Archive for November, 2008

JPMorgan Predicts Zero Funds Target

Thursday, November 20th, 2008

JPMorgan economists are predicting that the Fed will reduce rated by 50 basis points at each of the next two meetings. That would bring the target to zero. Here is the note from JPM: We now look for a 50bp cut in the target fed funds rate at the December 16 ...

Closing Comments November 19 2008

Wednesday, November 19th, 2008

Prices of Treasury coupon securities posted gains today but the extent of the gains depended on the point on the yield curve at which the security resided. The yield on the 2 year note slipped 6 basis points to close at1.07 percent. The yield on the 3 year note dropped ...

Agency Market

Wednesday, November 19th, 2008

I had not watched the agency market today but it is undergoing an historic meltdown of its own. (I should sponsor a contest in which the winner supplies me with a synonym for meltdown which I am overusing. First prize is a free subscription to Acrossthecurve.com.) The 2 year benchmark ...

Junk Via Bloomberg

Wednesday, November 19th, 2008

By Gabrielle Coppola and Caroline Salas                               Nov. 19 (Bloomberg) -- Yields on speculative-grade          corporate bonds surpassed 20 percent for the first time in at    least two decades as a declining economy increased the risk of  default.        ...

Corporate Bonds

Wednesday, November 19th, 2008

The corporate bond market had experienced a renaissance or revival of sorts over the last several weeks. The implosion in the CMBS market as well as the persistent weakness in the equity market has drained that sanguine attitude and substituted the melancholic mindset which had prevailed previously.Participants report that there ...

CMBS: Still Melting

Wednesday, November 19th, 2008

The implosion of the CMBS market continues today. AAA tranches of the CMBX are 100 basis points wider. Cash bonds are 200 basis points wider.As an aside, I lack proficiency in the world of CMBS so if someone sees an error please jump in and correct me. Anyway, the cash AAA ...

Berkshire CDS

Wednesday, November 19th, 2008

I am back in the trenches. While I was away, CDS on Uncle Warren's baby traded in the mid 500s. Someone thought 560 but was not 100 percent certain. The last quote reflects alot of tightening as they are 450/500.  IG 11 is now 237 1/2 /239 1/2 after opening 232/235.

CMBS and Administrative Note

Wednesday, November 19th, 2008

CMBS AAAs are opening widerby 40 basis points. So the bleeding continues.  I have personal business and will not blog until around noon. It is currently about 900AM. The time on the blog is incorrect and I will have the IT Department correct that.

IG 11

Wednesday, November 19th, 2008

IG 11 opening about 5 wider at 232/235.

Libor Opening

Wednesday, November 19th, 2008

Libor US$ Fixing                  11/19        11/18      Change          OVERNIGHT        .43750       .40000     .03750 1 WEEK           .91875       .94375    -.02500 2 WEEKS         1.12500      1.13750    -.01250 1 MONTH         1.41375  ...