End-of-Day Market Update

Treasuries are closing on their lows of the day. Yields are higher across the curve, and the curve has flattenend. Two year Treasury yields are up 8.25bp to 4.50%; ten year Treasury yields are up 5bp to 4.74% vs Friday’s closes, which were near month lows in yields.

Swap spreads opened wider, but are now 2-3bp narrower (tighter) on the day.

After closing at new three month lows on Friday, and below 50, and often 200 day moving averages, depending on the index, equities rallied strongly today. The Dow recovered all of Friday’s decline, and is closing up 287 points at 13,469. The S&P rallied almost 35 points, but didn’t quite recover al of Friday’s losses, but it did move back above its 200 day moving average. The VIX index has retreated from its high of over 25 on Friday to close at 23. This indicator of future equity market volatility (or fear) sat below 15 for most of April and May.

After making a new 15 year low overnight, falling briefly below 80, the dollar index closed very modestly stronger at 80.25, up .08. Most of the improvement was versus the yen rather than the euro. The dollar traded at a new 4 month low versus the yen overnight of 117.2 before recovering to close at 118.9.

Oil had its biggest slide in 2.5 years, losing almost $3.50 in price, or 5% of its value, on concerns about the health of the US economy as credit becomes more expensive and harder to obtain. This follows a move to all-time highs in nominal prices for oil last week. Over the past week WTI futures in NY have traded between a high of $78.77 on August first to a low of $71.60 late this afternoon.

Note all info is based on Bloomberg pricing and indications.