Swaps and A Little Vol and Corporates

August 28th, 2009 11:54 am | by John Jansen |

Swap spreads are unchanged today. Two year spreads are at 36 basis points. Five year spreads are at 37 basis points. Ten year spreads rest at 23 basis points and 30 year spreads are NEGATIVE 8 1/2.

The three month /ten year ATM swaption straddle is 528 basis points this morning.

Corporate bond spreads are largely unchanged in very light trading. The only noteworthy nugget of information is that participants in that market anticipate a light issuance calendar next week and into September. Next week suffers from the vacation syndrome.

The balance of September will suffer as many believe that corporations have done a good job of funding themselves early in the year and there will not be heavy demand for money in the immediate future.

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  1. One Response to “Swaps and A Little Vol and Corporates”

  2. By Bman on Aug 28, 2009 | Reply

    You know what it is like to be in the eye of a hurricane – you just got crushed by the front end – it’s eerily quiet – then you are just waiting for the back-side to come……..

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