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Level II
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Derivatives
Derivatives
Medium
US 30-year swap spreads have recently turned negative. The most likely explanation is:
A
Heavy Treasury supply combined with regulatory constraints on dealer balance sheets makes Treasuries relatively more expensive to hold than swaps.
B
The credit quality of swap counterparties has improved to exceed that of the US government.
C
Reduced demand for long-dated interest rate swaps has pushed swap rates below Treasury yields.
D
Central bank quantitative tightening has directly compressed swap rates below Treasury yields.
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Tags
#swap-spread
#negative-swap-spread
#treasury-supply
#regulation
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