European Money Markets
Tuesday, October 21st, 2008European money market rates have dropped to levels last observed prior to the Lehman bankruptcy.
Archive for October, 2008
European money market rates have dropped to levels last observed prior to the Lehman bankruptcy.
Some Libor History
Tuesday, October 21st, 2008This was in a longer note from UBS and I thought that it was worth sharing as it gives a historical perspective on the relationship between Fed Funds and three month Libor. Once again this is not from your genial author but is from a research note from UBS: Interbank credit ...
“Disappointment”
Monday, October 20th, 2008That is how my money market trader contact described the action in his market today. There was virtually no follow through buying from Friday nor did the sanguine view of other spread sectors leak into his market. I had mentioned on Friday that he had observed some chunky flow in which ...
Some Closing Comments October 20 2008
Monday, October 20th, 2008Prices or Treasury coupon securities posted bifurcated results today as the return to normalcy continued with a vengeance. I have chronicled in other postings the improvement in the corporate bond market as well as in mortgages and agencies. The price action in the Treasury market echoes those results.One bill trader ...
Swaps and MBS
Monday, October 20th, 2008Mortgages have tightened about 22/32 to swaps. There has been chunky buying throughout the day by money managers and hedge funds. One story reported that a money manger with a littoral locus was a big buyer of mortgages and led the charge to tighter spreads. The improvement in the financing ...
Corporate Bonds
Monday, October 20th, 2008Corporate bond spreads as measured by the IG 11 are about 4 basis points tighter. The last quote I received on that index is around 192 basis points in the middle of a 2 basis point spread.The cash market has a viable feel about it and there is actually some ...
Agency Agony
Monday, October 20th, 2008The agency market continues to be a vale of tears in search of buyers. Agency spreads are wider today despite improvement in other spread markets and improvement in funding markets. FNMA had scheduled an announcement of a benchmark note but decided to pass on the opportunity. That was a magnanimous ...
Some Credit Stuff
Monday, October 20th, 2008Swap spreads are collapsing along with Libor. Two year swap spreads are trading at 109 3/4 basis points which is about 11 1/2 basis points tighter on the day.At their worst (widest levels) about a month ago they traded in the mid 160s. Five year swap spreads are at 100 and ...
Full Libor Posting
Monday, October 20th, 200810/20 10/17 Change OVERNIGHT 1.51250 1.66875 -.15625 1 WEEK 2.71875 3.15625 -.43750 2 WEEKS 3.08125 3.49375 -.41250 1 MONTH 3.75125 ...
Libor Plummets
Monday, October 20th, 2008Three month libor has plummeted 36 basis points to 4.02 percent this morning. My money market correspondent thinks that by the time the week is over three month Libor will have posted declines of about 100 basis points.