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Thursday, May 7, 2009

"Maturity Premium" Approaching 20 Year High

Across the Curve details:

The 2 year/10 year spread has reached 225 basis points. That is approaching the very wide end of the range which has prevailed for that spread for the lat three decades. So a little history.

The cycle wide in this market iteration was achieved in November when it touched 261 basis points.

The 2year/30 year spread currently sits at about 318 basis points. In 2004 it peaked at 364 basis points.

Returning to the fixed income markets, I think that the record spreads which I have cited are in peril aas the market cchokes on the burden of supply from the Treasury.