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 August 27, 2010 | ||||||||
|---|---|---|---|---|---|---|---|---|
| US Treasury Yields | 3-Mo | 6-Mo | 2-yr | 3-yr | 5-yr | 10-yr | 30-yr | |
| Current | 0.14 | 0.18 | 0.55 | 0.81 | 1.49 | 2.65 | 3.69 | |
| 1 Week Ago | 0.15 | 0.18 | 0.49 | 0.77 | 1.45 | 2.61 | 3.66 | |
| Change (bps) | -1 | 0 | 6 | 5 | 4 | 3 | 3 | |
| 4 Weeks Ago | 0.14 | 0.19 | 0.55 | 0.82 | 1.60 | 2.91 | 3.99 | |
| Change (bps) | 0 | -1 | 0 | -1 | -11 | -26 | -30 | |
| 12 Weeks Ago | 0.12 | 0.21 | 0.73 | 1.16 | 1.98 | 3.20 | 4.13 | |
| Change (bps) | 2 | -3 | -18 | -34 | -49 | -56 | -44 | |
| 1 Year Ago | 0.14 | 0.23 | 1.02 | 1.53 | 2.45 | 3.45 | 4.20 | |
| Change (bps) | 0 | -5 | -47 | -72 | -95 | -80 | -51 | |
| Spread Product | 2-yr | 3-yr | 4-yr | 5-yr | 10-yr | |||
| Treasury Yield Curve | 0.55 | 0.81 | 1.18 | 1.49 | 2.65 | |||
| US Swaps | 0.72 | 1.05 | 1.42 | 1.71 | 2.68 | |||
| Spread to Treasuries (bps) | 17 | 24 | 24 | 22 | 3 | |||
| US Swaps--1 Week Ago | 0.67 | 1.01 | 1.37 | 1.67 | 2.63 | |||
| Change (bps) | 5 | 5 | 5 | 4 | 4 | |||
| Spread Change | -1 | 0 | 0 | 0 | 1 | |||
| US Swaps--4 Weeks Ago | 0.73 | 1.06 | 1.46 | 1.78 | 2.90 | |||
| Change (bps) | -1 | -1 | -4 | -6 | -22 | |||
| Spread Change | -1 | 0 | 3 | 4 | 4 | |||
| Agency Debentures | 0.67 | 1.02 | 1.54 | 1.74 | 2.92 | |||
| Spread to Treasuries (bps) | 12 | 21 | 36 | 25 | 27 | |||
| Agency CMO PAC | 1.47 | 1.81 | 2.18 | 2.47 | 3.44 | |||
| Spread to Treasuries (bps) | 92 | 100 | 100 | 98 | 79 | |||
| AAA Credit Card ABS | 0.84 | 1.23 | 1.61 | 1.91 | 3.08 | |||
| Spread to Treasuries (bps) | 29 | 42 | 43 | 42 | 43 | |||
| AAA Auto Loan ABS | 0.84 | 1.22 | ||||||
| Spread to Treasuries (bps) | 29 | 41 | ||||||
| AAA Commercial MBS | 2.22 | 3.20 | 3.57 | 4.01 | 5.93 | |||
| Spread to Treasuries (bps) | 167 | 239 | 239 | 252 | 328 | |||
| AAA Home Equity ABS | 8.55 | 9.51 | 11.78 | 14.09 | 16.45 | |||
| Spread to Treasuries (bps) | 800 | 870 | 1060 | 1260 | 1380 | |||
| High-Grade Bank Debt | 1.51 | 2.01 | 2.43 | 2.88 | 3.83 | |||
| Spread to Treasuries (bps) | 96 | 120 | 125 | 139 | 118 | |||
| AAA Municipal Debt | ||||||||
| MMD Benchmark Scale | 0.33 | 0.46 | 0.69 | 1.07 | 2.19 | |||
| AA GIC* | 1.68 | 2.36 | 2.87 | 3.28 | (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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