Archive for January, 2009
Tuesday, January 6th, 2009
Libor US$ Fixing
1/06 1/05 Change
OVERNIGHT 0.12375 0.11750 0.00625
1 WEEK 0.29750 0.29000 0.00750
2 WEEKS 0.34375 0.33625 0.00750
1 MONTH 0.42063 0.42875 -0.00812
2 MONTH 1.09125 1.09750 -0.00625
3 MONTH 1.41125 1.42125 -0.01000
4 MONTH 1.52625 1.54750 -0.02125
5 MONTH 1.65750 1.67625 -0.01875
6 MONTH 1.77000 1.79375 -0.02375
9 MONTH 1.92500 1.95875 -0.03375
12 MONTH 2.04625 2.09250 -0.04625
Posted in Uncategorized | Comments Off on Libor
Tuesday, January 6th, 2009
Prices of Treasury coupon securities have slumped in overnight trading as the global flight to quality reverses itself. The market has pared some of its earlier losses and has modestly reversed some of the curve steepening observed yesterday.The yield on the 2 year note has climbed 4 basis points to ...
Posted in Uncategorized | Comments Off on Opening Comments January 6th 2009
Tuesday, January 6th, 2009
I wrote today about anomalies along the Treasury yield which developed during the deleveragin process and which are now in the process of correcting back to some normal relationship.
Here is a list compiled by a trader and the extent of the move in these spreads over the last several weeks. ...
Posted in Uncategorized | 2 Comments »
Monday, January 5th, 2009
Prices of Treasury coupon securities registered very bifurcated results as the first fully staffed trading session of the new year produced a rout in the long end. Investors returned from the holidays with the animal spirits racing and poured money from risk free assets into riskier fixed income assets.The yield ...
Posted in Uncategorized | 6 Comments »
Monday, January 5th, 2009
Corporate bonds are on fire today. Spreads are ratcheting in as buyers emerge after a long period of hiatus. One salesman noted that 10 year and 30 year industrial paper has tightened 25 basis points to 50 basis points to benchmark Treasury debt in the last two weeks.Caterpillar Tractor 10 ...
Posted in Uncategorized | 6 Comments »
Monday, January 5th, 2009
The Treasury and the Fed have just released updated proposals on the mechanics handling the fail problem in the Treasury market. I have not had a chance to read them and will not until later this evening. I will leave the three links below for those who wish to peruse ...
Posted in Uncategorized | Comments Off on Federal Reserve and Treasury on Fails
Monday, January 5th, 2009
Swap spreads are one basis point wider at 78 1/2 basis points in the 2 year sector. Five year sector spreads are 2 basis points wider at 64 basis points. Ten year spreads are a basis point tighter at 38 basis points and 30 year spreads have widened 1 1/2 ...
Posted in Uncategorized | 2 Comments »
Monday, January 5th, 2009
Henry Paulson is not following the sage counsel of TS Eliot and is instead going out with a bang rather than Eliot's whimper.
The Treasury announced today that they will auction $30 billion 3 year notes on Wednesday. The increase in issuance here is stunning. The 3 year was reintroduced in ...
Posted in Uncategorized | 8 Comments »
Monday, January 5th, 2009
Mortgages are "en fuego " this morning. One dealer reports that they are 1/2 point to 5/8 point better versus Treasuries.
The Federal Reserve was in buying this morning and that activity stoked the fire. One dealer noted that the Federal Reserve bought coupons as low as 4 percent.
Another trader noted ...
Posted in Uncategorized | 2 Comments »
Monday, January 5th, 2009
The IG 11 is opening 1.5 wider at 197.5 / 200.5
Posted in Uncategorized | 2 Comments »