Bond Expert: Monday Wrap

Jul. 6.09 | About: iShares TIPS (TIP)

No late update today.

Swaps, MBS and Vol

(As of 3:02 PM ET) Swap spreads are mixed . Two year spreads are 1 1/4 basis points tighter at 39 1/4. Five year spreads are 1 1/4 basis points wider at 41 3/4. Ten year spreads are 1 1/2 basis points tighter at 20 1/4. And thirty year spreads are 1 basis point tighter at NEGATIVE 17 1/2.

Mortgages are 3 ticks wider to swaps.

The three month ATM 10 year swaption straddle is 638 mid. Last week it was trading in the 670s.

The mantra here too is that there is very little trading.

Agency Market

Agency spreads are a basis point tighter in the 2 year sector and a basis point wider in the 5 year and 10 year sectors.

There has been very little trading in this market today.

On Wednesday FNMA is slated to announce some supply. Last time they had the opportunity, they passed. Traders are expecting a three year note.

TIPS Result: The auction stopped at 1.92 percent. That is a 3 basis point or 4 basis point tail.