Market Update
Inside:
- In the Markets
02/13/08
Amid heightened uncertainty about the economic and financial market outlook, a large number of financial market participants have spent the last several months accumulating significant short positions in credit products. - Economic Comment
04/30/08
As expected, the Federal Reserve reduced the funds rate by 25 basis points to 2%. Also, as expected, the statement that accompanied this move reinforced the notion that the Fed is ready to step to the sidelines while they assess the impact on the economy of fiscal and monetary stimulus applied to date. - Monthly Economic Chartbook
- Week Ahead Economic Calendar
- FOMC Meeting Summary
Benchmark Yields and Spreads
| as of Friday, May 9, 2008 | |||||||
|---|---|---|---|---|---|---|---|
| US Treasury Yields | 3-Mo | 6-Mo | 2-yr | 5-yr | 10-yr | 30-yr | |
| Current | 1.68 | 1.74 | 2.24 | 2.97 | 3.77 | 4.52 | |
| 1 Week Ago | 1.50 | 1.68 | 2.45 | 3.18 | 3.86 | 4.58 | |
| Change (bps) | 18 | 6 | -21 | -22 | -9 | -6 | |
| 4 Weeks Ago | 1.18 | 1.39 | 1.74 | 2.57 | 3.47 | 4.30 | |
| Change (bps) | 50 | 35 | 50 | 39 | 30 | 22 | |
| 12 Weeks Ago | 2.19 | 2.06 | 1.91 | 2.76 | 3.77 | 4.58 | |
| Change (bps) | -50 | -33 | 33 | 21 | 0 | -5 | |
| 1 Year Ago | 4.83 | 4.88 | 4.70 | 4.59 | 4.67 | 4.85 | |
| Change (bps) | -315 | -314 | -246 | -162 | -90 | -33 | |
| Spread Product | 2-yr | 3-yr | 4-yr | 5-yr | 10-yr | ||
| Treasury Yield Curve | 2.24 | 2.48 | 2.72 | 2.97 | 3.77 | ||
| US Swaps | 3.05 | 3.33 | 3.57 | 3.77 | 4.37 | ||
| Spread to Treasuries (bps) | 81 | 85 | 85 | 80 | 60 | ||
| US Swaps--1 Week Ago | 3.24 | 3.54 | 3.77 | 3.94 | 4.47 | ||
| Change (bps) | -19 | -21 | -19 | -18 | -10 | ||
| Spread Change | 2 | 0 | 2 | 4 | -1 | ||
| US Swaps--4 Weeks Ago | 2.57 | 2.87 | 3.15 | 3.39 | 4.12 | ||
| Change (bps) | 48 | 46 | 42 | 37 | 25 | ||
| Spread Change | -2 | 0 | -1 | -2 | -5 | ||
| Agency Debentures | 2.78 | 2.94 | 3.41 | 3.64 | 4.36 | ||
| Spread to Treasuries (bps) | 54 | 46 | 69 | 67 | 59 | ||
| Agency CMO PAC | 3.69 | 3.98 | 4.52 | 4.80 | 5.42 | ||
| Spread to Treasuries (bps) | 145 | 150 | 180 | 183 | 165 | ||
| AAA Credit Card ABS | 3.80 | 4.18 | 4.47 | 4.77 | 5.67 | ||
| Spread to Treasuries (bps) | 156 | 170 | 175 | 180 | 190 | ||
| AAA Auto Loan ABS | 4.20 | 4.93 | |||||
| Spread to Treasuries (bps) | 196 | 245 | |||||
| AAA Commercial MBS | 4.75 | 5.13 | 5.37 | 5.62 | 5.97 | ||
| Spread to Treasuries (bps) | 251 | 265 | 265 | 265 | 220 | ||
| AAA Home Equity ABS | 7.05 | 8.33 | 10.07 | 11.27 | 14.37 | ||
| Spread to Treasuries (bps) | 481 | 585 | 735 | 830 | 1060 | ||
| High-Grade Bank Debt | 4.29 | 4.58 | 4.82 | 5.02 | 5.62 | ||
| Spread to Treasuries (bps) | 205 | 210 | 210 | 205 | 185 | ||
| AAA Municipal Debt | |||||||
| MMD Benchmark Scale | 2.31 | 2.60 | 2.82 | 2.94 | 3.60 | ||
| AA GIC* | 3.29 | 3.71 | 3.96 | 4.36 | (Est.) | ||
| Spread to Treasuries (bps) | 105 | 123 | 124 | 139 | |||
| *Mid-market GIC yields, expressed as compound yield | |||||||
Market Update
RSS
- Yields and Spreads
- In the Markets
- Economic Comment
- Monthly Economic Chartbook
- Week Ahead Economic Calendar
- FOMC Meeting Summary
- Fixed Income Primers
- 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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