The Fed Is Ready To Start Digging Out Of Avalanche

Interest rate swap spreads have gone ballistic this month, a sign that things are not well across the eurodollar’s world. And that’s putting it mildly. The 10-year spread which compares the rate for receiving/paying fixed on a 10-year interest rate swap with the 10-year nominal US Treasury yield sunk to a record low, at least for these instruments where the floating side is based on term SOFR (prior to June 30 they had for decades been benchmarked to LIBOR).