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Strategies & Market Trends : The Residential Real Estate Crash Index
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From: ChanceIs11/6/2007 8:01:30 AM
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Libor Futures Active (As in higher)

Following Citigroup's announced write-downs on subprime-related holdings, interest-rate futures markets priced in expectations that a key short-term borrowing rate, the three-month-dollar London interbank offered rate, would move sharply higher in coming weeks.

This suggests financial conditions could tighten again and raises the specter of a deterioration in the credit markets.

Yesterday, the December Eurodollar contract was pricing in that three-month Libor would be 4.845% when the contract expires Dec. 17. That is up from 4.76% priced in Friday, according to Mr. Lantz.

Separately, the benchmark 10-year note was down 7/32 point, or $2.1875 per $1,000 face value, to 103 13/32. Its yield rose to 4.318% from 4.292% Friday, as yields move inversely to prices. The 30-year bond was down 11/32 point to 106 5/32 to yield 4.616%, from 4.595% Friday.

Fitch Plans Review Fitch Ratings said it will take another look at the capital cushion of bond insurers to make sure their AAA ratings are justified. The ratings firm said the problem with collateralized debt obligations "is deeper and broader" than it had assumed two months ago.

Some municipal-bond participants said the muni market calendar, which gets up and running today and tomorrow, may offer a litmus test for spreads on bond insurers.
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