Fixed Income Pricing, Yield Curves  & Indices         

 

 

As of close on 07/30/10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Key Indices

Previous

Change

Day %

Week %

Month %

Quart. %

Year %

O/N REPO

           0.14

0.000

0.00%

0.00%

100.00%

0.00%

40.00%

O/N REV. REPO

           0.29

0.000

0.00%

0.00%

70.59%

0.00%

16.00%

3 Mo. LIBOR

           0.45

-0.012

-2.55%

-7.99%

-15.02%

30.93%

-6.08%

90-Day CP

           0.49

-0.020

-3.92%

-9.26%

-20.97%

48.48%

-5.77%

CRB Index

       274.35

4.150

1.54%

2.90%

6.12%

-1.21%

8.38%

S&P 500

    1,101.60

0.070

0.01%

-0.10%

6.88%

-7.17%

11.64%

Dow

   10,465.94

-1.220

-0.01%

0.40%

7.08%

-4.93%

14.33%

Nasdaq

    2,254.70

3.010

0.13%

-0.65%

6.90%

-8.39%

13.63%

Key Contracts

Previous

Change

Day %

Week %

Month %

Quart. %

Year %

FED-Funds Rate

         99.81

0.000

0.00%

-0.01%

0.04%

0.20%

1.57%

EURO-Dollar

         99.56

0.015

0.02%

0.08%

0.33%

0.38%

1.94%

10yr Euro Bund

       128.55

0.490

0.38%

0.17%

-0.65%

3.44%

N/A

LONG-BOND

 

 

 

 

 

 

 

10 Yr Treasury

       123.81

0.719

0.58%

0.93%

1.03%

6.16%

10.76%

5 Yr Treasury

       119.83

0.453

0.38%

0.72%

1.25%

4.35%

5.71%

10 Yr Swap

       109.13

0.672

0.62%

1.04%

1.33%

6.66%

N/A

Gold

    1,183.90

12.700

1.08%

-0.65%

-5.28%

-0.08%

24.84%

Crude Oil

         78.95

0.590

0.75%

-0.04%

3.66%

-12.68%

2.61%

Key  Currencies

Previous

Change

Day %

Week %

Month %

Quart. %

Year %

Japanese Yen

         86.47

-0.320

-0.37%

-1.13%

-2.22%

-7.86%

-9.51%

EURO

       1.3052

-0.003

-0.21%

1.11%

6.65%

-1.82%

-7.27%

British Pound

       1.5689

0.008

0.49%

1.71%

4.98%

2.72%

-4.87%

 

 

 

 

August 2010

Mortgages

 Yield

Mid-Price

GNMA 30Y 4.5

3.275

105.438

GNMA 30Y 5.0

2.247

107.625

GNMA 30Y 5.5

1.288

108.719

GNMA 30Y 6.0

1.200

109.469

FGLMC 30Y 5.0

2.194

106.531

FGLMC 30Y 6.0

1.281

108.719

FNMA 30Y 4.5

2.961

104.563

FNMA 30Y 5.0

2.104

106.594

FNMA 30Y 5.5

1.750

107.781

FNMA 30Y 6.0

1.363

108.656

GNMA 15Y 4.0

2.698

105.406

GNMA 15Y 4.5

2.716

106.688

GNMA 15Y 5.0

2.466

107.469

GNMA 15Y 5.5

2.318

108.531

FNMA 15Y  4.0

2.615

104.594

FNMA 15Y 4.5

2.233

105.969

FNMA 15Y 5.0

2.019

106.844

FNMA 15Y 5.5

2.089

108.125

FGLMC FB 5Y 4.0

1.835

105.500

FNMA 7Y SB 4.5

1.814

104.750

 

 

 

 

 

Treas

Agy's

Corps

Munis

 

3 Mo

0.150

0.181

0.576

0.250

6 Mo

0.200

0.250

0.600

0.290

1 Yr

0.290

0.442

0.621

0.380

2 Yr

0.550

0.769

0.888

0.600

3 Yr

0.840

1.134

 

0.870

4 Yr

 

1.493

1.316

1.170

5 Yr

1.600

1.843

1.832

1.500

7 Yr

 

2.631

2.198

2.170

8 Yr

 

2.735

3.011

 

9 Yr

 

3.008

3.183

2.800

10 Yr

2.940

3.250

3.440

3.100

15 Yr

 

3.886

3.725

4.160

20 Yr

 

4.299

4.161

4.560

25 Yr

 

4.415

4.482

4.670

30 Yr

3.776

5.755

4.642

4.690

 

 

 

Muni Indices are now based on…

AAA-General Obligation MUNICIPALS

  

 

 

 

 

Euro

UK

Swiss

Germany

Australia

Japan

Canada

3 Month

0.803

0.4058

0.097

0.3661

4.3165

0.0878

0.7192

6 Month

0.942

0.4892

0.1208

0.4501

4.4657

0.1065

0.8569

1 Year

1.299

0.5968

0.2612

0.5996

4.5285

0.1224

1.1394

2 Year

1.63

0.902

0.3974

0.797

4.5697

0.1402

1.4479

3 Year

2.029

1.3458

0.6097

1.0241

4.575

0.1672

1.87

4 Year

2.408

1.8348

0.674

1.4288

4.7074

0.256

2.1719

5 Year

2.739

2.2337

0.7896

1.7914

4.8103

0.3603

2.3697

7 Year

3.302

2.7961

1.1782

2.3104

5.0781

0.5875

2.8066

8 Year

3.529

3.0887

1.3219

2.4527

5.1171

0.7664

2.97

9 Year

3.675

3.2915

1.4044

2.594

5.1493

0.9401

3.1222

10 Year

3.829

3.442

1.5243

2.6822

5.2111

1.053

3.2237

15 Year

4.304

3.9695

1.9004

3.2429

5.5044

1.5553

3.6778

20 Year

4.575

4.2287

1.8823

3.4379

5.4155

1.7763

3.7793

25 Year

4.575

4.2938

1.8911

3.3977

 

1.8388

3.7563

30 Year

4.647

4.2623

1.8378

3.3767

 

1.8617

3.6778

 

 

Key Fixed Income Composite Levels

 

 

Mortgages

Yield

 

Treasuries

Yield

 

Agency Zeros

Yield

 

GNMA 30  Year

3.53

 

UST 3 Month

0.1769

 

Agency 3 Month

0.8081

 

FHLMC 30 Year

3.479

 

UST 6 Month

0.231

 

Agency 6 Month

0.8257

 

FNMA 30 Year

3.446

 

UST 1 Year

0.325

 

Agency 1 Year

0.9155

 

GNMA 15 Year

2.287

 

UST 2 Year

0.5678

 

Agency 2 Year

1.3165

 

FNMA 15 Year

2.781

 

UST 3 Year

0.8527

 

Agency 3 Year

1.8467

 

Freddie Gold 30 Year

3.479

 

UST 4 Year

1.2048

 

Agency 4 Year

2.3414

 

Freddie Gold 15 Year

2.917

 

UST 5 Year

1.6123

 

Agency 5 Year

2.8334

 

Freddie Gold 05 Year

3.536

 

UST 7 Year

2.3229

 

Agency 7 Year

3.8113

 

Freddie Gold 07 Year

3.536

 

UST 8 Year

2.5667

 

Agency 8 Year

4.0557

 

FNMA 07 Year

3.483

 

UST 9 Year

2.8423

 

Agency 9 Year

4.3597

 

Agencies

Yield

 

UST 10 Year

2.9626

 

Agency 10 Year

4.5256

 

Agency 3 Month

0.18

 

UST 15 Year

3.6111

 

Agency 15 Year

4.9882

 

Agency 6 Month

0.23

 

UST 20 Year

3.8253

 

Agency 20 Year

5.114

 

Agency 1 Year

0.42

 

UST 30 Year

4.0249

 

Agency 25 Year

5.2348

 

Agency 2 Year

0.73

 

Corporates AAA

Yield

 

Treasury Strips

Yield

 

Agency 3 Year

1.06

 

CORP 3 Month

0.58

 

UST Strip 3 Month

0.2233

 

Agency 4 Year

1.48

 

CORP 6 Month

0.60

 

UST Strip 6 Month

0.2539

 

Agency 5 Year

1.81

 

CORP 1 Year

0.62

 

UST Strip 1 Year

0.3356

 

Agency 7 Year

2.59

 

CORP 2 Year

0.89

 

UST Strip 2 Year

0.6033

 

Agency 8 Year

2.73

 

CORP 3 Year

1.32

 

UST Strip 3 Year

0.8911

 

Agency 9 Year

2.99

 

CORP 4 Year

1.83

 

UST Strip 4 Year

1.2416

 

Agency 10 Year

3.12

 

CORP 5 Year

2.20

 

UST Strip 5 Year

1.6482

 

Agency 15 Year

3.75

 

CORP 7 Year

3.01

 

UST Strip 7 Year

2.3763

 

Agency 20 Year

4.23

 

CORP 8 Year

3.18

 

UST Strip 8 Year

2.5769

 

Agency 25 Year

4.36

 

CORP 9 Year

3.44

 

UST Strip 9 Year

2.872

 

Agency 30 Year

4.62

 

CORP 10 Year

3.73

 

UST Strip 10 Year

3.0596

 

 CD’s

Yield

 

CORP 15 Year

4.16

 

UST Strip 15 Year

3.6652

 

CD 1 Month

0.25

 

CORP 20 Year

4.48

 

UST Strip 20 Year

3.859

 

CD 2 Month

0.33

 

CORP 25 Year

4.64

 

UST Strip 25 Year

3.9475

 

CD 3 Month

0.42

 

CORP 30 Year

4.80

 

UST Strip 30 Year

4.0383

 

CD 4 Month

0.5

 

 AAA Asset Back

Yield

 

PAC CMO

Avg. Life

Yield

CD 5 Month

0.57

 

ABS  1 Yr. Avg. Life

0.53

 

PAC – Current Coupon

0.54

0.53

CD 6 Month

0.65

 

ABS  2 Yr. Avg. Life

0.83

 

PAC – Current Coupon 

1.11

0.78

CD 9 Month

0.82

 

ABS  3 Yr. Avg. Life

1.16

 

PAC – Current Coupon 

1.75

1.13

CD 1 Year

1.03

 

ABS  4 Yr. Avg. Life

1.42

 

PAC – Current Coupon 

3.01

1.56

Money Market

Yield

 

ABS  5 Yr. Avg. Life

1.98

 

PAC – Current Coupon 

5.25

2.28

Rates BA 3 Month

0.4

 

ABS  7 Yr. Avg. Life

2.56

 

PAC – Current Coupon 

9.27

3.35

Rates BA 6 Month

0.6

 

ABS  10 Yr. Avg. Life

3.20

 

 

 

 

Rates Euro 6 Month

0.7

 

 

 

 

 

 

 

US AGY 3 Month

0.148

 

 

 

 

 

 

 

US AGY 6 Month

0.198

 

 

 

 

 

 

 

                                                                                                                                                                                 

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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