The document summarizes recent movements in US bond markets. It notes that swap spreads flattened across most of the yield curve, with the 2-year tighter and 7-year wider. Short-term yields also flattened relative to mid-to-long term yields. Rate volatility increased over 10 days, particularly for 5-year Treasuries. Swap curves widened overall, with the exceptions of 2s7 and 2s5 which flattened.
The document summarizes recent movements in US bond markets. It notes that swap spreads flattened across most of the yield curve, with the 2-year tighter and 7-year wider. Short-term yields also flattened relative to mid-to-long term yields. Rate volatility increased over 10 days, particularly for 5-year Treasuries. Swap curves widened overall, with the exceptions of 2s7 and 2s5 which flattened.
The document summarizes recent movements in US bond markets. It notes that swap spreads flattened across most of the yield curve, with the 2-year tighter and 7-year wider. Short-term yields also flattened relative to mid-to-long term yields. Rate volatility increased over 10 days, particularly for 5-year Treasuries. Swap curves widened overall, with the exceptions of 2s7 and 2s5 which flattened.
The document summarizes recent movements in US bond markets. It notes that swap spreads flattened across most of the yield curve, with the 2-year tighter and 7-year wider. Short-term yields also flattened relative to mid-to-long term yields. Rate volatility increased over 10 days, particularly for 5-year Treasuries. Swap curves widened overall, with the exceptions of 2s7 and 2s5 which flattened.
ChiBondKing – laszlochi@gmail.com Highlights Indicative Closing Prices Swap Spreads: flatter across the US Treasuries Yield Change HV10 HV30 majority of the curve, 7Y wider by 0.3bps, 2Y tighter by 3.6bps US2Y 62.6 -2.4 51 46 Short end of the curve flatter vs. US5Y 171.1 -8.3 38 35 mid out to 10y, 2s30 wider by 1.6bps while the most flattening US7Y 241.4 -7.3 28 27 occurred in 2s5 after today's auction: flatter by 5.9bps. US10Y 300.5 -4.7 19 21
and SP2s5 the exception, flatter by 1 and 3 respectively US2s5 108.5 -5.9 38 38
Rate Volatility, 10D: 5Y leading US2s10 237.9 -2.3 15 20
the pack with a jump to 38bps +11bps today. Long end of the US2s30 345.3 1.6 11 16 curve remained relatively US5s10 129.4 3.6 15 18 unchanged over the previous 5 sessions. 30D: 30D HV relatively US5s30 236.8 7.5 16 17 steady, 5Y gained 2bps to 35bps while 30Y HV has remained at US10s30 107.4 3.9 18 23 17bps.
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Stone Street Advisors US Swaps Yield Change HV10 HV30
2Y 14.4 -3.6 137 (+47) 103 (+17)
5Y 15.9 -0.7 73 145
7Y 3.6 0.3 - -
10Y -3.5 -1.3 - -
30Y -31.9 -2.2 - -
2s5 110 -3 26 36
2s10 220 Unch 15 24
2s30 299 3 13 44
5s10 110 3 23 23
5s30 189 6 21 60
10s30 79 3 32 126
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