MBS and VOL and Swaps

July 30th, 2009 3:46 pm | by John Jansen |

Swap spreads are wider in each bucket. Two year spreads are 2 basis points wider at 37. Five year spreads are 1 1/2 basis points wider at 36 3/4. Ten year spreads are 3/4 basis points wider at 24 3/4. Thirty year spreads are less inverted by 2 3/4 basis points at NEGATIVE 12 3/4.

The three month/ten year ATM swaption straddle is 602 basis points today.

Mortgages are one tick tighter to swaps. With the curve flattening, the up in coupon trade languished.

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