Archive for October, 2008
Thursday, October 9th, 2008
Prices of Treasury coupon securities plummeted today as the weight of supply and anticipated supply weighed on the market. Deleveraging continued and the lack of balance sheet motivated selling. Traders report that many relative value strategies have blown up and the volatile nature of the market place has forced many ...
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Thursday, October 9th, 2008
The taxpayers recouped some of the gargantuan losses they suffered yesterday with the hasty auction of reopened 10 year paper which now resides in the 6 year part of the curve.
The Treasury sold $10 billion February 2015s and that issue stopped 4.2 basis points through screen levels.
Mr Paulson also sold $10 ...
Posted in Uncategorized | 3 Comments »
Thursday, October 9th, 2008
Mortgages are about 8 ticks cheaper to Treasury paper. That market is troubled today by light volume, high funding, illiquidity, and the flatter yield curve.
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Thursday, October 9th, 2008
The events in the long end of the Treasury market and the swap market have been both dramatic and interesting the last day or so. The dramatic event is the flattening of the 10 year/30 curve in the swap market and its unintended consequences in the Treasury market. The flattening ...
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Thursday, October 9th, 2008
The IG 11 is opening unchanged at 176 1/2.
Posted in Uncategorized | Comments Off on IG 11
Thursday, October 9th, 2008
LIBOR-OIS SPREAD WIDENS 25 BASIS POINTS TO 346 BASIS POINTS *THREE-MONTH DOLLAR LIBOR 4.75% VERSUS 4.52%, BBA SAYS
*OVERNIGHT LIBOR FOR EURO 3.94% VS 4.35%, BBA SAYS
*OVERNIGHT DOLLAR LIBOR 5.09% VERSUS 5.38%, BBA SAYS
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Thursday, October 9th, 2008
Prices of Treasury securities registered bifurcated results in the overnight trading session. Those results indicate a significant reduction in the fear factor as the yield curve has shifted significantly in the process.The yield on the 2 year note has jumped by 18 basis points to 1.72 percent. The yield on ...
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Wednesday, October 8th, 2008
Prices of Treasury coupon securities gyrated about today and moved sharply lower as Hank Paulson and his minions flooded the belly of the Treasury curve with securities. (I wrote about this in an earlier piece entitled "Is Doctor Heimlich in the Room".) The Treasury chose to announce the reopening of ...
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Wednesday, October 8th, 2008
Agency spreads were relatively stable today as traders enjoyed the circus in the Treasury market. Spreads in the 2 year sector are wider by a basis point. Five year spreads are unchanged and ten year spreads are a basis point tighter.Freddie Mac will price a 2 year tomorrow and that ...
Posted in Uncategorized | Comments Off on Agency Market
Wednesday, October 8th, 2008
The Treasury startled the markets with an announcement of new supply in the so called belly of the Treasury curve. The specter of supply which had been widely discussed just became cold hard reality.The Treasury is reopening four issues which had been previously issued as 10 year notes and which ...
Posted in Uncategorized | 27 Comments »