Agencies track swaps, end a 'brutal' day wider by 1 to 2.5 bps; trading activity quiet

By Lisa Kerner

Charlotte, N.C., Oct. 1 - Friday was "the slowest day in Agencyland" in recent memory, according to a market source, who referred to the day as "brutal."

He said the slowness could possibly be attributed to the fact that the last day of September fell on a Thursday, and that the first day of the quarter is a Friday.

Agency spreads ended the day wider.

The two-year sector was wider by 2 basis points, the three-year was out by 1.5 bps, the five-year sector was wider by 2 bps and the 10-year was out 3 bps, the source said.

Agency spreads widened out with swaps, tracking swaps versus Treasuries, and outperformed swaps at the end of the day, a trader said.

Swaps ended Friday 1 to 3 bps wider, while agencies finished the day wider overall by 1 to 2.5 bps, the trader said.

Fannie Mae's new Benchmark Note issue on Tuesday will probably be a two- to three-year offering, said the source, if there is a need for cash.

"I'd be surprised if it were less than $4 to $5 billion," the source said.

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