Archive for October, 2008

Swap Spreads and Agency Spreads

Wednesday, October 22nd, 2008

Swap spreads are tighter by 2 1/2 basis points in the 2 year sector with 2 year swap spreads at 101 1/2. Five year spreads have tightened a basis point to 92 basis points. Ten year spreads are unchanged at 38 1/2. Thirty year spreads are unchanged at about zero. ...

MBS

Wednesday, October 22nd, 2008

Mortgages are opening 2 ticks wider to both to 5s and 10s. There has been some hedge fund buying and some originator selling.

Repo

Wednesday, October 22nd, 2008

General Collateral repo opened this morning around the 1 percent level which is right on top of where funds had been expected to open. That would represent a return to normality and a reflection of the glut of bills sloshing around the system.

Swap Spread Tightening

Wednesday, October 22nd, 2008

Here is an excerpt from a research note on the sharp contraction in swap spreads. The note relates that the contraction in spreads to increased Treasury issuance and the beneficial effect of the improved funding levels which have resulted from the liquidity injections by central banks around the globe. The ...

IG 11

Wednesday, October 22nd, 2008

The IG 11 is opening 194 ½ / 196 ½. In late trading yesterday a dealer quoted it 188/190.

Libor

Wednesday, October 22nd, 2008

                 10/22        10/21      Change                      OVERNIGHT       1.11875      1.28125    -.16250 1 WEEK          2.16875      2.43750    -.26875 2 WEEKS         2.51875      2.76875    -.25000 1 MONTH         3.27500      ...

IMF Gloomy on Europe

Wednesday, October 22nd, 2008

This is a report from the IMF which predicts tough economic sledding in Europe in the near term. I need to see if there is a larger versionof this report because it contains an interesting note which states that the new obligations of the governments to save the financial system ...

Opening Comments October 22 2008

Wednesday, October 22nd, 2008

Prices of Treasury coupon securities surged in overnight trading as pandemic equity market weakness drove investors to the safety of US Government bonds. In Asia the Nikkei slumped 6.8 percent. The Hang Seng fell over 5 percent as did the Kospi in South Korea. In Australia the widely followed index ...

Lehman CDS

Tuesday, October 21st, 2008

Several readers asked about the Lehman CDS settlement. For the doomsayers (me?) Alea blog reports that it went off without a hitch. You can read the full story at Alea.

Some Closing Thoughts October 21 2008

Tuesday, October 21st, 2008

Prices of Treasury coupon securities surged today as a confluence of factors motivated buyers. Here is a list of reasons which I present in no particular order.There was a surge of MBS buying yesterday and that sparked some duration demand from the negative convexity crowd. Stocks have tumbled most of ...