We’ve only had two entries so far in the year-end contest. Both are good attempts to explain why 30-year swaps yield less than 30-year Treasuries.
Today’s negative spread, for those keeping score, is just over 16 basis points. Put in perspective, that’s a 3-point difference in price for today’s Long Bond.
I still have to wonder why a 30-year 4.375% Treasury bond would sell for 97, yet a 4.375% 30-year “bond” issued by a bank would be worth par.