Credit Market Report February 2, 2012
U.S. Treasury prices came under pressure on Wednesday, pushing yields up from their lowest levels since October in response to a positive private-sector employment report.

ADP reported that employment in the nation’s private sector is improving at a moderate pace and added 170,000, the 24th consecutive month of gains. Despite the reading being below economists’ expectations of 182,000, investors still viewed the report as positive. The gains were led by small businesses and the service-providing sector. Markets look to ADP’s private-sector figures to provide some guidance on the U.S. Labor Department’s figures, which include private and public payrolls which will be released on Friday.

The Institute for Supply Management announced that its manufacturing index rose to 54.1% last month from a revised 53.1% in December, slightly less than economists’ forecast of 54.5%. Any reading above 50% indicates expansion. The new orders index, an indication of future demand, jumped 2.8 percentage points to 57.6%. The employment index, however, fell slightly to 54.3% from 54.8%, and the prices-paid gauge jumped to 55.5% from 47.5% to mark the first increase in four months. The price index measures the cost of raw materials. Nine of the 18 industries surveyed reported growth, led by apparel and petroleum producers.

This morning the Labor Department reported that last week’s unemployment claims fell 12,000 to a seasonally adjusted 367,000. The four-week average, a less volatile measure, dropped for the third straight week to 375,750, the second-lowest level since June 2008.

Treasury Rates are as of late-afternoon February 1, 2012 as reported in the Wall Street Journal.
 

Fixed Rate Indices
Maturity   Coupon       Yield
2-year............1/14..........0 2/8%.........0.215% 
5-year............1/17..........0 7/8%.........0.720% 
7-year............1/19..........1 2/8%.........1.273% 
10-year..........11/21........2 0/8%.........1.840%
30-year..........11/41........3 1/8%.........3.013% 

Floating Rate Indices 
30-day LIBOR.................................0.26400%
90-day LIBOR.................................0.53710%
Six-month LIBOR...........................0.77250%
1 Year LIBOR..................................1.09070%

Rates in the London market based on quotations at 16 major banks for  February 1 , 2012.

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

Spread Markets
2-year SWAP Spreads.................................28.55 bps
2-year SWAP Rate......................................0.4825
5-year SWAP Spreads..................................27.35 bps
5-year SWAP Rate......................................0.9642
7-year SWAP Spreads..................................20.85 bps
7-year SWAP Rate......................................1.4390
10-year SWAP Spreads................................12.60 bps
10-year SWAP Rate....................................1.9265
 

As reported by Bloomberg 2.2.2012 9:20 AM EST

Researched by: 
Christopher S. Carroll
Managing Director, Capital Markets

Christopher A. Kazmierski
Analyst, Capital Markets