US SWAPS-2-year spread tightest since Aug 2007
NEW YORK Jan 8 (Reuters) - The spread on U.S. two-year interest rate swaps contracted on Thursday to their tightest level since August 2007, amid falling interbank lending costs and improving risk appetite.
The yield premium on two-year swap over Treasuries was last quoted at 58.75 basis points, compared with 62.75 basis points late Wednesday.
Two-year swap spread, which narrows with increased investor confidence, hit a record wide above 160 basis points in early October at the height of the credit crisis. (Reporting by Richard Leong; Editing by Theodore d'Afflisio)
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