The difference between the two-year swap rate and the benchmark T-note yield - the swap spread -...

|By:, SA News Editor

The difference between the two-year swap rate and the benchmark T-note yield - the swap spread - narrowed to 94.5 BPs from 112.25 yesterday after the Fed's $800B pledge to unfreeze credit markets. The 17% drop is the biggest one-day decline since September 2003.