GC Tsy changes post announcment

I’m mainly interested in LIBOR over the turn as an indicator or how the new international facility is doing.

Also watching to see when higher oil means higher inflation and higher rates, vs. higher oil currently meaning econ weakness and lower rates. Maybe next week after this weeks inflation numbers are out.

GC has lost some of it’s flight to quality bid on term repos. The market is higher across terms as a result of the treasury announcement. Expectations of future rate cuts have not been priced out of the market I will follow up shortly with an AGCY and MBS runs.

GC TSY Last Night Now Change
O/N 4.60 4.23 -0.37
1wk 4.12 4.12 0
2wk 4.03 3.95 -0.08
3wk 3.7 3.75 0.05
1mo 3.7 3.76 0.06
2mo 3.68 3.74 0.06
3mo 3.63 3.71 0.08
6mo 3.62 3.67 0.05
9mo 3.52 3.56 0.04
1yr 3.42 3.46 0.04

* 1wk – 2wk seasonal add need “window dressing” balance sheets