Mortgage Spreads: Fannie Mae 30 Year versus 10 Year Treasury Notes

I took a look today at the current mortgage spread, comparing the Fannie Mae 30 Year Net Required Yield versus the Treasury's 10 Year Note Yield.


What is interesting is that spreads have actually been coming down. I had made some comments to clients during the week, before looking at the data, that spreads were being stubborn, and not really coming down. I was wrong, based on the data from Fannie Mae.

The data is daily data from December 3, 2007 to December 17, 2008.



Spread Data: (Fannie Mae 30 Year Net Required Yield - 10 Year Treasury Note)
December 3, 2007 to December 17,2008

Average Spread: 2.099%

+ 2 Standard Deviations: 2.551%

- 2 Standard Deviations: 1.647%

Maximum Spread: 2.73947% - 11/20/08

Minimum Spread: 1.57615% - 01/23/08