Updated 5:00am ET January 11, 2021
U.S. Treasury yield spreads widened significantly during the first week of 2021. The 2s10s spread expanded by 19 basis points to 99 bps while the 2s30s spread widened by 21 basis points to 173 bps. The widening, which lifted the 2s10s spread to its highest level since mid-2017, took place as longer tenors underperformed significantly while shorter tenors resisted some of the selling.
Corporate spreads narrowed significantly, returning to their tightest levels since late 2018. The high yield spread narrowed by 24 basis points to 381 bps while the investment grade spread narrowed by a basis point to 68 bps.
The yield spread between Germany's 10-yr bund and the U.S. Treasury 10-yr note decreased by 20 basis points to -169 bps.
The 5y5y forward rate rose one basis point to 2.05% after marking a fresh swing high at 2.09%.
The fed funds futures market does not expect any changes to the fed funds rate range through at least September.