Across the Curve

Agencies

Agency spreads are tighter across the curve. Two year spreads are two basis points tighter. Five year spreads are one basis point tighter and 10 year spreads are three basis points tighter.

FNMA priced $ 6billion 2 year notes at +60. I heard there were $13 billion of orders. The issue has ratcheted in to 55/54.

The Federal Reserve did not announce an agency buyback for tomorrow. The consensus would now be that the Desk will not purchase agencies until next Wednesday.

If it were to happen tomorrow it would be difficult as it was not pre announced  and tomorrow is a shortened session. The Desk will buy Treasury paper on Monday and Tuesday and since they have not doubled up the best guess is a Tuesday announcement and a Wednesday buyback.