Archive for December, 2008
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 ...
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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 $500 billion by the end of June ...
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Wednesday, December 31st, 2008
Prices of Treasury coupon securities are, on balance, posting modest losses across the curve as the most tumultuous year in the history of the fixed income draws to a close.The yield on the benchmark 2 year note is unchanged at 0.72 percent. The yield on the 3 year note has ...
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Wednesday, December 31st, 2008
Libor US$ 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
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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 ...
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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 ...
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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 ...
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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 ...
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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.
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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 ...
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