Late Day Flows

April 15th, 2014 4:55 pm | by John Jansen |

Via RBS Securities:

Our Treasury flows were 2-way in 10’s by real money while there was other real money selling of 2’s, 7’s, and 30’s. Fast money was also buying 10’s. In swaps, we had fast money receiving 2y1y while we heard of MBS-linked paying 7yr away. In TIPS, we had fast money buying the front end and real money buying 5yr and 10yr breakevens. Treasury inter-dealer broker volume was 118% of the 10-day average.

Mortgages: Mortgage activity picked up today but a large part of it was in butterflies rather than outright trades. The 30yr 3.5’s outperformed the rest of the stack today with that basis trading as wide as 1.5 ticks wider while closing a + wider late day. We had hedge funds active in 2 way trades, reacting to the shifting contour of the MBS coupon stack. We also had light money manager selling, Fed buying and origination was a bit heavier again today at ~$825mln.

Be Sociable, Share!

Post a Comment