US swap spreads test new negative levels

摘要

The gap between US interest rate swaps and Treasury rates moved to record levels last week and the negative spread that has become the norm at the 30-year part of the curve filtered into five and even four-year maturities for the first time. The spread between five-year US dollar interest rate swaps and related Treasury yields hit a record -11bp in intraday trading last Thursday, after testing negative territory for the first time in late October. At the same time, 10-year swap spreads, which first dipped into negative territory in late September, hit a record low of-18bp on Thursday before settling around -12bp, while the spread between 30-year swaps and related Treasury rates shifted to negative 50bp, its most extreme level since the crisis.