Benchmark Yields & Spreads

Last updated: 02/03/12

as of January 27, 2012
U.S. Treasury Yields 3-Mo 6-Mo 2-yr 3-yr 5-yr 10-yr 30-yr
Current 0.05 0.08 0.21 0.30 0.75 1.89 3.06
1 Week Ago 0.04 0.06 0.24 0.37 0.89 2.03 3.10
Change (bps) 1 2 -3 -7 -14 -13 -4
4 Weeks Ago 0.01 0.06 0.24 0.35 0.83 1.88 2.89
Change (bps) 4 2 -3 -5 -8 2 16
12 Weeks Ago 0.00 0.06 0.29 0.49 1.13 2.32 3.38
Change (bps) 5 2 -8 -18 -38 -43 -32
1 Year Ago 0.14 0.15 0.54 0.94 1.91 3.32 4.53
Change (bps) -9 -7 -33 -63 -117 -143 -147
Spread Product 2-yr 3-yr 4-yr 5-yr 10-yr
Treasury Yield Curve 0.21 0.30 0.57 0.75 1.89
U.S. Swaps 0.54 0.62 0.81 1.05 2.01
Spread to Treasuries (bps) 33 32 24 30 12
U.S. Swaps--1 Week Ago 0.60 0.72 0.96 1.21 2.16
Change (bps) -6 -10 -15 -16 -15
Spread Change -3 -3 -4 -2 -1
U.S. Swaps--4 Weeks Ago 0.75 0.83 1.01 1.23 2.03
Change (bps) -21 -21 -21 -18 -2
Spread Change -18 -16 -14 -10 -4
Agency Debentures 0.21 0.43 0.85 0.99 1.76
Spread to Treasuries (bps) 0 13 28 24 -13
Agency CMO PAC 1.46 1.80 2.05 2.35 3.34
Spread to Treasuries (bps) 125 150 148 160 145
AAA Credit Card ABS 0.62 0.76 1.00 1.30 2.46
Spread to Treasuries (bps) 41 45 43 55 57
AAA Auto Loan ABS 0.71 0.90      
Spread to Treasuries (bps) 50 60      
AAA Commercial MBS 2.29 2.52 2.88 3.30 4.51
Spread to Treasuries (bps) 208 222 231 255 262
AAA Home Equity ABS 6.71 7.80 9.07 10.75 13.89
Spread to Treasuries (bps) 650 750 850 1000 1200
High-Grade Bank Debt 2.03 2.13 2.34 2.60 3.78
Spread to Treasuries (bps) 182 183 177 185 189
AAA Municipal Debt
MMD Benchmark Scale 0.35 0.53 0.68 0.82 1.83
 
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