Monday, June 8, 2009

Negative Convexity Pain Preparing To Go Orbital

Update: mortgage spread to 10 year just spiked to 111 bps, up +5

The bond vigilantes about to start the real pounding of the negative convexity trade. Mortgages can't catch a break. In the 5 seconds since you clicked on this, not one short sale or refi was executed.

Also, with auctions for $19 billion in 10 years on Wednesday and $11 billion in 30 years on Thursday (not to mention $35 billion in 3 years tomorrow), this week's MOVE chart should be a fun one to watch.

Sphere: Related Content
Print this post
blog comments powered by Disqus