Credit Market Report

 May 22, 2017

Treasury yields suffer largest weekly fall in a month, as stocks stage a rebound: Treasury yields mostly rose on Friday to snap a weeklong slump after a surge in equities offset New York Federal Reserve President James Bullard’s comments suggesting the central bank could rein in its “aggressive” monetary-tightening schedule in light of weak economic data.

Influencing Factors:

  • In the past week, bonds have mostly rallied as analysts feel controversy swirling around the White House may prevent Trump from delivering on a raft of fiscal stimulus policies, which would buoy inflation and hurt the value of bond’s fixed payments. President Donald Trump is fighting back against allegations that members of his election campaign interacted with Russian officials.
  • “Markets are repricing as the odds of a tax-reform bill are falling. They are surmising that the Trump economic agenda is now injured. They see Congress as likely to be bogged down in investigations and hearings. They see business persons and investors going to the sidelines because they do not know what the new rules will be,” said David Kotok, chief investment officer of Cumberland Advisors, in a Friday research note.
  • But yields pared back in late afternoon trading after reports from the Washington Post showed the Russian probe had reached a senior White House official, a sign that the Federal Bureau Investigation’s inquiry could extend to Trump’s inner circle.

Fixed Rate Indices

Maturity Coupon Yield Change
2-year... 03/19 1 2/8% 1.278%    ( + )
5-year... 03/22 1 7/8% 1.787%    ( + )
7-year 03/24 2 1/8% 2.053%

   ( + ) 

10-year 02/27 2 2/8% 2.243%    ( + )
30-year 02/47 3 0/8% 2.904%    ( - )
Treasury Rates are as of 05-19-2017 as reported by The Wall Street Journal.

Prime Rate

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

Floating Rate Indices

30-day LIBOR..... 1.01711%
90-day LIBOR..... 1.18644%
6-month LIBOR... 1.41517%
1-year LIBOR...... 1.72289%

London Interbank Offered Rates are as of 05-19-2017 as reported by The Wall Street Journal.

Spread Markets

Maturity Spreads Rate
2-year SWAP....   24.30 bps 1.5210%
5-year SWAP....     6.80 bps 1.8550%
7-year SWAP....    -4.40 bps 2.0090%
10-year SWAP...    -7.00 bps 2.1730%

SWAP Rates are as of 05-19-2017 as reported by the Wall Street Journal.