Published Date: 11/16/2009 8:21:13 AM
The 10-year Treasury yield fell 7 bps last week to close at 3.43%.
The Freddie Mac Mortgage 30-year rate dropped 7 bps last week to 4.91% going under the 5.00% level for the
sixth time in 7 weeks.
The 2-10-year yield spread narrowed by about 4.5 bps as 10-year outgained
the 2-year for the week.
The Swap Ratio narrowed 4.31 bps to close the week at 11.44 -- its lowest level
since 4-29-09.
The spreads between corporate bonds and Treasuries were slightly tighter -- the
ML High Yield II vs. the 10-year fell by 6 bps while the 10-year US Investment Grade
DOW index vs. the 10-year fell by just 2 bps .
| Indicator |
Start |
End |
| 2-Year Treasury |
0.85% |
0.81% |
| 10-Year Treasury |
3.50% |
3.43% |
| 30 Year Fixed Mortgage |
4.98% |
4.91% |
| AAA 10-Year Muni (MMA) |
3.17% |
3.15% |
| ML High Yield Master II |
9.93% |
9.80% |
| Credit Spreads Recap (1
Week Change) |
| Change in 10-Year Yield |
(0.07) |
| TED |
(0.01) |
| Mortgage Spread |
0.00 |
| Yield Spread (2 to 10-Year Treasury) |
(4.56) |
| Swap Ratio |
(4.31) |
| TIPS Spread |
0.00 |
| AAA 10-Year Muni to 10-Year Treasury |
0.05 |
| 10-Year U.S. Invest Grade Corp (DOW)
to 10-Year Treasury |
(0.02) |
| ML High Yield Master II to 10-Year Treasury |
(0.06) |
