Anyone heard the rumours?

[DANIEL.DAVIES at flemings.com]

Heads-up, folks.  I am told by those who might know that a big institution
has taken a very big bath indeed on interest rate derivative positions, as
a result of the Treasury's sucking up the supply of 30-year bonds and
causing an inverted curve between 10 and 30 years.  The names of Deutsche,
Warburgs and Bank of America have been floated around on Friday and today,
with Deutsche now denying everything and B of A looking like they might be
in the frame if anyone is.  The amount of the loss may or may not be in the
region of US$1bn, which would be a nasty loss for any bank to take.

Anyone heard any spin?

cheers

dd

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