IG 11
Tuesday, December 16th, 2008IG 11 is opening 7 tighter at 255/258.
Archive for December, 2008
Libor Chart
Tuesday, December 16th, 2008Libor US$ Fixing 12/16 12/15 Change OVERNIGHT .15938 .11938 0.04000 1 WEEK .32500 .32000 0.00500 2 WEEKS .95250 .45375 0.49875 1 MONTH .88375 .96125 -0.07750 2 MONTH 1.56750 1.61375 -0.04625 3 MONTH 1.84750 1.87125 -0.02375 4 MONTH 1.95750 1.99250 -0.03500 5 MONTH 2.07750 2.12375 -0.04625 6 MONTH 2.16750 2.21625 -0.04875 9 MONTH 2.29250 2.33500 -0.04250 12 MONTH 2.36750 2.43000 -0.06250
Opening Comments December 16 2008
Tuesday, December 16th, 2008Prices of Treasury coupon securities edged lower to another set of historic low yields in overnight trading as market participants reflect on the possibility that the Federal Reserve will announce today that it will use its balance sheet as the blunt force instrument of monetary policy. Under this plan the ...
Closing Comments December 15 2008
Monday, December 15th, 2008Prices of Treasury coupon securities edged lower in very quiet trading today. Yields are flirting with record low yields but that has not disabused players from extending out the curve. As the funds rates plunges toward zero and with a high degree of probability that the FOMC will anchor the ...
Agency Spreads
Monday, December 15th, 2008Agency spreads are wider by 4 basis points to 5 basis points in the 2 year sector and about 4 basis points in the 5 year sector. Ten year spreads are wider by about 6 basis points. One trader noted some profit taking following the recent rally. GSE debt has improved ...
Corporate Bonds
Monday, December 15th, 2008Corporate bonds (secondary) have leaked wider today in trading described as very thin and very illiquid. The IG 11 is 264 after trading as wide as 268 basis points. There were two significant new issued today for top shelf names. Proctor and Gamble offered and priced $2 billion 5 year bonds at ...
Swap Spreads
Monday, December 15th, 2008Swap spreads are marching wider. Two year spreads are 2 basis points wider at 107 3/4 . Five year spreads are 4 basis points wider at 89 1/2. Ten year spreads are 4 basis points wider at 23 1/2 basis points. Thirty year spreads are less inverted (perverted) than I ...
Treasury Bill Auctions
Monday, December 15th, 2008I just spoke to a T bill trader and he expects that the yield on the 3 month bill will be zero. That is down from 0.005 percent last week. He expects that the 6 month bill will yield 0.23 percent which is down from 0.30 basis points last week. Each auction ...
MBS
Monday, December 15th, 2008Mortgages are pretty much in line with swaps today and swaps are a couple of basis points weaker. Mortgages have benefited from the decline in Libor levels as rolls have exploded and the carry consideration on MBS is now quite favorable to the financing holder. Financing should remain friendly and that ...
HSBC on IP
Monday, December 15th, 2008* November industrial production reflects a broad slowdown in output, with declines in 18 out of 20 manufacturing categories * The total drop of 0.6% (consensus -0.8%) was partly masked by a rebound in ...