The US Treasury yield curve flattens bearishly and swap spreads widen slightly as the market wavers between hopes of a ceasefire and Trump's final ultimatum.

汇通财经2026/04/06 12:54

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Swap spreads opened slightly wider on Monday, except for the 2-year, as swaps lagged the bear-flattening movement of the yield curve. US Treasuries rebounded slightly from the Tokyo session lows due to hopes of a US-Iran ceasefire, then turned lower amidst some directional paying flows in the market.
Due to the quiet period ahead of earnings season potentially suppressing investment-grade bond issuance, the upward movement of swap spreads should be limited. However, starting April 13, major banks and financial companies will begin releasing first-quarter results and subsequently issuing bonds. These borrowers tend to hedge via swaps, and trading-related swap flows may be skewed toward the receiver side.
SOFR futures opened mixed before declining alongside the front-end spot market. Most London and continental European markets were closed for Easter Monday, so US Treasury trading was limited to the Tokyo session. Yields opened mixed, and as US session trading picked up, the yield curve shifted from a slight steepening to a modest flattening.
During the Tokyo session, US Treasuries extended Friday's post-strong-nonfarm-payrolls sell-off. Bear-steepening of the JGB curve ahead of the 30-year Japanese government bond auction prompted spillover selling. Rising oil prices, a weaker yen, and fiscal expansion concerns pushed the 10-year JGB yield to its highest level since 1999. In the US session, Treasuries rebounded from lows on news of 45-day ceasefire negotiations, but with Trump starting a countdown to attack Iranian civilian infrastructure, the market remained tense.
Dealers took advantage of the rebound to hedge for this week’s $119 billion in Treasury supply, driving yields higher and the curve flatter across the board: the 2-year yield closed at 3.871%, up 1.9 basis points; the 10-year yield at 4.360%, up 1.4 basis points; the 2-year/10-year spread narrowed to 48.94 basis points. US equity index futures rose, the dollar held steady, and oil and gold fell on the ceasefire reports.

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The US Treasury yield curve flattens bearishly and swap spreads widen slightly as the market wavers between hopes of a ceasefire and Trump's final ultimatum.

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