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Fall2018MarketMonitoringProjectHistoricalData.xlsx
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Sheet1

9/30/16 9/29/17 17 vs.16 9/28/18 10/5/18 10/12/18 10/18/18 10/25/18 11/1/18 11/8/18 11/15/18 11/22/18 11/29/18
Rate Rate change Rate Change Rate Change Rate Change Rate Change Rate Change Rate Change Rate Change Rate Change Rate Change Rate Change
Short Term Rates 18 vs.17 begin vs. end
Prime 3.50 4.25 75.00 5.25 100.00 5.25 0.00 5.25 0.00 5.25 0.00 5.25 0.00 5.25 0.00 5.25 0.00 5.25 0.00 5.25 0.00 5.25 0.00
Discount 1.00 1.75 75.00 2.75 100.00 2.75 0.00 2.75 0.00 2.75 0.00 2.75 0.00 2.75 0.00 2.75 0.00 2.75 0.00 2.75 0.00 2.75 0.00
Federal Funds Target Rate 0.25-0.50 1.00-1.25 100.00 2.00-2.25 100.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00 2.00-2.25 0.00
Federal Funds Rate 0.43 1.07 64.00 2.18 111.00 2.2 2.00 2.22 2.00 2.22 0.00 2.23 1.00 2.23 0.00 2.24 1.00 2.23 -1.00 n.a. n.a. 2.24 6.00
3-Month U.S. Treasury Bill 0.25 1.05 80.00 2.18 113.00 2.18 0.00 2.27 9.00 2.312 4.20 2.3 -1.20 2.325 2.50 2.32 -0.50 2.34 2.00 2.34 0.00 2.37 19.00
3-Month LIBOR 0.85 1.33 48.39 2.40 106.61 2.41 1.00 2.44 3.00 2.47 3.00 2.51 4.00 2.58 7.00 2.61 3.00 2.64 3.00 2.68 4.00 2.74 34.00
Commercial Paper (AA Financial) 0.82 1.26 44.00 2.27 101.00 2.3 3.00 2.33 3.00 2.31 -2.00 2.41 10.00 2.51 10.00 2.51 0.00 2.48 -3.00 2.67 19.00 2.48 21.00
Long Term Rates
10 Year U.S. Treasury Note 1.56 2.33 77.20 3.05 72.20 3.20 15.00 3.13 -6.90 3.18 4.40 3.13 -4.50 3.14 1.20 3.23 8.80 3.12 -11.40 3.06 -5.20 3.03 -1.60
10 Year Japanese Government -0.08 0.07 14.50 0.12 5.50 0.16 4.00 0.15 -1.50 0.16 1.00 0.12 -4.00 0.13 1.00 0.12 -0.30 0.11 -1.40 0.10 -1.20 0.08 -3.80
10 Year German Government -0.12 0.47 58.60 0.53 6.40 0.53 0.00 0.52 -0.90 0.42 -10.00 0.40 -2.00 0.40 0.00 0.46 5.90 0.36 -9.80 0.37 1.10 0.32 -20.60
10 Year Spanish Government 0.92 1.61 68.70 1.51 -9.70 1.56 5.00 1.64 7.90 1.73 9.20 1.58 -15.00 1.57 -1.30 1.61 4.00 1.63 2.20 1.64 0.70 1.51 -0.40
EMBI Global Index 5.241 5.42 18.10 6.80 137.80 6.87 7.00 6.95 7.50 6.92 -2.30 7.02 9.30 n.a. n.a. 7.05 n.a. n.a. n.a. 7.28 n.a. n.a. n.a.
30 Year U.S. Treasury Bond 2.28 2.86 58.00 3.18 32.00 3.35 17.00 3.33 -2.50 3.37 4.10 3.35 -2.00 3.38 3.00 3.39 1.00 3.36 -2.50 3.31 -5.50 3.33 14.70
DJ Corporate 2.57 2.97 40.60 4.15 117.70 4.08 -7.00 4.08 0.20 N.A N.A N.A N.A n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a.
High Yield 100 5.47 4.98 -49.30 5.82 84.30 6.12 30.00 6.39 27.30 6.35 -4.50 6.56 21.20 6.62 6.00 6.49 -13.00 6.96 46.90 7.07 11.20 6.90 107.80
Fixed-Rate MBS 2.02 2.81 79.00 3.61 80.00 3.67 6.00 3.75 8.00 3.73 -2.00 3.72 -1.00 3.74 2.00 3.78 4.00 3.74 -4.00 3.69 -5.00 3.66 5.00
Muni Master 1.52 1.92 39.30 2.70 78.30 2.79 9.00 2.85 6.20 2.85 -0.50 2.83 -2.20 2.88 5.60 2.90 1.90 2.85 -5.40 2.80 -4.40 2.73 3.30
Foreign Exchange Rates
Y/US$ 101.03 112.5000 11.35 113.3800 0.78 113.9000 0.46 112.16 -1.53 112.19 0.03 112.42 0.21 112.71 0.26 114.06 1.20 113.6300 -0.38 112.9400 -0.61 113.4800 0.09
US$/British Pound 1.2967 1.3399 3.33 1.3031 -2.75 1.3020 -0.08 1.3235 1.65 1.3018 -1.64 1.2818 -1.54 1.3004 1.45 1.3061 0.44 1.2774 -2.20 1.2878 0.81 1.2788 -1.86
US$/Euro 1.1223 1.1814 5.27 1.1643 -1.45 1.1516 -1.09 1.1596 0.69 1.1453 -1.23 1.1377 -0.66 1.1411 0.30 1.1365 -0.40 1.1332 -0.29 1.1404 0.64 1.1394 -2.14
Chinese Yuan/US$ 6.6667 6.6366 -0.45 6.8903 3.82 6.8689 -0.31 6.8899 0.31 6.938 0.70 6.9489 0.16 6.9234 -0.37 6.9343 0.16 6.9391 0.07 6.9321 -0.10 6.9429 0.76
Brazilian Real/US$ 3.2605 3.1627 -3.00 3.9600 25.21 3.8751 -2.14 3.7799 -2.46 3.725 -1.45 3.7058 -0.52 3.7017 -0.11 3.7603 1.58 3.7842 0.64 3.8047 0.54 3.8527 -2.71
Commodities
Gold (per troy oz.) 1321.70 1281.50 -3.04 1182.30 -7.74 1197.2 1.26 1224.3 2.26 1226.5 0.18 1229.1 0.21 1236 0.56 1222.9 -1.06 1212.80 -0.83 1225.80 1.07 1224.10 3.54
Crude Oil (per barrel) 47.83 51.67 8.03 72.12 39.58 74.33 3.06 71.34 -4.02 68.65 -3.77 67.33 -1.92 63.69 -5.41 60.67 -4.74 56.46 -6.94 54.63 -3.24 51.45 -28.66
Equity Indexes
Dow Jones Industrial Average 18143.45 22405.09 23.49 26439.93 18.01 26627.48 0.71 25052.83 -5.91 25379.45 1.30 24984.55 -1.56 25380.74 1.59 26191.22 3.19 25289.27 -3.44 24464.69 -3.26 25338.84 -4.16
S&P 500 2151.13 2519.36 17.12 2914 15.66 2901.61 -0.43 2728.37 -5.97 2768.78 1.48 2705.57 -2.28 2740.37 1.29 2806.83 2.43 2730.20 -2.73 2649.93 -2.94 2737.76 -6.05
NASDAQ Composite 5269.15 6495.96 23.28 8041.97 23.80 7879.51 -2.02 7329.06 -6.99 7485.14 2.13 7318.34 -2.23 7434.06 1.58 7530.88 1.30 7259.03 -3.61 6972.25 -3.95 7273.08 -9.56
Russell 2000 1237.75 1490.86 20.45 1690.53 13.39 1646.91 -2.58 1545.38 -6.16 1560.75 0.99 1500.4 -3.87 1544.98 2.97 1578.21 2.15 1524.12 -3.43 1488.28 -2.35 1525.39 -9.77
Nikkei 16693.71 20356.28 21.94 23796.74 16.90 23975.62 0.75 22590.86 -5.78 22658.16 0.30 21268.73 -6.13 21687.65 1.97 22486.92 3.69 21803.62 -3.04 21646.55 -0.72 22262.60 -6.45
Stoxx Euro 600 342.72 388.16 13.26 386.38 -0.46 375.09 -2.92 359.65 -4.12 361.67 0.56 355.07 -1.82 363.08 2.26 367.08 1.10 358.43 -2.36 352.57 -1.63 358.10 -7.32
Sao Paulo Bovespa 58350.57 74293.51 27.32 80000.09 7.68 82952.81 3.69 82921.08 -0.04 83847.12 1.12 84083.51 0.28 88419.05 5.16 85620.14 -3.17 85973.06 0.41 87477.44 1.75 89709.57 12.14
Shanghai Composite 2998.48 3348.94 11.69 2791.77 -16.64 2821.35 1.06 2583.46 -8.43 2486.42 -3.76 2603.8 4.72 2606.24 0.09 2635.63 1.13 2668.17 1.23 2645.43 -0.85 2567.44 -8.04
Other Benchmarks
VIX Index (CBOE Volatility) 14.02 9.51 -32.17 12.12 27.44 14.22 17.33 24.98 75.67 20.06 -19.70 24.22 20.74 19.34 -20.15 16.72 -13.55 19.98 19.50 20.80 4.10 20.48 68.98
Key Relationships
Term Structure
30 yr vs. 3 mo 203 181 -10.84 100 -44.75 117.00 17.00 105.50 -9.83 105.40 -0.09 104.60 -0.76 105.10 0.48 106.60 1.43 102.10 -4.22 96.60 -5.39 95.70 -0.93
10 yr vs. 3 mo 131 128 -2.14 87 -31.92 102.00 17.24 86.1 -15.59 86.3 0.23 83 -3.82 81.7 -1.57 91 11.38 77.6 -14.73 72.4 -6.70 66.4 -8.29
Credit Differentials
3 mo L vs. 3mTB 60 28 -52.69 22 -22.51 23.00 4.55 17.00 -26.09 15.8 -7.06 21 32.91 25.50 21.43 29.00 13.73 30.00 3.45 34.00 13.33 37.00 8.82
H-Y vs. 10 yr US Treasury 391 265 -32.32 277 4.57 292.00 5.42 326.20 11.71 317.3 -2.73 343 8.10 347.80 1.40 326.00 -6.27 384.30 17.88 400.70 4.27 386.40 -3.57
International I-R Difference
10 yr US vs. Japan 164 226 38.33 293 29.47 304.00 3.75 298.60 -1.78 302 1.14 301.5 -0.17 301.7 0.07 310.8 3.02 300.8 -3.22 296.8 -1.33 295.2 -0.54
10 yr US vs. Germany 168 186 11.10 252 35.34 267.00 5.95 261.00 -2.25 275.4 5.52 272.9 -0.91 274.1 0.44 277 1.06 275.4 -0.58 269.1 -2.29 271 0.71
10 yr US vs. Spain 64 72 13.36 154 113.59 164.00 6.49 149.20 -9.02 144.4 -3.22 154.9 7.27 157.4 1.61 162.2 3.05 148.6 -8.38 142.7 -3.97 152.8 7.08