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Strategies & Market Trends : John Pitera's Market Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: John Pitera who wrote (1818)	5/27/2000 1:33:00 AM
From: John Pitera	Read Replies (2) \| Respond to of 33421

All the Key Money Rates Thursday, May 25, 2000 For Thursday, May 25 as reported in the WSJ The key U. S. and foreign annual interest rates below are a guide to general levels but don't always represent actual transactions. PRIME RATE: 9.50% (effective 05/17/00). The base rate on corporate loans posted by at least 75% of the nation's 30 largest banks. DISCOUNT RATE: 6.00% (effective 05/16/00). The charge on loans to depository institutions by the Federal Reserve Banks. FEDERAL FUNDS: 6 11/16% high, 6 5/16% low, 6 3/8 % near closing bid, 6 1/2 % offered. Reserves traded among commercial banks for overnight use in amounts of $1 million or more. Source:Prebon Yamane(U.S.A)Inc. FOMC fed funds target rate 6.50% effective 5/16/00. CALL MONEY: 8.25% (effective 05/17/00). The charge on loans to brokers on stock exchange collateral. Source: Reuters. COMMERCIAL PAPER: placed directly by General Electric Capital Corp.: 6.48% 30 to 48 days; 6.58% 49 to 76 days; 6.60% 77 to 105 days; 6.69% 106 to 132 days; 6.73% 133 to 179 days; 6.71% 180 to 225 days; 6.73% 226 to 232 days; 6.80% 233 to 270 days. EURO COMMERCIAL PAPER: placed directly by General Electric Capital Corp.: 4.17% 30 days; 4.28% two months; 4.37% three months; 4.43% four months; 4.50% five months; 4.57% six months. DEALER COMMERCIAL PAPER: High-grade unsecured notes sold through dealers by major corporations: 6.50% 30 days; 6.56% 60 days; 6.62% 90 days. CERTIFICATES OF DEPOSIT: 5.97% one month; 6.05% two months; 6.17% three months; 6.42% six months; 6.73% one year. Average of top rates paid by major New York banks on primary new issues of negotiable C.D.s, usually on amounts of $1 million and more. The minimum unit is $100,000. Typical rates in the secondary market. 6.57% one month; 6.79% three months; 7.04% six months. BANKERS ACCEPTANCES: 6.49% 30 days; 6.58% 60 days; 6.61% 90 days; 6.68% 120 days; 6.70% 150 days; 6.75% 180 days. Offered rates of negotiable, bank-backed business credit instruments typically financing an import order. LONDON LATE EURODOLLARS: 6.63% - 6.50% one month; 6.75% - 6.63% two months; 6.88% - 6.75% three months; 6.94% - 6.81% four months; 7.00% - 6.87% five months; 7.06% - 6.94% six months. LONDON INTERBANK OFFERED RATES (LIBOR): 6.61125% one month; 6.8275% three months; 7.0625% six months (5/24/00 corrected to 7.04125); 7.47125% one year(5/24/00 corrected to 7.43375). British Banker's Association average of interbank offered rates for dollar deposits in the London market based on quotations at 16 major banks. Effective rate for contracts entered into two days from date appearing at top of this column. EURO LIBOR: 4.21938% one month; 4.42500% three months; 4.62563% six months; 4.92938% one year. British Banker's Association average of interbank offered rates for euro deposits in the London market based on quotations at 16 major banks. Effective rate for contracts entered into two days from date appearing at top of this column. EURO INTERBANK OFFERED RATES (EURIBOR): 4.217% one month; 4.428% three months; 4.627% six months; 4.900% one year. European Banking Federation-sponsored rate among 57 Euro zone banks. FOREIGN PRIME RATES: Canada 7.50%; Germany 3.75%; Japan 1.375%; Switzerland 3.875% (eff. 5/25/00); Britain 6.00%. These rate indications aren't directly comparable; lending practices vary widely by location. TREASURY BILLS: Results of the Monday, May 22, 2000, auction of short-term U.S. government bills, sold at a discount from face value in units of $1,000 to $1 million: 5.810% 13 weeks; 6.125% 26 weeks. OVERNIGHT REPURCHASE RATE: 6.23%. Dealer financing rate for overnight sale and repurchase of Treasury securities. Source: Reuters. FREDDIE MAC: Posted yields on 30-year mortgage commitments. Delivery within 30 days 8.48%, 60 days 8.53%, standard conventional fixed-rate mortgages: 7.125%, 2% rate capped one-year adjustable rate mortgages. Source: Reuters. FANNIE MAE: Posted yields on 30 year mortgage commitments (priced at par) for delivery within 30 days 8.67%, 60 days 8.73%, standard conventional fixed-rate mortgages; 8.00%,6/2 rate capped one-year adjustable rate mortgages. Source: Reuters. MERRILL LYNCH READY ASSETS TRUST: 5.64%. Annualized average rate of return after expenses for the past 30 days; not a forecast of future returns. *CONSUMER PRICE INDEX: April, 171.2, up 3.0% from a year ago. Bureau of Labor Statistics.*

To: John Pitera who wrote (1818)	5/27/2000 12:43:00 PM
From: robert b furman	Read Replies (1) \| Respond to of 33421

Hi John, I'm really glad you posted this today.First off let me disclose I am not educated in futures.I have dabbled with them long ago and currently remain as ignorant as any newbie can be.I disclose this because I hope any dialogue you could provide assumes nothing and is very basic. Just this morning as I often do,I read the Treasury recap on page B24 in the IBD(Investors Business Daily ). GZ as a daily discipline watches the Bonds(he trades them).Often his thinking process that he generously shares with us makes references to the trading going on in the bond market.His notes in the last two days have been even more bullish. I have been focusing on trying to keep up with David Plonk and Carl Hittle with their uncanny reads of E.W.(on the Big Kahuna Thread).Although I can't master the short time period swings I do see the big picture regarding the waves.My best gains have always been long term positional trades and am quite satisfied with the long term yields created by playing the middle 70-80% of the big moves. It is getting in at the perfect bottom that I dream of-not that it is more profitable rather it is mentally less stressful.I ramble on! What tweaked my notice this morning is :The yield on the 3 mo treasury bills is substantially below the fed funds rate.This has happened before and not sounded any alarms.HOWEVER in looking back,WHAT IS UNIQUE is the 3 mo treasury is below The FRB Discount rate. One of the last times this spread increased to a larger degree was the first week of October.This time period is significant,as it marked the beginning of a great bull market in the Naz.The magnitude of the spread was historically high, exactly when the market bottomed. This is a very important reversal to watch and monitor. My questions are this?:Most market bottoms are periods of credit or liquidity crunches ie margin calls in the equity markets. The FRB discount rate is the charge the fed places on banks who don't have the necessary reserves deposited in the federal reserve system (in effect a credit or liquidity crunch for banks).If the banks are over invested in treasuries at a lower yield than the fed charges the will exchange cash for the treasuries to discontinue the inverted yield curve penalty?????? need help here from a real world banker I guess. How does a record open interest in the futures on fed funds rates impact a credit or liquidity crunch? What would settlement on the last trading day of the month do? Timing suggests may is too soon but the End of june looks about right. If october of 98 is any indicator - it takes about a week for things to settle out from expirey. It may be more than coincidental that the previous record of "open interest on these futures" last record level was 46419 contracts on Sept 25,1998. With current open contracts going "thru the roof " to 55517 on a 7 day string of new record level activity up to the new record dated April 18!!! It may not be Holy Grail, but it could be one excellent leading indicator. Now please help me understand what happens when a record level of open interest settles down on a futures contract that involves an increment of 5 million dollars. Is that the proverbial money on the side lines ready to flood the equities market when the institutions confirm they're coming back into the market? Thanks for listening to my ignorance. Bob