Yield Curves, Fixed Income Pricing and Indices
As of close on 03/12/08
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Key Indices
|
Previous
|
Change
|
Day %
|
Week %
|
Month %
|
Quart. %
|
Year %
|
|
O/N REPO
|
2.30
|
-0.200
|
-8.00%
|
|
-16.36%
|
-45.24%
|
-55.85%
|
|
O/N REV. REPO
|
2.50
|
-0.200
|
-7.41%
|
|
-16.67%
|
-41.18%
|
-52.29%
|
|
3 Mo. LIBOR
|
2.85
|
-0.018
|
-0.61%
|
|
-7.17%
|
-43.65%
|
-46.78%
|
|
90-Day CP
|
2.87
|
0.010
|
0.35%
|
|
-4.65%
|
-43.17%
|
-45.02%
|
|
CRB Index
|
417.50
|
2.050
|
0.49%
|
|
10.45%
|
17.91%
|
37.10%
|
|
S&P 500
|
1,308.77
|
-11.880
|
-0.90%
|
|
-2.27%
|
-11.96%
|
-5.02%
|
|
Dow
|
12,110.24
|
-46.570
|
-0.38%
|
|
-1.06%
|
-10.12%
|
0.28%
|
|
Nasdaq
|
2,243.87
|
-11.890
|
-0.53%
|
|
-3.28%
|
-16.00%
|
-4.54%
|
|
Key Contracts
|
Previous
|
Change
|
Day %
|
|
Month %
|
Quart. %
|
Year %
|
|
FED-Funds Rate
|
97.68
|
0.025
|
0.03%
|
|
0.10%
|
1.59%
|
2.37%
|
|
EURO-Dollar
|
97.78
|
0.100
|
0.10%
|
|
0.10%
|
1.48%
|
2.45%
|
|
10yr Euro Bund
|
117.63
|
0.160
|
0.14%
|
|
0.55%
|
4.37%
|
N/A
|
|
LONG-BOND
|
118.78
|
1.797
|
1.54%
|
|
0.53%
|
3.26%
|
|
|
10 Yr Treasury
|
117.91
|
1.016
|
0.87%
|
|
1.44%
|
5.02%
|
N/A
|
|
5 Yr Treasury
|
114.08
|
0.516
|
0.45%
|
|
0.72%
|
3.72%
|
N/A
|
|
10 Yr Swap
|
113.67
|
1.344
|
1.20%
|
|
0.08%
|
3.57%
|
N/A
|
|
Gold
|
980.50
|
4.500
|
0.46%
|
|
5.81%
|
18.82%
|
43.20%
|
|
Crude Oil
|
109.92
|
1.170
|
1.08%
|
|
17.42%
|
17.44%
|
67.94%
|
|
Key Currencies
|
Previous
|
Change
|
Day %
|
|
Month %
|
Quart. %
|
Year %
|
|
Japanese Yen
|
101.80
|
-1.620
|
-1.57%
|
|
-4.83%
|
-9.30%
|
-12.45%
|
|
EURO
|
1.5551
|
0.021
|
1.40%
|
|
7.12%
|
5.74%
|
17.84%
|
|
British Pound
|
2.0269
|
0.020
|
1.02%
|
|
3.90%
|
-0.98%
|
5.08%
|
|
|
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Mortgages
|
Yield
|
Mid-Price
|
|
GNMA 30Y 4.5
|
5.272
|
95.375
|
|
GNMA 30Y 5.0
|
5.150
|
99.031
|
|
GNMA 30Y 5.5
|
5.184
|
101.313
|
|
GNMA 30Y 6.0
|
5.263
|
102.594
|
|
FGLMC 30Y 5.0
|
5.452
|
97.500
|
|
FGLMC 30Y 6.0
|
5.469
|
101.719
|
|
FNMA 30Y 4.5
|
5.391
|
94.469
|
|
FNMA 30Y 5.0
|
5.427
|
97.500
|
|
FNMA 30Y 5.5
|
5.470
|
99.875
|
|
FNMA 30Y 6.0
|
5.400
|
101.719
|
|
GNMA 15Y 4.0
|
4.511
|
97.063
|
|
GNMA 15Y 4.5
|
4.528
|
99.250
|
|
GNMA 15Y 5.0
|
4.789
|
100.781
|
|
GNMA 15Y 5.5
|
4.973
|
101.875
|
|
FNMA 15Y 4.0
|
4.695
|
96.938
|
|
FNMA 15Y 4.5
|
4.643
|
99.125
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|
FNMA 15Y 5.0
|
4.784
|
100.531
|
|
FNMA 15Y 5.5
|
4.886
|
101.688
|
|
FGLMC FB 5Y 4.0
|
4.966
|
99.781
|
|
FNMA 7Y SB 4.5
|
5.055
|
97.938
|
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Treas
|
Agy's
|
Corps
|
Munis
|
|
3 Mo
|
1.480
|
2.702
|
3.267
|
2.110
|
|
6 Mo
|
1.560
|
2.458
|
3.191
|
2.210
|
|
1 Yr
|
1.580
|
2.423
|
3.074
|
2.390
|
|
2 Yr
|
1.630
|
2.402
|
3.044
|
2.650
|
|
3 Yr
|
| |