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American Capital Agency Corp. Message Board

  • warlord_shea warlord_shea May 1, 2013 3:15 PM Flag

    Imputed treasury spreads

    Using 10Y - 1M methodology on the treasuries I've computed the following:

    Q4'12 spreads: 1.55%
    Q1'13 spreads: 1.88%

    Quarter-to-date, Q2'13 with one month completed: 1.71% and trending downward.

    Just thought I'd share. At this time it appears "if you survived Q4'12" you're probably fine. I don't see any reason to panic because rising book value (and hopefully smart hedging) will help balance the numbers.


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