Credit Market Report July 29, 2010
U.S. Treasury prices rose across all maturities on Wednesday sending yields higher. Government debt rose following strong demand at the five-year note auction, and another report highlighted the uphill struggle facing the U.S. economy. The Treasury Department sold $37 billion in five-year notes at a yield of 1.796%. Bidders offered to buy 3.06 times the amount of debt sold, marking the highest bid-to-cover ratio since 3.11 at the August 2006 sale. Appetite for Treasuries had been firm early in the day after the Commerce Department reported durable goods orders posted an unexpected pullback in June. June orders for U.S. made durable goods declined 1%, while economists were forecasting a 1% increase. The drop in total orders was the largest in nearly a year, the government said. The solid demand at the two- and five-year Treasury note auctions this week has market participants optimistic about the government’s final auction of the week, a sale of $29 billion in seven-year Treasury securities Thursday afternoon.

Treasury Rates are as of late-afternoon July 28, 2010 as reported in the Wall Street Journal.

Fixed Rate Indices
Maturity Coupon Yield
2-year............7/12.........0 5/8%.........0.6132%
5-year............6/15.........1 7/8%.........1.7070%
10-year..........5/20.........3 4/8%.........3.0030%
30-year..........5/40.........4 3/8%.........4.0708%

Floating Rate Indices 
30-day LIBOR.................................0.31563%
90-day LIBOR.................................0.47500%
Six-month LIBOR............................0.68793%
1 Year LIBOR..................................1.06438%

Rates in the London market based on quotations at 16 major banks for July 28, 2010.

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

Spread Markets
2-year SWAP Spreads................................16.4 bps
2-year SWAP Rate......................................0.7772
5-year SWAP Spreads................................17.76 bps
5-year SWAP Rate......................................1.8846
10-year SWAP Spreads................................0.03 bps
10-year SWAP Rate....................................3.0060

  
As reported by Bloomberg 7.29.2010 9:35 AM EST

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