Not only did dollar swap spreads penetrate yet new highs this week, but the market traded in a very wide range. The top of the market was about 143bps over the 6.50% February 2010 Treasury, while yesterday (Thursday) it was testing new lows at around 127bps over the note. Mid-week, the mid-market at five year swaps was more than 100bp over the 5.875% November 2004 Treasury. Some New York traders suggested that this extreme volatility had left blood on the streets. But although it is inevitable that swings of this magnitude will leave some houses on the wrong side of the market, the scale of the losses is a matter of debate.
April 14, 2000
