The junk bond/10-yr. spread is the most narrow that I've ever seen: 271 basis points. We can relax until this indicator of fear starts to widen at the rate of 1% per day. Use the "constrained" high-yield index at
http://online.wsj.com/mdc/public/page/2_3022-bondbnchmrk.html?mod=mdc_h_bndhl
6 comments:
Excluding the few days following 9/11 the Fed just made it's largest Open Market Operation this morning according to its own historical record archive. Nothing seems to be particularly out of the ordinary - why are they so spooked?
that's odd indeed. Tom, do you have a link for that?
Link is:
http://www.ny.frb.org/markets/omo/dmm/historical/tomo/search.cfm
I'm not sure if others had the same problem reading Tom's URL.
I use Firefox and the URL wasn't complete.
So I searched on the NY Fed's site and found the database that I think Tom references:
http://www.ny.frb.org/markets/omo/
dmm/historical/tomo/search.cfm
From there I put a date range of 9/1/2001 to 2/25/2007 and downloaded the data using the "export to Excel" link.
Now I'm not exactly sure what I'm looking at; this is my first time seeing this data.
But if you look through the column titled "Tsy-Accept" -- which I think are the bonds the treasury accepted at that
day's auction -- you will see that the only days higher than 16 are 2/22/2007
and the days following 911, 9/12-19/2001.
My comments....
1 - The days after 911 almost all have Tsy-Submit = Tsy-Accept (or nearly). Which I think means the Fed was
meeting the demand to get cash out there. The Tsy-Submit on 2/22/2007 is about half of the Tsy-Accept.
2 - There are many other days where the Tsy-Accept is >15; for instance 11/16/2006 and 1/21/2003.
Tip: Use conditional formating in Excel.
Perhaps there is a pattern there worth investigating?
I plotted the full range of data for accepted and submitted adding moving average trendlines to both.
The accepted trendline rises gradually from about $3B to $7B with no large deviations while the submitted trendline rises from $10B to $28B with large deviations.
Most notably there are three large spikes at 9/11, 4/2004 and 6/2005.
Is there any significance to these last two dates?
Does this say that the Fed is trying to provide more cash than there is demand.?
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