Archive for October, 2008
Monday, October 20th, 2008
Prices of Treasury coupon securities have retreated as equity markets across the globe have posted solid gains. Asian markets responded to a $130 billion rescue package cobbled together by the government of South Korea and in Europe the Netherlands announced it will provide $13 billion for struggling ING. Against that ...
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Saturday, October 18th, 2008
John Mauldin is a hedge fund manager who writes a weekly email about the various markets which I have been reading for several years. He writes cogently and with great insight about the macroeconomic events which have shaped our time. I will give a link to his writings for this ...
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Friday, October 17th, 2008
Fed Measures in Addition to Lowering the Funds Rate Since August 2007
August 17 2007: Spread between discount and funds rate cut to 50 bps from 100bps. Max term extended to 30 days from daily.
August 21 2007: Fee charged primary dealers when they borrow from the Securities Lending Program lowered.
August 24 ...
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Friday, October 17th, 2008
Prices of Treasury coupon securities exhibited some rather bifurcated price action and the belly of the curve was the beneficiary. The yield on the benchmark 2 year note was unchanged at 1.61 percent. The yield on the 5 year note dropped 2 basis points to 2.82 percent. The yield on ...
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Friday, October 17th, 2008
Agency spreads were unchanged today versus Treasury paper. One trader noted that the market remains lethargic and is likely to stay that way until someone in authority offers some clarity on the issue of the less robust guarantee that the GSEs have when that guarantee is compared to the explicit ...
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Friday, October 17th, 2008
The mood in the corporate bond market underwent the same transformation which has occurred in the money market sector. One veteran salesman and friend of the blog reported that his firm was observing inquiry from end users in the 6 year and 7 year sector. The curve is steep between ...
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Friday, October 17th, 2008
There has been better buying today by real money clients. Mortgages are 5 ticks to 6 ticks better than swaps.Dollar rolls are improving and the implied repo rate on the roll is about 3.50 percent now. As the cost of funding slips, mortgages will outperform.
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Friday, October 17th, 2008
The money markets of which I have often written here are undergoing a process of rehabilitation and repair. My correspondent in this sector has begun to see a small wave of investor money flowing into the Commercial paper market. He said that beginning late yesterday he has seen three large ...
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Friday, October 17th, 2008
The IG 11 is opening about 6 wider at 200/202.
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Friday, October 17th, 2008
I have spoken regularly of the illiquidity in all of the markets that I cover here.
Greenwich Capital follows the 10 day moving average of Treasury trading volumes. The current period is one of the weakest in the last year and the current weakness has only been exceeded at Christmas and ...
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