Credit Market Report

March 27, 2017

Treasury yields fall for 2nd week as Trump fails to muster support for health-care bill: Treasury yields declined on Friday, cementing their second-straight weekly drop, as recalcitrant House Republicans handed President Donald Trump his first major political defeat by refusing to support his bill to repeal and replace Obamacare.

Influencing Factors:

  • Friday’s drop topped off a sharp weekly drop for Treasury yields, which rise as prices fall. Both the two- and 30-year Treasurys cemented their largest weekly gain since the summer. For the 10-year, it was the largest in a month. Yields have now fallen for two consecutive weeks.
  • Treasury yields shot higher after Trump’s victory in the Nov. 8 election as investors hoped he would swiftly implement a purportedly pro-business agenda, including corporate tax cuts, deregulation and infrastructure spending.
  • But health-care reform, which many had believed would pass relatively easily given that the GOP holds majorities in the House and Senate, is proving more challenging. “Investors were probably thinking this was going to happen a little quicker,” said Charlie Ripley, assistant vice president of capital markets and trading at Allianz Investment Management.

Fixed Rate Indices

Maturity Coupon Yield Change
2-year... 02/19 1 1/8% 1.248% ( - )
5-year... 02/22 1 7/8% 1.925% ( - )
7-year 02/24 2 1/8% 2.210%

( - ) 

10-year 02/27 2 2/8% 2.396% ( - )
30-year 02/47 3 0/8% 2.999% ( - )
Treasury Rates are as of 03-24-2017 as reported by The Wall Street Journal.

Prime Rate

Prime... 4.00%
Last effective change 3-16-2017

Floating Rate Indices

30-day LIBOR..... 0.98278%
90-day LIBOR..... 1.15128%
6-month LIBOR... 1.42711%
1-year LIBOR...... 1.80289%

London Interbank Offered Rates are as of 03-24-2017 as reported by The Wall Street Journal.

Spread Markets

Maturity Spreads Rate
2-year SWAP.... 36.90 bps 1.6170%
5-year SWAP.... 13.60 bps 2.0610%
7-year SWAP....   1.70 bps 2.2270%
10-year SWAP...  -0.40 bps 2.3920%

SWAP Rates are as of 03-24-2017 as reported by ©