Via RBS Securities:
Our Treasury flows were central bank buying of 7’s, 10’s, and 30’s, real money selling of 30’s, and other real money buying of 7’s. In swaps, we had fast money receiving 2’s-5’s-10’s, money manager receiving 2yr vs. paying 2’s-10’s, and fast money receiving 5’s-10’s. In TIPS, we had real money selling across the curve (on a real yield and breakeven basis) into month end while other real money was selling 10yr inflation swaps. Treasury inter-dealer broker volume was 95% of the 10-day average.
Mortgages: We had ‘above average’ flows in MBS today and the basis was basically wider for the whole session. The 3.5’s basis opened unchanged but leaked wider on the back of hedge fund and money manager selling. At the wides (+4 ticks versus swaps) buying emerged from REITS, other money managers, hedge funds and the Fed and then we saw some pretty good month-end related inflows that took the basis back to +1 tick wider by 3:15pm. Origination was estimated at $600mln, roughly what it has been for a while now.