MBS and Swaps

November 26th, 2008 11:24 am | by John Jansen |

Mortgages are 8 ticks wider to swaps. The decline in rates led to some heavy origination yesterday and originators are sellers today. Ergo, some supply driven underperformance rather than some flight to quality trade.

Swap spreads are leaking wider but there is no haemorrahage. Two year spreads are 1/2 basis point wider at 98 1/2 basis points. Five year spreads are 3/4 basis points wider at 83 basis points. Ten year spreads are 3 basis points wider at 17 1/2 basis points. Thirty year spreads have normalized by 2 basis points to NEGATIVE 44 1/2 basis points.

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