This was not supposed to happen. The spread between the 2Y Treasury yield (which is soaring 7bps today) and 10Y (higher by 3bps) has plunged back below 120bps. The current cliff-edge has been support for the curve four times in the last 8 years but with GC rates blowing out to decade highs, one wonders if the size of the moves means we break to new regime lows.
2Y blew higher in yield (and rest of curve catching up now)...
[6]
Which sent 2s10s to 8 year flats...
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2Y notes are trading -2.5% (extremely special) in repo and furthermore, Stone & McCarthy noted, the overnight general collateral rate is at 0.55% this morning, up from yesterday and the highest that it has been in over 7 years. The GC rate has exceeded 30 basis points since the fed rate hike.
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Highest "since Lehman"
Charts: bloomberg
