Value In The Five Year Note - Tight 5s/10s And 5s/30s Because The Five Year Hasn't Caught Up Yet
I mentioned in December,
"I think the value is in the 5y note. You get 1.65% yield vs 2.77% on the 30 year."That was a spread of 112 basis points. Now the five year yields 1.57% and the 30 year yields 2.6%; the spread has decreased to 103 bps. An extra 25 years costs the treasury only 1% a year! How can they not be terming out all their debt right now?
Five year/ten year yield ratio.
Five year/thirty year yield ratio
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1 comment:
How would you suggest trading this CP? I'm willing to believe that the 5 yr has farther to fall in absolute yield than the 10 or 30 yr, but it's not obvious to me how you'd exploit that.
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