Credit Market Report March 10, 2010
U.S. Treasury prices rose across all maturities but the long dated 30-year bond, sending yields mostly lower. Treasury prices pushed yields down from their highest levels in two weeks as the government’s sale of 3-year debt received strong demand. The Treasury Department sold $40 billion in 3-year notes at a yield of 1.437%, a little lower than traders had anticipated. Bidders offered to buy 3.13 times the amount of debt being sold, the second strongest demand since the government resumed selling the security in 2003. Investors fled toward the safety of government debt after credit ratings agency Fitch Ratings said Portugal may be downgraded if its debt consolidation is insufficient. The warning reminded investors of the sovereign debt issues in the region, even as worries over Greece have eased recently. The Treasury Department is scheduled to sell $21 billion in 10-year notes today, followed by $13 billion in 30-year bonds on Thursday.

Treasury Rates are as of late-afternoon March 9, 2010 as reported in the Wall Street Journal.

Fixed Rate Indices 
Maturity Coupon Yield
2-year............2/12.........0 7/8%.........0.8491%
5-year............2/15.........2 3/8%.........2.3381%
10-year..........2/20.........3 5/8%.........3.6986%
30-year..........2/40.........4 5/8%.........4.6765%

Floating Rate Indices
30-day LIBOR.................................0.23000%
90-day LIBOR.................................0.25550%
Six-month LIBOR............................0.39438%
1 Year LIBOR..................................0.85875%

Rates in the London market based on quotations at 16 major banks for March 9, 2010.

Prime..............................3.25%
Last Effective Change: 12.16.08  

Spread Markets
2-year SWAP Spreads................................26.49 bps
2-year SWAP Rate......................................1.1140
5-year SWAP Spreads................................29.54 bps
5-year SWAP Rate......................................2.6335
10-year SWAP Spreads..............................5.96 bps
10-year SWAP Rate....................................3.7585


As reported by Bloomberg 3.10.2010 9:30 AM EST  

Researched by:
Christopher S. Carroll
Managing Director, Capital Markets 
Christopher K. Ferguson
Vice President, Capital Markets
Brandon A. Gorge
Analyst, Capital Markets