Interest Rate Roundup

Wednesday, May 27, 2009

The dam breaks in mortgages

As bad as things were in the Treasury market, they were even worse in mortgage-land. Mortgage backed securities tumbled in value, while yields soared (Some good stuff at this blog if you're interested). Street-level mortgage rates are likely rising by anywhere from 3/8 to 1/2 of a percentage point in response. Speaking of Treasuries, the pain just keeps on coming in the bond futures market. I'm showing long bond futures off 2 26/32 in extended trading.


  • Everybody i.e. the MSM, retail traders etc. are so focussed on the equity market that none of this is even big news. Surprising and disturbing. As long as stocks go up, I guess everyone is happy even though bonds are getting slaughtered.

    By Blogger Sam, at May 28, 2009 at 1:30 AM  

  • Big banks seem to have a negative gamma tied to interest rate increases. Not good. As rates go higher banks get longer and longer bonds, meaning they have to sell more and more bond notional to stay flat.

    By Anonymous Anonymous, at May 28, 2009 at 9:22 AM  

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