The one month bill has rallied by about 20 basis points this morning and earlier it was as much as 40 basis points lower. The 2year note is leading a curve steepening move which has 2 year/10 year about 5 basis points wider than it was at the open. The spread currently is around 140 basis points. Swap spreads were several basis points tighter at the start but are wider now. With the rally in the 2year treasury note 2 year swap spreads are wider by 4 ½ basis points. Spreads in the 5year and 10 year sector are wider by a basis point.

As I complete this a bill trader reports that the short bills are surrendering more of the gains they had achieved earlier. The reason is that the Treasury just announced that they will auction $34billion one month bills tomorrow.