Wednesday, June 15, 2011

Fed Funds and Aggregate Demand Watch 6/15/2011



S&P 500
April 27 : 1357
May 26 : 1325.69
June 8 : 1279.56
June 15 : 1265.42

Treasuries
2 year
April 27: 0.64
May 26 : 0.48
June 8 : 0.38
June 15 : 0.38
10 Year
April 27 : 3.35
May 26 : 3.06
June 8 : 2.94
June 15 : 2.97
30 Year
April 27 : 4.45
May 26 : 4.22
June 8 : 4.19
June 15 : 4.20

Inflation Expectations
2 year inflation swaps
April 27 : 2.65
May 26 : 2.12
June 8 : 2.01
June 15 : 2.00
5 Year TIPS Breakeven rate
April 27 : 2.35
May 26 : 2.07
June 8 : 2.02
June 15 : 2.01
10 Year TIPS spread
April 27 : 2.6
May 26 : 2.34
June 8 : 2.27
June 15 : 2.29
30 Year TIPS spread
April 27 : 2.68
May 26 : 2.47
June 8 : 2.45
June 15 : 2.44

Bloomberg Commodity Index
April 27 : 1766.98
May 26 : 1684.28
June 8 : 1713.68
June 15 : 1674.20

EUR USD
April 27 : 1.4738
May 26 : 1.4129
June 8 : 1.4577
June 15 : 1.4172

(Data from bloomberg.com)

Thanks to the beating stocks took today, data were once again mixed compared to last week. Stocks and commodities are signaling lower aggregate demand expectations, while the Euro/Dollar exchange rate and federal funds futures are signaling higher expectations. Despite a better than expected retail sales number (which was still negative), economic data has continued to disappoint. At this point, I consider "mixed" markets good news.

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