I read recently that many large institutions have been playing this game I assume when the music stops there is a chance there could be a spike up in rates
their might be some shuffling this month because of the Lehman Bond Index ? I admit I am clueless when it comes to yield curve and advanced strategies .... heck I do not even look at the mortgaged backed securites when I trade just the notes / bonds and cash index's for them
not really - mbs lag a bit behind t's but not much (seconds scale, no arb there). i'd say swap prices sometimes lead the t's but change in swap rates can indicated both the change in the t rates and spread change, so it is difficult to use. some people use this to structure contingent asset swaps