Jun. 29, 2009 (Action Economics) --

U.S. swap spreads have widened out 2-3 basis points to start the week, underperforming mortgages in what appears to be a technical month-end move given the large MBS index extensions mentioned earlier. The 10-year swap spread jumped from the +19 bp (mid) area to +21.5 bp before pulling back to +20.5 bp. Likewise, 2-year swap spreads jumped from +36 bp (mid) to +38.75 bp before stalling. This doesn't seem to be any verdict on AAA credit risk per se, with the UBS risk index falling to -0.40 and the VIX equity vol index hitting the 25.0 pre-Lehman levels.