Treasuries surged, with two-year notes rising the most since January, as Lehman Brothers Holdings Inc. prepared to file for bankruptcy, boosting demand for safer assets.
The yield dropped below 2 percent for the first time since April after Barclays Plc and Bank of America Corp. pulled out of talks to buy the U.S. securities firm. Interest-rate derivatives imply banks are becoming more hesitant to lend. The difference between the rate banks charge for three-month dollar loans relative to the overnight indexed swap rate, the so-called Libor-OIS spread, widened to 98 points, near the most this year...MORE
...The investment grade index weakened to 187.5 basis points, from 151.56 basis points at Friday's close, according to Markit Intraday.
Let's see, 187.5 minus...divided by... equals...Yikes!