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Thursday, February 16

Some Spreads

T Curving 30 10 7 3 2 1 6mo 3mo 2yr spreads

Series T Curving 30 10 7 3 2 1 6mo 3mo (30,10: -2yr & ff -mortg) (Scale)
Size
Period ƒ(x)
1 GS11-Year Treasury Constant Maturity Rate 5 SolidM %
2 GS6M6-Month Treasury Constant Maturity Rate 5 SolidM %
3 MORTG30-Year Conventional Mortgage Rate 5 SolidM %
4 GS3030-Year Treasury Constant Maturity Rate 5 SolidM %
5 GS1010-Year Treasury Constant Maturity Rate 4 SolidM %
6 FF-MORTGFed Funds - 30yr Conventional Mortgage Rate4 DashedM %
7 GS3M3-Month Treasury Constant Maturity Rate 2 SolidM %
8 GS77-Year Treasury Constant Maturity Rate 4 SolidM %
9 GS33-Year Treasury Constant Maturity Rate 3 SolidM %
10 GS22-Year Treasury Constant Maturity Rate 3 SolidM %
11 DGS10-DGS210 yr - 2 yr 4 DottedM %
12 DGS30-DGS230 yr -2 yr 4 DashedM %

‡ The underlying chart, linked below the image above, does not use any symbols, has generally thinner lines, and covers many more years than the 15+ shown here.

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