Swap Spreads

March 31st, 2014 10:48 am | by John Jansen |

Swap spreads are  1/2 basis point wider in 2s and and unchanged across the rest of the curve.

I think the Yellen speech is a case of requiescat in pacem for the ritualistic watching of the employment data at the beginning of the month. She provides a litany of other signposts that she and her colleagues are watching.

This speech must make those who hold casual positions short the curve somewhat nervous. We have seen some retracement already but I think that 5s 30s will revisit the 187 level which was key resistance on the way down. Her dovish cooing makes those trades far riskier than previously thought and even those still enamored of the concept (flattening) will prudently reduce some of that risk.

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