Yesterday's Recap
- Higher Volume Yesterday
- MBS and Tsy's sold hard. Spreads Widened
- Long awaited turn around in continuing jobless claims blows hot air on embers of recovery
- Fed buys average of $4.1 bln per day this cycle.
- Volatility, extension risk, and convexity triple team duration.
- MBS were mirror image of tsy yields all day, all week, all month...
The AM So Far...
- Spreads tighter but prices all within a tick of unchanged
- 10 yr tsy right at technical price level 3.82% (MG and AQ burned at the stake for mentioning this likelihood yesterday AM)
- Quadruple Witching
- Music of the day: Bohemian Rapsody, paritcularly these lyrics:
"Nothin' Really Matters.
Anyone can see.
Nothin' Really Matters
'Till we get a clue From F.O.
Emm Ceeeeeeeee!"
- If you think next Wed isn't that big of a deal, while it's possible, it might not be, I'd rather respond with another song lyric: 'You may say I'm a dreamer. But I'm not the only one."
Charts
6/18 EFFECTIVE FED FUNDS: +0.01 to 0.25 from 0.24
LIBOR FIXINGS
O/N LIBOR: +0.0038 to 0.2675 from 0.2637
1 MONTH: +0.0019 to 0.3169 from 0.3150
3 MONTH: +0.0031 to 0.6119 from 0.6087
6 MONTH: +0.0213 to 1.1825 from 1.1612
1 YEAR: +0.0512 to 1.7400 from 1.6888
MBS Market Alerts
