Tribal Cap, 2yr Spreads WOW, Rarefied Air!!

Swap spreads continue to ramp tighter and are negative 7yrs and beyond - 5s are barely positive. The tightest level 2s have ever closed at was +4bpts on 2/26/16. That all time tight print coincided with the near cycle low yield in 2yr rate and over the next year and a half, 2yr rate went from 0.7166% all the way up to 3.15% last Nov. We are just about 1.5bpts away from that all time tight print now but this time 2yr rate is 2.3107%.

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