Credit Market Report

 April 28, 2017

10-year Treasury yield slips below 2.30% as ECB leaves policy unchanged: Treasury prices rose, and yields fell, on Thursday as European Central Bank inaction and upbeat remarks from ECB President Mario Draghi stoked demand for eurozone government paper and U.S. Treasury notes.

Influencing Factors:

  • Draghi said he saw “diminished” downside risks to the eurozone economy, his remarks coming after the ECB, as expected, said it would keep interest rates unchanged and its asset-purchasing program intact.
  • The yield on the German 10-year benchmark government bond, also known as the bund slipped 5.8 basis points and its French equivalent fell 6.5 basis points in response, as investors’ hope for hints of an early unwind of the central bank’s quantitative easing were disappointed.
  • Yields moved lower in the wake of the tax plan highlights announced Wednesday by the Trump administration. Treasury Secretary Steven Mnuchin and National Economic Council Director Gary Cohn said the White House would slash the top corporate tax rate to 15% from 35% and move toward a “territorial” corporate tax that would only ding profits earned within the U.S. away from a world-wide system. Other measures discussed included a repeal of the alternative minimum tax.

Fixed Rate Indices

Maturity Coupon Yield Change
2-year... 03/19 1 2/8% 1.262%    ( - )
5-year... 03/22 1 7/8% 1.821%    ( - )
7-year 03/24 2 1/8% 2.101%

   ( - ) 

10-year 02/27 2 2/8% 2.298%    ( - )
30-year 02/47 3 0/8% 2.967%    ( - )
Treasury Rates are as of 04-27-2017 as reported by The Wall Street Journal.

Prime Rate

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

Floating Rate Indices

30-day LIBOR..... 0.99500%
90-day LIBOR..... 1.16956%
6-month LIBOR... 1.43044%
1-year LIBOR...... 1.77650%

London Interbank Offered Rates are as of 04-27-2017 as reported by The Wall Street Journal.

Spread Markets

Maturity Spreads Rate
2-year SWAP.... 30.60 bps 1.5680%
5-year SWAP.... 11.80 bps 1.9390%
7-year SWAP....  -0.30 bps 2.0980%
10-year SWAP... -3.30 bps 2.2650%

SWAP Rates are as of 04-27-2017 as reported by ©