Treasuries closed mixed on Friday, with the yield curve steepening as short-end yields fell by about 1 basis point while intermediate to long-end yields rose 2-3 basis points.
As swaps underperformed Treasuries, long-end swap spreads widened, indicating that convexity-related swap fixed-rate payments may have pushed yields higher.
After US stocks declined, led by Nasdaq 100 constituents, short-end Treasuries reversed earlier losses.
Shortly after 3pm New York time, the spread between 2-year and 10-year Treasury yields widened by more than 3 basis points, with the 10-year yield around 5.15%, up about 2.5 basis points on the day, after earlier breaking above 5.17%, the first time since October 14.
Dollar swap spreads closed near intraday highs, led by the long end, widening nearly 2 basis points on Friday after widening 1.5 basis points on Thursday, indicating demand for fixed-end payments.
OIS tied to Fed meeting dates closed little changed, pricing in about 28 basis points of tightening at the December policy meeting.
At 4:23pm New York time, the US 2-year Treasury yield fell 2.2 basis points to 4.8589%; the US 5-year Treasury yield was little changed at 4.9706%; the US 10-year Treasury yield rose 1.4 basis points to 5.1413%; the US 30-year Treasury yield rose 2 basis points to 5.472%; the spread between the US 5-year and 30-year Treasury yields rose about 2 basis points to 49.96 basis points; the spread between the US 2-year and 10-year Treasury yields rose about 3.7 basis points to 28.03 basis points; and US 10-year Treasury futures fell 0.2%.
Comments