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FACTBOX-U.S. Treasury debt's third-quarter performance
NEW YORK, Sept 30 (Reuters) - U.S. Treasury debt yields fell during the third quarter, with investors buying up government debt as they looked for safe-haven assets in the spreading global credit crisis. Short-term interest rate swaps shot wider, and the TED spread -- considered a measure of banks' unwillingness to lend money -- blew out to a record wide.
The following outlines the third-quarter performance of various Treasury debt instruments and other measures of government debt performance.
* Benchmark 10-year Treasury note US10YT=RR yields ended down about 23 basis points from where they began the third quarter. That's the biggest quarterly dip in the benchmark yield since the first quarter of the year, when the yield fell more than 60 basis points.
* European debt outperformed U.S. debt during the period. The yield on 10-year Euro debt EU10YT=RR lost about 58 basis points during the third quarter.
* Yields on short-term paper fell dramatically in the third quarter. The yield on 1-month Treasury bills US1MT=RR lost more than 120 basis points, the biggest decline in yield since the first quarter of the year and the second-biggest quarterly dip in at least seven years. Yields on 3-month bills US3MT=RR also fell strongly, although not as much as in the first quarter, 2008.
* Short-term interest-rate swap spreads ballooned extraordinarily during the quarter, with 2-year interest-rate swap spreads USD2YTS=RR widening by the most in at least 10 years, according to Reuters data. Longer-dated swap spreads actually narrowed somewhat.
* The U.S. Treasury debt curve steepened, with the spread between yields on the 2-year Treasury note US2YT=RR and the 10-year note widening out to about 186 basis points from about 135 basis points at the end of the second quarter. The Treasury curve closed at its steepest during the quarter on Sept. 29 at about 195 basis points, matching levels not seen since mid-March when Bear Stearns was acquired by J.P. Morgan in a deal backed by the Federal Reserve.
* The TED spread, or the spread between three-month dollar denominated Libor USD3MFSR= and 3-month Treasury bills blew out to record levels late in the quarter as short-term lending seized up. The TED spread finishes the quarter near 303 basis points. It began the third quarter near 96 basis points. (Reporting by Chris Reese; Editing by Tom Hals)
