Repo
Friday, October 17th, 2008Treasury repo is opening once again on the tight side. Traders expect general collateral to open 20 bid 15 offer. Most specials will open under 10 cents and there are around 20 issues which should be zero bid.
Archive for October, 2008
Treasury repo is opening once again on the tight side. Traders expect general collateral to open 20 bid 15 offer. Most specials will open under 10 cents and there are around 20 issues which should be zero bid.
Libor
Friday, October 17th, 2008Libor rates are sliding. Overnight Libor dropped 27 basis points to 1.67 percent. One month Libor rates dropped 18 basis points to 4.28 percent. Three month Libor rates have dropped 8 basis points to 4.42 percent. Rates have declined several days in a row following the coordinated actions of central banks ...
Some (Brief) Opening Comments October 17 2008
Friday, October 17th, 2008Prices of Treasury coupon securities have edged higher in overseas trading. At 625AM the yield on the benchmark 2 year note has dropped 4 basis points to 1.57 percent. The yield on the 5 year note has slipped 4 basis points to 2.80 percent. The yield on the benchmark 10 ...
Some Thursday Evening Reading
Thursday, October 16th, 2008The FT runs a story about the unintended consequences of the FDIC backing of bank debt: higher mortgage rates. I wrote earlier evening that an analyst at a substantial dealer and friend of this blog suggested to me that the Treasury would probably tighten the gurantee of the GSE to level the ...
Closing Comments 10/16/2008
Thursday, October 16th, 2008Prices of Treasury coupon securities posted modest losses today and the recovery in the stock market motivated some reduction in risk premium as the yield curve flattened a bit. The yield on the 2 year note climbed 6 basis points to 1.62 percent. The yield on the 5 year note ...
Swaps and MBS
Thursday, October 16th, 2008Swap spreads are tighter by 5 basis points in the 2 year sector, unchanged in the 5 year sector and about one basis point tighter in the 10 year sector.Mortgages finished about unchanged versus swaps.
Agency Market
Thursday, October 16th, 2008Agency spreads were unchanged in the 2 year sector and 5 year sector and about 5 basis points tighter in the 10 year sector.There has been significant weakness in those spreads lately as investors grapple with the value of the FDIC backing of newly issued back debt. Some wonder which ...
Corporate Bonds
Thursday, October 16th, 2008Corporate bonds as measured by the yardstick of the IG 11 are 12 basis points or so cheaper than levels which prevailed at the opening this morning. There is a bit of a residual reaction to the steep stock market decline of yesterday and the early weakness this morning. I ...
Repo
Thursday, October 16th, 2008The repo market for Treasury securities continues to be very tight. Someone was kind enough to forward to me a copy of a message that a repo trader had distributed with some market color. All that follows paraphrases that note. There were twenty five Treasury issues bid at zero in repo ...
IG 11
Thursday, October 16th, 2008IG 11 is opening with a mid market of 191 1/2 . The last quote I had yesterday afternoon was a mid market of 189.