Altes Elliott-Wellen-Forum - TOMOs heute: 3.158% (mT)

DT

29.11.2007, 22:04

TOMOs heute: 3.158% (mT)

Thread gesperrt

-->Hallo,

die TOMOs heute waren 4.75 Mrd für 3.158% (1 Tag) und 8 Mrd für ca 4.5% (allerdings MBS und FNM Bonds) mit 14 Tagen Laufzeit.

Die 3.158% sind sensationell, das wären 150 bp Zinssenkung. Wieso steigt der Dollar gegenüber dem Euro? Ich kann mir nur eine konzertierte Aktion vorstellen, bei der Trichet und Axel W die Schleusen noch weiter geöffnet haben als die FED, so daß relativ gesehen der USD an Stärke gewinnt.

Ich schätze, daß die ABS heute auch noch etwas zulegen werden.

Gruß DT

http://www.newyorkfed.org/markets/omo/dmm/temp.cfm?SHOWMORE=TRUE

DT

29.11.2007, 22:23

@ DT

Und hier die ABX; weiter leicht erholt (mT)

-->29-Nov-07 Overview
Index Series Version Coupon RED ID Price High Low
ABX-HE-AAA 07-2 7 2 76 0A08AHAD4 73.56 99.33 66.41
ABX-HE-AA 07-2 7 2 192 0A08AGAD6 39.00 97.00 34.67
ABX-HE-A 07-2 7 2 369 0A08AFAD8 29.50 81.94 23.97
ABX-HE-BBB 07-2 7 2 500 0A08AIAD2 22.25 56.61 19.88
ABX-HE-BBB- 07-2 7 2 500 0A08AOAD9 21.41 50.33 18.90
ABX-HE-AAA 07-1 7 1 9 0A08AHAC6 76.91 100.09 68.92
ABX-HE-AA 07-1 7 1 15 0A08AGAC8 45.63 100.09 37.47
ABX-HE-A 07-1 7 1 64 0A08AFAC0 28.13 100.01 24.00
ABX-HE-BBB 07-1 7 1 224 0A08AIAC4 19.75 98.35 17.56
ABX-HE-BBB- 07-1 7 1 389 0A08AOAC1 18.59 97.47 16.84
ABX-HE-AAA 06-2 6 2 11 0A08AHAB8 86.97 100.12 79.97
ABX-HE-AA 06-2 6 2 17 0A08AGAB0 60.84 100.12 51.47
ABX-HE-A 06-2 6 2 44 0A08AFAB2 40.00 100.12 33.59
ABX-HE-BBB 06-2 6 2 133 0A08AIAB6 20.78 100.59 18.61
ABX-HE-BBB- 06-2 6 2 242 0A08AOAB3 19.00 100.94 16.63
ABX-HE-AAA 06-1 6 1 18 0A08AHAA1 93.94 100.38 90.09
ABX-HE-AA 06-1 6 1 32 0A08AGAA9 86.22 100.73 77.58
ABX-HE-A 06-1 6 1 54 0A08AFAA7 57.59 100.51 47.11
ABX-HE-BBB 06-1 6 1 154 0A08AIAA4 31.34 101.20 25.00
ABX-HE-BBB- 06-1 6 1 267 0A08AOAA2 27.78 102.19 21.83

Grafiken werden irgendwie von markit nicht upgedated.

Gruß DT

DT

29.11.2007, 22:34

@ DT

Jetzt kommen wir den Hintergründen für die Dollar"stärke" doch etwas näher (mT)

-->EZB hat gestern 50 Mrd EUR (=75 MRD USD) injiziert. Das war etwa dreimal so viel wie die Fed, dort warens 25 Mrd USD. Kein Wunder, daß der USD etwas gewinnt. Ich würde noch gerne wissen, was die BoJ gemacht hat, denn der JPYUSD carry trade ist von 108 auf fast 110 hochgeschossen.

Die Krise ist aber immer noch brisant, denn die Liquidität scheint knapp zu sein. Libor auf höchstem Stand seit 2001, 65 bp auf einmal als Anstieg toppt selbst die Y2K Zeit.

Gruß DT

UPDATE 1-Money market tensions worsen as year-end nears
Thu Nov 29, 2007 1:27 PM GMT

(Adds quotes, background)

By Natsuko Waki

LONDON, Nov 29 (Reuters) - Pressure on the interbank money market intensified on Thursday after banks, feeling the heat from the credit crisis, scrambled for cash to cover the year-end period and pushed euro rates to fresh 6-1/2 year highs.

The money market liquidity crunch, which began in August after the U.S. subprime mortgage fallout, is deepening further as banks pay a higher premium for cash to meet funding requirements around the Christmas and New Year period -- typically the time banks close their books.

Liquidity has been thin generally since August as banks hoard cash as a contingency against credit-related losses and uncertainty lingers over their exposure to credit markets. One-month euro Libor rates -- the rate at which banks lend to each other -- rose to 4.80938 percent <LIBOR> from Wednesday's 4.16625 percent. That's the highest since May 2001.

That rise of around 65 basis points marked the biggest jump at the daily fixing since early 1995, according to Reuters charts, and higher than any increase seen in the run-up to the"Y2K" scramble for liquidity at the 1999-2000 millennium crossover.

The gap between market interest rates and expected policy rates -- an important gauge for money market stress -- is 81 basis points, the widest since at least 2005, according to Reuters data.

Goldman Sachs said money market tensions stemmed from banks aiming to shore up their balance sheets before year-end in the face of pressure on capital ratios.

"While a year-end effect in the money market is typical, it is exacerbated this year due to deterioration in capital ratios arising from U.S. subprime and other credit market losses," the bank said in a note to clients.

The liquidity squeeze persists even as central banks pledge to inject more liquidity to prevent a financial system seizure.

"Money market pressures are likely to escalate towards year-end... Central bank actions are less likely to alter these trends before year-end. Liquidity operations can help smooth out spikes in spreads, but it is doubtful this will stop long-dated money spreads from trending wider," Goldman said.

Earlier at the Euribor fixing, one-month euro rates <EURIBOR1MD=> rose to 4.809 percent, their highest since May 2001.

The European Central Bank's benchmark interest rate is 4.00 percent. Interest rates markets are pricing in a no-change in the euro zone cost of borrowing, with one-month EONIA rate -- which shows policy rate expectations -- at 3.998 percent.

UBS said liquidity tensions, which have been apparent in unsecured interbank lending, are reaching the secured, collateralised market as the spread widened between rates in euro repo and the European Central Bank's long term financing operation (LTRO).

In its regular monthly auction on Wednesday, the European Central Bank allotted 50 billion euros of three-month funds at an average rate of 4.7 percent, highest since April 2001. Euro repo rates for three-month was 4.02 percent.

"Both LTRO and EurRepo term rates are secured but the EurRepo rate is based on collateral for government bonds, whereas the LTRO reflects the rate given to eligible collateral - most of which will be asset-backed paper," it said.

"The gradual widening of the EurRepo/LTRO spread reflects an evolving credit premia within the collateralised market."

Pressures were also apparent on other currencies, with two-month sterling Libor rates hitting two-month highs of 6.64875 percent.

The Bank of England said it would hold a 5-week cash auction next week, offering 10 billion pounds to help alleviate year-end funding concerns in the money markets.

Testifying at a UK parliamentary committee, BoE governor Mervyn King said there was a clear sign that credit was tightening for corporates and risky borrowers, although it was not having a big impact on investment decisions.

Dollar 1-month Libor rates also jumped at Thursday's fixing, rising 40 basis points to 5.22500 percent <USD1MFSR=>, the biggest jump since the pre-YTK period. (Reporting by Natsuko Waki; Editing by Ron Askew)

DT

29.11.2007, 22:48

@ DT

Und hier noch etwas pointierter von Bloomberg (mT)

-->LIBOR once again slaps benny boy right across his bearded face
One-Month Libor Soars as Banks Seek Year-End Funding (Update3)

By Gavin Finch

Nov. 29 (Bloomberg) -- The cost of borrowing in euros for a month rose by a record and loans in dollars climbed the most in more than a decade as banks sought funds to cover their commitments through to the start of 2008 amid a credit squeeze.

The London interbank offered rate that banks charge each other for euro loans due after the end of the year jumped 64 basis points to 4.81 percent, the highest since May 2001, the British Bankers' Association said. The rate for dollars jumped 40 basis points to 5.23 percent, the highest since Sept. 18, when the Federal Reserve cut the target rate for overnight loans for the first time in 4 1/2 years.

Soaring bank lending rates reflect growing concern about the strength of financial institutions after more than $60 billion of writedowns this year linked to U.S. subprime-mortgage defaults. Losses may rise to $300 billion, according to the Organization for Economic Cooperation and Development.

``The increases we've seen in borrowing costs cannot be simply explained away by year-end pressures; this is a full-on credit crisis,'' said Stuart Thomson, who helps oversee $46 billion in bonds at Resolution Investment Management Ltd. in Glasgow, Scotland. ``There's no end in sight either. It's a really unpleasant picture.''

Today is the first day on which a cash loan of one month will cover a borrower's needs through the end-of-year holiday period.

`Heavy Cash Requirement'

``Things aren't getting better; cash will be extremely tight at least into year-end,'' said Andy Chaytor, a fixed- income strategist at Royal Bank of Scotland Group Plc in London. ``There is a heavy cash requirement.''

The cost of borrowing British pounds for three months rose for a 14th day, while loans in dollars and euros climbed for a 12th day, nearing peaks set in mid-September, indicating attempts by central banks to free up credit are failing.

The Bank of England said today it will auction emergency five-week funds on Dec. 6. The European Central Bank said last week there's a ``re-emerging risk of volatility'' and it will supply cash ``for as long as it is needed,'' while the Fed said this week it will ``provide sufficient reserves to resist upward pressure'' on borrowing costs around the turn of the year.

The three-month dollar rate climbed 4 basis points to 5.12 percent 62 basis points more than the Fed's benchmark rate and the biggest difference since Sept. 18, according to the BBA. The euro rate increased 3 basis points to 4.78 percent, 78 basis points more than the ECB's main refinancing rate and the highest since Oct. 3. The pound rate rose 1 basis point to 6.6 percent, 85 basis points more than the Bank of England's key rate, the most since Sept. 18.

The ``TED'' spread, or the difference between three-month U.S. Treasury bill yields and three-month dollar Libor widened to 2.11 percentage points, matching the most since Aug. 20.

Eike

29.11.2007, 23:46

@ DT

Re: Und hier noch etwas pointierter von Bloomberg (mT)

-->Kurze verstaendnisfrage:

Welche auswirkungen hat es denn bzw. Welchen sinn, wenn der basiszins bei 4,5% liegt und die notenbank geld zu knapp ueber 3 % verleiht?!?

Bzw. Was bedeutet es, wenn die ezb geld in den markt pumpt, aber der libor sich nicht senkt?!?

Und letzte frage: kann es sein, dass dieses billige geld in die abxe fliesst, damit die abschreibungen der banken nicht so hoch ausfallen?!?

Gruesse eike

>LIBOR once again slaps benny boy right across his bearded face
>One-Month Libor Soars as Banks Seek Year-End Funding (Update3)
>By Gavin Finch
>Nov. 29 (Bloomberg) -- The cost of borrowing in euros for a month rose by a record and loans in dollars climbed the most in more than a decade as banks sought funds to cover their commitments through to the start of 2008 amid a credit squeeze.
>The London interbank offered rate that banks charge each other for euro loans due after the end of the year jumped 64 basis points to 4.81 percent, the highest since May 2001, the British Bankers' Association said. The rate for dollars jumped 40 basis points to 5.23 percent, the highest since Sept. 18, when the Federal Reserve cut the target rate for overnight loans for the first time in 4 1/2 years.
>Soaring bank lending rates reflect growing concern about the strength of financial institutions after more than $60 billion of writedowns this year linked to U.S. subprime-mortgage defaults. Losses may rise to $300 billion, according to the Organization for Economic Cooperation and Development.
>``The increases we've seen in borrowing costs cannot be simply explained away by year-end pressures; this is a full-on credit crisis,'' said Stuart Thomson, who helps oversee $46 billion in bonds at Resolution Investment Management Ltd. in Glasgow, Scotland. ``There's no end in sight either. It's a really unpleasant picture.''
>Today is the first day on which a cash loan of one month will cover a borrower's needs through the end-of-year holiday period.
>`Heavy Cash Requirement'
>``Things aren't getting better; cash will be extremely tight at least into year-end,'' said Andy Chaytor, a fixed- income strategist at Royal Bank of Scotland Group Plc in London. ``There is a heavy cash requirement.''
>The cost of borrowing British pounds for three months rose for a 14th day, while loans in dollars and euros climbed for a 12th day, nearing peaks set in mid-September, indicating attempts by central banks to free up credit are failing.
>The Bank of England said today it will auction emergency five-week funds on Dec. 6. The European Central Bank said last week there's a ``re-emerging risk of volatility'' and it will supply cash ``for as long as it is needed,'' while the Fed said this week it will ``provide sufficient reserves to resist upward pressure'' on borrowing costs around the turn of the year.
>The three-month dollar rate climbed 4 basis points to 5.12 percent 62 basis points more than the Fed's benchmark rate and the biggest difference since Sept. 18, according to the BBA. The euro rate increased 3 basis points to 4.78 percent, 78 basis points more than the ECB's main refinancing rate and the highest since Oct. 3. The pound rate rose 1 basis point to 6.6 percent, 85 basis points more than the Bank of England's key rate, the most since Sept. 18.
>The ``TED'' spread, or the difference between three-month U.S. Treasury bill yields and three-month dollar Libor widened to 2.11 percentage points, matching the most since Aug. 20.