Swaps
Monday, November 23rd, 2009Swap spreads are unchanged across the curve. Two year spreads are 32 1/2. Five year spreads are 32. Ten year spreads are 11 1/2. Thirty year spreads are NEGATIVE 11.
Archive for November, 2009
Swap spreads are unchanged across the curve. Two year spreads are 32 1/2. Five year spreads are 32. Ten year spreads are 11 1/2. Thirty year spreads are NEGATIVE 11.
Interesting View From Anonymous Dealer
Monday, November 23rd, 2009ONLY ONE REFERENCE TO INTERVENTION WITH A MONETARY FIGURE ATTACHED AND THAT'S HKMA BUYING $300MM U.S. EQUIVALENTS. TAIWAN WAS SAID TO BE IN THE MARKET BUT NO SIZE WAS ATTACHED. THE ECB CONDUCTED A € 5.75 BLN SWAPS WITH THE SWISS NATIONAL BANK TO MAINTAIN LIQUIDITY IN THE SWISS MARKET ...
Brown Brothers on Negative T bill Rates
Monday, November 23rd, 2009With U.S. T-bill yields hovering near zero, today's weekly bill auctions may attract more general market attention than usual. Here is what is going on: due to the approaching debt ceiling, the US debt managers have reduced T-bill sales. At the same time, the demand for short-term paper is great. ...
Potential for Curve Flattening
Monday, November 23rd, 2009Analysts at CRT in that firm's morning note point out that the imbalance between speculative positions in the very short end of the market and shorts in longer maturities are as wide as they have been since April 2008. Here is the relevant paragraph from CRT: "Finally, we’ll mention something that’s ...
Bond Market Open November 23 2009
Monday, November 23rd, 2009Prices of Treasury coupon securities are posting modest losses in overseas trading. The once mighty greenback is faltering versus the Euro as that currency has gained about a penny. Gold has raced to a record high and oil is posting solid gains. European equity markets have posted robust gains and premarket trading ...
Day of Reckoning
Sunday, November 22nd, 2009The New York Times carries a story on the financing debacle which the US will face as debts come due over the next several years. I do not think that the Treasury has thought through the arduous task that it will confront when the exigencies of circumstances force it to sell ...
Quick Thought On Negative Bill Rates
Sunday, November 22nd, 2009Professor James Hamilton of the University of San Diego and also of the first rate blog Econo Browser chimed in on the debate about plunging bill rates. Here is an excerpt from a Bloomberg story: “The question is what are you going to do with all the money that has been ...
Upcoming Week’s Data Preview Via UBS
Sunday, November 22nd, 2009The week ahead Orders for durable goods likely rose moderately in October (UBSe 1.0%, cons 0.5%, after 1.4%). We forecast a decline in the Conference Board measure of consumer confidence (UBSe 45.5, cons 47.5, after 47.7) in November, while our forecast for the Michigan measure (UBSe 66.5, cons 67.0) is ...
Federal Reserve Independence
Sunday, November 22nd, 2009Populists, faux populists, bloggers and other commentators have taken aim at the Federal Reserve and its formerly sacrosanct independence. The one exalted institution is under assault on all sides. Here is some non hyperventilating prose on the topic by Tim Duy at Economists View. Update: This story must have a little bit ...