Credit Market Report September 3, 2010
U.S. Treasury prices fell across all but the shortest dated maturities on Thursday sending yields mostly higher. Treasury prices fell yesterday following the auction of $10 billion in ten-year Treasury Inflation-Protected Securities and a slight decline in weekly jobless claims data. The Labor Department reported first-time filings for state unemployment benefits fell by 6,000 to 472,000 in the latest week. The Labor Department also reported this morning that the U.S. economy shed 54,000 nonfarm jobs in August, a much slower decline than economists anticipated as the health care and temporary staffing industries expanded. Yesterday, the government also revised its second-quarter business productivity estimate lower, to a decline of 1.8% from 0.9% initially. In other economic data, the National Association of Realtors reported pending home sales rose 5.2% in July. The increase in pending home sales was much better than the 1% decline economists had expected but sales are still down 19.1% from year-ago levels.

Treasury Rates are as of late-afternoon September 2, 2010 as reported in the Wall Street Journal.

Fixed Rate Indices
2-year............8/12.........0 3/8%.........0.4934%
5-year............8/15.........1 2/8%.........1.4208%
10-year..........8/20.........2 5/8%.........2.6267%
30-year..........8/40.........3 7/8%.........3.7218%

Floating Rate Indices 
30-day LIBOR.................................0.25781%
90-day LIBOR.................................0.29438%
Six-month LIBOR............................0.49563%
1 Year LIBOR..................................0.83913%

Rates in the London market based on quotations at 16 major banks for September 2, 2010.

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

Spread Markets
2-year SWAP Spreads................................22.22 bps
2-year SWAP Rate......................................0.7156
5-year SWAP Spreads................................30.43 bps
5-year SWAP Rate......................................1.7251
10-year SWAP Spreads................................10.94 bps
10-year SWAP Rate....................................2.7361

As reported by Bloomberg 9.3.2010 9:45 AM EST

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