Credit Market Report July 2, 2009
U.S. Treasury ended mixed on Wednesday as yields fell across the shorter-dated maturities but rose along the longer-dated 10-year and 30-year notes. The two- and three-year Treasury notes, the most sensitive to interest-rate expectations, were energized after San Francisco Federal Reserve Bank President Janet Yellen said that the federal funds rate could stay near 0% for a while. Ms. Yellen said that she believed the Fed’s top concern should be to stimulate the economy, despite some signs of improvement. Long-term Treasuries were under pressure as investors anticipated the next round of supply from the government next week. Today, the Treasury will announce the size of next week’s auction of three and ten-year notes. Rising risk appetite at the start of the new quarter was also feeding into longer-term Treasuries’ downturn. The Labor Department will report on nonfarm payroll growth for June today. The government bond market will be closed on Friday for the July 4th holiday.

Treasury Rates are as of late-afternoon July 1, 2009 as reported in the Wall Street Journal.  

Fixed Rate Indices 
Maturity Coupon Yield
2-year..........06/11.........1 1/8%.........1.0496%
5-year..........06/14.........2 5/8%.........2.5161%
10-year........05/19.........3 1/8%.........3.5443%
30-year........05/39.........4 2/8%.........4.3417%

Floating Rate Indices 
30-day LIBOR.................................0.30625%
90-day LIBOR.................................0.58750%
Six-month LIBOR............................1.09125%
1 Year LIBOR..................................1.59000%

Rates in the London market based on quotations at 16 major banks for July 1, 2009.

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

Spread Markets 
2-year SWAP Spreads................................33.44 bps
2-year SWAP Rate......................................1.3840
5-year SWAP Spreads................................33.74 bps
5-year SWAP Rate......................................2.8535
10-year SWAP Spreads................................17.72 bps
10-year SWAP Rate......................................3.7215

As reported by Bloomberg 7.2.2009 9:25 AM EST

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