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J Arp & Company Research and Trading - Rates

Chicago Board of Trade
New Home Construction

Inflation Data & Unfriendly Seasonal Factors Pressure Yields

A resurgance in inflation measures combined with better than expected employment figures and the traditional spring seasonal weakness in bonds has pressured yields higher. The strong payrolls came as somewhat of a surprise given the weakness in capital spending and construction data in the last few months.

 

Monthly Summary

MonthlyJul 08Jun 08May 08Apr 08Mar 08
3M Avg
12M Avg
Trend
Fed Funds
2.01
2.00
1.98
2.28
2.61
2.00
3.44
-1.44
Corp Bond Baa - UST 10yr
3.15
2.97
3.05
3.29
3.38
3.06
2.71
0.35
UST 10yr - T-bill 3m
2.35
2.21
2.12
2.37
2.23
2.23
1.42
0.81
IR Swap 10yr - UST 10yr
0.69
0.68
0.60
0.62
0.69
0.66
0.66
-0.00
Mortgage 30yr
6.43
6.32
6.04
5.92
5.97
6.26
6.17
0.10
Mortgage 30yr - UST 10yr
2.42
2.22
2.16
2.24
2.46
2.27
2.11
0.15
UST 10yr - UST 2yr
1.44
1.33
1.43
1.63
1.89
1.40
1.16
0.24

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Credit & Mortgage

Fed Funds (ON) 

Deposits

CD 1m 

Interest Rate Swaps

IR Swap 10yr 

Treasuries

UST 10yr (CMT) 

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