Fixed Income Pricing, Yield Curves  & Indices         

 

 

As of close on 10/07/11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Key Indices

Previous

Change

Day %

Week %

Month %

Quart. %

Year %

O/N REPO

           0.03

0.000

0.00%

-25.00%

-25.00%

 

-80.00%

O/N REV. REPO

           0.13

0.000

0.00%

-7.14%

0.00%

160.00%

-56.67%

3 Mo. LIBOR

           0.39

0.003

0.86%

4.48%

16.11%

58.96%

35.30%

90-Day CP

           0.41

0.000

0.00%

-16.33%

5.13%

46.43%

24.24%

CRB Index

       303.52

-1.230

-0.40%

1.80%

-10.68%

-12.35%

5.65%

S&P 500

    1,155.46

-9.510

-0.82%

2.12%

-3.60%

-14.61%

-0.22%

Dow

   11,103.12

-20.210

-0.18%

1.74%

-2.73%

-12.71%

1.41%

Nasdaq

    2,479.35

-27.470

-1.10%

2.65%

-2.73%

-13.69%

4.01%

Key Contracts

Previous

Change

Day %

Week %

Month %

Quart. %

Year %

FED-Funds Rate

         99.92

0.000

0.00%

0.01%

0.00%

0.06%

0.14%

EURO-Dollar

         99.31

-0.035

-0.04%

-0.10%

-0.16%

-0.05%

0.17%

10yr Euro Bund

       135.41

-0.470

-0.35%

-0.79%

-0.54%

8.60%

N/A

LONG-BOND

       141.31

-1.125

-0.79%

-0.92%

1.28%

16.01%

 

10 Yr Treasury

       128.89

-0.625

-0.48%

-0.92%

-0.82%

6.58%

10.02%

5 Yr Treasury

       121.95

-0.352

-0.29%

-0.43%

-0.65%

3.25%

2.91%

10 Yr Swap

       114.84

-0.734

-0.64%

-1.22%

-0.05%

10.39%

N/A

Gold

    1,635.80

-17.400

-1.05%

0.83%

-10.00%

6.72%

21.65%

Crude Oil

         82.98

0.390

0.47%

4.77%

-7.34%

-17.08%

-4.14%

Key  Currencies

Previous

Change

Day %

Week %

Month %

Quart. %

Year %

Japanese Yen

         76.73

0.010

0.01%

-0.43%

-0.69%

-5.56%

-6.89%

EURO

       1.3378

-0.006

-0.44%

-0.07%

-5.11%

-6.86%

-3.94%

British Pound

       1.5562

0.012

0.76%

-0.14%

-2.68%

-2.58%

-1.99%

 

 

 

 

October 2011

Mortgages

 Yield

Mid-Price

GNMA 30Y 4.5

2.545

108.250

GNMA 30Y 5.0

2.111

109.531

GNMA 30Y 5.5

1.810

110.063

GNMA 30Y 6.0

1.852

113.250

FGLMC 30Y 5.0

2.563

106.750

FGLMC 30Y 6.0

2.764

109.250

FNMA 30Y 4.5

2.504

105.500

FNMA 30Y 5.0

2.477

107.188

FNMA 30Y 5.5

2.750

108.313

FNMA 30Y 6.0

2.468

109.500

GNMA 15Y 4.0

2.271

106.688

GNMA 15Y 4.5

2.505

107.469

GNMA 15Y 5.0

2.325

108.438

GNMA 15Y 5.5

2.772

108.719

FNMA 15Y  4.0

2.245

104.531

FNMA 15Y 4.5

2.323

106.094

FNMA 15Y 5.0

2.311

107.344

FNMA 15Y 5.5

2.560

108.438

FGLMC FB 5Y 4.0

#N/A N/A

106.031

FNMA 7Y SB 4.5

1.173

105.031

 

 

 

 

 

Treas

Agy's

Corps

Munis

 

3 Mo

0.010

0.139

0.368

0.368

6 Mo

0.040

0.171

0.481

0.481

1 Yr

0.110

0.331

0.625

0.625

2 Yr

0.300

0.580

0.802

0.802

3 Yr

0.500

0.809

 

 

4 Yr

 

1.168

1.068

1.068

5 Yr

1.080

1.590

1.504

1.504

7 Yr

 

2.011

1.655

1.655

8 Yr

 

2.111

2.361

2.361

9 Yr

 

2.259

2.490

2.490

10 Yr

2.100

2.626

2.588

2.588

15 Yr

 

3.125

2.968

2.968

20 Yr

 

3.760

3.599

3.599

25 Yr

 

4.731

3.867

3.867

30 Yr

2.759

5.755

3.897

3.897

 

 

 

Muni Indices are now based on…

AAA-General Obligation MUNICIPALS

  

 

 

 

 

Euro

UK

Swiss

Germany

Australia

Japan

Canada

3 Month

2.042

0.5334

0.0149

0.3537

4.2681

0.1034

0.8304

6 Month

2.421

0.5669

0.0159

0.3122

4.2156

0.1141

0.8973

1 Year

2.759

0.5948

0.0639

0.5164

3.8283

0.1191

0.9358

2 Year

3.286

0.7268

0.0445

0.6148

3.6215

0.1366

0.9683

3 Year

3.627

0.8791

0.1327

0.7881

3.6579

0.1842

1.1697

4 Year

3.847

1.1495

0.2387

1.0249

3.7619

0.2933

1.3666

5 Year

4.198

1.4313

0.414

1.2756

3.855

0.3578

1.5075

7 Year

4.478

1.9462

0.7566

1.6158

4.0644

0.5658

1.8978

8 Year

4.58

2.1764

0.8488

1.7825

4.1506

0.6907

2.1109

9 Year

4.703

2.3513

0.951

1.9082

4.2577

0.8879

2.2426

10 Year

4.86

2.5062

1.0691

2.0281

4.3261

1.0105

2.3297

15 Year

5.472

2.9548

1.3592

2.6935

4.7285

1.5121

2.7008

20 Year

5.56

3.2039

1.3812

2.8868

5.4155

1.7357

2.8847

25 Year

5.58

3.3753

1.3893

2.8068

 

1.8398

2.9143

30 Year

5.59

3.4112

1.8698

2.8241

 

1.9273

2.8276

 

 

 

Key Fixed Income Composite Levels

 

 

Mortgages

Yield

 

Treasuries

Yield

 

Agency Zeros

Yield

 

GNMA 30  Year

2.903

 

UST 3 Month

0.0104

 

Agency 3 Month

0.4842

 

FHLMC 30 Year

3.239

 

UST 6 Month

0.0718

 

Agency 6 Month

0.5207

 

FNMA 30 Year

3.183

 

UST 1 Year

0.1842

 

Agency 1 Year

0.5341

 

GNMA 15 Year

2.059

 

UST 2 Year

0.3347

 

Agency 2 Year

0.877

 

FNMA 15 Year

2.41

 

UST 3 Year

0.5361

 

Agency 3 Year

1.1028

 

Freddie Gold 30 Year

3.239

 

UST 4 Year

0.7903

 

Agency 4 Year

1.5644

 

Freddie Gold 15 Year

2.317

 

UST 5 Year

1.1055

 

Agency 5 Year

1.893

 

Freddie Gold 05 Year

3.295

 

UST 7 Year

1.6279

 

Agency 7 Year

2.614

 

Freddie Gold 07 Year

3.361

 

UST 8 Year

1.8174

 

Agency 8 Year

2.8836

 

FNMA 07 Year

3.171

 

UST 9 Year

1.9427

 

Agency 9 Year

3.106

 

Agencies

Yield

 

UST 10 Year

2.1431

 

Agency 10 Year

3.2776

 

Agency 3 Month

0.13

 

UST 15 Year

2.7426

 

Agency 15 Year

3.5732

 

Agency 6 Month

0.17

 

UST 20 Year

2.8793

 

Agency 20 Year

3.6494

 

Agency 1 Year

0.32

 

UST 30 Year

3.0768

 

Agency 25 Year

3.7766

 

Agency 2 Year

0.57

 

Corporates AAA

Yield

 

Treasury Strips

Yield

 

Agency 3 Year

0.80

 

CORP 3 Month

0.37

 

UST Strip 3 Month

0.0855

 

Agency 4 Year

1.16

 

CORP 6 Month

0.48

 

UST Strip 6 Month

0.1376

 

Agency 5 Year

1.58

 

CORP 1 Year

0.62

 

UST Strip 1 Year

0.1994

 

Agency 7 Year

2.00

 

CORP 2 Year

0.80

 

UST Strip 2 Year

0.3623

 

Agency 8 Year

2.11

 

CORP 3 Year

1.07

 

UST Strip 3 Year

0.5562

 

Agency 9 Year

2.25

 

CORP 4 Year

1.50

 

UST Strip 4 Year

0.8315

 

Agency 10 Year

2.62

 

CORP 5 Year

1.65

 

UST Strip 5 Year

1.1317

 

Agency 15 Year

3.30

 

CORP 7 Year

2.36

 

UST Strip 7 Year

1.6513

 

Agency 20 Year

3.53

 

CORP 8 Year

2.49

 

UST Strip 8 Year

1.8821

 

Agency 25 Year

3.61

 

CORP 9 Year

2.59

 

UST Strip 9 Year

1.9803

 

Agency 30 Year

4.86

 

CORP 10 Year

2.97

 

UST Strip 10 Year

2.2306

 

 CD’s

Yield

 

CORP 15 Year

3.60

 

UST Strip 15 Year

2.7722

 

CD 1 Month

0.17

 

CORP 20 Year

3.87

 

UST Strip 20 Year

2.9327

 

CD 2 Month

0.25

 

CORP 25 Year

3.90

 

UST Strip 25 Year

3.0197

 

CD 3 Month

0.34

 

CORP 30 Year

4.01

 

UST Strip 30 Year

3.12

 

CD 4 Month

0.42

 

 AAA Asset Back

Yield

 

PAC CMO

Avg. Life

Yield

CD 5 Month

0.49

 

ABS  1 Yr. Avg. Life

0.48

 

PAC – Current Coupon

0.54

0.48

CD 6 Month

0.56

 

ABS  2 Yr. Avg. Life

0.78

 

PAC – Current Coupon 

1.11

0.73

CD 9 Month

0.71

 

ABS  3 Yr. Avg. Life

0.97

 

PAC – Current Coupon 

1.75

1.08

CD 1 Year

0.87

 

ABS  4 Yr. Avg. Life

1.14

 

PAC – Current Coupon 

3.01

1.37

Money Market

Yield

 

ABS  5 Yr. Avg. Life

1.63

 

PAC – Current Coupon 

5.25

1.93

Rates BA 3 Month

0.35

 

ABS  7 Yr. Avg. Life

2.10

 

PAC – Current Coupon 

9.27

2.73

Rates BA 6 Month

0.49

 

ABS  10 Yr. Avg. Life

2.58

 

 

 

 

Rates Euro 6 Month

0.68

 

 

 

 

 

 

 

US AGY 3 Month

0.005

 

 

 

 

 

 

 

US AGY 6 Month

0.03

 

 

 

 

 

 

 

                                                                                                                                                                                 

Disclaimer: The prices are taken from sources considered reliable, however the prices are represented as indications only and not firm or specific to any security.

                                                                                                                                                

 

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