Monday, October 3, 2011

Market Data: Week Ending September 30, 2011

Market Index 12/31  Close 9/30    Close Week Change Simple YTD %
Dow Industrials Avg 11,577.50 10,913.40 2.02% -5.74%
S&P 500 1,257.64 1,131.42 0.14% -10.04%
Fed Funds Rate 0.10% 0.08% -0.02% -20.00%
10 yr T-note Yld 3.29% 1.92% 0.09% -41.64%
5 yr T-note Yld 2.01% 0.95% 0.08% -52.74%
5 yr TIPS - 'Real' Yld -0.06% -0.61% 0.02% -916.67%
Implied 5 yr Inflation % 2.07% 1.56% 0.06% -24.64%
2 yr T-note Yld 0.59% 0.24% 0.02% -59.32%
2-10 Yr Slope 2.70% 1.68% 0.07% -37.78%
90 day T-bill Yld 0.12% 0.02% 0.01% -83.33%
Gold ($/oz) $1,421.40 $1,622.30 -$17.50 14.13%
WTI Oil ($/brl) $91.38 $79.20 -$0.65 -13.33%
VIX "Worry Index" 17.75 42.96 1.71 142.03%





Credit Spreads 12/31  Close 9/30    Close Week Change Simple YTD %
Inv Grade Credit Idx 4.78% 4.80% 0.11% 0.42%
Low Grade Credit Idx 8.32% 8.60% 0.40% 3.37%
Markit CDX Inv Grd Idx 85 140 -4.11% 64.71%
Markit CDX Mid Grd Idx 131 250 11.11% 90.84%
Low Grade to 10 yr T-Note Spread 503 668 31 32.80%