Updated 4:00am ET August 10, 2020
U.S. Treasury yield spreads saw limited movement for the second week in a row, as the 2s10s spread remained at 44 bps while the 2s30s spread expanded by a basis point to 110 bps. The spreads remained little changed as Treasuries of all tenors recorded modest losses.
Corporate spreads tightened for the sixth week in a row with the high yield spread compressing by 13 bps to 535 bps while the investment grade spread tightened by seven basis points to 101 bps. The high yield spread narrowed by six basis points to 548 bps while the investment grade spread tightened by a basis point to 108 bps. The investment grade spread has returned to levels from the end of February while the high yield spread remains at levels from the start of March.
The yield spread between Germany's 10-yr bund and the U.S. Treasury 10-yr note remained at -112 bps.
The 5y5y forward rate rose two basis points to 1.73%, inching to a fresh five-month high. The inflation gauge has climbed 21 bps off its July low, but it remains 15 bps below its high from early January.
The fed funds futures market does not expect any changes to the fed funds rate range over the next year.