Archive for December, 2008
Thursday, December 11th, 2008
Initial claims jumped from 515k to 573k (consensus 525k) for the Dec 6 week, now at the highest level since Nov 1982
* Massive rise in continuing claims for the previous week from 4.091mn up to 4.429mn. The insured unemployment rate rose by 0.2ppt to 3.3% from 3.1%, ...
Posted in Uncategorized | 6 Comments »
Thursday, December 11th, 2008
The Euro has breached resistance at $1.3150 and is set to take a run at the next level of resistance at $1.3300. One analyst suggests that this breakout will fail as it has not been confirmed and led by similiar moves in the pound and Swiss franc.
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Thursday, December 11th, 2008
Libor US$ Fixing
12/11 12/10 Change
OVERNIGHT .11500 .12500 -0.01000
1 WEEK .39375 .49375 -0.10000
2 WEEKS .58125 .72750 -0.14625
1 MONTH 1.19500 1.43875 -0.24375
2 MONTH 1.76750 1.90375 -0.13625
3 MONTH 1.99625 2.09875 -0.10250
4 MONTH 2.10000 2.20000 -0.10000
5 MONTH 2.22000 2.32750 -0.10750
6 MONTH 2.32250 2.43750 -0.11500
9 MONTH 2.43250 2.52500 -0.09250
12 MONTH 2.52875 2.62250 -0.09375
Posted in Uncategorized | Comments Off on Libor: Still Dropping
Thursday, December 11th, 2008
Prices of Treasury coupon securities are registering small price gains in overnight trading. The 2 year note and the new three year note have experienced greater yield declines than their longer dated cousins as the yield curve steepens in honor of the $16billion 10 year notes which the Treasury will ...
Posted in Uncategorized | 4 Comments »
Wednesday, December 10th, 2008
Prices of Treasury coupon securities slumped in a day of lackluster trading dominated by dealers jockeying for position around the 3 year note supply today and the 10 year note supply tomorrow.The yield on the 2 year note has climbed 1 basis point to 0.86 percent. The yield on the ...
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Wednesday, December 10th, 2008
Swap spreads are tighter today but they are certainly lagging the agency market. Two year spreads are the best of the bunch as they have narrowed 8 basis points to 109. Five year spreads have narrowed 3 1/2 basis points to 95. Ten year spreads are in three basis points ...
Posted in Uncategorized | Comments Off on Swaps and Mortgages
Wednesday, December 10th, 2008
Agency spreads are ratcheting tighter today. One veteran trader with whom I converse regularly described the buying as massive. Another said that the Federal Reserve purchases have changed the face of the market.Part of the rally reflects the anticipation of the next Federal Reserve purchase as dealers attempt to find ...
Posted in Uncategorized | 5 Comments »
Wednesday, December 10th, 2008
Demand for three month bills with 0 yields did not translate into demand out the curve. It was a disappointing result as the average on the 3 year note was 1.245 percent. That level is nearly 3 basis points behind market levels when bids were submitted.
That just tells me that ...
Posted in Uncategorized | Comments Off on Three Year Note Auction
Wednesday, December 10th, 2008
One dealer reports MBS are at three month narrows versus US Treasuries. Another reported that they are 17 tighter to Treasuries today. It did not say but I assume 17/32 tighter to some interpolated curve.
The note did say that originator selling had evaporated and that as Libor creeps lower funding levels ...
Posted in Uncategorized | 2 Comments »
Wednesday, December 10th, 2008
The Treasury will sell $28 billion three year notes in about an hour. There are two schools of thought regarding the issue.
One group holds that there is tremendous demand for government paper and that demand is clearly manifest in the bill market. This group thinks that the demand in the bill ...
Posted in Uncategorized | 1 Comment »