By Carolyn Bates
BOSTON, April 24 (IFR) – Spreads opened unchanged on Tuesday
before snapping in about 0.5 bps to 1.0 bps across the curve at
midday and remaining at that level into the afternoon close.
Dealers said the agency market mostly tracked Treasuries as
investors wait for Wednesday’s FOMC statement.
TRACE volume totaled a modest $4.795 bln in 2,931 trades,
but bullet volume was still below average. Customer sells
accounted for 40% of bullet volume, customer buys for 21% and
dealer-to-dealer activity for 39%.
Dealer-to-dealer activity picked up from Monday’s meager 24%
contribution, but is still well below the 55-60% contributions
seen last week.
The widely followed Barclays month-end preliminary
extensions were released earlier this week. The Agency Index, in
comparison to the other indices, has a fairly large preliminary
extension of 0.09 years, but this is still smaller than March’s
0.13-year extension and April 2011’s extension of 0.11 years.
The preliminary extension is however larger than the April
monthly average extension of 0.08 years.
On Wednesday morning, Fannie Mae will hold its
weekly auction. This week FNMA will auction $250 mln of 3-month
bills due July 25, 2012 and $250 mln of 6-month bills due
October 24, 2012.
(Reporting by Carolyn Bates)
