9.18.2008

Closing Levels 9-18-08

Swaps Market
2YS - 144.8 +16.7
5YS - 117.7 +10.0
10YS - 72.8 +4.5
30YS - 38.6 +2.3

CDX Indices
IG 5Y - 174.67 x 175.67 tighter by 25.26bps
IG HV 5Y- 419.25 x 421.25 tighter by 57.25bps

Curve Spreads
Steeper across the board:
Spreads 9/17 9/18 Change
2y-5y 87 94 7
2y-10y 176 185 9
2y-30y 242 250 8
5y-10y 89 91 2
5y-30y 155 156 1
10y-30y 66 65 -1

Longer dated maturities steepening a bit, shorter bills flattening a bit on new tsy issuance.

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Off The Run Treasuries

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