Market Update
Inside:
- In the Markets
07/15/10
Here's a brief summary of what transpired in the economy and the financial markets during the past three months. We hope you'll find it a handy reference. - Monthly Economic Chartbook
- Week Ahead Economic Calendar
- FOMC Meeting Summary
Benchmark Yields and Spreads
| as of July 23, 2010 | ||||||||
|---|---|---|---|---|---|---|---|---|
| US Treasury Yields | 3-Mo | 6-Mo | 2-yr | 3-yr | 5-yr | 10-yr | 30-yr | |
| Current | 0.15 | 0.19 | 0.58 | 0.94 | 1.73 | 2.99 | 4.01 | |
| 1 Week Ago | 0.15 | 0.19 | 0.59 | 0.92 | 1.67 | 2.92 | 3.94 | |
| Change (bps) | 0 | 0 | 0 | 2 | 6 | 7 | 8 | |
| 4 Weeks Ago | 0.13 | 0.19 | 0.65 | 1.06 | 1.90 | 3.11 | 4.06 | |
| Change (bps) | 2 | 0 | -7 | -11 | -17 | -11 | -5 | |
| 12 Weeks Ago | 0.15 | 0.23 | 0.96 | 1.48 | 2.42 | 3.65 | 4.52 | |
| Change (bps) | -1 | -4 | -38 | -54 | -68 | -66 | -50 | |
| 1 Year Ago | 0.18 | 0.27 | 0.99 | 1.55 | 2.53 | 3.66 | 4.54 | |
| Change (bps) | -3 | -8 | -41 | -61 | -80 | -66 | -52 | |
| Spread Product | 2-yr | 3-yr | 4-yr | 5-yr | 10-yr | |||
| Treasury Yield Curve | 0.58 | 0.94 | 1.35 | 1.73 | 2.99 | |||
| US Swaps | 0.83 | 1.20 | 1.60 | 1.94 | 3.01 | |||
| Spread to Treasuries (bps) | 25 | 26 | 25 | 21 | 2 | |||
| US Swaps--1 Week Ago | 0.83 | 1.17 | 1.56 | 1.90 | 2.94 | |||
| Change (bps) | 1 | 3 | 4 | 4 | 7 | |||
| Spread Change | 1 | 1 | 0 | -2 | 0 | |||
| US Swaps--4 Weeks Ago | 1.02 | 1.41 | 1.81 | 2.18 | 3.18 | |||
| Change (bps) | -19 | -20 | -21 | -24 | -16 | |||
| Spread Change | -12 | -9 | -8 | -7 | -5 | |||
| Agency Debentures | 0.72 | 1.15 | 1.77 | 1.99 | 3.23 | |||
| Spread to Treasuries (bps) | 14 | 21 | 42 | 26 | 24 | |||
| Agency CMO PAC | 1.66 | 2.03 | 2.41 | 2.77 | 3.84 | |||
| Spread to Treasuries (bps) | 108 | 109 | 106 | 104 | 85 | |||
| AAA Credit Card ABS | 0.98 | 1.44 | 1.86 | 2.24 | 3.46 | |||
| Spread to Treasuries (bps) | 40 | 50 | 51 | 51 | 47 | |||
| AAA Auto Loan ABS | 1.00 | 1.40 | ||||||
| Spread to Treasuries (bps) | 42 | 46 | ||||||
| AAA Commercial MBS | 2.48 | 3.65 | 4.10 | 4.54 | 6.66 | |||
| Spread to Treasuries (bps) | 190 | 271 | 275 | 281 | 367 | |||
| AAA Home Equity ABS | 8.68 | 9.94 | 12.15 | 14.53 | 16.99 | |||
| Spread to Treasuries (bps) | 810 | 900 | 1080 | 1280 | 1400 | |||
| High-Grade Bank Debt | 1.68 | 2.24 | 2.70 | 3.19 | 4.19 | |||
| Spread to Treasuries (bps) | 110 | 130 | 135 | 146 | 120 | |||
| AAA Municipal Debt | ||||||||
| MMD Benchmark Scale | 0.42 | 0.64 | 0.87 | 1.30 | 2.57 | |||
| AA GIC* | 1.71 | 2.49 | 3.04 | 3.52 | (Est.) | |||
| Spread to Treasuries (bps) | 113 | 155 | 169 | 179 | ||||
| *Mid-market GIC yields, expressed as compound yield | ||||||||
Market Update
RSS
- Yields and Spreads
- In the Markets
- Monthly Economic Chartbook
- Week Ahead Economic Calendar
- FOMC Meeting Summary
- Glossary of Bond Terms
Courtesy of SIFMA - Glossary of Economic Terms
Courtesy of the U.S. Bureau of Economic Analysis - Related Links
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