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Blip up due to the current turmoil.

IG On-the-Run Spreads (Sep 15)


IG6 Spreads (Sep 15)


IG7 Spreads (Sep 15)


IG8 Spreads (Sep 15)


IG9 Spreads (Sep 15)


4 Responses

  1. W,
    What is happening operationally when the fed funds rate swings from 6% to 1% as reported by cnbc today. What did the fed do to get it down
    to 1%? I assume they purchased lots of treasuries?

  2. Not sure what happened. Sounds like a few banks scrambled to buy funds thinking the Fed wouldn’t add, and then when they did the excess dropped the rate. But I’m just guessing.

    Put me in charge of operations at the NY Fed and if the FOMC says to keep funds at 2% they could count on them being there.

  3. BTW, these spreads seem amazingly correlated to stock market indices! Listening to CNBC you’d think the world will be out of oxygen tomorrow. After this fire and brimstone day, where do you see things settling and will the FOMC do anything tomorrow? Is GDP going to keep muddling through with the budget deficit at its back.

  4. Right, they are just up from equity in the capital structure.

    FOMC unlikely to cut as they’ve switched to other things for market functioning, and rates are plenty low for ‘inflation’ but it they’re scared enough they could easily cut 50, figuring any drop in the $ would be a good thing with commodities coming down.

    no way to tell.

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