Sept 29. New lows in eurodollar calendars
Sept 29. Once again new lows in all eurodollar calendar spreads. Fronts/reds average only 42 bps. Reds/greens at only 61 bps. 2/10 year treasury spread just above 200 bps.
–Five year TIP is yielding MINUS 17 bps.
–UBS continues to sell EDZ1 vs EDM14, about 20k today. Open interest -12k in Z11, and +18k in M14,
–Reports that a terror plot against major european cities was thwarted.
–Slightly positive news: “… the Nelson A. Rockefeller Institute of Government said in a report last month that state tax collections rose in the April-June period. But they are still about 17 percent below the same period two years earlier.” Bad news…mostly due to rising taxes/fees.
–Iceland putting former PM on trial for his role in financial crisis
–JPM may ask for govt help on WaMu. I guess zero rates and relaxed accounting aren’t enough.
–From Mortgage News Daily: “RUMOR: Rapid Refinance Loan Modification Plan to be Introduced in Congress
The legislation would allow for blanket 30-year, fixed-rate mortgages at the prevailing market rate, now around 4.3 percent, for anyone seeking to refinance”
–Fed speakers Kochlakota, Plosser, and Rosengren. 7 year,
