MBS and Swaps
March 18th, 2009 4:44 pm | by John Jansen |Mortgages are about in line with Treasuries today and did not benefit from the FOMC announcement that the Federal Reserve would buy an additional $750 billion of MBS.
The issue here is dollar price. FNMA 4 1/2s is the most active coupon. It trades at 102 1/2. The FNMA 4s trade at 101. There is not alot of room for significant gains versus Treasuries.
Swap spreads are mixed. Two year spreads are tighter by 4 1/2 basis points at 65 1/4. Five year spreads are wider by 5 1/2 basis points at 71 1/2. Ten year spreads are wider by 7 1/2 basis points at 30 1/2 basis points. Thirty year spreads are tighter by 3 basis points at NEGATIVE 36 1/2.
One Response to “MBS and Swaps”
By David johnston on Mar 18, 2009 | Reply
I am looking at my bank stock’s last call report and it says they have a lot of 3-5 year Agency MBSs. Lets call it 4 year maturity. You said above that the spread on 4 years is 101 today. Do you know what it was on Dec 31 2008? Thanks.