This month bankers had expected to see voluminous new issuance in the dollar swap market, with consequent contraction in spread levels. In fact, the first week of the new month proved largely uneventful in this department, and swap spreads climbed gradually during the week. By the close of trading in New York yesterday (Thursday), the two year swap spread was at 34bp, the five year was at 55bp and the 10 year was at 54.75bp. Five and 10 year prices are around 2.5bp wider than a week ago.
September 06, 2002