MBS and Swaps

March 30th, 2009 2:04 pm | by John Jansen |

The salesman with whom I spoke regarding these market sectors described the market as eerily quiet.

Swaps spreads are mixed with all sectors either unchanged or a tad tighter. The 2 year spread is unchanged at 54 1/2. The 5 year spread is 1/2 basis point tighter at 51 1/4. The 7 year spread is unchanged at 28 1/4. The 10 year spread is 1/2 basis point tighter at 18. The 30 year spread is 1 1/4 basis points tighter at NEGATIVE 32 3/4.

There has been a modest amount of receiving by bank portfolios in the 2 year and 3 year sectors and some rate locking in the belly of the curve.

Mortgages are about 1/32 wider to swaps.

Originators were sellers of 4s throughout the day and the Federal Reserve and money managers were better buyers.

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