Credit Market Report

 July 21, 2017

Treasury yields steady as traders read Draghi remarks as dovish: Treasury yields on Thursday ended little changed, in an up-and-down session, after the European Central Bank kept its policy stance unchanged, but emphasized that it could increase the size and scope of its bond-buying program to help the eurozone reach an elusive inflation target.

Influencing Factors:

  • “If the outlook becomes less favorable, or if financial conditions become inconsistent with further progress towards a sustained adjustment in the path of inflation, we stand ready to increase our asset purchase program in terms of size and/or duration,” said Draghi, in his introductory statement to the press.
  • Given that Treasurys have outperformed bunds for most of the year, it was natural that some “give back” would put a floor on how much yields could fall, said Tom Tucci, head of Treasurys trading at CIBC World Markets. Bunds often move in lockstep with Treasurys as they share similar characteristics. Both are highly liquid and viewed as haven assets, but their yields diverged after the ECB began its bond-buying program in 2014, at the same time as the Fed was on an early path to winding down its accommodative posture.
  • The number of Americans who applied for unemployment benefits sank in mid-July and hovered near a 44-year low, reflecting the healthiest jobs market in more than a decade.

Fixed Rate Indices

Maturity Coupon Yield Change
2-year... 06/19 1 1/4% 1.360%   ( + )
5-year... 06/22 1 3/4% 1.825%   ( + )
7-year 06/24 2 % 2.080%

  ( + )

10-year 05/27 2 3/8% 2.266%   ( + )
30-year 05/47 3 % 2.838%   ( - )
Treasury Rates are as of 07-20-2017 as reported by The Wall Street Journal.

Prime Rate

Prime... 4.25%
Last effective change 6-15-2017

Floating Rate Indices

30-day LIBOR..... 1.22722%
90-day LIBOR..... 1.31250%
6-month LIBOR... 1.45600%
1-year LIBOR...... 1.73789%

London Interbank Offered Rates are as of 07-20-2017 as reported by The Wall Street Journal.

Spread Markets

Maturity Spreads Rate
2-year SWAP.... 23.70 bps 1.5970%
5-year SWAP.... 7.80 bps 1.9030%
7-year SWAP.... -2.90 bps 2.0510%
10-year SWAP... -3.90 bps 2.2270%

SWAP Rates are as of 07-20-2017 as reported by the Wall Street Journal.