Bond Close Update - 11/25/2008

Bond Close Update - 11/25/2008

C. Johnson - Chicago

Here are the closing levels in swaps:

2Y 97.7 -5.3

5Y 87.0 -12.5

10Y 14.5 -8.3

30Y -43.4 -9.2

Swaps across the board tighter, swaps receivers were out in force early on in the day and then subsided as the day wore on, pushing swap spreads slowly wider (albeit not enough to bring us back to wider levels seen early on this week). Corresponding Treasuries on the curve caught a bid early in the day, and coincidentally with the late day swap widening, they too took a breather.

Treasury close for your reference:

2Y 1.17%

5Y 2.023%

10Y 3.096%

30Y 3.613%

2/30 spread - 244.3 bps, tighter on the day from earlier levels around 250 bps. 2008 mean still around 225bps. This spread is well off the highs of 310 bps seen last week, almost 66 bps of tightening on the wings. 2Y bond coming back from it's record low around 1.09%.

Have a great evening,

Cedrick Johnson