Archive for February, 2009
Tuesday, February 17th, 2009
Swap Spreads are opening wider across the curve this morning. Two year spreads are 4 1/2 basis points wider at 73. Five year spreads are 4 1/2 basis points wider at 75. Ten year spreads are 4 3/4 basis points wider at 20 1/2. Thirty year spreads are 3 wider ...
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Tuesday, February 17th, 2009
Libor US$ Fixing
2/17 2/16 Change
OVERNIGHT 0.31250 0.30000 0.01250
1 WEEK 0.36438 0.36375 0.00063
2 WEEKS 0.41250 0.40875 0.00375
1 MONTH 0.46625 0.46500 0.00125
2 MONTH 0.94813 0.94813 ...
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Tuesday, February 17th, 2009
One can observe the spread widening already as IG 11 is 205 1/2 / 207 1/2 which is 7 basis points wider.
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Tuesday, February 17th, 2009
Prices of Treasury coupon securities surged in overnight trading recouping much of what they lost in the illiquidity induced debacle Friday. Bond prices surged as equity prices slumped amid fears that the global recession would not respond to stimuli packages of governments and amid renewed fears about the safety of ...
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Tuesday, February 17th, 2009
Bloomberg story on the widening chasm between German bond yields and those of some of the weaker European borrowers. This is the next crisis in the making.
And good morning after a long weekend.
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Sunday, February 15th, 2009
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Friday, February 13th, 2009
Prices of Treasury coupon securities plummeted today. I offered several reasons in an earlier post. The one which makes the most sense is that it is a pre holiday Friday and illiquidity bred more illiquidity. I think that there were pockets of longs after the supply this week and those ...
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Friday, February 13th, 2009
Here is an interesting excerpt from a dealer research piece. The dealer must remain nameless but it is a good sized firm.
* Banks risk contagion to Government credit *
In fact, this transfer of risk from European banks to their governments we have repeatedly mentioned has also been the main driver ...
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Friday, February 13th, 2009
The long end of the US Market is taking a severe clubbing today. I think there are several reasons for the mini debacle.
It is Friday and Monday is a holiday. Today is a shortened trading session. Some participants have decided to take a long weekend and the result is illiquidity. ...
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Friday, February 13th, 2009
G7 finance ministers meet in Rome this weekend and will issue a statement sometime on Saturday.
One research piece I read this morning focused on yen strength and sterling weakness. The speculation around the statement centers on whether or not the statement will urge intervention to stabilize each of those currencies.
The ...
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