MBS and Swaps and Vol
June 18th, 2009 4:20 pm | by John Jansen |Swap spreads widened sharply today as the rising tide of Treasury yields brought in paying by money managers servicers and originators.Two year spreads are 8 basis points wider at 50 1/4. Five year spreads are 6 wider at 43 3/4. Seven year spreads are 5 basis points wider at 24 1/2. Ten year spreads are 6 1/4 basis points wider at 25 3/4. Thirty year spreads are less inverted by 7 1/4 at NEGATIVE 181/2.
The selling eviscerated the current coupon mortgage as it lagged battered swaps by about 1/2 point.
Volatility increased with the three month 10 year ATM straddle trading at 673 basis points today.
