Agency Spreads

June 30th, 2009 3:17 pm | by John Jansen |

Agency spreads were mixed this final day of the second quarter. Ten year spreads were tighter by one basis points or two. That sector benefited from the long end buy back by the Federal Reserve. Five year spreads are just a basis point tighter and 2 year spreads are one basis point to 2 basis points wider,

In the long end buyback the central bank procured about $ 1.2 billion of $ 2 billion offered. They purchased $ 225 million of a March 2021 issue. One analyst noted that they had previously owned none of that issue.

This particular observer believes that going forward the Desk will tend to target issues which they do not own or of which they hold very little. His logic is that if they concentrate holdings it will make the market less less liquid.

Investor flows were light as partcipants lay low in front of the balance sheet date and a labor report Friday.

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