Archive for November, 2008
Thursday, November 6th, 2008
The Bank of England unexpectedly slashed rates by 150 basis points. Here is a link to the statement which accompanied the action and which is an unusually forthright explanation of the gravity of the current situation.
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Thursday, November 6th, 2008
*THREE-MONTH DOLLAR LIBOR 2.39% VERSUS 2.51%, BBA SAYS
*OVERNIGHT DOLLAR LIBOR 0.33% VERSUS 0.32%, BBA SAYS
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Wednesday, November 5th, 2008
Swaps spreads narrowed sharply today as the reality of Treasury supply and convexity needs of servicers push spreads tighter. Two year sector spreads are tighter by 4 1/2 basis points at 106 1/4 . Five year spreads are tighter by 6 1/2 at 100 basis points. Ten year spreads have ...
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Wednesday, November 5th, 2008
Prices of Treasury coupon securities posted modest gains today in spite of a refunding announcement which detailed the enormous appetite of the US treasury to issue debt. Beginning with the refunding auctions they will embark on an ambitious fund raising program.The Treasury announced a refunding comprised of $25 billion 3 ...
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Wednesday, November 5th, 2008
Mortgages are about 3/8 point better to 10 years. There has been money manager,servicer and hot money buying.The November/December rolls have shown no improvement even with additional drop in Libor. The roll at current levels implies funding of 3.25 percent.
Swap spreads are tighter by 7 basis points in the 2year ...
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Wednesday, November 5th, 2008
Here are the thoughts of economists at HSBC on the ISM report this morning:
US Oct ISM Non-Manufacturing - Impacted By Financial Turmoil
* ISM non-manufacturing falls to 44.4 (consensus 47) from 50.2
* Components weaker across the board with activity (44.2 from
52.1), new orders (44 from 50.8), and employment (41.5 ...
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Wednesday, November 5th, 2008
Libor US$ Fixing
11/05 11/04 Change
OVERNIGHT .32250 .37500 -.05250
1 WEEK .93625 .98125 -.04500
2 WEEKS 1.23750 1.32500 -.08750
1 MONTH 1.95625 2.17750 -.22125
2 MONTH 2.41250 2.60625 -.19375
3 MONTH 2.50625 2.70625 -.20000
4 MONTH 2.62500 2.79250 -.16750
5 MONTH 2.72375 2.87375 -.15000
6 MONTH 2.82375 2.96875 -.14500
9 MONTH 2.90250 3.04000 -.13750
12 MONTH 2.96875 3.10500 -.13625
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Wednesday, November 5th, 2008
The aforementioned IG 11 is opening about 1 1/2 wider at 183. One dealer whose commentary I receive but cant publish expects a push down to the 175 level on short covering. At that level he would expect spreads to move wider again.
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Wednesday, November 5th, 2008
Prices of Treasury coupon securities declined in overnight trading as the euphoria which drove the market yesterday subsides in favor of a sober assessment of the huge borrowing needs of the Treasury. The appetite of the Treasury is gargantuan and in an environment in which risk is shunned dealers will ...
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Wednesday, November 5th, 2008
*THREE-MONTH DOLLAR LIBOR FELL 20 BP, TO LOWEST SINCE DEC. 2004
*LIBOR-OIS SPREAD NARROWS 21 BASIS POINTS TO 192 BASIS POINTS
*OVERNIGHT DOLLAR LIBOR 0.32% VERSUS 0.38%, BBA SAYS
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