Archive for December, 2008

Thank You

Wednesday, December 31st, 2008

Today marks the completion of one year of blogging  at Across the Curve. I wish I could say that I knew that the economic landscape would prove as salutary as it did for a blog about the arcane world of investment grade fixed income products. I am not that prescient but ...

MBS

Wednesday, December 31st, 2008

Markets are quiet but I have received one note which said that MBS are about 1/2 point tighter Treasuries. Participants in that sector are grappling with the details of the soon to be real Federal Reserve purchases. They announced that they will wave in $500 billion by the end of June ...

Some (Brief) Opening Comments

Wednesday, December 31st, 2008

Prices of Treasury coupon securities are, on balance, posting modest losses across the curve as the most tumultuous year in the history of the fixed income draws to a close.The yield on the benchmark 2 year note is unchanged at 0.72 percent. The yield on the 3 year note has ...

Libor on the Last Day

Wednesday, December 31st, 2008

Libor US$ Fixing 12/31 12/30 Change OVERNIGHT 0.13500 0.13875 -0.00375 1 WEEK 0.38500 0.40063 -0.01563 2 WEEKS 0.39875 0.42375 -0.02500 1 MONTH 0.43625 0.44750 -0.01125 2 MONTH 1.10375 1.11500 -0.01125 3 MONTH 1.42500 1.43500 -0.01000 4 MONTH 1.55625 1.58125 -0.02500 5 MONTH 1.65250 1.67750 -0.02500 6 MONTH 1.75000 1.77500 -0.02500 9 MONTH 1.89750 1.92125 -0.02375 12 MONTH 2.00375 2.02500 -0.02125

Federal Reserve MBS Purchases

Tuesday, December 30th, 2008

The Federal Reserve announced the asset managers who will guide the Fed's purchase of $500 billion of MBS. The purchases will begin early in January and will conclude by the end of June.  Here is a link to the FAQ on the topic at the Fed website. There is one humorous ...

Closing Comments December 30 2008

Tuesday, December 30th, 2008

Prices of Treasury coupon securities registered small mixed changes in a lackadaisical and lackluster trading session. Economic data was supportive of half century low yield levels. Housing prices continued their slide and consumer confidence slumped. The Chicago Purchasing manager Survey was better than expected but remains deeply in contractionary territory.There ...

Swaps and Agencies

Tuesday, December 30th, 2008

Agency spreads are unchanged to 2 basis points wider in the 5 year and 10 year sectors. The level of trading activity is very light.Two year swap spreads are 1 ½ basis points wider at 69 ½ basis points. Five year spreads are ¾ basis points tighter at 61 ½ ...

Corporate Bonds

Tuesday, December 30th, 2008

Corporate bonds are firmer once again as the march of buyers continues. Trading volumes remain light as many are in year end mode. Participants uniformly report that the flow of business is skewed to the buy side and selling is infrequent.As I mentioned yesterday, some participants expect a heavy slate ...

MBS

Tuesday, December 30th, 2008

Information is scant today but the one report I have received om MBS had them 7 ticks wider to Treasury debt. Buyers were scarce and light volume selling by originators pushed spreads wider.

JPMorgan on the Consumer Confidence Data

Tuesday, December 30th, 2008

Here is the note that JPMorgan economists sent to clients regarding the latest consumer confidence report. JPMorgan's assessment: gloomy.  The Conference Board consumer confidence index fell to a new all-time    low of 38.0 in December, just surpassing the previous all-time low of    38.8 that was set in October. The labor market details were ...