| Author | Message | ||
     Naked_basket Junior Artist Username: Naked_basket Post Number: 229 Registered: 09-2008 Posted From: 199.171.86.140 Rating: N/A |
the latest post is the complete post.... | ||
| Naked_basket Junior Artist Username: Naked_basket Post Number: 228 Registered: 09-2008 Posted From: 199.171.86.140 Rating: N/A |
Driven by what has been described as extraordinary demand from European banks to receive fixed on swap in 30 years the swap spread narrowed drastically today. The demand to receive fixed on swap from banks hedging curve trade could push the 30Y swap spread into negative territory. In the Treasury arena, increasing inversion between yield on cheapest-to-deliver treasury associated with long bond treasury future (7 5/8% of 2/15/25) and 30Y treasury used in swap spread calculation (4 3/8% 2/15/38) suggests that the treausry underlying the long bond treasury future may be even cheaper than the 30Y Treasury. Given the magnitude of the moves, a switch from swap receivers to long bond treasury futures remains both a curve trade and a spread trade. | ||
| Naked_basket Junior Artist Username: Naked_basket Post Number: 227 Registered: 09-2008 Posted From: 199.171.86.140 Rating: N/A |
*cheapest | ||
| Naked_basket Junior Artist Username: Naked_basket Post Number: 226 Registered: 09-2008 Posted From: 199.171.86.140 Rating: N/A |
eapest-to-deliver treasury associated with long bond treasury future (7 5/8% of 2/15/25) and 30Y treasury used in swap spread calculation (4 3/8% 2/15/38) suggests that the treausry underlying the long bond treasury future may be even cheaper than the 30Y Treasury. Given the magnitude of the moves, a switch from swap receivers to long bond treasury futures remains both a curve trade and a spread trade. |
