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

To: robert b furman who wrote (1823)	5/30/2000 5:58:00 AM
From: John Pitera	Read Replies (1) \| Respond to of 33421

Hi Bob, You're post brings up several excellent points. I agree the 90 day cash TBILL is yielding 5.98 . 2 basis points under the discount rate. This does seem to be an infrequent and meaningful development. -------------- Monday, May 29, 2000 Money Rates Discount Rate (NY) 6 6 4 1/2 Prime Rate (Base) 9 1/2 9 1/2 7 3/4 -------------------------------------------------------------------------------- Fed Funds Rate Avg effective offer 6 1/2 6 3/4 4 Avg weekly auction-c 6.16 5.96 4.76 T-Bills Rate 13 weeks, Coupon Yield 5.980 6.245 4.621 13 weeks, Auction Rate 5.810 6.065 4.495 26 weeks, Coupon Yield 6.411 6.544 4.756 26 weeks, Auction Rate 6.125 6.250 4.57 52 weeks, Coupon Yield 6.197 6.197 4.727 52 weeks, Auction Rate 5.84 5.84 4.49 Avg weekly auction-c 5.86 5.94 4.51 -------------------------------------------------------------------------------- Broker Call Rate 8 1/4 8 1/4 6 1/2 ------------ the June TBills have rallied for the past 8 days. geocities.com As we can see the yield curve is flattening out a bit. geocities.com The US Debt reduction is making the environment a bit unusual as corporate bonds are at new highs in yield while the govy's from 10 Yrs out have made lower highs in yield. I agree that the large expansion in Fed Funds open interest could well be portending that we are at an extreme in rate and market volatility and these periods come during liquidity shake outs such as Q 3 of 1998. Fed Fund futures are heavily leveraged and a 5 million dollar face value contract does not represent the same level of capital that can be reallocated to a market such as the equities market, if interest dissipated in the Fed Funds Futures market. The commercial traders in FF's Futures can not move that money over into such a different asset class such as equities in most situations. John