Updated 4:00am ET May 26, 2020
It was a mixed week for interest rate spreads, as Treasury yield spreads saw limited movement while corporate spreads narrowed significantly. The 2s10s spread widened by a basis point to 49 bps while the 2s30s spread widened by four basis points to 120 bps.
Corporate spreads narrowed significantly as overall risk tolerance continued improving while crude oil continued its rally. The high yield spread narrowed by 60 basis points to 704 bps while the investment grade spread narrowed by 20 basis points to 158 bps. These spreads are now back to levels from early March.
The yield spread between Germany's 10-yr bund and the U.S. Treasury 10-yr note increased by three basis points to -114 bps.
The 5y5y forward rate ticked up one basis point to 1.44%. The inflation gauge remains 41 basis points below this year's high, pointing to continued expectations for disinflation.
The fed funds futures market does not expect any changes to the fed funds rate range over the next year.