Archive for September, 2008

Funding Crisis Headlines

Tuesday, September 16th, 2008

*THREE-MONTH LIBOR OIS SPREAD WIDENS TO 116 BASIS POINTS        British Bankers' Association LIBOR Fixings: Sept. 16 (Table)    *EUROPEAN STOCKS EXTEND DROP; OVERNIGHT LIBOR FOR DOLLAR JUMPS Overnight Money-Market Rate for Dollars Doubles, BBA Says      *OVERNIGHT LIBOR FOR DOLLAR RISES TO RECORD, BBA DATA SHOW      *THREE-MONTH EURO LIBOR 4.97% VS 4.97%, ...

Funding Crisis

Tuesday, September 16th, 2008

There is a major funding crisis in progress . Overnight Libor is 6.44 percent and one week libor is 3.90 percent. That is an increase of 138 basis points from yesterday. Two week libor is 100 basis higher and one month libor is 25 basis points higher.There is an incredible ...

Opening Comments September 16 2008

Tuesday, September 16th, 2008

Prices of Treasury coupon securities, on balance, registered small losses in overnight trading but in the context of the historic price advances yesterday the losses are minimal and even meaningless. The yield on the 2 year note has increased by 2 basis points to 1.72 percent. The yield on the ...

Closing Comments September 15 2008

Monday, September 15th, 2008

Prices of Treasury coupon securities exploded higher today as fears of financial Armageddon gripped investors around the globe. The bankruptcy of Lehman Brothers and the melting of equity value at AIG prompted a flight to the safety of government securities.The yield on the 2 year note has tumbled an incredible ...

Spread Update

Monday, September 15th, 2008

As of 10:00 am (New York time), swap spreads remain essentially unchanged from the levels which prevailed when I posted this morning.  Mortgages are underperforming treasuries by about 20/32 versus the five year note. 

Swap Spreads

Monday, September 15th, 2008

Swap spreads are wider by about 12 basis points from 2year through 10 year. I am off to the airport!

Credit Update

Monday, September 15th, 2008

indices: IG10   189     +35 HV10  460    +55 HY10  $90.5  -2.5 brokers:              now MER     300 (closed 475) GS       310 (closed 200) MS       400  (closed 260) LEH 18s  $34.75  other financials: AIG trading upfront...AIG 5yr 23/  +500 Wamu  5yr 40 upfront

Open Thread

Monday, September 15th, 2008

I am still in Chicago and unfortunately will spend most of my day travelling back to the headquarters of Across the Curve on the south shore of Long Island. That will keep me from posting for a large chunk of the day. I will attempt to do some with the ...

Opening Comment

Monday, September 15th, 2008

There is a great song by Bob Dylan entitled "Desolation Row". It contains a line which is quite apropos this morning. Dylan, in the song says, "after the ambulances go,the only sound left is Cinderella sweeping up on Desolation Row". Wall Street is Desolation Row this morning. The ambulances (Fed and ...

JPMorgan on the Federal Reserve Announcement on Sunday Evening

Monday, September 15th, 2008

Here is the JPMorgan summation of the meaning of the Fed announcement on Monday evening: In an effort to support financial markets, the Federal Reserve this evening announced several changes to its liquidity facilities and regulatory policies.  Although it would appear as of writing that the Fed has resisted calls to ...