December 28, 2011
This morning Italian 10yr bonds rose at an auction of $11.8 billion dollars of debt. The spread between Italian Bonds and German Bunds is around 490 bps in early morning trading. Also worth mentioning- Spanish spreads are down to 311bps.
Markets are down, with the S&P 500 -0.57% (9am CST), the Euro Stoxx 50 -0.46%, and the Nikkei 225 closed down -0.20%. A surge in the ECB’s balance sheet to a record high has highlighted the growing risks in Europe, and threatens to snap a 5-day rally in the S&P 500. Lending to euro-area banks jumped $280 billion dollars (€214), to €879 billion in the week ended Dec. 23. Its balance sheet increased €239 billion euros to €2.73 Trillion euros.
U.S. 10yr treasuries are currently testing resistance at 1.968%, and the BOFA/Merrill Lynch MOVE Index, an indication of treasury market volatility, has increased +8.72% to 94.80 from its 12/15 low of 85.43.
Commodities are higher, with the S&P GSCI Commodities Index up +0.68% led by price advances in agriculture and energy.
U.S. credit markets continue to tighten- with USD LIBOR/OIS up to 49 bps, the 10Y 3M yield curve spread at 155 bps, and the BAA premium to treasuries at 336bps. The U.S. LIBOR/OIS spread is up +299.13% since its 8/1/11 low of 12.3 bps.
Today’s Economic Data Lineup: (EST)
Not much in the way of U.S. Economic Data today.
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