Credit Market Report February 8, 2010
U.S. Treasury prices rose across all maturities on Friday sending yields lower as the U.S. economy continued to lose jobs and concern over fiscal imbalances in some European Union members fueled a fresh move of assets from stocks to U.S. debt. The Labor Department said Friday that employers cut 20,000 jobs in January after a revised loss of 150,000 jobs in December. Traders are also worried that the fiscal problems facing Greece, Portugal and Spain could hinder economic growth in Europe and stifle the fragile recovery there. This week, the government will sell $40 billion in 3-year notes, $25 billion in 10-year notes and $16 billion in 30-year bonds.

Treasury Rates are as of late-afternoon February 5, 2010 as reported in the Wall Street Journal.

Fixed Rate Indices 
Maturity Coupon Yield
2-year...........1/12.........0 7/8%.........0.7514%
5-year...........1/15.........2 2/8%.........2.2133%
10-year........11/19.........3 3/8%.........3.5423%
30-year........11/39.........4 3/8%.........4.4923%

Floating Rate Indices
30-day LIBOR.................................0.22844%
90-day LIBOR.................................0.24969%
Six-month LIBOR............................0.38500%
1 Year LIBOR..................................0.83750%

Rates in the London market based on quotations at 16 major banks for February 5, 2010.

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

Spread Markets
2-year SWAP Spreads................................33.11 bps
2-year SWAP Rate......................................1.0825
5-year SWAP Spreads................................37.37 bps
5-year SWAP Rate......................................2.5870
10-year SWAP Spreads..............................13.47 bps
10-year SWAP Rate....................................3.6770

As reported by Bloomberg 2.08.2010 9:50 AM EST

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