Weekly Chart Watch - 123008

8/7/2019 Weekly Chart Watch - 123008

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Charts Of The WeekUpdated Pictures of Current Interest

For the week of December 30, 2008

Long-Term Interest Rates - 1900 to 2007

Bianco Research L.L.C.

An Arbor Research & Trading Affiliated CompanyIndependent Objective Original


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Bianco Research, L.L.C For the week of December 30, 2008 2

Banking Losses And Capital Raised - Summary

Q4 2008 Q3 2008Losses Capital Losses Capital Losses Capital Losses Capital Losses Capital Losses Capital

Banks/Brokers 747.5 799.5 77.9 397.9 175.5 98.6 124.7 161.7 157.7 86.3 211.7 55.0Insurance Cos 145.9 93.1 1.0 52.8 36.7 1.6 13.7 27.9 42.4 3.2 52.1 7.6GSEs 114.5 36.4 0.0 13.8 38.3 0.0 29.0 7.1 24.6 0.0 22.6 15.5

Wordwide 1007.9 929.0 78.9 464.5 250.5 100.2 167.4 196.7 224.7 89.5 286.4 78.1Source: Bloomberg

In Billions of Dollars

Total Q2 2008 Q1 2008

Worldwide Financial System Losses and Capital RaisedAs of December 30, 2008

Prior

Worldwide Financial SystemLosses And Capital Raised

286.4

59.6

218.6 224.7

196.7

464.5

78.9

250.5

167.4

9.6

78.1100.2

63.589.5

0

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500

Prior Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 Q4 2008

BillionsofDollars

0

50

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BillionsofDollars

Red = LossesBlue = Capital Raised


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Significant Moves Before Labor Day 2008

August 2007*Cut the discount rate premium to the funds rate

* Allow the effective rate to diverge from the funds rate* Remove the stigma of borrowing from the window

* Extend the term to 30 daysSeptember 2007

*Fed cuts 50 basis points

* FHA Secure to help homeownersOctober 2007

*Treasury proposes bailing out SIVs* Fed cuts the funds rate 25 bps

November 2007Teaser Freezer Plan

December 2007*Fed cuts 25 basis points

* Fed Announces the TAF auctionJanuary 2008

*Fed cuts 75 bps before open* Fed cuts 50 bps 8 days later

* NY State insurance commissioner orchestrates monoline talksFebruary 2008

*Fed increases the size of the TAF auctions

* Treasury arranges a 30-day freeze on foreclosures* Conforming loan limits increased

March 2008*Fed changes the discount window rules, allows the dealers access and increases the term to 90 days for the banks

* Fed increases the size of the TAF auctions* Fed orchestrates a bailout of Bear Stearns

July 2008* Treasury given a Bazooka to backstop Fannie/Freddie


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Federal Funds Futures: Good Resistance At 100

From Our LatestCommitment Of Traders Update

Net Hedgers/Commercials

-360-320-280-240-200-160-120-80-40

04080

120160

NetPositions(in000's)

-360-320-280-240-200-160-120-80-4004080120160


Hedgers are those that do deal in the cash market and havemore than 300 contracts

Net Large Speculators

-160-120-80-40

04080

120160200240280320


-160-120-80-4004080120160200240280320

NetPositions

Speculators are those that do not deal in the cash marketand have more than 300 contracts

Weekly Federal Funds Futures

93.093.594.094.595.095.596.096.597.097.598.098.599.099.5

100.0

WeeklyRange

93.093.594.094.595.095.596.096.597.097.598.098.599.099.5100.0

WeeklyRange

"Backward Adjusted" Continuous Futures

Net Small Traders

-60-50-40-30-20-10

0102030405060

2/23/1993

8/24/1993

2/22/1994

8/23/1994

2/21/1995

8/22/1995

2/20/1996

8/20/1996

2/18/1997

8/19/1997

2/17/1998

8/18/1998

2/16/1999

8/17/1999

2/15/2000

8/15/2000

2/13/2001

8/14/2001

2/12/2002

8/13/2002

2/11/2003

8/12/2003

2/10/2004

8/10/2004

2/8/2005

8/9/2005

2/7/2006

8/8/2006

2/6/2007

8/7/2007

2/5/2008

8/5/2008


-60-50-40-30-20-100102030405060


Small Traders have less than 300 contracts

Friday's Commitments of Traders data for Federal Fundsfutures showed Hedgers were net short 185,857 contractson December 23. At the same time, Friday's report showedthe Large Speculators were net long 188,826 contracts onDecember 23.

Now that the FOMC has ruined Fed-watching as a spectatorsport, the question remains as to why this contract shouldremain active. The answer, of course, is the pricing andhedging of overnight index swaps. Any speculator temptedto treat this as a limited-risk free-shot to the downside isadvised to study the long-term history of the Euroyencontract after 1995.


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The Reuters/Jefferies CRB Index Back to 1749

From Our Collection of Long-Term Charts

The Reuters/Jefferies CRB Index Back to 1749

196897.70

193329.30

189726.71

184332.32

1792

30.26

1980330.03

1951134.86

1920112.03

1864

131.42

1815103.84

1781136.30

1999187.16

2006354.20

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1749

1759

1769

1779

1789

1799

1809

1819

1829

1839

1849

1859

1869

1879

1889

1899

1909

1919

1929

1939

1949

1959

1969

1979

1989

1999

2009

0

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500

Last (November 2008) = 242.20


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Weekly Chart Watch - 123008

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