Archive for October, 2008

Money Market: Waiting for Godot

Thursday, October 16th, 2008

My money market correspondent cites some positive signs in the market but notes that he has not observed "any consequential investor commitment" to any sector of the market beyond the overnight market. He applauds the various governmental initiatives here and abroad. The Irish government put the finishing touches on their guarantee ...

Libor Opening

Thursday, October 16th, 2008

                                                                           *OVERNIGHT DOLLAR LIBOR 1.94% VERSUS 2.14%, BBA SAYS             *ONE-WEEK DOLLAR LIBOR 3.45% VERSUS 3.83%, BBA SAYS         *THREE-MONTH DOLLAR LIBOR 4.50% VERSUS 4.55%, BBA SAYS

some Opening Comments October 16 2008

Thursday, October 16th, 2008

Prices of Treasury coupon securities are slumping in overseas trading in response to a rebound in US equities futures which indicates at this time (516AM at the corporate headquarters of Across the Curve) that the death spiral of the stock market has been temporarily interrupted. Equity markets elsewhere on the ...

Closing Comments for October 15 2008

Wednesday, October 15th, 2008

Prices of Treasury coupon securities raced higher and the yield curve inched towards perpendicularity as weak economic numbers overwhelmed the day of stability offered by the Treasury rescue package. The yield on the 2 year note tumbled 24 basis points to 1.57 percent. The yield on the 5 year note ...

Corporate Bonds

Wednesday, October 15th, 2008

The corporate bond market remains gridlocked with very little trading. Liquidity is impaired and bonds trade by appointment. One salesman seeking a glimmer of optimism noted that it is better than last week. Last week participants were waiting for the bankruptcy of a large financial firm whereas today the market ...

Swaps and MBS

Wednesday, October 15th, 2008

Mortgages experienced a wild ride today. There was substantial selling early in the day by servicers and other duration players. At the worst levels of the day mortgages lagged swaps by about 16/32. At the worst levels of the day the nominal spread on mortgages was approaching the widest levels ...

Agency Spreads

Wednesday, October 15th, 2008

Agency spreads widened significantly today. Spreads in the 2 year sector are wider by 25 basis points. Five year sector spreads are wider by 14 basis points and ten year sector benchmarks are wider by 11 basis points to 12 basis points.The movement versus swaps has been dramatic. The spread ...

Alea

Wednesday, October 15th, 2008

I added the Alea Blog to the blogroll yesterday. I think it is an excellent site and it is a great companion/complement to this credit market website. Give it a try as it is worthwhile reading.

HSBC on Retail Sales and Empire Survey

Wednesday, October 15th, 2008

Some comments from economist Ian Morris of HSBC on the retail sales report and the Empire Survey of this morning. -----Inline Attachment Follows----- if (typeof YAHOO == "undefined") { var YAHOO = {}; } YAHOO.Shortcuts = YAHOO.Shortcuts || {}; YAHOO.Shortcuts.hasSensitiveText = false; YAHOO.Shortcuts.sensitivityType = []; YAHOO.Shortcuts.doUlt ...

Rumour

Wednesday, October 15th, 2008

I used the second  "u" for UK readers.  There is a rumor floating around the Treasury market that the Treasury will flood the street with supply to alleviate some fail situations. The rumored maturities are August 2013, May 2014 and May 2018.