped 11 basis points to ...
Posted in Uncategorized | Comments Off on Opening Comments September 18 2008
Thursday, September 18th, 2008
Libor settings for today have just been posted. Overnight Libor has tumbled to 3.84 percent this morning from 5.00 percent yesterday. That is the good news.
One month Libor has jumped to 3.18 percent from 3.02 percent yesterday.
Three month Libor has climbed to 3.20 percent today from 3.06 percent yesterday.
A money market ...
Posted in Uncategorized | 6 Comments »
Thursday, September 18th, 2008
The Bank of England attempted to stage a "dollar" party and only about 35 percent of the invitees attended. The BOE offered $40 billion of dollar repo and only received bids for 35 percent of that amount. This intervention by the BOE was an application of the emergency funding effort ...
Posted in Uncategorized | Comments Off on Less Than Enthusiastic Response
Thursday, September 18th, 2008
Central Banks around the globe have banded together in a coordinated effort to provide substantial liquidity to the dollar markets to alleviate the severe funding pressures which have engulfed the short term money markets the last several days. The increase in funding will total $180 billion.
The Federal Reserve has authorized ...
Posted in Uncategorized | Comments Off on Coordination
Wednesday, September 17th, 2008
Prices of Treasury coupon securities marched higher today as fears of systemic risk engulfed the markets. The Lehman bankruptcy caused the money market fund The Reserve Fund to break the buck and that sparked a massive flight to the short end of the Treasury market. (I will do bills first since there ...
Posted in Uncategorized | 14 Comments »
Wednesday, September 17th, 2008
Agency spreads have widened rather dramatically versus benchmark Treasury debt as fear grips even a market which for all intents and purposes carries the same risk as Treasury debt. The 2 year agency sector has widened 16 basis points versus benchmark Treasury paper.In the 5 year sector paper is wider by ...
Posted in Uncategorized | 4 Comments »
Wednesday, September 17th, 2008
Via Bloomberg:
Treasury Says Will Issue Debt to Help Fed Manage Balance Sheet
2008-09-17 14:03:13.330 GMT
By John Brinsley and Rebecca Christie
Sept. 17 (Bloomberg) -- The U.S. Treasury said it will sell
bills to allow the Federal Reserve to expand its balance sheet,
a day after the government agreed to take over American
International Group ...
Posted in Uncategorized | 10 Comments »
Wednesday, September 17th, 2008
Morgan Stanley CDS traded most of the day yesterday around 750. Following the earnings announcement they tightened late in the day to about 705. They are currently around 925 basis points.
Posted in Uncategorized | 3 Comments »
Wednesday, September 17th, 2008
Spreads blowing out. Two year spreads are wider by 20 basis points, 5 year spreads are wider by 10 basis points, and 6 basis points in 10 year sector.
The three month bill trades at 20 basis points which is lower by 50 basis points on the day.
Posted in Uncategorized | 9 Comments »