Across the Curve

Swap And Agencies

Swap spreads are one basis point wider at 78 1/2 basis points in the 2 year sector. Five year sector spreads are 2 basis points wider at 64 basis points. Ten year spreads are a basis point tighter at 38 basis points and 30 year spreads have widened 1 1/2 basis points to 14 1/2 basis points. That spread has normalized and I no longer have the need to write NEGATIVE.

Agency spreads are wider by 6 basis points in the 2 year, 5 year, and 10 year sectors.

Freddie MAC announced that they will offer 2 year and 5 year reference notes later in the week and that has weighed on sentiment. They have not announced the issuance size as they are gently dipping their institutional big toe in the water to gauge investor sentiment.

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