May 29th, 2009 9:02 am | by John Jansen |

Swap spreads much tighter this morning as the convexity hedgers have headed to the sidelines. Two year spread 5 basis points tighter at 38. Five year spreads also 5 tighter at 43 1/2. Ten year spreads 6 basis points tighter at 22 1/2 and 30 year spreads 6 basis points tighter at NEGATIVE 25 1/2.

There was a Wall Street Journal story over night which, I am told. said that the Fed thought that the higher rates were a function of an improving economy as well as a return of risk appetite.

Maybe the dollar is telling a different story. It has 1.41 handle this AM and gold is up $12. Breakevens on TIPS are off their worst levels (currently 184 ) but the trend there is decidedly wider. 

Treasury bond prices are registering gains this morning. Some of that is real buying and some is month end buying.

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  1. 3 Responses to “Miscellany”

  2. By vol-trader on May 29, 2009 | Reply

    what are your thoughts on the convexity guys? do you think they got it all done this week?

  3. By John Jansen on May 29, 2009 | Reply

    i am blogging from out of town and have not made the usual complement of phone calls but i would lean towards the view that they are done. For now.

  4. By vol-trader on May 29, 2009 | Reply

    you called it! they are always last to the party.

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