Archive for December, 2008

HSBC on Claims and Trade Deficit

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%, ...

Greenback Under Attack

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.

Libor: Still Dropping

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

Opening Comments December 11 2008

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 ...

Closing Comments December 10 2008

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 ...

Swaps and Mortgages

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 ...

Agency Market

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 ...

Three Year Note Auction

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 ...

MBS

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 ...

Three Year Auction

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 ...