Wednesday, November 26, 2008

Some Swap Spread Normalization...

Bloomberg reports:

The difference between the two-year swap rate and the benchmark Treasury note yield, known as the swap spread, narrowed to 94.5 basis points from 112.25 yesterday. The 17 percent drop is the biggest one-day decline since September 2003. Swap spreads with maturities from three through 30 years were down between 8 basis points and 14 basis points.