Updated: 03-03-2021

U.S. Treasury yield spreads widened significantly during the first half of the past week while Friday saw a pullback from this year's highs. The 2s10s spread widened by seven basis points to 130 bps while the 2s30s spread remained at 203 basis points. The expansion lifted the 2s10s spread to within five basis points of its high from 2016 while the 2s30s spread remained at its widest level since December 2015. The expansion in the 2s10s spread was fueled by continued economic optimism and more gains in energy prices.

Corporate spreads widened slightly after reaching multi-year lows. The high yield spread expanded by two basis points to 340 bps while the investment grade spread widened by five basis points to 67 bps.

The yield spread between Germany's 10-yr bund and the U.S. Treasury 10-yr note decreased by three basis points to -171 bps.

The 5y5y forward rate fell eight basis point to 1.91%, deepening its pullback from its highest level of the year.  

The fed funds futures market does not expect any changes to the fed funds rate range in 2021. 

2/26/2021 2/19/2021 Change
Fed Fund Futures Rate Prediction N/A N/A  N/A
10yr Treasury - 2yr Treasury  130 bps  123 bps +7 bps
High Yield - 10yr Treasury  340 bps  338 bps  2 bps
Corp A - 10 Year Spread  67 bps  62 bps  5 bps
10 yr Bund - 10 yr Treasury -171 bps -168 bps -3 bps
5yr, 5yr Forward Inflation Breakeven 1.91% 1.99% -8 bps

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