Archive for January, 2009
Wednesday, January 7th, 2009
Libor US$ Fixing
1/07 1/06 Change
OVERNIGHT 0.10750 0.12375 -0.01625
1 WEEK 0.28375 0.29750 -0.01375
2 WEEKS 0.32875 0.34375 -0.01500
1 MONTH 0.40625 0.42063 -0.01438
2 MONTH 1.07250 1.09125 -0.01875
3 MONTH 1.39750 1.41125 -0.01375
4 MONTH 1.50750 1.52625 -0.01875
5 MONTH 1.63750 1.65750 -0.02000
6 MONTH 1.75000 1.77000 -0.02000
9 MONTH 1.89250 1.92500 -0.03250
12 MONTH 1.99500 2.04625 -0.05125
Posted in Uncategorized | 2 Comments »
Wednesday, January 7th, 2009
Prices of Treasury coupon securities sagged in overnight trading as the flight from risk averse assets continued and the heavy calendar of Treasury issuance became reality.The yield on the 2 year note has increased 5 basis points to 0.81 percent. The yield on the 3 year note has climbed 5 ...
Posted in Uncategorized | Comments Off on Some Opening Comments January 07 2009
Tuesday, January 6th, 2009
Yesterday I posted the release from the Treasury Market Practices Group and its suggestions for a solution to the fail problem and a timeline for implementation of those suggested reforms.
I think that a very succinct summary is that if you are delivering securities versus payment , you will be charged ...
Posted in Uncategorized | 6 Comments »
Tuesday, January 6th, 2009
Prices of Treasury coupon securities registered small mixed changes today and pared losses following the superb (for the taxpayer) result of the TIPS auction. Huge issuance in the corporate market and massive buying of mortgages sparked some strange trading machinations, too.The yield on the benchmark 2 year note increased 3 ...
Posted in Uncategorized | 1 Comment »
Tuesday, January 6th, 2009
There is very heavy issuance in corporate bond land today as issuers take advantage of the newly discovered appetite for risky assets. I just spoke to a syndicate desk and it appears that about $10 billion investment grade paper has come to market today. (I think he included some sovereign ...
Posted in Uncategorized | 2 Comments »
Tuesday, January 6th, 2009
My late father was a frequent user of the word hoople. He was born in Brooklyn in 1921 and I always thought the word had some special meaning for him but it was generally left undefined. The context of his usage would have me define the word as "screwball" or ...
Posted in Uncategorized | 8 Comments »
Tuesday, January 6th, 2009
Two year swap spreads are tighter by 1 ¾ basis points and the spread is 75 ¼ basis points. Three year swap spreads are tighter by 3 basis points at 79 ¾ basis points. Five year spreads are tighter by ¼ basis point at 62. Ten year spreads have narrowed ...
Posted in Uncategorized | 2 Comments »
Tuesday, January 6th, 2009
The Treasury will sell $8 billion 10 year TIPS today. I received a note from a market participant which catalogued some of the pros and cons for this issue.
He noted that January auctions go well. I do not know that but will accept as an article of faith. Additionally, breakeven ...
Posted in Uncategorized | 1 Comment »
Tuesday, January 6th, 2009
The Federal Reserve purportedly is in the market buying mortgages again today. Origination selling has been light. Others buyers abound. Spreads are in another 6 basis poiints or 7 basis points this morning.
Posted in Uncategorized | Comments Off on MBS
Tuesday, January 6th, 2009
Bloomberg reports that foreclosures tripled in the first 10 months of 2008.
Posted in Uncategorized | Comments Off on Foreclosures