Sentences with phrase «swap spreads moved»
10 year swap spreads moved out 2 basis points, which is more notable when they usually tighten when yields fall, due to mortgage hedging.
http://alephblog.com/ Not exact matches
Consistent with this, spreads between corporate bond yields and swap rates have moved much more in line with CDS than have spreads between corporate bonds and CGS.
Given the smaller move down in T - bill yields, 14 basis points, that would leave the TED spread at 132 basis points, which is still quite high, and higher than the 10 - year swap spread.
But when the drivers move, which in this case is one correlated driver, credit stress (30 - year swap & junior bank spreads go a lot higher), the volatilities are very different, the first one being high and the second one low.
10 - year swap spreads are 12 basis points below where they peaked a month ago, and 10 - year swap rates, which serve as a proxy for prime 30 - year mortgage rates, are 35 basis points below their 18 - month moving average.
Canadian credit spreads going forward will be more open to influences from foreign markets and will increasingly move with swap spreads and the Canadian dollar.
The spread narrowing was even more pronounced for the riskier tranches of the two transactions, which moved in to swaps plus 125 basis points.