Nov 18. All one-yr eurodollar calendar sprds <140 bps

Quiet yesterday in spite of -0.6% drop in Core PPI.  Today CPI expected +0.2 with Core +0.1.Housing Starts expected .600M from .590M
–Roubini says worst is yet to come regarding employment.
–From Bernanke yesterday  “We are attentive to the implications of changes in the value of the dollar.”  I suppose he is throwing that hot potato back to Geithner at Treasury, who is typically responsible for comments on the value of the currency and is already being weighed down by his part in making AIG counterparties whole with taxpayer funds.
–One year calendar spreads continue to grind lower.  The highest spread, EDM10/EDM11 fell another 3 bps yesterday to close 140.  The compression of these spreads, and the fact that 5 yr note yields are edging closer to 2% (now 2.17%), are a pretty clear argument against the idea of a V shape recovery.  The fact that stocks continue to rise is more indicative of a weak dollar and associated liquidity.  I saw a chart yesterday, courtesy of Marty O’Connor at Merrill, which indicated that stocks, when priced in gold, continue to decline. 
–This isn’t exactly news, but I saw a couple of items regarding the decline of Commerical Real Estate. From Moody’s “The delinquency rate now stands at 4.01%, more than six times the rate seen at the same time last year. And from ZeroHedge citing Fed’s Maiden Lane report, CRE CDOs were downgraded sev’l notches in just three months.

Posted on November 18, 2009 at 6:02 am by alexmanzara · Permalink
In: Eurodollar Options

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