Libor Open
Friday, October 24th, 200810/24 10/23 Change OVERNIGHT 1.28125 1.20625 .07500 1 WEEK 2.16250 2.19750 -.03500 2 WEEKS 2.48500 2.55375 -.06875 1 MONTH 3.24000 3.25875 ...
Archive for October, 2008
10/24 10/23 Change OVERNIGHT 1.28125 1.20625 .07500 1 WEEK 2.16250 2.19750 -.03500 2 WEEKS 2.48500 2.55375 -.06875 1 MONTH 3.24000 3.25875 ...
Long Bond
Friday, October 24th, 2008As a matter of historical record it is noteworthy that the yield on the Long Bond trades with a yield of 3.88 percent this morning. In one of the previous iterations of this crisis it traded to a 3.90 yield. So the level we touched this morning is certainly the ...
Opening Comments October 24 2008
Friday, October 24th, 2008Prices of Treasury coupon securities are surging in overnight trading as fears of a global recession spark a meltdown in global equity markets and a massive deleveraging trade. The moves in the various financial markets are stunning and frightening. For a reference point I am composing this piece at 600AM ...
Closing Comments October 23 2008
Thursday, October 23rd, 2008Prices of Treasury coupon securities posted bifurcated results today with shorter maturities losing ground while longer dated maturities were unchanged or sharply higher in price.I think that the by word of the day is illiquidity and it remains a constant refrain from the traders with whom I speak. The 30 year ...
There Goes the Bonus Pool at 33 Liberty
Thursday, October 23rd, 2008In the batch of data that the Fed releases each week on its formerly prisitine balance sheet I note that they have written down the value of the Maiden Lane (Bear Sterans assets)to $26.802 billion from $29.526 billion the previous week. That is a decline in fair value of about ...
Agency Spreads
Thursday, October 23rd, 2008Agency spreads took a rollercoaster ride today as they tightened on some bogus comments by FHFA head honcho Lockhart, who made statements which some traders interpreted as giving explicit protection to FNMA and Freddie Mac. His less than circumspect phraseology caused agency spreads across the curve to tighten by 10 ...
Corporate Bonds
Thursday, October 23rd, 2008Fear Strikes Out was a mid 1950s vintage movie which starred Anthony Perkins and Karl Malden and it chronicles the story of baseball player Jimmy Pearsall who conquered his demons and achieved success in baseball. I mention that title because fear has not struck out in the bond markets but ...
Taiwan Insurance Regulator Says Nyet to MBS
Thursday, October 23rd, 2008A friend of the blog passed this along while I was out taking care of some personal business. The sender said in email that "this is a big deal". I would say it is a very big deal.
Derivative Dribble
Thursday, October 23rd, 2008This is a very interesting blog which I found while browsing over at the Alea Blog. So a thanks to that site for pointing this out. The lead post is an article which attempts to demystify CDS. It is a worthwhile read if you are like me and think that the ...
FNMA and Freddie Mac, Explicitly
Thursday, October 23rd, 2008FHFA head honcho Lockhart is making noises again today about the status of FNMA and Freddie Mac debt. I will post the Reuters story at the bottom of this piece but he uses the phrase" explicit guarantee" in the story. But I do not think that he can issue such ...