Fixed Income Chartbook

December 12, 2010

List of Figures
1 US Yield SD Spikes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 Yield Spread SD Spikes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
3 Yield Correlation Matrix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
4 TIPS Breakeven Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
5 US Swap Spreads . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
6 US Treasury Butteries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

1
SD Spikes
US2YR US7YR
3

2
2

1
1

0
0

−1
−1

−2
2010−11−01 2010−11−10 2010−11−22 2010−12−02 2010−11−01 2010−11−10 2010−11−22 2010−12−02
US3YR US10YR
2.0

2
1
1.0

0
0.0

−1
−1.0

−2

2010−11−01 2010−11−10 2010−11−22 2010−12−02 2010−11−01 2010−11−10 2010−11−22 2010−12−02

US5YR US30YR
3
2

2
1

1
0

0
−1

−1

2010−11−01 2010−11−10 2010−11−22 2010−12−02 2010−11−01 2010−11−10 2010−11−22 2010−12−02

Std. Deviation Spikes (Daily Yield Series)

Figure 1: US Yield SD Spikes

2
 us25Sprd.sd us530Sprd.sd

4
2

2
0

0
−2

−2
2010−08−03 2010−09−03 2010−10−07 2010−11−10 2010−08−03 2010−09−03 2010−10−07 2010−11−10
us210Sprd.sd us730Sprd.sd
2

4
2
0

−2 0
−2

2010−08−03 2010−09−03 2010−10−07 2010−11−10 2010−08−03 2010−09−03 2010−10−07 2010−11−10

us230Sprd.sd us710Sprd.sd
2

2
0

0
−2

−2

2010−08−03 2010−09−03 2010−10−07 2010−11−10 2010−08−03 2010−09−03 2010−10−07 2010−11−10

us57Sprd.sd us1030Sprd.sd
4
2

2
0

0
−2

−2

2010−08−03 2010−09−03 2010−10−07 2010−11−10 2010−08−03 2010−09−03 2010−10−07 2010−11−10

us510Sprd.sd
2
0
−2

2010−08−03 2010−09−03 2010−10−07 2010−11−10

Std. Deviation Spikes (Daily Yield Series)

Figure 2: Yield Spread SD Spikes

3
 US1YR
US2YR
US3YR
US5YR
US7YR
US10YR
US30YR
USSP2R
USSP3R
USSP5R
USSP7R
USSP10R
USSP30R
US23Sprd
US25Sprd
US210Sprd
US230Sprd
US510Sprd
US530Sprd
US1030Sprd
US27Sprd
US57Sprd
US710Sprd
US730Sprd
SPX
US1YR 100 67 61 57 52 50 46 44 42 36 33 29 28 15 19 −1 −12 −28 −30 −15 7 19 −20 −26 −30
US2YR 67 100 91 85 78 73 61 51 51 46 41 37 31 21 29 3 −20 −33 −48 −39 16 29 −29 −48 −40
US3YR 61 91 100 93 87 82 69 51 53 49 45 41 34 56 49 21 −6 −26 −45 −41 34 49 −27 −48 −39
US5YR 57 85 93 100 96 93 80 50 54 55 52 49 43 50 71 42 13 −17 −40 −42 56 71 −23 −46 −40
Correlation

US7YR 52 78 87 96 100 96 86 48 54 57 57 55 49 50 73 53 25 −1 −27 −38 69 73 −27 −45 −38

US10YR 50 73 82 93 96 100 92 46 52 56 57 56 51 49 74 64 37 17 −13 −35 68 74 −1 −28 −37
US30YR 46 61 69 80 86 92 100 41 47 53 56 56 57 42 66 64 57 27 17 −1 65 66 5 3 −38
USSP2R 44 51 51 50 48 46 41 100 95 87 81 74 61 21 30 18 6 −10 −19 −20 26 30 −18 −25 −18
USSP3R 42 51 53 54 54 52 47 95 100 95 90 84 71 27 38 26 14 −5 −15 −19 34 38 −17 −23 −21
USSP5R 36 46 49 55 57 56 53 87 95 100 98 94 83 28 44 36 23 4 −8 −18 43 44 −13 −19 −22
USSP7R 33 41 45 52 57 57 56 81 90 98 100 98 90 25 44 40 29 11 −2 −15 46 44 −10 −15 −23
USSP10R 29 37 41 49 55 56 56 74 84 94 98 100 94 23 44 43 33 16 4 −13 47 44 −7 −11 −23
USSP30R 28 31 34 43 49 51 57 61 71 83 90 94 100 18 39 40 37 18 13 0 43 39 −4 0 −26
US23Sprd 15 21 56 50 50 49 42 21 27 28 25 23 18 100 64 51 34 8 −6 −15 57 64 −5 −15 −6

4
US25Sprd 19 29 49 71 73 74 66 30 38 44 44 44 39 64 100 83 60 19 −3 −21 91 100 −2 −18 −14
US210Sprd −1 3 21 42 53 64 64 18 26 36 40 43 40 51 83 100 86 70 42 −3 91 83 32 17 −2
US230Sprd −12 −20 −6 13 25 37 57 6 14 23 29 33 37 34 60 86 100 74 77 44 73 60 38 58 4
US510Sprd −28 −33 −26 −17 −1 17 27 −10 −5 4 11 16 18 8 19 70 74 100 79 23 44 19 62 55 16
US530Sprd −30 −48 −45 −40 −27 −13 17 −19 −15 −8 −2 4 13 −6 −3 42 77 79 100 76 20 −3 50 88 18

Figure 3: Yield Correlation Matrix

US1030Sprd −15 −39 −41 −42 −38 −35 −1 −20 −19 −18 −15 −13 0 −15 −21 −3 44 23 76 100 −11 −21 15 80 11

Correlation calculated using 30D static returns with SPX inverted vs. Yields and Spreads
US27Sprd 7 16 34 56 69 68 65 26 34 43 46 47 43 57 91 91 73 44 20 −11 100 91 −8 −11 −7
US57Sprd 19 29 49 71 73 74 66 30 38 44 44 44 39 64 100 83 60 19 −3 −21 91 100 −2 −18 −14
US710Sprd −20 −29 −27 −23 −27 −1 5 −18 −17 −13 −10 −7 −4 −5 −2 32 38 62 50 15 −8 −2 100 68 12
US730Sprd −26 −48 −48 −46 −45 −28 3 −25 −23 −19 −15 −11 0 −15 −18 17 58 55 88 80 −11 −18 68 100 16
SPX −30 −40 −39 −40 −38 −37 −38 −18 −21 −22 −23 −23 −26 −6 −14 −2 4 16 18 11 −7 −14 12 16 100
 General Charts
TIPS Breakeven Rates

TIPS Breakeven Rates

250
Rate (bps x 100)

200
150

5Y
10Y
30Y

Feb 25 May 03 Jul 01 Sep 01 Nov 01

Date

Figure 4: TIPS Breakeven Rates

5
Swap Spreads

Swap Spreads
Bear Stearns

European Crisis
Lehman−MER Collapse
150
100
Spread (bps)

50
0

US2YSwpSprd
US3YSwpSprd
US5YSwpSprd
US7YSwpSprd
US10YSwpSprd
−50

US30YSwpSprd

2008−01−02 2008−07−01 2009−01−02 2010−01−04 2010−07−01

Date

Figure 5: US Swap Spreads

6
US Treasury Butteries

US Treasury Butterflies
200
100
Spread

0
−100

US2530
US21030
US257
US2710
−200

US2730
US5710
US5730

2000−01−03 2002−01−02 2004−01−02 2006−01−03 2008−01−02 2010−01−04

Figure 6: US Treasury Butteries

1 Full datasets updated nightly.

1 Data current as of 12/10/2010

7
Closing Levels
2010-12-10
US1YR 0.27
US2YR 0.63
US3YR 1.03
US5YR 1.97
US7YR 2.69
US10YR 3.31
US30YR 4.42
USSP2R 0.83
USSP3R 1.26
USSP5R 2.14
USSP7R 2.81
USSP10R 3.38
USSP30R 4.09
US23Sprd 40.10
US25Sprd 133.50
US210Sprd 267.30
US230Sprd 379.10
US510Sprd 133.80
US530Sprd 245.60
US1030Sprd 111.80
US27Sprd 206.00
US57Sprd 133.50
US710Sprd 61.30
US730Sprd 173.10
US2YSwpSprd 19.70
US3YSwpSprd 22.60
US5YSwpSprd 17.20
US7YSwpSprd 11.70
US10YSwpSprd 7.40
US30YSwpSprd -33.40
US25SwapBox -2.50
US210SwapBox 12.30
US230SwapBox 53.10
US510SwapBox 9.80
US530SwapBox 50.60
US1030SwapBox 40.80
US2530 -112.10
US21030 155.50
SPX 1240.40
US257 61.00
US2710 144.70
US2730 32.90
US5710 11.20
US5730 -100.60

Table 1: Closing Yields As Of 12/10/10

8
 US2YR US5YR US7YR US10YR US30YR
2010-11-29 124.00 83.00 54.00 42.00 28.00
2010-11-30 136.00 80.00 52.00 38.00 21.00
2010-12-01 158.00 95.00 64.00 48.00 27.00
2010-12-02 159.00 94.00 64.00 48.00 27.00
2010-12-03 170.00 95.00 63.00 47.00 26.00
2010-12-06 177.00 95.00 62.00 48.00 27.00
2010-12-07 208.00 111.00 77.00 57.00 32.00
2010-12-08 200.00 102.00 71.00 51.00 29.00
2010-12-09 199.00 101.00 70.00 50.00 29.00
2010-12-10 199.00 100.00 70.00 50.00 29.00

Table 2: 10D Historical Volatility (Previous 10 days)

2 Closing Data may dier with actual settlement prices determined at 17:00

2 Data is collected at 15:00 NY Time