Model

Economic Index

variables coefficients 7 factor 6 factor 5 factor

model model model

Intercept 0.0004 0.0004 0.0009 0.0003

Lagged spread -0.1933 -0.1933 -0.1889 -0.1645

3 month TED spread 0.0000 0.0000 0.0000 0.0000

6 month TED spread 0.0000 0.0000 0.0000 0.0000

1 year TED spread -0.3137 -0.3137 -0.3028 -0.2294

S&P 500 Index -0.0158 -0.0158 -0.0158 -0.0164

S&P 500 volatility 0.0000 0.0000 0.0000 0.0000

S&P 500 dividend yield 0.0000 0.0000 0.0000 0.0000

T3M rate 0.0002 0.0002 0.0000 0.0000

T3M volatility 0.0000 0.0000 0.0000 0.0000

T6M volatility 0.0000 0.0000 0.0000 0.0000

T1Y volatility 0.0000 0.0000 0.0000 0.0000

T2Y volatility 0.0000 0.0000 0.0000 0.0000

T3Y volatility 0.0000 0.0000 0.0000 0.0000

T5Y volatility 0.0000 0.0000 0.0000 0.0000

T10Y volatility 0.0000 0.0000 0.0000 0.0000

T30Y volatility -0.4624 -0.4624 -0.2837 0.0000

6mo - 3mo 0.0000 0.0000 0.0000 0.0000

1yr - 6mo 0.0000 0.0000 0.0000 0.0000

2yr- 1yr 0.0000 0.0000 0.0000 0.0000

3yr - 2yr 0.0000 0.0000 0.0000 0.0000

5yr - 3yr 0.0000 0.0000 0.0000 0.0000

10yr - 5yr 0.4081 0.4081 0.4066 0.3238

30yr - 10yr 0.0000 0.0000 0.0000 0.0000

2 year swap -0.3338 -0.3338 -0.3381 -0.2919

5 year swap 0.0000 0.0000 0.0000 0.0000

10 year swap 0.0000 0.0000 0.0000 0.0000

Consumer confidence 0.0000 0.0000 0.0000 0.0000

Consumer expectations 0.0000 0.0000 0.0000 0.0000

Consumer present 0.0000 0.0000 0.0000 0.0000

Industrial production 0.0000 0.0000 0.0000 0.0000



Model results:

R-squared 28.1479 26.1565 21.4251

Adjusted R-squared 23.8855 22.4333 18.2821



Standard error of estimate 0.00169 0.00170 0.00175

Mean absolute errror 0.00133 0.00133 0.00138

Durbin-Watson statistic 1.96266 1.95026 1.91912



In-sample directional hit rate 63.37% 67.33% 65.35%

S&P 500 Consumer

Lagged 3 month 6 month 1 year TED S&P 500 S&P 500 dividend T3M T6M T1Y T2Y T3Y T5Y T10Y T30Y 10 year Consumer expectation Consumer Industrial

Spread TED spread TED spread spread Index volatility yield T3M rate volatility volatility volatility volatility volatility volatility volatility volatility 6mo - 3mo 1yr - 6mo 2yr- 1yr 3yr - 2yr 5yr - 3yr 10yr - 5yr 30yr - 10yr 2 year swap 5 year swap swap confidence s present production

Lagged Spread 1.000 0.161 0.117 0.135 0.300 0.039 -0.109 0.050 -0.013 -0.015 0.010 -0.007 -0.028 -0.010 0.022 0.066 -0.371 -0.340 -0.650 -0.215 0.069 0.211 0.612 0.133 0.328 0.381 -0.019 -0.019 0.009 0.190

3 month TED spread 0.161 1.000 0.827 0.547 0.362 0.008 -0.328 0.049 0.058 0.060 0.062 0.015 -0.005 -0.030 -0.034 -0.042 -0.513 -0.402 -0.219 0.148 0.126 0.197 0.147 -0.130 0.011 0.023 0.159 0.167 0.094 -0.051

6 month TED spread 0.117 0.827 1.000 0.679 0.390 0.031 -0.357 0.037 0.046 0.037 0.070 0.002 -0.022 -0.044 -0.057 -0.067 -0.199 -0.505 -0.132 0.144 0.047 0.210 0.108 -0.277 -0.106 -0.081 0.155 0.176 0.056 -0.072

1 year TED spread 0.135 0.547 0.679 1.000 0.415 0.016 -0.392 0.017 0.118 0.112 0.081 -0.017 -0.043 -0.092 -0.118 -0.135 -0.283 -0.073 -0.234 0.019 0.074 0.225 0.173 -0.427 -0.158 -0.133 0.124 0.127 0.073 -0.093

S&P 500 Index 0.300 0.362 0.390 0.415 1.000 0.010 -0.855 0.029 0.117 0.046 -0.031 -0.084 -0.139 -0.141 -0.111 -0.100 -0.264 -0.269 -0.115 -0.190 0.006 -0.073 0.163 -0.324 -0.200 -0.173 0.052 0.069 -0.011 -0.013

S&P 500 volatility 0.039 0.008 0.031 0.016 0.010 1.000 -0.052 0.410 0.168 0.211 0.143 0.067 0.087 0.134 0.274 0.396 -0.034 -0.027 0.094 0.071 0.143 0.084 0.098 -0.049 -0.055 -0.085 -0.124 -0.046 -0.278 -0.128

S&P 500 dividend yield -0.109 -0.328 -0.357 -0.392 -0.855 -0.052 1.000 0.031 -0.129 -0.013 0.055 0.098 0.133 0.147 0.122 0.146 0.245 0.191 -0.004 0.118 0.023 0.019 -0.041 0.331 0.196 0.208 -0.072 -0.113 0.069 0.027

T3M rate 0.050 0.049 0.037 0.017 0.029 0.410 0.031 1.000 0.033 0.246 0.371 0.282 0.158 0.217 0.173 0.438 -0.089 -0.099 -0.030 0.018 0.046 0.028 0.046 -0.002 0.032 0.024 -0.130 -0.076 -0.233 -0.180

T3M volatility -0.013 0.058 0.046 0.118 0.117 0.168 -0.129 0.033 1.000 0.879 0.662 0.429 0.418 0.309 0.228 -0.036 -0.067 0.073 0.015 0.079 -0.014 -0.012 0.036 -0.083 -0.065 -0.021 0.128 0.111 0.134 -0.143

T6M volatility -0.015 0.060 0.037 0.112 0.046 0.211 -0.013 0.246 0.879 1.000 0.793 0.549 0.517 0.405 0.290 0.104 -0.043 0.084 0.007 0.119 0.015 0.004 -0.005 -0.062 -0.049 -0.003 0.078 0.057 0.105 -0.211

T1Y volatility 0.010 0.062 0.070 0.081 -0.031 0.143 0.055 0.371 0.662 0.793 1.000 0.809 0.740 0.626 0.417 0.194 -0.064 -0.060 -0.057 0.030 -0.090 -0.025 -0.030 -0.040 -0.016 0.043 0.022 -0.035 0.129 -0.106

T2Y volatility -0.007 0.015 0.002 -0.017 -0.084 0.067 0.098 0.282 0.429 0.549 0.809 1.000 0.960 0.912 0.707 0.442 -0.036 -0.039 -0.016 0.048 -0.043 -0.020 -0.087 0.013 -0.021 0.013 0.044 0.000 0.149 -0.145

T3Y volatility -0.028 -0.005 -0.022 -0.043 -0.139 0.087 0.133 0.158 0.418 0.517 0.740 0.960 1.000 0.954 0.813 0.499 -0.021 -0.014 -0.027 0.068 -0.053 -0.035 -0.121 0.040 -0.018 0.015 0.056 0.000 0.183 -0.102

T5Y volatility -0.010 -0.030 -0.044 -0.092 -0.141 0.134 0.147 0.217 0.309 0.405 0.626 0.912 0.954 1.000 0.900 0.654 -0.015 -0.024 -0.011 0.083 -0.045 -0.012 -0.118 0.070 0.008 0.022 0.020 -0.027 0.144 -0.083

T10Y volatility 0.022 -0.034 -0.057 -0.118 -0.111 0.274 0.122 0.173 0.228 0.290 0.417 0.707 0.813 0.900 1.000 0.837 -0.034 0.002 -0.005 0.123 -0.006 -0.007 -0.115 0.105 0.030 0.024 0.011 -0.020 0.087 -0.079

T30Y volatility 0.066 -0.042 -0.067 -0.135 -0.100 0.396 0.146 0.438 -0.036 0.104 0.194 0.442 0.499 0.654 0.837 1.000 -0.049 -0.017 -0.002 0.140 0.074 0.035 -0.065 0.119 0.060 0.035 -0.103 -0.088 -0.101 -0.161

6mo - 3mo -0.371 -0.513 -0.199 -0.283 -0.264 -0.034 0.245 -0.089 -0.067 -0.043 -0.064 -0.036 -0.021 -0.015 -0.034 -0.049 1.000 0.329 0.315 0.056 -0.178 -0.371 -0.371 0.133 -0.068 -0.051 0.057 0.048 0.047 -0.082

1yr - 6mo -0.340 -0.402 -0.505 -0.073 -0.269 -0.027 0.191 -0.099 0.073 0.084 -0.060 -0.039 -0.014 -0.024 0.002 -0.017 0.329 1.000 0.204 0.027 -0.024 -0.302 -0.376 0.197 0.119 0.127 -0.016 -0.039 0.014 -0.161

2yr- 1yr -0.650 -0.219 -0.132 -0.234 -0.115 0.094 -0.004 -0.030 0.015 0.007 -0.057 -0.016 -0.027 -0.011 -0.005 -0.002 0.315 0.204 1.000 0.097 0.115 -0.214 -0.373 -0.476 -0.566 -0.560 -0.040 -0.006 -0.139 -0.269

3yr - 2yr -0.215 0.148 0.144 0.019 -0.190 0.071 0.118 0.018 0.079 0.119 0.030 0.048 0.068 0.083 0.123 0.140 0.056 0.027 0.097 1.000 0.072 0.257 -0.129 0.225 0.021 0.058 -0.109 -0.085 -0.155 -0.141

5yr - 3yr 0.069 0.126 0.047 0.074 0.006 0.143 0.023 0.046 -0.014 0.015 -0.090 -0.043 -0.053 -0.045 -0.006 0.074 -0.178 -0.024 0.115 0.072 1.000 0.383 0.264 -0.112 -0.165 -0.135 0.079 0.141 -0.126 -0.033

10yr - 5yr 0.211 0.197 0.210 0.225 -0.073 0.084 0.019 0.028 -0.012 0.004 -0.025 -0.020 -0.035 -0.012 -0.007 0.035 -0.371 -0.302 -0.214 0.257 0.383 1.000 0.451 -0.026 0.123 -0.008 -0.023 0.040 -0.161 0.027

30yr - 10yr 0.612 0.147 0.108 0.173 0.163 0.098 -0.041 0.046 0.036 -0.005 -0.030 -0.087 -0.121 -0.118 -0.115 -0.065 -0.371 -0.376 -0.373 -0.129 0.264 0.451 1.000 -0.126 0.041 0.093 -0.021 0.008 -0.066 0.166

2 year swap 0.133 -0.130 -0.277 -0.427 -0.324 -0.049 0.331 -0.002 -0.083 -0.062 -0.040 0.013 0.040 0.070 0.105 0.119 0.133 0.197 -0.476 0.225 -0.112 -0.026 -0.126 1.000 0.812 0.776 -0.088 -0.099 -0.002 0.138

5 year swap 0.328 0.011 -0.106 -0.158 -0.200 -0.055 0.196 0.032 -0.065 -0.049 -0.016 -0.021 -0.018 0.008 0.030 0.060 -0.068 0.119 -0.566 0.021 -0.165 0.123 0.041 0.812 1.000 0.915 -0.154 -0.165 -0.019 0.056

10 year swap 0.381 0.023 -0.081 -0.133 -0.173 -0.085 0.208 0.024 -0.021 -0.003 0.043 0.013 0.015 0.022 0.024 0.035 -0.051 0.127 -0.560 0.058 -0.135 -0.008 0.093 0.776 0.915 1.000 -0.130 -0.152 0.009 0.116

Consumer confidence -0.019 0.159 0.155 0.124 0.052 -0.124 -0.072 -0.130 0.128 0.078 0.022 0.044 0.056 0.020 0.011 -0.103 0.057 -0.016 -0.040 -0.109 0.079 -0.023 -0.021 -0.088 -0.154 -0.130 1.000 0.956 0.691 0.034

Consumer expectations -0.019 0.167 0.176 0.127 0.069 -0.046 -0.113 -0.076 0.111 0.057 -0.035 0.000 0.000 -0.027 -0.020 -0.088 0.048 -0.039 -0.006 -0.085 0.141 0.040 0.008 -0.099 -0.165 -0.152 0.956 1.000 0.466 -0.046

Consumer present 0.009 0.094 0.056 0.073 -0.011 -0.278 0.069 -0.233 0.134 0.105 0.129 0.149 0.183 0.144 0.087 -0.101 0.047 0.014 -0.139 -0.155 -0.126 -0.161 -0.066 -0.002 -0.019 0.009 0.691 0.466 1.000 0.168

Industrial production 0.190 -0.051 -0.072 -0.093 -0.013 -0.128 0.027 -0.180 -0.143 -0.211 -0.106 -0.145 -0.102 -0.083 -0.079 -0.161 -0.082 -0.161 -0.269 -0.141 -0.033 0.027 0.166 0.138 0.056 0.116 0.034 -0.046 0.168 1.000

10 year AAA Corporate Bond Index - Bloomberg

variables coefficients 10 factor 9 factor 8 factor 7 factor 6 factor 5 factor

model model model model model model

Intercept 0.0002 -0.0008 -0.0002 0.0001 0.0002 0.0002 0.0002

Lagged AAA spread 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Lagged BBB spread 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

3 month TED spread 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

6 month TED spread 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

1 year TED spread -0.1987 -0.3028 -0.2963 -0.2858 -0.1987 -0.1770 -0.1731

S&P 500 Index -0.0095 -0.0101 -0.0097 -0.0096 -0.0095 -0.0103 -0.0107

S&P 500 volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

S&P 500 dividend yield 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T3M rate 0.0000 0.0001 0.0000 0.0000 0.0000 0.0000 0.0000

T3M volatility 0.0000 0.2185 0.1750 0.0000 0.0000 0.0000 0.0000

T6M volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T1Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T2Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T3Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T5Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T10Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

T30Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

6mo - 3mo 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

1yr - 6mo -0.1950 -0.1434 -0.1540 -0.1481 -0.1950 -0.2172 -0.2351

2yr- 1yr 0.0000 -0.1875 -0.1878 -0.1808 0.0000 0.0000 0.0000

3yr - 2yr 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

5yr - 3yr 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

10yr - 5yr 0.1345 0.1712 0.1716 0.1561 0.1345 0.0000 0.0000

30yr - 10yr -0.4212 -0.5013 -0.4967 -0.4786 -0.4212 -0.3150 -0.2874

2 year swap -0.3561 -0.4217 -0.4120 -0.4079 -0.3561 -0.2525 -0.2888

5 year swap 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

10 year swap 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Consumer confidence 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Consumer expectations -0.0018 -0.0020 -0.0020 -0.0019 -0.0018 -0.0021 0.0000

Consumer present 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Industrial production 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000



Model results:

R-squared 41.375 40.2201 38.9215 37.6502 35.8355 33.593

Adjusted R-squared 34.2256 33.7380 33.1045 32.5156 31.359 29.7766



Standard error of estimate 0.00082 0.00082 0.00082 0.00083 0.00084 0.00085

Mean absolute errror 0.00062 0.00062 0.00063 0.00064 0.00065 0.00065

Durbin-Watson statistic 2.35164 2.32258 2.29494 2.29022 2.30548 2.27727



In-sample directional hit rate 65.63% 65.63% 67.19% 68.75% 70.31% 73.44%

4 factor

model

0.0002

0.0000

0.0000

0.0000

0.0000

0.0000

-0.0111

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000

-0.2626

0.0000

0.0000

0.0000

0.0000

-0.3071

-0.2442

0.0000

0.0000

0.0000

0.0000

0.0000

0.0000





30.608

27.4538



0.00086

0.00067

2.3687



65.63%

S&P 500 Consumer

Lagged Lagged 3 month 6 month 1 year TED S&P 500 S&P 500 dividend T3M T6M T1Y T2Y T3Y T5Y T10Y T30Y 10 year Consumer expectation Consumer Industrial

AAA spread BBB spread TED spread TED spread spread Index volatility yield T3M rate volatility volatility volatility volatility volatility volatility volatility volatility 6mo - 3mo 1yr - 6mo 2yr- 1yr 3yr - 2yr 5yr - 3yr 10yr - 5yr 30yr - 10yr 2 year swap 5 year swap swap confidence s present production

Lagged AAA spread 1.000 -0.229 -0.138 -0.139 0.103 -0.196 -0.095 0.331 0.017 -0.002 -0.057 -0.043 -0.136 -0.122 -0.137 -0.133 -0.140 -0.060 0.072 -0.688 -0.144 -0.126 0.152 0.342 0.571 0.740 0.775 -0.231 -0.273 -0.038 0.180

Lagged BBB spread -0.229 1.000 -0.047 0.155 0.217 0.221 0.022 -0.210 0.007 0.085 0.050 0.115 0.113 0.076 0.088 0.057 0.037 0.077 0.026 0.104 -0.078 -0.166 -0.295 -0.073 -0.258 -0.244 -0.131 0.088 0.044 0.176 0.248

3 month TED spread -0.138 -0.047 1.000 0.677 0.349 0.357 0.049 -0.343 0.044 0.061 0.074 0.077 0.056 0.046 -0.003 0.016 0.024 -0.586 -0.415 -0.104 -0.104 0.275 0.166 0.058 -0.216 -0.077 -0.105 0.077 0.094 0.038 -0.080

6 month TED spread -0.139 0.155 0.677 1.000 0.486 0.367 0.120 -0.350 0.024 -0.019 -0.029 0.047 0.009 0.002 -0.040 -0.016 -0.012 -0.058 -0.549 -0.061 -0.066 0.181 0.131 -0.003 -0.238 -0.131 -0.140 0.053 0.091 -0.039 0.038

1 year TED spread 0.103 0.217 0.349 0.486 1.000 0.306 0.128 -0.234 0.050 0.056 0.042 0.026 -0.030 -0.056 -0.102 -0.124 -0.160 -0.280 0.009 -0.351 -0.248 0.270 0.293 0.223 -0.242 -0.044 -0.084 0.122 0.142 0.075 0.018

S&P 500 Index -0.196 0.221 0.357 0.367 0.306 1.000 -0.011 -0.813 0.144 0.030 0.061 0.033 0.044 -0.035 -0.053 -0.011 0.054 -0.217 -0.288 0.046 -0.241 0.208 -0.075 0.193 -0.453 -0.368 -0.378 0.171 0.201 0.062 -0.142

S&P 500 volatility -0.095 0.022 0.049 0.120 0.128 -0.011 1.000 -0.036 0.018 0.413 0.372 0.325 -0.044 0.067 -0.014 0.151 0.039 -0.030 -0.061 -0.009 0.051 0.108 0.078 0.119 -0.064 -0.098 -0.101 0.143 0.178 -0.018 0.157

S&P 500 dividend yield 0.331 -0.210 -0.343 -0.350 -0.234 -0.813 -0.036 1.000 -0.101 -0.031 -0.039 -0.086 -0.147 -0.087 -0.061 -0.072 -0.084 0.165 0.236 -0.156 0.137 -0.082 0.049 -0.052 0.355 0.346 0.377 -0.192 -0.236 -0.012 0.047

T3M rate 0.017 0.007 0.044 0.024 0.050 0.144 0.018 -0.101 1.000 -0.183 -0.114 0.105 -0.095 -0.175 -0.181 -0.186 0.023 -0.139 -0.133 -0.087 -0.013 0.040 0.073 0.089 -0.004 0.036 0.041 -0.071 -0.041 -0.182 -0.030

T3M volatility -0.002 0.085 0.061 -0.019 0.056 0.030 0.413 -0.031 -0.183 1.000 0.915 0.723 0.486 0.524 0.374 0.314 -0.046 -0.046 0.112 -0.036 0.092 -0.055 -0.112 0.027 0.004 -0.083 -0.047 0.143 0.108 0.183 -0.009

T6M volatility -0.057 0.050 0.074 -0.029 0.042 0.061 0.372 -0.039 -0.114 0.915 1.000 0.708 0.430 0.454 0.311 0.248 -0.061 -0.053 0.127 -0.007 0.154 -0.011 -0.065 -0.039 0.004 -0.084 -0.054 0.130 0.099 0.166 -0.031

T1Y volatility -0.043 0.115 0.077 0.047 0.026 0.033 0.325 -0.086 0.105 0.723 0.708 1.000 0.728 0.685 0.531 0.395 0.101 -0.120 -0.101 -0.121 0.051 -0.163 -0.075 -0.071 0.010 -0.042 -0.002 0.088 0.033 0.157 0.062

T2Y volatility -0.136 0.113 0.056 0.009 -0.030 0.044 -0.044 -0.147 -0.095 0.486 0.430 0.728 1.000 0.965 0.907 0.754 0.446 -0.075 -0.086 -0.045 0.057 -0.182 -0.119 -0.159 -0.008 -0.105 -0.086 0.166 0.122 0.256 -0.036

T3Y volatility -0.122 0.076 0.046 0.002 -0.056 -0.035 0.067 -0.087 -0.175 0.524 0.454 0.685 0.965 1.000 0.958 0.850 0.528 -0.032 -0.038 -0.025 0.103 -0.158 -0.118 -0.176 0.024 -0.086 -0.061 0.176 0.136 0.252 -0.011

T5Y volatility -0.137 0.088 -0.003 -0.040 -0.102 -0.053 -0.014 -0.061 -0.181 0.374 0.311 0.531 0.907 0.958 1.000 0.920 0.662 0.005 -0.008 0.005 0.113 -0.167 -0.108 -0.188 0.050 -0.072 -0.068 0.190 0.157 0.253 0.027

T10Y volatility -0.133 0.057 0.016 -0.016 -0.124 -0.011 0.151 -0.072 -0.186 0.314 0.248 0.395 0.754 0.850 0.920 1.000 0.851 0.030 0.034 0.058 0.142 -0.122 -0.125 -0.190 0.061 -0.062 -0.073 0.195 0.180 0.196 0.012

T30Y volatility -0.140 0.037 0.024 -0.012 -0.160 0.054 0.039 -0.084 0.023 -0.046 -0.061 0.101 0.446 0.528 0.662 0.851 1.000 0.029 0.018 0.089 0.149 -0.078 -0.131 -0.175 0.065 -0.045 -0.056 0.144 0.148 0.098 -0.010

6mo - 3mo -0.060 0.077 -0.586 -0.058 -0.280 -0.217 -0.030 0.165 -0.139 -0.046 -0.053 -0.120 -0.075 -0.032 0.005 0.030 0.029 1.000 0.265 0.256 0.089 -0.170 -0.352 -0.361 0.157 -0.068 -0.061 0.048 0.047 0.028 -0.016

1yr - 6mo 0.072 0.026 -0.415 -0.549 0.009 -0.288 -0.061 0.236 -0.133 0.112 0.127 -0.101 -0.086 -0.038 -0.008 0.034 0.018 0.265 1.000 0.198 0.082 -0.075 -0.241 -0.333 0.218 0.123 0.074 0.022 -0.010 0.049 -0.180

2yr- 1yr -0.688 0.104 -0.104 -0.061 -0.351 0.046 -0.009 -0.156 -0.087 -0.036 -0.007 -0.121 -0.045 -0.025 0.005 0.058 0.089 0.256 0.198 1.000 0.203 0.096 -0.317 -0.432 -0.413 -0.507 -0.488 -0.024 -0.003 -0.129 -0.229

3yr - 2yr -0.144 -0.078 -0.104 -0.066 -0.248 -0.241 0.051 0.137 -0.013 0.092 0.154 0.051 0.057 0.103 0.113 0.142 0.149 0.089 0.082 0.203 1.000 -0.025 0.155 -0.276 0.347 0.013 0.055 -0.278 -0.283 -0.262 -0.069

5yr - 3yr -0.126 -0.166 0.275 0.181 0.270 0.208 0.108 -0.082 0.040 -0.055 -0.011 -0.163 -0.182 -0.158 -0.167 -0.122 -0.078 -0.170 -0.075 0.096 -0.025 1.000 0.362 0.275 -0.228 -0.207 -0.199 0.038 0.099 -0.142 0.011

10yr - 5yr 0.152 -0.295 0.166 0.131 0.293 -0.075 0.078 0.049 0.073 -0.112 -0.065 -0.075 -0.119 -0.118 -0.108 -0.125 -0.131 -0.352 -0.241 -0.317 0.155 0.362 1.000 0.431 0.088 0.212 0.079 -0.113 -0.077 -0.187 0.318

30yr - 10yr 0.342 -0.073 0.058 -0.003 0.223 0.193 0.119 -0.052 0.089 0.027 -0.039 -0.071 -0.159 -0.176 -0.188 -0.190 -0.175 -0.361 -0.333 -0.432 -0.276 0.275 0.431 1.000 -0.209 0.020 0.105 -0.018 0.019 -0.070 0.284

2 year swap 0.571 -0.258 -0.216 -0.238 -0.242 -0.453 -0.064 0.355 -0.004 0.004 0.004 0.010 -0.008 0.024 0.050 0.061 0.065 0.157 0.218 -0.413 0.347 -0.228 0.088 -0.209 1.000 0.813 0.737 -0.251 -0.290 -0.073 0.045

5 year swap 0.740 -0.244 -0.077 -0.131 -0.044 -0.368 -0.098 0.346 0.036 -0.083 -0.084 -0.042 -0.105 -0.086 -0.072 -0.062 -0.045 -0.068 0.123 -0.507 0.013 -0.207 0.212 0.020 0.813 1.000 0.917 -0.302 -0.360 -0.057 0.095

10 year swap 0.775 -0.131 -0.105 -0.140 -0.084 -0.378 -0.101 0.377 0.041 -0.047 -0.054 -0.002 -0.086 -0.061 -0.068 -0.073 -0.056 -0.061 0.074 -0.488 0.055 -0.199 0.079 0.105 0.737 0.917 1.000 -0.326 -0.389 -0.076 0.136

Consumer confidence -0.231 0.088 0.077 0.053 0.122 0.171 0.143 -0.192 -0.071 0.143 0.130 0.088 0.166 0.176 0.190 0.195 0.144 0.048 0.022 -0.024 -0.278 0.038 -0.113 -0.018 -0.251 -0.302 -0.326 1.000 0.968 0.761 0.115

Consumer expectations -0.273 0.044 0.094 0.091 0.142 0.201 0.178 -0.236 -0.041 0.108 0.099 0.033 0.122 0.136 0.157 0.180 0.148 0.047 -0.010 -0.003 -0.283 0.099 -0.077 0.019 -0.290 -0.360 -0.389 0.968 1.000 0.592 0.087

Consumer present -0.038 0.176 0.038 -0.039 0.075 0.062 -0.018 -0.012 -0.182 0.183 0.166 0.157 0.256 0.252 0.253 0.196 0.098 0.028 0.049 -0.129 -0.262 -0.142 -0.187 -0.070 -0.073 -0.057 -0.076 0.761 0.592 1.000 0.107

Industrial production 0.180 0.248 -0.080 0.038 0.018 -0.142 0.157 0.047 -0.030 -0.009 -0.031 0.062 -0.036 -0.011 0.027 0.012 -0.010 -0.016 -0.180 -0.229 -0.069 0.011 0.318 0.284 0.045 0.095 0.136 0.115 0.087 0.107 1.000

10 year BBB Corporate Bond Index - Bloomberg

variables coefficients 7 factor 6 factor 5 factor 4 factor

model model model model

Intercept 0.0005 0.0003 0.0002 0.0003 0.0005

Lagged AAA spread 0.0000 0.0000 0.0000 0.0000 0.0000

Lagged (2) BBB spread -0.2912 -0.3089 -0.3049 -0.3221 -0.2912

3 month TED spread 0.0000 0.0000 0.0000 0.0000 0.0000

6 month TED spread 0.0000 0.0000 0.0000 0.0000 0.0000

1 year TED spread 0.0000 0.0000 0.0000 0.0000 0.0000

S&P 500 Index 0.0000 0.0000 0.0000 0.0000 0.0000

S&P 500 volatility 0.0000 0.0057 0.0061 0.0066 0.0000

S&P 500 dividend yield 0.0000 0.0000 0.0000 0.0000 0.0000

T3M rate 0.0000 0.0000 0.0000 0.0000 0.0000

T3M volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T6M volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T1Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T2Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T3Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T5Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T10Y volatility 0.0000 0.0000 0.0000 0.0000 0.0000

T30Y volatility -0.2282 -0.2628 -0.2352 -0.2355 -0.2282

6mo - 3mo 0.0000 0.0000 0.0000 0.0000 0.0000

1yr - 6mo -0.1152 -0.1070 -0.1054 -0.1152 -0.1152

2yr- 1yr 0.0000 0.0000 0.0000 0.0000 0.0000

3yr - 2yr 0.0000 0.1407 0.0000 0.0000 0.0000

5yr - 3yr 0.0000 0.0000 0.0000 0.0000 0.0000

10yr - 5yr 0.0000 0.0000 0.0000 0.0000 0.0000

30yr - 10yr 0.0000 0.0000 0.0000 0.0000 0.0000

2 year swap 0.1532 0.1600 0.1613 0.1583 0.1532

5 year swap 0.0000 0.0000 0.0000 0.0000 0.0000

10 year swap 0.0000 0.0000 0.0000 0.0000 0.0000

Consumer confidence 0.0000 0.0000 0.0000 0.0000 0.0000

Consumer expectations 0.0000 0.0000 0.0000 0.0000 0.0000

Consumer present 0.0000 0.0000 0.0000 0.0000 0.0000

Industrial production 0.0000 0.0176 0.0157 0.0000 0.0000



Model results:

R-squared 25.232 23.6021 21.7673 18.8116

Adjusted R-squared 18.9262 18.1451 17.1654 15.0354



Standard error of estimate 0.00058 0.00058 0.00059 0.00059

Mean absolute errror 0.00044 0.00045 0.00044 0.00044

Durbin-Watson statistic 2.23981 2.25961 2.26128 2.24684



In-sample directional hit rate 52.38% 50.79% 57.14% 60.32%

S&P 500 Consumer

Lagged Lagged (2) 3 month 6 month 1 year TED S&P 500 S&P 500 dividend T3M T6M T1Y T2Y T3Y T5Y T10Y T30Y 10 year Consumer expectation Consumer Industrial

AAA spread BBB spread TED spread TED spread spread Index volatility yield T3M rate volatility volatility volatility volatility volatility volatility volatility volatility 6mo - 3mo 1yr - 6mo 2yr- 1yr 3yr - 2yr 5yr - 3yr 10yr - 5yr 30yr - 10yr 2 year swap 5 year swap swap confidence s present production

Lagged AAA spread 1.000 -0.097 -0.138 -0.137 0.108 -0.194 -0.095 0.334 0.022 -0.001 -0.055 -0.045 -0.140 -0.126 -0.143 -0.141 -0.148 -0.056 0.073 -0.695 -0.140 -0.123 0.149 0.344 0.570 0.748 0.779 -0.233 -0.274 -0.041 0.179

Lagged (2) BBB spread -0.097 1.000 0.028 -0.059 -0.344 -0.057 -0.072 0.114 0.038 0.095 0.109 0.130 0.110 0.085 0.099 0.059 0.031 -0.095 -0.182 -0.004 0.056 -0.118 -0.097 -0.071 0.158 0.084 0.027 -0.026 -0.041 0.050 -0.043

3 month TED spread -0.138 0.028 1.000 0.681 0.354 0.361 0.049 -0.343 0.047 0.061 0.075 0.077 0.054 0.045 -0.005 0.013 0.022 -0.589 -0.415 -0.106 -0.104 0.279 0.165 0.058 -0.217 -0.081 -0.108 0.077 0.093 0.036 -0.090

6 month TED spread -0.137 -0.059 0.681 1.000 0.481 0.360 0.123 -0.358 0.011 -0.022 -0.034 0.052 0.018 0.012 -0.028 0.000 0.002 -0.070 -0.553 -0.053 -0.091 0.172 0.143 -0.007 -0.235 -0.116 -0.129 0.057 0.093 -0.030 0.071

1 year TED spread 0.108 -0.344 0.354 0.481 1.000 0.295 0.131 -0.245 0.032 0.052 0.036 0.033 -0.018 -0.043 -0.086 -0.104 -0.143 -0.301 0.007 -0.343 -0.292 0.259 0.313 0.219 -0.239 -0.020 -0.068 0.129 0.146 0.089 0.064

S&P 500 Index -0.194 -0.057 0.361 0.360 0.295 1.000 -0.009 -0.831 0.127 0.026 0.055 0.040 0.058 -0.021 -0.036 0.013 0.077 -0.237 -0.293 0.060 -0.286 0.196 -0.060 0.188 -0.452 -0.352 -0.367 0.178 0.206 0.076 -0.106

S&P 500 volatility -0.095 -0.072 0.049 0.123 0.131 -0.009 1.000 -0.034 0.021 0.414 0.374 0.325 -0.046 0.066 -0.017 0.149 0.036 -0.027 -0.061 -0.012 0.058 0.111 0.077 0.120 -0.065 -0.104 -0.105 0.142 0.177 -0.021 0.160

S&P 500 dividend yield 0.334 0.114 -0.343 -0.358 -0.245 -0.831 -0.034 1.000 -0.112 -0.033 -0.042 -0.083 -0.142 -0.081 -0.052 -0.062 -0.074 0.158 0.236 -0.151 0.124 -0.091 0.058 -0.056 0.359 0.367 0.391 -0.190 -0.235 -0.005 0.074

T3M rate 0.022 0.038 0.047 0.011 0.032 0.127 0.021 -0.112 1.000 -0.191 -0.123 0.114 -0.082 -0.162 -0.163 -0.164 0.049 -0.161 -0.137 -0.073 -0.054 0.023 0.093 0.083 0.002 0.067 0.064 -0.065 -0.038 -0.169 0.022

T3M volatility -0.001 0.095 0.061 -0.022 0.052 0.026 0.414 -0.033 -0.191 1.000 0.915 0.726 0.492 0.532 0.383 0.326 -0.041 -0.051 0.112 -0.032 0.086 -0.060 -0.108 0.025 0.006 -0.077 -0.042 0.145 0.108 0.188 0.004

T6M volatility -0.055 0.109 0.075 -0.034 0.036 0.055 0.374 -0.042 -0.123 0.915 1.000 0.713 0.437 0.463 0.322 0.262 -0.053 -0.060 0.127 -0.003 0.146 -0.017 -0.060 -0.042 0.006 -0.076 -0.048 0.132 0.100 0.173 -0.016

T1Y volatility -0.045 0.130 0.077 0.052 0.033 0.040 0.325 -0.083 0.114 0.726 0.713 1.000 0.727 0.684 0.530 0.392 0.094 -0.114 -0.100 -0.127 0.067 -0.159 -0.082 -0.068 0.008 -0.053 -0.010 0.086 0.032 0.153 0.047

T2Y volatility -0.140 0.110 0.054 0.018 -0.018 0.058 -0.046 -0.142 -0.082 0.492 0.437 0.727 1.000 0.965 0.907 0.753 0.438 -0.064 -0.084 -0.055 0.086 -0.172 -0.133 -0.155 -0.012 -0.127 -0.101 0.162 0.121 0.249 -0.073

T3Y volatility -0.126 0.085 0.045 0.012 -0.043 -0.021 0.066 -0.081 -0.162 0.532 0.463 0.684 0.965 1.000 0.958 0.850 0.520 -0.018 -0.036 -0.036 0.137 -0.147 -0.134 -0.172 0.020 -0.111 -0.078 0.173 0.135 0.243 -0.051

T5Y volatility -0.143 0.099 -0.005 -0.028 -0.086 -0.036 -0.017 -0.052 -0.163 0.383 0.322 0.530 0.907 0.958 1.000 0.918 0.655 0.023 -0.006 -0.009 0.156 -0.153 -0.128 -0.183 0.046 -0.103 -0.090 0.186 0.156 0.242 -0.022

T10Y volatility -0.141 0.059 0.013 0.000 -0.104 0.013 0.149 -0.062 -0.164 0.326 0.262 0.392 0.753 0.850 0.918 1.000 0.846 0.055 0.037 0.040 0.199 -0.103 -0.152 -0.184 0.055 -0.101 -0.102 0.190 0.180 0.181 -0.054

T30Y volatility -0.148 0.031 0.022 0.002 -0.143 0.077 0.036 -0.074 0.049 -0.041 -0.053 0.094 0.438 0.520 0.655 0.846 1.000 0.051 0.021 0.074 0.202 -0.060 -0.156 -0.169 0.060 -0.080 -0.082 0.138 0.147 0.082 -0.071

6mo - 3mo -0.056 -0.095 -0.589 -0.070 -0.301 -0.237 -0.027 0.158 -0.161 -0.051 -0.060 -0.114 -0.064 -0.018 0.023 0.055 0.051 1.000 0.265 0.272 0.058 -0.187 -0.342 -0.371 0.163 -0.044 -0.043 0.054 0.050 0.042 0.029

1yr - 6mo 0.073 -0.182 -0.415 -0.553 0.007 -0.293 -0.061 0.236 -0.137 0.112 0.127 -0.100 -0.084 -0.036 -0.006 0.037 0.021 0.265 1.000 0.201 0.081 -0.078 -0.241 -0.334 0.219 0.129 0.078 0.023 -0.010 0.051 -0.186

2yr- 1yr -0.695 -0.004 -0.106 -0.053 -0.343 0.060 -0.012 -0.151 -0.073 -0.032 -0.003 -0.127 -0.055 -0.036 -0.009 0.040 0.074 0.272 0.201 1.000 0.239 0.110 -0.334 -0.430 -0.419 -0.541 -0.510 -0.029 -0.005 -0.141 -0.282

3yr - 2yr -0.140 0.056 -0.104 -0.091 -0.292 -0.286 0.058 0.124 -0.054 0.086 0.146 0.067 0.086 0.137 0.156 0.199 0.202 0.058 0.081 0.239 1.000 -0.058 0.196 -0.300 0.370 0.068 0.096 -0.276 -0.288 -0.244 0.020

5yr - 3yr -0.123 -0.118 0.279 0.172 0.259 0.196 0.111 -0.091 0.023 -0.060 -0.017 -0.159 -0.172 -0.147 -0.153 -0.103 -0.060 -0.187 -0.078 0.110 -0.058 1.000 0.383 0.271 -0.226 -0.189 -0.186 0.044 0.102 -0.132 0.054

10yr - 5yr 0.149 -0.097 0.165 0.143 0.313 -0.060 0.077 0.058 0.093 -0.108 -0.060 -0.082 -0.133 -0.134 -0.128 -0.152 -0.156 -0.342 -0.241 -0.334 0.196 0.383 1.000 0.442 0.084 0.192 0.062 -0.120 -0.080 -0.203 0.295

30yr - 10yr 0.344 -0.071 0.058 -0.007 0.219 0.188 0.120 -0.056 0.083 0.025 -0.042 -0.068 -0.155 -0.172 -0.183 -0.184 -0.169 -0.371 -0.334 -0.430 -0.300 0.271 0.442 1.000 -0.207 0.031 0.114 -0.015 0.020 -0.065 0.320

2 year swap 0.570 0.158 -0.217 -0.235 -0.239 -0.452 -0.065 0.359 0.002 0.006 0.006 0.008 -0.012 0.020 0.046 0.055 0.060 0.163 0.219 -0.419 0.370 -0.226 0.084 -0.207 1.000 0.823 0.740 -0.253 -0.291 -0.078 0.035

5 year swap 0.748 0.084 -0.081 -0.116 -0.020 -0.352 -0.104 0.367 0.067 -0.077 -0.076 -0.053 -0.127 -0.111 -0.103 -0.101 -0.080 -0.044 0.129 -0.541 0.068 -0.189 0.192 0.031 0.823 1.000 0.916 -0.318 -0.371 -0.080 0.030

10 year swap 0.779 0.027 -0.108 -0.129 -0.068 -0.367 -0.105 0.391 0.064 -0.042 -0.048 -0.010 -0.101 -0.078 -0.090 -0.102 -0.082 -0.043 0.078 -0.510 0.096 -0.186 0.062 0.114 0.740 0.916 1.000 -0.336 -0.396 -0.092 0.094

Consumer confidence -0.233 -0.026 0.077 0.057 0.129 0.178 0.142 -0.190 -0.065 0.145 0.132 0.086 0.162 0.173 0.186 0.190 0.138 0.054 0.023 -0.029 -0.276 0.044 -0.120 -0.015 -0.253 -0.318 -0.336 1.000 0.969 0.762 0.105

Consumer expectations -0.274 -0.041 0.093 0.093 0.146 0.206 0.177 -0.235 -0.038 0.108 0.100 0.032 0.121 0.135 0.156 0.180 0.147 0.050 -0.010 -0.005 -0.288 0.102 -0.080 0.020 -0.291 -0.371 -0.396 0.969 1.000 0.593 0.085

Consumer present -0.041 0.050 0.036 -0.030 0.089 0.076 -0.021 -0.005 -0.169 0.188 0.173 0.153 0.249 0.243 0.242 0.181 0.082 0.042 0.051 -0.141 -0.244 -0.132 -0.203 -0.065 -0.078 -0.080 -0.092 0.762 0.593 1.000 0.076

Industrial production 0.179 -0.043 -0.090 0.071 0.064 -0.106 0.160 0.074 0.022 0.004 -0.016 0.047 -0.073 -0.051 -0.022 -0.054 -0.071 0.029 -0.186 -0.282 0.020 0.054 0.295 0.320 0.035 0.030 0.094 0.105 0.085 0.076 1.000

AAA Corp 10yr T-note BAA Corp 10yr T-note

bond rate spread delta 6 mo vol bond rate

yield yield

1/29/1988 8801 9.52 8.28 1.24 10.77 8.28

2/29/1988 8802 9.29 8.16 1.13 -0.0011 10.53 8.16

3/31/1988 8803 9.56 8.57 0.99 0.0027 10.76 8.57

4/29/1988 8804 9.73 8.88 0.85 0.0017 10.94 8.88

5/31/1988 8805 10.06 9.01 1.05 0.0033 11.13 9.01

6/30/1988 8806 9.83 8.78 1.05 -0.0023 10.98 8.78

7/29/1988 8807 10.03 9.05 0.98 0.0020 0.0022 11.19 9.05

8/31/1988 8808 10.13 9.25 0.88 0.0010 0.0020 11.22 9.25

9/30/1988 8809 9.65 8.84 0.81 -0.0048 0.0031 10.49 8.84

######## 8810 9.39 8.67 0.72 -0.0026 0.0031 10.23 8.67

######## 8811 9.53 9.01 0.52 0.0014 0.0027 10.61 9.01

######## 8812 9.61 9.14 0.47 0.0008 0.0027 10.69 9.14

1/31/1989 8901 9.57 8.98 0.59 -0.0004 0.0025 10.57 8.98

2/28/1989 8902 9.76 9.38 0.38 0.0019 0.0026 10.67 9.38

3/31/1989 8903 9.85 9.22 0.63 0.0009 0.0016 10.61 9.22

4/28/1989 8904 9.71 9.13 0.58 -0.0014 0.0012 10.57 9.13

5/31/1989 8905 9.39 8.60 0.79 -0.0032 0.0018 10.3 8.60

6/30/1989 8906 9.01 8.08 0.93 -0.0038 0.0022 9.94 8.08

7/31/1989 8907 8.85 7.76 1.09 -0.0016 0.0022 9.81 7.76

8/31/1989 8908 9.02 8.17 0.85 0.0017 0.0022 9.92 8.17

9/29/1989 8909 9.04 8.27 0.77 0.0002 0.0021 9.93 8.27

######## 8910 8.92 7.88 1.04 -0.0012 0.0021 9.76 7.88

######## 8911 8.89 7.81 1.08 -0.0003 0.0019 9.83 7.81

######## 8912 8.87 7.93 0.94 -0.0002 0.0012 9.84 7.93

1/31/1990 9001 9.15 8.41 0.74 0.0028 0.0015 10.11 8.41

2/28/1990 9002 9.25 8.59 0.66 0.0010 0.0014 10.19 8.59

3/30/1990 9003 9.39 8.64 0.75 0.0014 0.0014 10.23 8.64

4/30/1990 9004 9.63 9.07 0.56 0.0024 0.0013 10.54 9.07

5/31/1990 9005 9.37 8.45 0.92 -0.0026 0.0020 10.31 8.45

6/29/1990 9006 9.24 8.42 0.82 -0.0013 0.0021 10.22 8.42

7/31/1990 9007 9.21 8.28 0.93 -0.0003 0.0019 10.13 8.28

8/31/1990 9008 9.58 8.84 0.74 0.0037 0.0024 10.55 8.84

9/28/1990 9009 9.6 8.71 0.89 0.0002 0.0023 10.76 8.71

######## 9010 9.49 8.56 0.93 -0.0011 0.0022 10.78 8.56

######## 9011 9.17 8.21 0.96 -0.0032 0.0023 10.53 8.21

######## 9012 9.05 8.07 0.98 -0.0012 0.0023 10.43 8.07

1/31/1991 9101 8.99 7.91 1.09 -0.0006 0.0023 10.33 7.91

2/28/1991 9102 8.86 8.12 0.74 -0.0013 0.0011 10.11 8.12

3/29/1991 9103 8.9 8.04 0.86 0.0004 0.0012 10.01 8.04

4/30/1991 9104 8.83 8.05 0.78 -0.0007 0.0012 9.85 8.05

5/31/1991 9105 8.88 8.12 0.76 0.0005 0.0008 9.83 8.12

6/28/1991 9106 9.02 8.25 0.77 0.0014 0.0010 9.9 8.25

7/31/1991 9107 8.93 8.16 0.77 -0.0009 0.0010 9.8 8.16

8/30/1991 9108 8.69 7.81 0.88 -0.0024 0.0013 9.57 7.81

9/30/1991 9109 8.53 7.44 1.09 -0.0016 0.0014 9.41 7.44

######## 9110 8.57 7.46 1.11 0.0004 0.0014 9.49 7.46

######## 9111 8.44 7.32 1.12 -0.0013 0.0014 9.44 7.32

######## 9112 8.16 6.70 1.46 -0.0028 0.0011 9.1 6.70

1/31/1992 9201 8.27 7.35 0.92 0.0011 0.0015 9.21 7.35

2/28/1992 9202 8.27 7.37 0.90 0.0000 0.0015 9.17 7.37

3/31/1992 9203 8.37 7.44 0.93 0.0010 0.0015 9.24 7.44

4/30/1992 9204 8.39 7.54 0.85 0.0002 0.0015 9.24 7.54

5/29/1992 9205 8.23 7.38 0.85 -0.0016 0.0015 9.1 7.38

6/30/1992 9206 8.18 7.09 1.09 -0.0005 0.0010 9 7.09

7/31/1992 9207 8 6.71 1.29 -0.0018 0.0011 8.69 6.71

8/31/1992 9208 7.96 6.55 1.41 -0.0004 0.0011 8.68 6.55

9/30/1992 9209 7.94 6.22 1.72 -0.0002 0.0008 8.66 6.22

######## 9210 8.07 6.86 1.21 0.0013 0.0011 8.92 6.86

######## 9211 8.08 6.92 1.16 0.0001 0.0010 8.95 6.92

######## 9212 7.91 6.69 1.23 -0.0017 0.0012 8.76 6.69

1/29/1993 9301 7.8 6.36 1.44 -0.0011 0.0010 8.5 6.36

2/26/1993 9302 7.61 5.94 1.67 -0.0019 0.0012 8.23 5.94

3/31/1993 9303 7.63 6.05 1.58 0.0002 0.0013 8.21 6.05

4/30/1993 9304 7.41 5.95 1.46 -0.0022 0.0010 8.17 5.95

5/31/1993 9305 7.46 6.06 1.40 0.0005 0.0011 8.26 6.06

6/30/1993 9306 7.24 5.78 1.46 -0.0022 0.0012 7.96 5.78

7/30/1993 9307 7.08 5.83 1.25 -0.0016 0.0012 7.91 5.83

8/31/1993 9308 6.65 5.45 1.20 -0.0043 0.0018 7.36 5.45

9/30/1993 9309 6.73 5.32 1.41 0.0008 0.0019 7.4 5.32

######## 9310 6.72 5.53 1.19 -0.0001 0.0019 7.39 5.53

######## 9311 6.99 5.79 1.20 0.0027 0.0025 7.74 5.79

######## 9312 7 5.89 1.11 0.0001 0.0024 7.77 5.89

1/31/1994 9401 6.85 5.72 1.13 -0.0015 0.0024 7.55 5.72

2/28/1994 9402 7.25 6.28 0.97 0.0040 0.0020 7.92 6.28

3/31/1994 9403 7.72 6.76 0.96 0.0047 0.0025 8.36 6.76

4/29/1994 9404 7.9 7.08 0.82 0.0018 0.0024 8.54 7.08

5/31/1994 9405 8.03 7.11 0.92 0.0013 0.0023 8.68 7.11

6/30/1994 9406 8.18 7.33 0.85 0.0015 0.0022 8.86 7.33

7/29/1994 9407 7.92 7.12 0.81 -0.0026 0.0026 8.61 7.12

8/31/1994 9408 8.08 7.18 0.90 0.0016 0.0023 8.74 7.18

9/30/1994 9409 8.5 7.65 0.85 0.0042 0.0022 9.12 7.65

######## 9410 8.58 7.90 0.68 0.0008 0.0022 9.21 7.90

######## 9411 8.57 7.92 0.65 -0.0001 0.0022 9.21 7.92

######## 9412 8.49 7.84 0.66 -0.0008 0.0023 9.14 7.84

1/31/1995 9501 8.34 7.65 0.69 -0.0015 0.0020 8.93 7.65

2/28/1995 9502 8.16 7.23 0.93 -0.0018 0.0022 8.75 7.23

3/31/1995 9503 8.13 7.14 1.00 -0.0003 0.0010 8.69 7.14

4/28/1995 9504 8.01 7.08 0.94 -0.0012 0.0007 8.58 7.08

5/31/1995 9505 7.39 6.19 1.20 -0.0062 0.0021 7.96 6.19

6/30/1995 9506 7.39 6.20 1.19 0.0000 0.0022 7.99 6.20

7/31/1995 9507 7.55 6.49 1.06 0.0016 0.0027 8.17 6.49

8/31/1995 9508 7.38 6.22 1.17 -0.0017 0.0027 8.01 6.22

9/29/1995 9509 7.27 6.14 1.13 -0.0011 0.0026 7.88 6.14

######## 9510 7.07 5.96 1.11 -0.0020 0.0026 7.73 5.96

######## 9511 6.89 5.71 1.18 -0.0018 0.0014 7.57 5.71

######## 9512 6.71 5.58 1.14 -0.0018 0.0014 7.38 5.58

1/31/1996 9601 6.78 5.61 1.17 0.0007 0.0010 7.42 5.61

2/29/1996 9602 7.25 5.99 1.26 0.0047 0.0026 7.91 5.99

3/29/1996 9603 7.42 6.30 1.12 0.0017 0.0027 8.12 6.30

4/30/1996 9604 7.59 6.67 0.92 0.0017 0.0025 8.27 6.67

5/31/1996 9605 7.67 6.86 0.81 0.0008 0.0021 8.33 6.86

6/28/1996 9606 7.54 6.73 0.81 -0.0013 0.0020 8.24 6.73

7/31/1996 9607 7.58 6.64 0.94 0.0004 0.0020 8.3 6.64

8/30/1996 9608 7.76 6.94 0.82 0.0018 0.0012 8.44 6.94

9/30/1996 9609 7.54 6.64 0.91 -0.0022 0.0016 8.22 6.64

######## 9610 7.23 6.37 0.86 -0.0031 0.0019 7.91 6.37

######## 9611 7.01 6.06 0.95 -0.0022 0.0019 7.71 6.06

######## 9612 7.27 6.42 0.85 0.0026 0.0024 7.97 6.42

1/31/1997 9701 7.39 6.45 0.94 0.0012 0.0025 8.03 6.45

2/28/1997 9702 7.43 6.57 0.86 0.0004 0.0023 8.05 6.57

3/31/1997 9703 7.71 6.89 0.82 0.0028 0.0025 8.32 6.89

4/30/1997 9704 7.6 6.69 0.91 -0.0011 0.0020 8.22 6.69

5/30/1997 9705 7.57 6.65 0.92 -0.0003 0.0016 8.18 6.65

6/30/1997 9706 7.43 6.44 0.99 -0.0014 0.0016 8.01 6.44

7/31/1997 9707 6.94 6.20 0.75 -0.0049 0.0025 7.56 6.20

8/29/1997 9708 7.25 6.33 0.92 0.0031 0.0030 7.78 6.33

9/30/1997 9709 7.08 6.03 1.05 -0.0017 0.0026 7.66 6.03

######## 9710 6.87 5.89 0.98 -0.0021 0.0026 7.44 5.89

######## 9711 6.83 5.85 0.98 -0.0004 0.0026 7.38 5.85

######## 9712 6.71 5.74 0.97 -0.0012 0.0026 7.28 5.74

1/30/1998 9801 6.62 5.56 1.06 -0.0009 0.0019 7.21 5.56

2/27/1998 9802 6.71 5.71 1.00 0.0009 0.0011 7.29 5.71

3/31/1998 9803 6.71 5.61 1.10 0.0000 0.0010 7.34 5.61

4/30/1998 9804 6.72 5.66 1.06 0.0001 0.0008 7.34 5.66

5/29/1998 9805 6.59 5.52 1.07 -0.0013 0.0009 7.19 5.52

6/30/1998 9806 6.51 5.43 1.08 -0.0008 0.0008 7.11 5.43

7/31/1998 9807 6.6 5.45 1.15 0.0009 0.0009 7.21 5.45

8/31/1998 9808 6.46 5.04 1.42 -0.0014 0.0009 7.11 5.04

9/30/1998 9809 6.24 4.30 1.94 -0.0022 0.0011 7.01 4.30

######## 9810 6.47 4.75 1.72 0.0023 0.0017 7.29 4.75

######## 9811 6.17 4.66 1.51 -0.0030 0.0020 7.19 4.66

######## 9812 6.23 4.65 1.58 0.0006 0.0020 7.23 4.65

1/29/1999 9901 6.16 4.65 1.51 -0.0007 0.0019 7.21 4.65

10yr T-note

spread delta 6 mo vol



2.49

2.37 -0.0012

2.19 0.0023

2.06 0.0018

2.12 0.0019

2.20 -0.0015

2.14 0.0021 0.0018

1.97 0.0003 0.0015

1.65 -0.0073 0.0036

1.56 -0.0026 0.0035

1.60 0.0038 0.0039

1.55 0.0008 0.0040

1.59 -0.0012 0.0037

1.29 0.0010 0.0038

1.39 -0.0006 0.0022

1.44 -0.0004 0.0018

1.70 -0.0027 0.0014

1.86 -0.0036 0.0017

2.05 -0.0013 0.0017

1.75 0.0011 0.0017

1.66 0.0001 0.0018

1.88 -0.0017 0.0017

2.02 0.0007 0.0018

1.91 0.0001 0.0011

1.70 0.0027 0.0014

1.60 0.0008 0.0014

1.59 0.0004 0.0014

1.47 0.0031 0.0013

1.86 -0.0023 0.0020

1.80 -0.0009 0.0021

1.85 -0.0009 0.0019

1.71 0.0042 0.0025

2.05 0.0021 0.0026

2.22 0.0002 0.0024

2.32 -0.0025 0.0024

2.36 -0.0010 0.0024

2.43 -0.0010 0.0024

1.99 -0.0022 0.0017

1.97 -0.0010 0.0010

1.80 -0.0016 0.0007

1.71 -0.0002 0.0007

1.65 0.0007 0.0010

1.64 -0.0010 0.0010

1.76 -0.0023 0.0011

1.97 -0.0016 0.0011

2.03 0.0008 0.0013

2.12 -0.0005 0.0012

2.40 -0.0034 0.0015

1.86 0.0011 0.0018

1.80 -0.0004 0.0017

1.80 0.0007 0.0017

1.70 0.0000 0.0016

1.72 -0.0014 0.0016

1.91 -0.0010 0.0010

1.98 -0.0031 0.0013

2.13 -0.0001 0.0013

2.44 -0.0002 0.0012

2.06 0.0026 0.0019

2.03 0.0003 0.0019

2.08 -0.0019 0.0020

2.14 -0.0026 0.0018

2.29 -0.0027 0.0021

2.16 -0.0002 0.0021

2.22 -0.0004 0.0013

2.20 0.0009 0.0015

2.18 -0.0030 0.0016

2.08 -0.0005 0.0015

1.91 -0.0055 0.0024

2.08 0.0004 0.0024

1.86 -0.0001 0.0025

1.95 0.0035 0.0031

1.88 0.0003 0.0029

1.83 -0.0022 0.0030

1.64 0.0037 0.0023

1.60 0.0044 0.0026

1.46 0.0018 0.0025

1.57 0.0014 0.0024

1.53 0.0018 0.0023

1.50 -0.0025 0.0024

1.56 0.0013 0.0022

1.47 0.0038 0.0021

1.31 0.0009 0.0020

1.29 0.0000 0.0021

1.31 -0.0007 0.0021

1.28 -0.0021 0.0020

1.52 -0.0018 0.0022

1.56 -0.0006 0.0011

1.51 -0.0011 0.0008

1.77 -0.0062 0.0021

1.79 0.0003 0.0023

1.68 0.0018 0.0027

1.80 -0.0016 0.0027

1.74 -0.0013 0.0027

1.77 -0.0015 0.0027

1.86 -0.0016 0.0014

1.81 -0.0019 0.0014

1.81 0.0004 0.0008

1.92 0.0049 0.0026

1.82 0.0021 0.0027

1.60 0.0015 0.0025

1.47 0.0006 0.0022

1.51 -0.0009 0.0020

1.66 0.0006 0.0020

1.50 0.0014 0.0010

1.59 -0.0022 0.0014

1.54 -0.0031 0.0018

1.65 -0.0020 0.0017

1.55 0.0026 0.0023

1.58 0.0006 0.0023

1.48 0.0002 0.0021

1.43 0.0027 0.0024

1.53 -0.0010 0.0019

1.53 -0.0004 0.0015

1.57 -0.0017 0.0015

1.37 -0.0045 0.0024

1.45 0.0022 0.0027

1.63 -0.0012 0.0022

1.55 -0.0022 0.0022

1.53 -0.0006 0.0022

1.54 -0.0010 0.0022

1.65 -0.0007 0.0015

1.58 0.0008 0.0010

1.73 0.0005 0.0011

1.68 0.0000 0.0007

1.67 -0.0015 0.0009

1.68 -0.0008 0.0009

1.76 0.0010 0.0010

2.07 -0.0010 0.0010

2.71 -0.0010 0.0009

2.54 0.0028 0.0017

2.53 -0.0010 0.0016

2.58 0.0004 0.0015

2.56 -0.0002 0.0015

Name Corp. bond 2 yr T-note corp spread 5 yr T-note corp spread 10 yr T-note

Code yield rate to 2 yr delta rate to 5 yr delta rate



1/29/1988 9.4 7.25 2.15 7.82 1.58 8.28

2/29/1988 9.29 7.11 2.18 0.0003 7.65 1.64 0.0006 8.16

3/31/1988 9.38 7.40 1.98 -0.0020 8.04 1.34 -0.0030 8.57

4/29/1988 9.52 7.75 1.77 -0.0021 8.35 1.17 -0.0017 8.88

5/31/1988 9.71 8.07 1.64 -0.0013 8.57 1.14 -0.0003 9.01

6/30/1988 9.68 8.00 1.68 0.0004 8.39 1.29 0.0015 8.78

7/29/1988 9.82 8.36 1.46 -0.0022 8.69 1.13 -0.0016 9.05

8/31/1988 9.95 8.69 1.26 -0.0020 8.97 0.98 -0.0015 9.25

9/30/1988 9.75 8.41 1.34 0.0008 8.60 1.15 0.0017 8.84

10/31/1988 9.55 8.25 1.30 -0.0004 8.40 1.15 0.0000 8.67

11/30/1988 9.72 8.86 0.86 -0.0044 8.91 0.81 -0.0034 9.01

12/30/1988 9.77 9.14 0.63 -0.0023 9.14 0.63 -0.0018 9.14

1/31/1989 9.48 9.10 0.38 -0.0025 9.05 0.43 -0.0020 8.98

2/28/1989 9.73 9.55 0.18 -0.0020 9.45 0.28 -0.0015 9.38

3/31/1989 9.93 9.54 0.39 0.0021 9.39 0.54 0.0026 9.22

4/28/1989 9.84 9.34 0.50 0.0011 9.18 0.66 0.0012 9.13

5/31/1989 9.55 8.82 0.73 0.0023 8.66 0.89 0.0023 8.60

6/30/1989 9.15 8.02 1.13 0.0040 8.00 1.15 0.0026 8.08

7/31/1989 8.96 7.46 1.50 0.0037 7.52 1.44 0.0029 7.76

8/31/1989 9.09 8.32 0.77 -0.0073 8.17 0.92 -0.0052 8.17

9/29/1989 9.14 8.46 0.68 -0.0009 8.34 0.80 -0.0012 8.27

10/31/1989 9.05 7.87 1.18 0.0050 7.84 1.21 0.0041 7.88

11/30/1989 9.03 7.70 1.33 0.0015 7.70 1.33 0.0012 7.81

12/29/1989 9 7.85 1.15 -0.0018 7.86 1.14 -0.0019 7.93

1/31/1990 9.16 8.28 0.88 -0.0027 8.35 0.81 -0.0033 8.41

2/28/1990 9.33 8.53 0.80 -0.0008 8.55 0.78 -0.0003 8.59

3/30/1990 9.43 8.62 0.81 0.0001 8.66 0.77 -0.0001 8.64

4/30/1990 9.63 9.03 0.60 -0.0021 9.07 0.56 -0.0021 9.07

5/31/1990 9.5 8.32 1.18 0.0058 8.38 1.12 0.0056 8.45

6/29/1990 9.39 8.24 1.15 -0.0003 8.34 1.05 -0.0007 8.42

7/31/1990 9.29 7.84 1.45 0.0030 8.05 1.24 0.0019 8.28

8/31/1990 9.59 8.07 1.52 0.0007 8.53 1.06 -0.0018 8.84

9/28/1990 9.79 7.94 1.85 0.0033 8.38 1.41 0.0035 8.71

10/31/1990 9.72 7.66 2.06 0.0021 8.14 1.58 0.0017 8.56

11/30/1990 9.49 7.53 1.96 -0.0010 7.88 1.61 0.0003 8.21

12/31/1990 9.31 7.16 2.15 0.0019 7.69 1.62 0.0001 8.07

1/31/1991 9.36 6.86 2.50 0.0035 7.45 1.91 0.0029 7.91

2/28/1991 9.07 7.13 1.94 -0.0056 7.71 1.36 -0.0055 8.12

3/29/1991 9.15 7.02 2.13 0.0019 7.72 1.43 0.0007 8.04

4/30/1991 9.04 6.81 2.23 0.0010 7.61 1.43 0.0000 8.05

5/31/1991 9.17 6.80 2.37 0.0014 7.78 1.39 -0.0004 8.12

6/28/1991 9.25 6.98 2.27 -0.0010 7.91 1.34 -0.0005 8.25

7/31/1991 9.17 6.84 2.33 0.0006 7.75 1.42 0.0008 8.16

8/30/1991 8.83 6.36 2.47 0.0014 7.32 1.51 0.0009 7.81

9/30/1991 8.63 5.97 2.66 0.0019 6.87 1.76 0.0025 7.44

10/31/1991 8.73 5.65 3.08 0.0042 6.71 2.02 0.0026 7.46

11/29/1991 8.66 5.32 3.34 0.0026 6.42 2.24 0.0022 7.32

12/31/1991 8.37 4.77 3.60 0.0026 5.93 2.44 0.0020 6.70

1/31/1992 8.52 5.14 3.38 -0.0022 6.52 2.00 -0.0044 7.35

2/28/1992 8.6 5.44 3.16 -0.0022 6.73 1.87 -0.0013 7.37

3/31/1992 8.62 5.52 3.10 -0.0006 6.82 1.80 -0.0007 7.44

4/30/1992 8.69 5.32 3.37 0.0027 6.83 1.86 0.0006 7.54

5/29/1992 8.54 5.28 3.26 -0.0011 6.68 1.86 0.0000 7.38

6/30/1992 8.46 4.82 3.64 0.0038 6.26 2.20 0.0034 7.09

7/31/1992 8.17 4.40 3.77 0.0013 5.82 2.35 0.0015 6.71

8/31/1992 8.09 4.12 3.97 0.0020 5.52 2.57 0.0022 6.55

9/30/1992 8.08 3.70 4.38 0.0041 5.20 2.88 0.0031 6.22

10/30/1992 8.33 4.47 3.86 -0.0052 5.92 2.41 -0.0047 6.86

11/30/1992 8.27 4.84 3.43 -0.0043 6.23 2.04 -0.0038 6.92

12/31/1992 8.15 4.58 3.57 0.0014 6.05 2.11 0.0007 6.69

1/29/1993 7.99 4.18 3.81 0.0024 5.54 2.45 0.0035 6.36

2/26/1993 7.7 3.87 3.83 0.0002 5.12 2.58 0.0013 5.94

3/31/1993 7.7 3.96 3.74 -0.0009 5.19 2.51 -0.0007 6.05

4/30/1993 7.5 3.74 3.76 0.0002 5.05 2.45 -0.0006 5.95

5/31/1993 7.54 4.14 3.40 -0.0036 5.25 2.29 -0.0016 6.06

6/30/1993 7.37 3.99 3.38 -0.0002 5.03 2.34 0.0005 5.78

7/30/1993 7.25 4.20 3.05 -0.0033 5.18 2.07 -0.0027 5.83

8/31/1993 6.83 3.87 2.96 -0.0009 4.80 2.03 -0.0004 5.45

9/30/1993 6.79 3.84 2.95 -0.0001 4.70 2.09 0.0006 5.32

10/29/1993 7.02 4.11 2.91 -0.0004 4.95 2.07 -0.0002 5.53

11/30/1993 7.12 4.19 2.93 0.0002 5.12 2.00 -0.0008 5.79

12/31/1993 7.1 4.26 2.84 -0.0009 5.30 1.80 -0.0019 5.89

1/31/1994 7.08 4.20 2.88 0.0004 5.09 1.99 0.0018 5.72

2/28/1994 7.33 4.79 2.54 -0.0034 5.74 1.59 -0.0040 6.28

3/31/1994 7.73 5.19 2.54 0.0000 6.22 1.51 -0.0008 6.76

4/29/1994 7.87 5.77 2.10 -0.0044 6.68 1.19 -0.0032 7.08

5/31/1994 8.18 5.95 2.23 0.0013 6.73 1.46 0.0026 7.11

6/30/1994 8.24 6.16 2.08 -0.0015 6.94 1.30 -0.0015 7.33

7/29/1994 8.21 5.95 2.26 0.0018 6.73 1.48 0.0018 7.12

8/31/1994 8.17 6.15 2.03 -0.0024 6.81 1.36 -0.0012 7.18

9/30/1994 8.55 6.67 1.88 -0.0015 7.35 1.21 -0.0016 7.65

10/31/1994 8.75 6.91 1.84 -0.0004 7.58 1.17 -0.0004 7.90

11/30/1994 8.71 7.41 1.30 -0.0054 7.79 0.92 -0.0025 7.92

12/30/1994 8.52 7.69 0.83 -0.0047 7.83 0.69 -0.0023 7.84

1/31/1995 8.4 7.33 1.07 0.0024 7.56 0.84 0.0015 7.65

2/28/1995 8.22 6.80 1.42 0.0034 7.06 1.16 0.0032 7.23

3/31/1995 8.14 6.72 1.42 0.0000 6.99 1.16 -0.0001 7.14

4/28/1995 8.03 6.59 1.44 0.0002 6.89 1.14 -0.0001 7.08

5/31/1995 7.61 5.68 1.93 0.0048 5.93 1.68 0.0053 6.19

6/30/1995 7.34 5.76 1.58 -0.0035 5.96 1.38 -0.0029 6.20

7/31/1995 7.63 5.91 1.72 0.0014 6.21 1.42 0.0004 6.49

8/31/1995 7.54 5.78 1.76 0.0005 6.00 1.54 0.0012 6.22

9/29/1995 7.37 5.83 1.54 -0.0023 6.00 1.37 -0.0017 6.14

10/31/1995 7.18 5.51 1.67 0.0013 5.73 1.45 0.0008 5.96

11/30/1995 7.11 5.31 1.80 0.0013 5.49 1.63 0.0018 5.71

12/29/1995 7.06 5.17 1.89 0.0009 5.39 1.67 0.0005 5.58

1/31/1996 6.95 4.92 2.03 0.0014 5.23 1.72 0.0005 5.61

2/29/1996 7.25 5.24 2.02 -0.0002 5.57 1.68 -0.0004 5.99

3/29/1996 7.48 5.75 1.73 -0.0028 6.06 1.42 -0.0027 6.30

4/30/1996 7.61 6.00 1.61 -0.0012 6.38 1.23 -0.0018 6.67

5/31/1996 7.66 6.24 1.42 -0.0019 6.66 1.00 -0.0023 6.86

6/28/1996 7.87 6.12 1.75 0.0033 6.49 1.38 0.0038 6.73

7/31/1996 7.82 6.05 1.77 0.0002 6.40 1.42 0.0004 6.64

8/30/1996 7.75 6.36 1.39 -0.0038 6.74 1.01 -0.0041 6.94

9/30/1996 7.78 6.03 1.75 0.0036 6.38 1.40 0.0038 6.64

10/31/1996 7.43 5.77 1.66 -0.0009 5.98 1.45 0.0005 6.37

11/29/1996 7.28 5.60 1.68 0.0002 5.84 1.44 -0.0001 6.06

12/31/1996 7.36 5.88 1.48 -0.0020 6.21 1.15 -0.0029 6.42

1/31/1997 7.63 5.87 1.76 0.0028 6.20 1.43 0.0029 6.45

2/28/1997 7.46 6.11 1.35 -0.0041 6.41 1.05 -0.0039 6.57

3/31/1997 7.71 6.41 1.30 -0.0005 6.74 0.98 -0.0007 6.89

4/30/1997 7.78 6.22 1.56 0.0026 6.55 1.23 0.0026 6.69

5/30/1997 7.82 6.21 1.61 0.0005 6.50 1.32 0.0009 6.65

6/30/1997 7.45 6.01 1.44 -0.0017 6.32 1.13 -0.0019 6.44

7/31/1997 7.17 5.86 1.31 -0.0013 6.08 1.10 -0.0003 6.20

8/29/1997 7.42 5.93 1.49 0.0018 6.20 1.23 0.0013 6.33

9/30/1997 7.16 5.72 1.44 -0.0005 5.92 1.24 0.0001 6.03

10/31/1997 7.11 5.67 1.44 0.0000 5.78 1.33 0.0009 5.89

11/28/1997 6.95 5.77 1.18 -0.0026 5.82 1.13 -0.0020 5.85

12/31/1997 6.86 5.65 1.21 0.0003 5.71 1.15 0.0002 5.74

1/30/1998 6.83 5.37 1.46 0.0026 5.43 1.41 0.0026 5.56

2/27/1998 6.84 5.56 1.29 -0.0018 5.66 1.18 -0.0023 5.71

3/31/1998 6.76 5.53 1.23 -0.0005 5.58 1.18 0.0000 5.61

4/30/1998 6.9 5.55 1.36 0.0012 5.61 1.29 0.0010 5.66

5/29/1998 6.78 5.48 1.30 -0.0005 5.52 1.26 -0.0003 5.52

6/30/1998 6.62 5.42 1.20 -0.0010 5.42 1.20 -0.0006 5.43

7/31/1998 6.67 5.46 1.21 0.0001 5.45 1.22 0.0002 5.45

8/31/1998 6.68 4.85 1.83 0.0062 4.89 1.79 0.0058 5.04

9/30/1998 6.51 4.15 2.36 0.0054 4.08 2.44 0.0064 4.30

10/30/1998 6.7 4.26 2.44 0.0008 4.38 2.32 -0.0011 4.75

11/30/1998 6.56 4.43 2.13 -0.0031 4.43 2.13 -0.0020 4.66

12/31/1998 6.55 4.53 2.02 -0.0011 4.55 2.00 -0.0013 4.65

1/29/1999 6.49 4.57 1.92 -0.0010 4.55 1.94 -0.0006 4.65

corp spread

to 5 yr delta



1.12

1.13 0.0001

0.81 -0.0032

0.64 -0.0017

0.70 0.0006

0.90 0.0020

0.77 -0.0013

0.70 -0.0007

0.91 0.0021

0.88 -0.0003

0.71 -0.0017

0.63 -0.0008

0.50 -0.0012

0.35 -0.0015

0.71 0.0036

0.71 -0.0001

0.95 0.0025

1.07 0.0012

1.20 0.0013

0.92 -0.0028

0.87 -0.0005

1.17 0.0030

1.22 0.0005

1.07 -0.0015

0.75 -0.0032

0.74 -0.0001

0.79 0.0004

0.56 -0.0022

1.05 0.0048

0.97 -0.0008

1.01 0.0004

0.75 -0.0027

1.08 0.0033

1.16 0.0008

1.28 0.0011

1.24 -0.0004

1.46 0.0022

0.95 -0.0050

1.11 0.0016

0.99 -0.0012

1.05 0.0005

1.00 -0.0005

1.01 0.0001

1.02 0.0001

1.19 0.0017

1.27 0.0008

1.34 0.0008

1.67 0.0033

1.17 -0.0050

1.23 0.0006

1.18 -0.0005

1.15 -0.0003

1.16 0.0001

1.37 0.0021

1.46 0.0009

1.54 0.0007

1.86 0.0033

1.47 -0.0039

1.35 -0.0012

1.47 0.0011

1.63 0.0017

1.76 0.0013

1.65 -0.0011

1.55 -0.0010

1.48 -0.0007

1.59 0.0010

1.42 -0.0017

1.38 -0.0004

1.47 0.0008

1.49 0.0002

1.33 -0.0015

1.21 -0.0012

1.36 0.0015

1.05 -0.0031

0.97 -0.0008

0.79 -0.0018

1.07 0.0028

0.91 -0.0016

1.10 0.0018

0.99 -0.0010

0.90 -0.0009

0.85 -0.0005

0.79 -0.0006

0.69 -0.0011

0.75 0.0006

0.99 0.0025

1.01 0.0001

0.95 -0.0005

1.42 0.0047

1.14 -0.0028

1.14 0.0000

1.33 0.0018

1.23 -0.0010

1.22 -0.0001

1.40 0.0018

1.49 0.0008

1.34 -0.0015

1.26 -0.0008

1.18 -0.0008

0.94 -0.0024

0.80 -0.0014

1.14 0.0035

1.18 0.0004

0.81 -0.0037

1.15 0.0034

1.06 -0.0008

1.22 0.0016

0.94 -0.0027

1.18 0.0024

0.89 -0.0029

0.82 -0.0007

1.09 0.0027

1.17 0.0008

1.01 -0.0016

0.98 -0.0004

1.09 0.0011

1.13 0.0004

1.22 0.0009

1.10 -0.0012

1.12 0.0002

1.27 0.0015

1.13 -0.0015

1.15 0.0003

1.24 0.0009

1.26 0.0002

1.19 -0.0007

1.22 0.0003

1.64 0.0041

2.21 0.0057

1.95 -0.0026

1.90 -0.0005

1.90 0.0000

1.84 -0.0006

BBB AAA 10 yr T-noteBBB AAA BBB-AAA

yield yield yield spread spread delta spread delta



4/30/1991 9.47 8.42 8.05 1.42 0.37 1.05

5/31/1991 9.46 8.47 8.12 1.34 0.35 -0.0003 0.99 -0.0006

6/28/1991 9.45 8.71 8.25 1.20 0.46 0.0011 0.74 -0.0025

7/31/1991 9.33 8.6 8.16 1.17 0.44 -0.0002 0.73 -0.0001

8/30/1991 9.13 8.19 7.81 1.32 0.38 -0.0006 0.94 0.0021

9/30/1991 8.72 7.85 7.44 1.28 0.41 0.0003 0.87 -0.0007

10/31/1991 8.6 7.8 7.46 1.14 0.34 -0.0007 0.8 -0.0007

11/29/1991 8.56 7.7 7.32 1.24 0.38 0.0005 0.86 0.0006

12/31/1991 7.97 7.1 6.70 1.27 0.40 0.0002 0.87 0.0001

1/31/1992 8.28 7.56 7.35 0.93 0.21 -0.0019 0.72 -0.0015

2/28/1992 8.28 7.51 7.37 0.91 0.14 -0.0007 0.77 0.0005

3/31/1992 8.34 7.74 7.44 0.90 0.30 0.0016 0.6 -0.0017

4/30/1992 8.48 7.85 7.54 0.94 0.31 0.0001 0.63 0.0003

5/29/1992 8.16 7.55 7.38 0.78 0.17 -0.0014 0.61 -0.0002

6/30/1992 7.93 7.35 7.09 0.84 0.26 0.0009 0.58 -0.0003

7/31/1992 7.54 6.96 6.71 0.83 0.25 -0.0001 0.58 0.0000

8/31/1992 7.4 6.95 6.55 0.85 0.40 0.0014 0.45 -0.0013

9/30/1992 7.27 6.8 6.22 1.05 0.58 0.0019 0.47 0.0002

10/30/1992 7.82 7.18 6.86 0.96 0.32 -0.0026 0.64 0.0017

11/30/1992 8 7.32 6.92 1.08 0.40 0.0008 0.68 0.0004

12/31/1992 7.74 7.05 6.69 1.06 0.37 -0.0004 0.69 0.0001

1/29/1993 7.37 6.75 6.36 1.01 0.39 0.0003 0.62 -0.0007

2/26/1993 7.02 6.44 5.94 1.08 0.50 0.0011 0.58 -0.0004

3/31/1993 7.01 6.45 6.05 0.96 0.40 -0.0010 0.56 -0.0002

4/30/1993 6.93 6.42 5.95 0.98 0.47 0.0007 0.51 -0.0005

5/31/1993 7.07 6.55 6.06 1.01 0.49 0.0002 0.52 0.0001

6/30/1993 6.73 6.24 5.78 0.95 0.46 -0.0004 0.49 -0.0003

7/30/1993 6.73 6.23 5.83 0.90 0.40 -0.0006 0.5 0.0001

8/31/1993 6.37 5.85 5.45 0.92 0.40 0.0000 0.52 0.0002

9/30/1993 6.26 5.81 5.32 0.94 0.49 0.0008 0.45 -0.0007

10/29/1993 6.27 5.88 5.53 0.74 0.35 -0.0014 0.39 -0.0006

11/30/1993 6.68 6.22 5.79 0.89 0.43 0.0009 0.46 0.0007

12/31/1993 6.55 6.14 5.89 0.66 0.25 -0.0018 0.41 -0.0005

1/31/1994 6.37 5.99 5.72 0.65 0.27 0.0002 0.38 -0.0003

2/28/1994 6.86 6.46 6.28 0.58 0.18 -0.0009 0.4 0.0002

3/31/1994 7.44 7.11 6.76 0.68 0.35 0.0017 0.33 -0.0007

4/29/1994 7.84 7.46 7.08 0.76 0.38 0.0003 0.38 0.0005

5/31/1994 8.05 7.59 7.11 0.94 0.48 0.0010 0.46 0.0008

6/30/1994 8.14 7.72 7.33 0.81 0.39 -0.0009 0.42 -0.0004

7/29/1994 7.89 7.46 7.12 0.77 0.35 -0.0005 0.43 0.0001

8/31/1994 7.93 7.55 7.18 0.75 0.37 0.0003 0.38 -0.0005

9/30/1994 8.32 7.93 7.65 0.67 0.28 -0.0009 0.39 0.0001

10/31/1994 8.56 8.14 7.90 0.66 0.24 -0.0004 0.42 0.0003

11/30/1994 8.68 8.23 7.92 0.76 0.31 0.0007 0.45 0.0003

12/30/1994 8.67 8.2 7.84 0.84 0.36 0.0005 0.47 0.0002

1/31/1995 8.41 8 7.65 0.76 0.35 -0.0002 0.41 -0.0006

2/28/1995 8.02 7.6 7.23 0.79 0.37 0.0003 0.42 0.0001

3/31/1995 7.99 7.51 7.14 0.86 0.38 0.0000 0.48 0.0006

4/28/1995 7.85 7.37 7.08 0.77 0.30 -0.0008 0.48 0.0000

5/31/1995 7.03 6.59 6.19 0.84 0.40 0.0011 0.44 -0.0004

6/30/1995 7.02 6.54 6.20 0.82 0.34 -0.0006 0.48 0.0004

7/31/1995 7.16 6.81 6.49 0.67 0.32 -0.0002 0.35 -0.0013

8/31/1995 7.02 6.7 6.22 0.81 0.49 0.0016 0.32 -0.0003

9/29/1995 6.94 6.55 6.14 0.80 0.41 -0.0008 0.39 0.0007

10/31/1995 6.77 6.35 5.96 0.81 0.39 -0.0002 0.42 0.0003

11/30/1995 6.52 6.11 5.71 0.81 0.40 0.0001 0.41 -0.0001

12/29/1995 6.43 5.98 5.58 0.86 0.41 0.0000 0.45 0.0004

1/31/1996 6.3 6 5.61 0.69 0.39 -0.0002 0.3 -0.0015

2/29/1996 6.83 6.51 5.99 0.84 0.52 0.0013 0.32 0.0002

3/29/1996 7.05 6.66 6.30 0.75 0.36 -0.0016 0.39 0.0007

4/30/1996 7.35 7.01 6.67 0.68 0.34 -0.0002 0.34 -0.0005

5/31/1996 7.43 7.14 6.86 0.57 0.28 -0.0006 0.29 -0.0005

6/28/1996 7.36 7.05 6.73 0.63 0.32 0.0005 0.31 0.0002

7/31/1996 7.4 7.11 6.64 0.76 0.47 0.0015 0.29 -0.0002

8/30/1996 7.56 7.26 6.94 0.62 0.32 -0.0015 0.3 0.0001

9/30/1996 7.32 7.02 6.64 0.69 0.39 0.0007 0.3 0.0000

10/31/1996 7 6.69 6.37 0.63 0.32 -0.0006 0.31 0.0001

11/29/1996 6.69 6.39 6.06 0.63 0.33 0.0001 0.3 -0.0001

12/31/1996 7.03 6.71 6.42 0.61 0.29 -0.0003 0.32 0.0002

1/31/1997 7.05 6.76 6.45 0.60 0.31 0.0002 0.29 -0.0003

2/28/1997 7.15 6.81 6.57 0.58 0.24 -0.0007 0.34 0.0005

3/31/1997 7.5 7.16 6.89 0.61 0.27 0.0003 0.34 0.0000

4/30/1997 7.33 7.04 6.69 0.64 0.35 0.0008 0.29 -0.0005

5/30/1997 7.31 6.97 6.65 0.66 0.32 -0.0003 0.34 0.0005

6/30/1997 7.12 6.82 6.44 0.68 0.38 0.0006 0.3 -0.0004

7/31/1997 6.65 6.32 6.20 0.46 0.13 -0.0026 0.33 0.0003

8/29/1997 7.01 6.66 6.33 0.68 0.33 0.0020 0.35 0.0002

9/30/1997 6.8 6.44 6.03 0.77 0.41 0.0008 0.36 0.0001

10/31/1997 6.58 6.23 5.89 0.69 0.34 -0.0007 0.35 -0.0001

11/28/1997 6.64 6.28 5.85 0.79 0.43 0.0009 0.36 0.0001

12/31/1997 6.5 6.12 5.74 0.76 0.38 -0.0005 0.38 0.0002

1/30/1998 6.36 5.9 5.56 0.80 0.34 -0.0004 0.46 0.0008

2/27/1998 6.5 6.06 5.71 0.79 0.35 0.0000 0.44 -0.0002

3/31/1998 6.52 6.04 5.61 0.91 0.43 0.0009 0.48 0.0004

4/30/1998 6.54 6.06 5.66 0.88 0.40 -0.0003 0.48 0.0000

5/29/1998 6.41 5.94 5.52 0.89 0.42 0.0002 0.47 -0.0001

6/30/1998 6.3 5.87 5.43 0.87 0.44 0.0002 0.43 -0.0004

7/31/1998 6.51 5.9 5.45 1.06 0.45 0.0001 0.61 0.0018

8/31/1998 6.1 5.48 5.04 1.06 0.44 -0.0002 0.62 0.0001

9/30/1998 5.8 5.09 4.30 1.50 0.79 0.0035 0.71 0.0009

10/30/1998 6.18 5.31 4.75 1.43 0.56 -0.0023 0.87 0.0016

11/30/1998 6.19 5.3 4.66 1.53 0.64 0.0008 0.89 0.0002

12/31/1998 6.09 5.27 4.65 1.44 0.62 -0.0002 0.82 -0.0007

1/29/1999 5.98 5.19 4.65 1.33 0.54 -0.0008 0.79 -0.0003

Name US BILL 3 MONTH - MIDDLE RATEMIDDLE RATE BILL 6 MONTH - MIDDLE RATE

US

US TREASURY$ EURO-$ 3 MONTH (LDN:FT) -US TREASURY$ EURO-$ 6 MONTH (LDN:FT) - MIDDLE RATE

Code USTBL3M ECUSD3M 3 mo TED USTBL6M ECUSD6M 6 mo TED

Currency U$ U$ spread delta U$ U$ spread delta

1/29/1988 5.80 6.813 -1.01 6.31 6.938 -0.63

2/29/1988 5.77 6.75 -0.99 0.0003 6.02 6.875 -0.85 -0.0022

3/31/1988 5.85 6.813 -0.96 0.0003 6.30 7.063 -0.77 0.0009

4/29/1988 6.17 7.25 -1.08 -0.0012 6.64 7.5 -0.86 -0.0009

5/31/1988 6.59 7.688 -1.10 -0.0001 7.14 7.875 -0.74 0.0012

6/30/1988 6.76 7.875 -1.12 -0.0002 7.04 8 -0.96 -0.0023

7/29/1988 7.13 8.3125 -1.18 -0.0007 7.49 8.625 -1.14 -0.0017

8/31/1988 7.50 8.5 -1.00 0.0019 7.88 8.875 -1.00 0.0014

9/30/1988 7.52 8.625 -1.10 -0.0011 7.86 8.688 -0.83 0.0018

10/31/1988 7.58 8.563 -0.98 0.0012 7.86 8.563 -0.71 0.0012

11/30/1988 8.06 9.313 -1.25 -0.0027 8.39 9.313 -0.92 -0.0022

12/30/1988 8.36 9.25 -0.89 0.0036 8.66 9.375 -0.72 0.0020

1/31/1989 8.66 9.313 -0.66 0.0023 8.89 9.438 -0.55 0.0017

2/28/1989 8.97 10.25 -1.28 -0.0062 9.19 10.438 -1.25 -0.0070

3/31/1989 9.18 10.25 -1.07 0.0021 9.50 10.625 -1.13 0.0012

4/28/1989 8.77 9.875 -1.10 -0.0004 9.05 9.875 -0.83 0.0030

5/31/1989 8.91 9.5 -0.59 0.0051 8.86 9.4375 -0.58 0.0025

6/30/1989 8.23 9.3125 -1.08 -0.0049 8.12 9.125 -1.00 -0.0042

7/31/1989 8.05 8.5 -0.45 0.0063 7.84 8.3125 -0.47 0.0053

8/31/1989 8.17 8.9375 -0.77 -0.0032 8.21 8.875 -0.66 -0.0019

9/29/1989 8.14 9.125 -0.98 -0.0022 8.28 9.0625 -0.78 -0.0012

10/31/1989 8.04 8.625 -0.59 0.0040 7.98 8.4375 -0.46 0.0033

11/30/1989 7.85 8.4375 -0.59 0.0000 7.78 8.25 -0.47 -0.0001

12/29/1989 7.85 8.3125 -0.46 0.0013 8.00 8.25 -0.25 0.0022

1/31/1990 8.00 8.3125 -0.31 0.0015 8.12 8.375 -0.26 -0.0001

2/28/1990 8.05 8.3125 -0.26 0.0005 8.15 8.375 -0.23 0.0003

3/30/1990 8.05 8.4375 -0.39 -0.0013 8.24 8.625 -0.39 -0.0016

4/30/1990 8.05 8.625 -0.57 -0.0019 8.43 8.875 -0.45 -0.0006

5/31/1990 8.01 8.3125 -0.30 0.0027 8.13 8.4375 -0.31 0.0014

6/29/1990 8.00 8.3125 -0.31 -0.0001 8.02 8.3125 -0.29 0.0001

7/31/1990 7.73 7.875 -0.15 0.0017 7.71 7.875 -0.17 0.0013

8/31/1990 7.62 8 -0.38 -0.0024 7.75 8.0625 -0.31 -0.0015

9/28/1990 7.37 8.25 -0.88 -0.0050 7.54 8.25 -0.71 -0.0040

10/31/1990 7.36 8 -0.64 0.0024 7.48 8 -0.52 0.0019

11/30/1990 7.25 8.3125 -1.06 -0.0042 7.36 8.1875 -0.83 -0.0031

12/31/1990 6.63 7.5 -0.87 0.0019 6.72 7.5 -0.78 0.0005

1/31/1991 6.38 7 -0.62 0.0025 6.49 7 -0.51 0.0027

2/28/1991 6.20 6.8125 -0.61 0.0001 6.31 6.8125 -0.50 0.0001

3/29/1991 5.91 6.3125 -0.40 0.0021 6.04 6.4375 -0.40 0.0011

4/30/1991 5.70 6 -0.30 0.0010 5.84 6.125 -0.29 0.0011

5/31/1991 5.68 6 -0.32 -0.0002 5.93 6.125 -0.20 0.0009

6/28/1991 5.69 6.125 -0.44 -0.0011 5.93 6.5 -0.57 -0.0038

7/31/1991 5.69 6 -0.31 0.0013 5.92 6.25 -0.33 0.0024

8/30/1991 5.48 5.625 -0.15 0.0017 5.58 5.75 -0.17 0.0016

9/30/1991 5.26 5.5625 -0.30 -0.0016 5.32 5.5625 -0.24 -0.0007

10/31/1991 4.95 5.1875 -0.24 0.0007 5.02 5.1875 -0.17 0.0007

11/29/1991 4.47 4.9375 -0.47 -0.0023 4.57 4.875 -0.31 -0.0014

12/31/1991 3.95 4.1875 -0.24 0.0023 4.00 4.1875 -0.19 0.0012

1/31/1992 3.94 4.125 -0.19 0.0005 4.06 4.1875 -0.13 0.0006

2/28/1992 4.02 4.1875 -0.17 0.0002 4.13 4.3125 -0.18 -0.0005

3/31/1992 4.15 4.3125 -0.16 0.0001 4.32 4.5 -0.18 0.0000

4/30/1992 3.79 4 -0.21 -0.0005 3.97 4.1875 -0.22 -0.0004

5/29/1992 3.80 4 -0.20 0.0001 3.97 4.125 -0.16 0.0006

6/30/1992 3.65 3.8438 -0.19 0.0001 3.77 3.9688 -0.20 -0.0004

7/31/1992 3.25 3.375 -0.13 0.0007 3.38 3.5625 -0.18 0.0002

8/31/1992 3.23 3.4375 -0.21 -0.0008 3.34 3.5625 -0.22 -0.0004

9/30/1992 2.74 3.1875 -0.45 -0.0024 2.91 3.1875 -0.28 -0.0005

10/30/1992 3.02 3.5 -0.48 -0.0003 3.29 3.5 -0.21 0.0007

11/30/1992 3.34 3.9375 -0.60 -0.0012 3.58 3.9375 -0.36 -0.0015

12/31/1992 3.15 3.375 -0.23 0.0037 3.38 3.5625 -0.18 0.0018

1/29/1993 2.97 3.25 -0.28 -0.0005 3.16 3.375 -0.22 -0.0003

2/26/1993 3.00 3.125 -0.13 0.0016 3.14 3.25 -0.11 0.0011

3/31/1993 2.96 3.1875 -0.23 -0.0010 3.09 3.3125 -0.22 -0.0011

4/30/1993 2.95 3.125 -0.18 0.0005 3.07 3.25 -0.18 0.0004

5/31/1993 3.13 3.3125 -0.18 -0.0001 3.31 3.4375 -0.13 0.0005

6/30/1993 3.10 3.25 -0.15 0.0003 3.22 3.4375 -0.22 -0.0009

7/30/1993 3.11 3.25 -0.14 0.0001 3.28 3.4375 -0.16 0.0006

8/31/1993 3.08 3.1875 -0.11 0.0003 3.21 3.375 -0.17 -0.0001

9/30/1993 2.98 3.3125 -0.33 -0.0023 3.13 3.3125 -0.18 -0.0002

10/29/1993 3.09 3.375 -0.29 0.0005 3.28 3.4375 -0.16 0.0002

11/30/1993 3.14 3.4375 -0.30 -0.0001 3.39 3.4375 -0.05 0.0011

12/31/1993 3.01 3.3125 -0.30 -0.0001 3.36 3.4375 -0.08 -0.0003

1/31/1994 3.03 3.1875 -0.16 0.0015 3.24 3.3125 -0.07 0.0001

2/28/1994 3.44 3.6875 -0.25 -0.0009 3.71 3.9375 -0.23 -0.0016

3/31/1994 3.57 3.875 -0.31 -0.0006 3.94 4.1875 -0.25 -0.0002

4/29/1994 3.96 4.25 -0.29 0.0002 4.45 4.625 -0.18 0.0007

5/31/1994 4.28 4.5625 -0.28 0.0001 4.84 4.875 -0.04 0.0014

6/30/1994 4.23 4.8125 -0.58 -0.0030 4.82 5.1875 -0.37 -0.0033

7/29/1994 4.37 4.75 -0.38 0.0020 4.86 5.125 -0.27 0.0010

8/31/1994 4.68 4.9375 -0.26 0.0012 5.04 5.25 -0.21 0.0005

9/30/1994 4.79 5.4375 -0.65 -0.0039 5.43 5.6875 -0.26 -0.0005

10/31/1994 5.16 5.5625 -0.40 0.0025 5.68 5.875 -0.20 0.0006

11/30/1994 5.74 6.125 -0.39 0.0002 6.24 6.5 -0.26 -0.0006

12/30/1994 5.70 6.4375 -0.74 -0.0035 6.53 6.9375 -0.41 -0.0015

1/31/1995 6.00 6.25 -0.25 0.0049 6.41 6.563 -0.15 0.0025

2/28/1995 5.94 6.1875 -0.25 0.0000 6.18 6.375 -0.20 -0.0004

3/31/1995 5.88 6.1875 -0.31 -0.0006 6.12 6.375 -0.26 -0.0006

4/28/1995 5.88 6.125 -0.25 0.0006 6.08 6.25 -0.17 0.0009

5/31/1995 5.83 6 -0.17 0.0008 5.86 6 -0.14 0.0003

6/30/1995 5.66 5.9375 -0.28 -0.0011 5.65 5.8125 -0.16 -0.0002

7/31/1995 5.58 5.75 -0.17 0.0011 5.61 5.75 -0.14 0.0002

8/31/1995 5.45 5.8125 -0.36 -0.0019 5.53 5.8125 -0.28 -0.0014

9/29/1995 5.42 5.8125 -0.39 -0.0003 5.59 5.8125 -0.22 0.0006

10/31/1995 5.51 5.8438 -0.33 0.0006 5.56 5.7813 -0.22 0.0000

11/30/1995 5.53 5.7813 -0.25 0.0008 5.76 5.5938 0.17 0.0039

12/29/1995 5.08 5.5313 -0.45 -0.0020 5.17 5.4375 -0.27 -0.0043

1/31/1996 5.05 5.25 -0.20 0.0025 4.97 5.1875 -0.22 0.0005

2/29/1996 5.01 5.188 -0.18 0.0002 5.05 5.188 -0.14 0.0008

3/29/1996 5.15 5.313 -0.16 0.0002 5.22 5.375 -0.16 -0.0002

4/30/1996 5.15 5.3438 -0.19 -0.0003 5.31 5.4063 -0.10 0.0006

5/31/1996 5.17 5.4063 -0.24 -0.0004 5.36 5.5313 -0.17 -0.0007

6/28/1996 5.16 5.4688 -0.31 -0.0007 5.37 5.6875 -0.32 -0.0015

7/31/1996 5.32 5.5313 -0.21 0.0010 5.48 5.7813 -0.30 0.0002

8/30/1996 5.29 5.5 -0.21 0.0000 5.49 5.7031 -0.21 0.0009

9/30/1996 5.04 5.5 -0.46 -0.0025 5.24 5.625 -0.39 -0.0017

10/31/1996 5.15 5.4375 -0.29 0.0017 5.29 5.4375 -0.15 0.0024

11/29/1996 5.13 5.4375 -0.31 -0.0002 5.24 5.4688 -0.23 -0.0008

12/31/1996 5.15 5.5 -0.35 -0.0004 5.27 5.5313 -0.26 -0.0003

1/31/1997 5.15 5.6875 -0.54 -0.0019 5.28 5.625 -0.35 -0.0008

2/28/1997 5.22 5.465 -0.25 0.0029 5.38 5.57 -0.19 0.0015

3/31/1997 5.34 5.7187 -0.38 -0.0013 5.55 5.8906 -0.34 -0.0015

4/30/1997 5.24 5.7813 -0.54 -0.0016 5.53 5.9531 -0.42 -0.0008

5/30/1997 4.95 5.7343 -0.78 -0.0024 5.40 5.9219 -0.52 -0.0010

6/30/1997 5.17 5.7187 -0.55 0.0024 5.26 5.8125 -0.55 -0.0003

7/31/1997 5.24 5.6406 -0.40 0.0015 5.33 5.625 -0.30 0.0026

8/29/1997 5.23 5.6563 -0.43 -0.0003 5.39 5.7969 -0.41 -0.0011

9/30/1997 5.11 5.6875 -0.58 -0.0015 5.29 5.7813 -0.49 -0.0008

10/31/1997 5.20 5.7188 -0.52 0.0006 5.31 5.7344 -0.42 0.0007

11/28/1997 5.23 5.8437 -0.61 -0.0009 5.43 5.8437 -0.41 0.0001

12/31/1997 5.35 5.75 -0.40 0.0021 5.46 5.7813 -0.32 0.0009

1/30/1998 5.18 5.5625 -0.38 0.0002 5.23 5.5625 -0.33 -0.0001

2/27/1998 5.33 5.5938 -0.26 0.0012 5.34 5.625 -0.29 0.0005

3/31/1998 5.16 5.6563 -0.50 -0.0023 5.28 5.6563 -0.38 -0.0009

4/30/1998 4.98 5.6719 -0.69 -0.0020 5.23 5.7656 -0.54 -0.0016

5/29/1998 5.02 5.625 -0.61 0.0009 5.33 5.6875 -0.36 0.0018

6/30/1998 5.10 5.625 -0.53 0.0008 5.24 5.6875 -0.45 -0.0009

7/31/1998 5.08 5.5938 -0.51 0.0001 5.22 5.6563 -0.44 0.0001

8/31/1998 4.89 5.4375 -0.55 -0.0003 5.00 5.5 -0.50 -0.0006

9/30/1998 4.36 5.2656 -0.91 -0.0036 4.49 5.1875 -0.70 -0.0020

10/30/1998 4.33 5.1875 -0.86 0.0005 4.36 4.9688 -0.61 0.0009

11/30/1998 4.54 5.2031 -0.66 0.0019 4.60 5.1093 -0.51 0.0010

12/31/1998 4.47 5 -0.53 0.0013 4.55 5 -0.45 0.0006

1/29/1999 4.47 4.9219 -0.45 0.0008 4.46 4.9375 -0.48 -0.0003

US BILL 1 YEAR - MIDDLE RATE

US TREASURY$ EURO-$ 1 YEAR (LDN:FT) - MIDDLE RATE

USTBL1Y ECUSD1Y 1 yr TED

U$ U$ spread delta

6.62 7.25 -0.63

6.55 7.188 -0.64 -0.0001

6.74 7.5 -0.76 -0.0012

7.11 7.9375 -0.83 -0.0007

7.61 8.375 -0.77 0.0006

7.46 8.313 -0.85 -0.0009

7.91 8.8125 -0.90 -0.0005

8.24 9.125 -0.89 0.0002

8.13 8.875 -0.74 0.0014

8.07 8.688 -0.62 0.0013

8.56 9.375 -0.82 -0.0020

9.03 9.563 -0.53 0.0028

9.03 9.688 -0.66 -0.0013

9.37 10.688 -1.32 -0.0066

9.64 11 -1.36 -0.0004

9.17 10 -0.83 0.0053

8.85 9.4375 -0.59 0.0024

8.12 9 -0.88 -0.0029

7.65 8.1875 -0.54 0.0034

8.29 8.875 -0.59 -0.0005

8.45 9 -0.55 0.0004

7.88 8.375 -0.50 0.0006

7.71 8.1875 -0.48 0.0002

7.78 8.1875 -0.41 0.0007

8.08 8.625 -0.55 -0.0014

8.10 8.625 -0.53 0.0002

8.34 8.875 -0.54 -0.0001

8.56 9.1875 -0.63 -0.0009

8.21 8.6875 -0.48 0.0015

8.05 8.375 -0.32 0.0015

7.73 7.9375 -0.21 0.0012

7.76 8.1875 -0.43 -0.0022

7.68 8.375 -0.70 -0.0027

7.45 8.0625 -0.61 0.0008

7.31 8.0625 -0.75 -0.0014

6.81 7.5 -0.69 0.0006

6.52 7.25 -0.73 -0.0004

6.37 7 -0.63 0.0010

6.24 6.9375 -0.70 -0.0007

6.03 6.5625 -0.53 0.0017

6.14 6.5625 -0.42 0.0011

6.30 6.9375 -0.64 -0.0022

6.18 6.5625 -0.38 0.0026

5.72 6 -0.28 0.0010

5.41 5.6875 -0.28 0.0000

5.08 5.3125 -0.23 0.0004

4.67 4.9375 -0.27 -0.0004

4.08 4.3125 -0.23 0.0004

4.21 4.5625 -0.35 -0.0012

4.31 4.6875 -0.38 -0.0003

4.51 5 -0.49 -0.0011

4.33 4.625 -0.30 0.0020

4.25 4.625 -0.38 -0.0008

4.06 4.25 -0.19 0.0019

3.62 3.75 -0.13 0.0006

3.46 3.6875 -0.23 -0.0010

3.06 3.3125 -0.25 -0.0002

3.53 3.8125 -0.28 -0.0003

3.81 4.25 -0.44 -0.0016

3.59 4 -0.41 0.0003

3.36 3.6875 -0.33 0.0008

3.29 3.5 -0.21 0.0012

3.29 3.5625 -0.27 -0.0006

3.27 3.4375 -0.17 0.0011

3.62 3.8125 -0.19 -0.0002

3.44 3.6875 -0.25 -0.0006

3.52 3.6875 -0.17 0.0008

3.38 3.5 -0.12 0.0005

3.38 3.5 -0.12 0.0000

3.45 3.625 -0.18 -0.0005

3.56 3.75 -0.19 -0.0002

3.47 3.75 -0.28 -0.0009

3.51 3.625 -0.12 0.0017

3.99 4.3125 -0.32 -0.0021

4.40 4.6875 -0.29 0.0004

5.10 5.25 -0.15 0.0014

5.38 5.5 -0.12 0.0003

5.50 5.75 -0.25 -0.0013

5.37 5.6875 -0.32 -0.0007

5.54 5.75 -0.21 0.0011

5.95 6.1875 -0.24 -0.0003

6.16 6.4375 -0.28 -0.0004

6.88 7.1875 -0.31 -0.0003

7.18 7.6875 -0.51 -0.0020

6.79 7.188 -0.40 0.0011

6.42 6.6875 -0.27 0.0013

6.50 6.6875 -0.19 0.0008

6.33 6.5 -0.17 0.0002

5.83 5.9375 -0.11 0.0006

5.72 5.6875 0.03 0.0014

5.67 5.875 -0.21 -0.0024

5.64 5.875 -0.24 -0.0003

5.69 5.8438 -0.15 0.0008

5.55 5.7188 -0.17 -0.0002

5.36 5.5313 -0.17 0.0000

5.14 5.3438 -0.20 -0.0003

4.89 5.0313 -0.14 0.0006

5.23 5.219 0.01 0.0015

5.42 5.531 -0.11 -0.0012

5.62 5.6563 -0.04 0.0007

5.75 5.8438 -0.09 -0.0006

5.69 5.9844 -0.29 -0.0020

5.84 6.0938 -0.25 0.0004

5.91 6.0469 -0.14 0.0012

5.68 5.875 -0.20 -0.0006

5.43 5.75 -0.32 -0.0013

5.36 5.625 -0.27 0.0006

5.44 5.7813 -0.34 -0.0008

5.59 6.0313 -0.44 -0.0010

5.68 5.9 -0.22 0.0022

6.02 6.1719 -0.15 0.0007

5.90 6.2656 -0.37 -0.0021

5.77 6.1719 -0.40 -0.0004

5.66 6.0625 -0.40 0.0000

5.42 5.8438 -0.42 -0.0002

5.57 6 -0.43 -0.0001

5.45 5.9375 -0.49 -0.0006

5.35 5.8281 -0.48 0.0001

5.51 5.9375 -0.43 0.0005

5.51 5.9063 -0.40 0.0003

5.23 5.5625 -0.33 0.0006

5.42 5.6563 -0.24 0.0010

5.40 5.8125 -0.41 -0.0018

5.39 5.9063 -0.52 -0.0010

5.42 5.7813 -0.36 0.0016

5.38 5.7969 -0.42 -0.0006

5.36 5.75 -0.39 0.0003

4.97 5.5313 -0.56 -0.0017

4.43 5.0313 -0.60 -0.0004

4.20 4.7031 -0.50 0.0010

4.53 5.0625 -0.53 -0.0003

4.53 5.0625 -0.53 0.0000

4.53 5.0313 -0.50 0.0003

Name S&P 500 COMPOSITE - PRICE INDEX

Code SP500CP

Currency U$ pct change 6 mo vol div yld delta

1/29/1988 257.07 3.66

2/29/1988 267.82 0.0401 3.48 -0.18

3/31/1988 258.89 -0.0345 3.6 0.12

4/29/1988 261.33 0.0093 3.61 0.01

5/31/1988 262.16 0.0032 3.82 0.21

6/30/1988 273.5 0.0415 3.6 -0.22

7/29/1988 272.02 -0.0054 0.0313 3.75 0.15

8/31/1988 261.52 -0.0401 0.0288 3.78 0.03

9/30/1988 271.91 0.0382 0.0301 3.69 -0.09

######## 278.97 0.0253 0.0302 3.55 -0.14

######## 273.7 -0.0193 0.0310 3.7 0.15

######## 277.72 0.0145 0.0334 3.7 0.00

1/31/1989 297.47 0.0664 0.0293 3.61 -0.09

2/28/1989 288.86 -0.0298 0.0387 3.67 0.06

3/31/1989 294.87 0.0204 0.0360 3.7 0.03

4/28/1989 309.64 0.0477 0.0344 3.56 -0.14

5/31/1989 320.52 0.0339 0.0372 3.47 -0.09

6/30/1989 317.98 -0.0080 0.0330 3.43 -0.04

7/31/1989 346.08 0.0812 0.0357 3.31 -0.12

8/31/1989 351.45 0.0153 0.0397 3.25 -0.06

9/29/1989 349.15 -0.0066 0.0306 3.3 0.05

######## 340.36 -0.0258 0.0344 3.36 0.06

######## 345.99 0.0163 0.0385 3.37 0.01

######## 353.4 0.0210 0.0374 3.31 -0.06

1/31/1990 329.08 -0.0739 0.0361 3.54 0.23

2/28/1990 331.89 0.0085 0.0364 3.54 0.00

3/30/1990 339.94 0.0237 0.0356 3.47 -0.07

4/30/1990 330.8 -0.0276 0.0382 3.59 0.12

5/31/1990 361.23 0.0842 0.0384 3.35 -0.24

6/29/1990 358.02 -0.0090 0.0533 3.42 0.07

7/31/1990 356.15 -0.0053 0.0530 3.41 -0.01

8/31/1990 322.56 -0.1041 0.0392 3.76 0.35

9/28/1990 306.05 -0.0539 0.0619 4.03 0.27

######## 304 -0.0067 0.0624 4.03 0.00

######## 322.22 0.0565 0.0625 3.87 -0.16

######## 330.22 0.0242 0.0540 3.74 -0.13

1/31/1991 343.93 0.0399 0.0571 3.64 -0.10

2/28/1991 367.07 0.0630 0.0614 3.32 -0.32

3/29/1991 375.22 0.0217 0.0442 3.25 -0.07

4/30/1991 375.35 0.0003 0.0256 3.17 -0.08

5/31/1991 389.83 0.0371 0.0235 3.19 0.02

6/28/1991 371.16 -0.0503 0.0210 3.28 0.09

7/31/1991 387.81 0.0429 0.0397 3.13 -0.15

8/30/1991 395.43 0.0193 0.0400 3.05 -0.08

9/30/1991 387.86 -0.0195 0.0339 3.16 0.11

######## 392.46 0.0117 0.0357 3.09 -0.07

######## 375.22 -0.0459 0.0357 3.22 0.13

######## 417.09 0.1004 0.0376 3.06 -0.16

1/31/1992 408.79 -0.0203 0.0509 2.96 -0.10

2/28/1992 412.7 0.0095 0.0513 2.94 -0.02

3/31/1992 403.69 -0.0223 0.0510 3.01 0.07

4/30/1992 414.95 0.0271 0.0513 3 -0.01

5/29/1992 415.35 0.0010 0.0520 3.01 0.01

6/30/1992 408.14 -0.0177 0.0454 3.08 0.07

7/31/1992 424.21 0.0379 0.0198 2.93 -0.15

8/31/1992 414.03 -0.0246 0.0239 3 0.07

9/30/1992 417.8 0.0090 0.0268 3.02 0.02

######## 418.68 0.0021 0.0245 3.01 -0.01

######## 431.35 0.0294 0.0220 2.94 -0.07

######## 435.71 0.0100 0.0248 2.87 -0.07

1/29/1993 438.78 0.0070 0.0220 2.83 -0.04

2/26/1993 443.38 0.0104 0.0174 2.82 -0.01

3/31/1993 451.67 0.0184 0.0094 2.76 -0.06

4/30/1993 440.19 -0.0261 0.0097 2.86 0.10

5/31/1993 450.19 0.0222 0.0186 2.77 -0.09

6/30/1993 450.53 0.0008 0.0172 2.8 0.03

7/30/1993 448.13 -0.0054 0.0173 2.8 0.00

8/31/1993 463.56 0.0333 0.0178 2.73 -0.07

9/30/1993 458.93 -0.0101 0.0216 2.73 0.00

######## 467.83 0.0190 0.0218 2.71 -0.02

######## 461.79 -0.0131 0.0173 2.73 0.02

######## 466.45 0.0100 0.0183 2.71 -0.02

1/31/1994 481.61 0.0315 0.0183 2.69 -0.02

2/28/1994 467.14 -0.0310 0.0200 2.72 0.03

3/31/1994 445.77 -0.0479 0.0231 2.9 0.18

4/29/1994 450.91 0.0114 0.0307 2.88 -0.02

5/31/1994 456.5 0.0122 0.0296 2.86 -0.02

6/30/1994 444.27 -0.0275 0.0303 2.88 0.02

7/29/1994 458.26 0.0305 0.0311 2.85 -0.03

8/31/1994 475.49 0.0362 0.0309 2.73 -0.12

9/30/1994 462.69 -0.0277 0.0333 2.81 0.08

######## 472.35 0.0205 0.0277 2.84 0.03

######## 453.69 -0.0411 0.0283 2.91 0.07

######## 459.27 0.0121 0.0342 2.89 -0.02

1/31/1995 470.42 0.0237 0.0320 2.87 -0.02

2/28/1995 487.39 0.0348 0.0310 2.79 -0.08

3/31/1995 500.71 0.0266 0.0307 2.69 -0.10

4/28/1995 514.71 0.0272 0.0274 2.66 -0.03

5/31/1995 533.4 0.0350 0.0279 2.58 -0.08

6/30/1995 544.75 0.0208 0.0084 2.53 -0.05

7/31/1995 562.06 0.0308 0.0058 2.48 -0.05

8/31/1995 561.88 -0.0003 0.0055 2.48 0.00

9/29/1995 584.41 0.0386 0.0125 2.41 -0.07

######## 581.5 -0.0050 0.0140 2.41 0.00

######## 605.37 0.0394 0.0186 2.33 -0.08

######## 615.93 0.0171 0.0194 2.31 -0.02

1/31/1996 636.02 0.0316 0.0194 2.25 -0.06

2/29/1996 640.43 0.0069 0.0195 2.23 -0.02

3/29/1996 645.5 0.0079 0.0182 2.21 -0.02

4/30/1996 654.17 0.0133 0.0166 2.22 0.01

5/31/1996 669.12 0.0223 0.0133 2.22 0.00

6/28/1996 670.63 0.0023 0.0094 2.22 0.00

7/31/1996 639.95 -0.0479 0.0110 2.31 0.09

8/30/1996 651.99 0.0185 0.0248 2.21 -0.10

9/30/1996 687.31 0.0514 0.0258 2.16 -0.05

######## 705.27 0.0255 0.0328 2.11 -0.05

######## 757.02 0.0684 0.0334 1.97 -0.14

######## 740.74 -0.0220 0.0407 1.99 0.02

1/31/1997 786.16 0.0578 0.0439 1.95 -0.04

2/28/1997 790.82 0.0059 0.0331 1.88 -0.07

3/31/1997 757.12 -0.0445 0.0346 1.92 0.04

4/30/1997 801.34 0.0552 0.0442 1.91 -0.01

5/30/1997 848.28 0.0553 0.0472 1.83 -0.08

6/30/1997 885.14 0.0416 0.0447 1.76 -0.07

7/31/1997 954.29 0.0725 0.0408 1.62 -0.14

8/29/1997 899.47 -0.0609 0.0432 1.69 0.07

9/30/1997 947.28 0.0505 0.0573 1.63 -0.06

######## 914.62 -0.0357 0.0484 1.68 0.05

######## 955.4 0.0427 0.0549 1.63 -0.05

######## 970.43 0.0155 0.0535 1.61 -0.02

1/30/1998 980.28 0.0100 0.0523 1.61 0.00

2/27/1998 1049.34 0.0658 0.0439 1.53 -0.08

3/31/1998 1101.75 0.0476 0.0364 1.44 -0.09

4/30/1998 1111.75 0.0090 0.0360 1.47 0.03

5/29/1998 1090.82 -0.0192 0.0236 1.46 -0.01

6/30/1998 1133.84 0.0379 0.0304 1.41 -0.05

7/31/1998 1120.67 -0.0118 0.0309 1.43 0.02

8/31/1998 957.28 -0.1707 0.0341 1.48 0.05

9/30/1998 1017.01 0.0587 0.0794 1.6 0.12

######## 1098.67 0.0743 0.0813 1.53 -0.07

######## 1163.63 0.0558 0.0893 1.37 -0.16

######## 1229.23 0.0534 0.0922 1.33 -0.04

1/29/1999 1279.64 0.0394 0.0934 1.31 -0.02

Name US TREASURY US TREASURY

US TREASURY BILL 3 MONTH - MIDDLE RATE BILL 6 MONTH - MIDDLE RATE BILL 1 YEAR - MIDDLE RATE

Code USTBL3M USTBL6M USTBL1Y

Currency U$ delta 6 mo vol U$ delta 6 mo vol U$ delta

1/29/1988 5.80 6.31 6.62

2/29/1988 5.77 -0.0004 6.02 -0.0028 6.55 -0.0007

3/31/1988 5.85 0.0009 6.30 0.0027 6.74 0.0019

4/29/1988 6.17 0.0031 6.64 0.0035 7.11 0.0037

5/31/1988 6.59 0.0043 7.14 0.0050 7.61 0.0050

6/30/1988 6.76 0.0016 7.04 -0.0010 7.46 -0.0015

7/29/1988 7.13 0.0037 0.0018 7.49 0.0045 0.0032 7.91 0.0045

8/31/1988 7.50 0.0037 0.0013 7.88 0.0039 0.0022 8.24 0.0033

9/30/1988 7.52 0.0002 0.0016 7.86 -0.0001 0.0025 8.13 -0.0011

######## 7.58 0.0006 0.0018 7.86 -0.0001 0.0027 8.07 -0.0006

######## 8.06 0.0048 0.0019 8.39 0.0054 0.0028 8.56 0.0049

######## 8.36 0.0030 0.0019 8.66 0.0027 0.0023 9.03 0.0047

1/31/1989 8.66 0.0030 0.0018 8.89 0.0023 0.0022 9.03 0.0000

2/28/1989 8.97 0.0032 0.0018 9.19 0.0030 0.0021 9.37 0.0034

3/31/1989 9.18 0.0021 0.0014 9.50 0.0031 0.0017 9.64 0.0027

4/28/1989 8.77 -0.0041 0.0031 9.05 -0.0045 0.0034 9.17 -0.0047

5/31/1989 8.91 0.0014 0.0028 8.86 -0.0019 0.0032 8.85 -0.0032

6/30/1989 8.23 -0.0067 0.0042 8.12 -0.0073 0.0044 8.12 -0.0073

7/31/1989 8.05 -0.0018 0.0039 7.84 -0.0028 0.0042 7.65 -0.0047

8/31/1989 8.17 0.0012 0.0035 8.21 0.0037 0.0043 8.29 0.0064

9/29/1989 8.14 -0.0003 0.0032 8.28 0.0007 0.0039 8.45 0.0016

######## 8.04 -0.0010 0.0030 7.98 -0.0030 0.0037 7.88 -0.0057

######## 7.85 -0.0019 0.0027 7.78 -0.0020 0.0037 7.71 -0.0017

######## 7.85 0.0000 0.0012 8.00 0.0022 0.0028 7.78 0.0007

1/31/1990 8.00 0.0015 0.0013 8.12 0.0012 0.0025 8.08 0.0030

2/28/1990 8.05 0.0005 0.0012 8.15 0.0003 0.0020 8.10 0.0002

3/30/1990 8.05 0.0000 0.0012 8.24 0.0009 0.0020 8.34 0.0024

4/30/1990 8.05 0.0000 0.0011 8.43 0.0019 0.0015 8.56 0.0022

5/31/1990 8.01 -0.0004 0.0007 8.13 -0.0030 0.0019 8.21 -0.0035

6/29/1990 8.00 -0.0001 0.0007 8.02 -0.0011 0.0018 8.05 -0.0016

7/31/1990 7.73 -0.0027 0.0011 7.71 -0.0031 0.0021 7.73 -0.0032

8/31/1990 7.62 -0.0011 0.0011 7.75 0.0004 0.0021 7.76 0.0003

9/28/1990 7.37 -0.0025 0.0012 7.54 -0.0021 0.0020 7.68 -0.0008

######## 7.36 -0.0001 0.0012 7.48 -0.0006 0.0014 7.45 -0.0023

######## 7.25 -0.0011 0.0011 7.36 -0.0012 0.0012 7.31 -0.0014

######## 6.63 -0.0062 0.0022 6.72 -0.0064 0.0024 6.81 -0.0050

1/31/1991 6.38 -0.0025 0.0021 6.49 -0.0023 0.0024 6.52 -0.0029

2/28/1991 6.20 -0.0018 0.0021 6.31 -0.0018 0.0021 6.37 -0.0015

3/29/1991 5.91 -0.0029 0.0021 6.04 -0.0027 0.0021 6.24 -0.0013

4/30/1991 5.70 -0.0021 0.0018 5.84 -0.0020 0.0019 6.03 -0.0021

5/31/1991 5.68 -0.0002 0.0020 5.93 0.0009 0.0023 6.14 0.0011

6/28/1991 5.69 0.0001 0.0012 5.93 0.0000 0.0014 6.30 0.0016

7/31/1991 5.69 0.0000 0.0013 5.92 -0.0001 0.0014 6.18 -0.0012

8/30/1991 5.48 -0.0021 0.0013 5.58 -0.0034 0.0017 5.72 -0.0046

9/30/1991 5.26 -0.0022 0.0012 5.32 -0.0026 0.0017 5.41 -0.0031

######## 4.95 -0.0031 0.0014 5.02 -0.0030 0.0018 5.08 -0.0033

######## 4.47 -0.0048 0.0019 4.57 -0.0045 0.0018 4.67 -0.0041

######## 3.95 -0.0052 0.0019 4.00 -0.0057 0.0019 4.08 -0.0059

1/31/1992 3.94 -0.0001 0.0019 4.06 0.0006 0.0021 4.21 0.0013

2/28/1992 4.02 0.0008 0.0024 4.13 0.0007 0.0026 4.31 0.0010

3/31/1992 4.15 0.0013 0.0029 4.32 0.0019 0.0031 4.51 0.0020

4/30/1992 3.79 -0.0036 0.0029 3.97 -0.0035 0.0032 4.33 -0.0018

5/29/1992 3.80 0.0001 0.0026 3.97 0.0000 0.0029 4.25 -0.0008

6/30/1992 3.65 -0.0015 0.0018 3.77 -0.0020 0.0020 4.06 -0.0019

7/31/1992 3.25 -0.0040 0.0023 3.38 -0.0039 0.0024 3.62 -0.0044

8/31/1992 3.23 -0.0002 0.0021 3.34 -0.0004 0.0022 3.46 -0.0016

9/30/1992 2.74 -0.0049 0.0021 2.91 -0.0043 0.0018 3.06 -0.0040

######## 3.02 0.0028 0.0028 3.29 0.0038 0.0030 3.53 0.0047

######## 3.34 0.0032 0.0034 3.58 0.0029 0.0034 3.81 0.0028

######## 3.15 -0.0019 0.0034 3.38 -0.0020 0.0034 3.59 -0.0022

1/29/1993 2.97 -0.0018 0.0031 3.16 -0.0022 0.0031 3.36 -0.0023

2/26/1993 3.00 0.0003 0.0031 3.14 -0.0002 0.0031 3.29 -0.0007

3/31/1993 2.96 -0.0004 0.0022 3.09 -0.0005 0.0025 3.29 0.0000

4/30/1993 2.95 -0.0001 0.0019 3.07 -0.0002 0.0018 3.27 -0.0002

5/31/1993 3.13 0.0018 0.0014 3.31 0.0024 0.0017 3.62 0.0035

6/30/1993 3.10 -0.0003 0.0012 3.22 -0.0009 0.0015 3.44 -0.0018

7/30/1993 3.11 0.0001 0.0008 3.28 0.0006 0.0012 3.52 0.0008

8/31/1993 3.08 -0.0003 0.0008 3.21 -0.0007 0.0012 3.38 -0.0014

9/30/1993 2.98 -0.0010 0.0009 3.13 -0.0008 0.0013 3.38 0.0000

######## 3.09 0.0011 0.0010 3.28 0.0015 0.0014 3.45 0.0007

######## 3.14 0.0005 0.0007 3.39 0.0011 0.0011 3.56 0.0011

######## 3.01 -0.0013 0.0009 3.36 -0.0003 0.0010 3.47 -0.0009

1/31/1994 3.03 0.0002 0.0009 3.24 -0.0012 0.0011 3.51 0.0004

2/28/1994 3.44 0.0041 0.0019 3.71 0.0047 0.0022 3.99 0.0048

3/31/1994 3.57 0.0013 0.0018 3.94 0.0023 0.0021 4.40 0.0041

4/29/1994 3.96 0.0039 0.0021 4.45 0.0051 0.0026 5.10 0.0070

5/31/1994 4.28 0.0032 0.0022 4.84 0.0039 0.0026 5.38 0.0028

6/30/1994 4.23 -0.0005 0.0020 4.82 -0.0002 0.0026 5.50 0.0012

7/29/1994 4.37 0.0014 0.0018 4.86 0.0004 0.0022 5.37 -0.0013

8/31/1994 4.68 0.0031 0.0016 5.04 0.0018 0.0020 5.54 0.0017

9/30/1994 4.79 0.0011 0.0017 5.43 0.0039 0.0021 5.95 0.0041

######## 5.16 0.0037 0.0016 5.68 0.0025 0.0017 6.16 0.0021

######## 5.74 0.0058 0.0022 6.24 0.0056 0.0022 6.88 0.0072

######## 5.70 -0.0004 0.0022 6.53 0.0029 0.0018 7.18 0.0030

1/31/1995 6.00 0.0030 0.0021 6.41 -0.0012 0.0023 6.79 -0.0039

2/28/1995 5.94 -0.0006 0.0025 6.18 -0.0023 0.0030 6.42 -0.0037

3/31/1995 5.88 -0.0006 0.0027 6.12 -0.0006 0.0030 6.50 0.0008

4/28/1995 5.88 0.0000 0.0026 6.08 -0.0004 0.0030 6.33 -0.0017

5/31/1995 5.83 -0.0005 0.0014 5.86 -0.0022 0.0019 5.83 -0.0050

6/30/1995 5.66 -0.0017 0.0016 5.65 -0.0021 0.0008 5.72 -0.0011

7/31/1995 5.58 -0.0008 0.0006 5.61 -0.0004 0.0010 5.67 -0.0005

8/31/1995 5.45 -0.0013 0.0006 5.53 -0.0008 0.0008 5.64 -0.0003

9/29/1995 5.42 -0.0003 0.0006 5.59 0.0006 0.0011 5.69 0.0005

######## 5.51 0.0009 0.0009 5.56 -0.0003 0.0011 5.55 -0.0014

######## 5.53 0.0002 0.0010 5.76 0.0020 0.0014 5.36 -0.0019

######## 5.08 -0.0045 0.0019 5.17 -0.0059 0.0027 5.14 -0.0022

1/31/1996 5.05 -0.0003 0.0019 4.97 -0.0020 0.0027 4.89 -0.0025

2/29/1996 5.01 -0.0004 0.0019 5.05 0.0008 0.0028 5.23 0.0034

3/29/1996 5.15 0.0014 0.0021 5.22 0.0017 0.0030 5.42 0.0019

4/30/1996 5.15 0.0000 0.0020 5.31 0.0009 0.0030 5.62 0.0020

5/31/1996 5.17 0.0002 0.0020 5.36 0.0005 0.0029 5.75 0.0013

6/28/1996 5.16 -0.0001 0.0007 5.37 0.0001 0.0013 5.69 -0.0006

7/31/1996 5.32 0.0016 0.0008 5.48 0.0011 0.0005 5.84 0.0015

8/30/1996 5.29 -0.0003 0.0008 5.49 0.0001 0.0006 5.91 0.0007

9/30/1996 5.04 -0.0025 0.0013 5.24 -0.0025 0.0013 5.68 -0.0023

######## 5.15 0.0011 0.0014 5.29 0.0005 0.0013 5.43 -0.0025

######## 5.13 -0.0002 0.0014 5.24 -0.0005 0.0012 5.36 -0.0007

######## 5.15 0.0002 0.0014 5.27 0.0003 0.0013 5.44 0.0008

1/31/1997 5.15 0.0000 0.0012 5.28 0.0001 0.0011 5.59 0.0015

2/28/1997 5.22 0.0007 0.0013 5.38 0.0010 0.0012 5.68 0.0009

3/31/1997 5.34 0.0012 0.0006 5.55 0.0017 0.0008 6.02 0.0034

4/30/1997 5.24 -0.0010 0.0008 5.53 -0.0002 0.0008 5.90 -0.0012

5/30/1997 4.95 -0.0029 0.0015 5.40 -0.0013 0.0010 5.77 -0.0013

6/30/1997 5.17 0.0022 0.0018 5.26 -0.0014 0.0012 5.66 -0.0011

7/31/1997 5.24 0.0007 0.0018 5.33 0.0007 0.0013 5.42 -0.0024

8/29/1997 5.23 -0.0001 0.0018 5.39 0.0006 0.0012 5.57 0.0015

9/30/1997 5.11 -0.0012 0.0017 5.29 -0.0010 0.0009 5.45 -0.0012

######## 5.20 0.0009 0.0018 5.31 0.0002 0.0010 5.35 -0.0010

######## 5.23 0.0003 0.0011 5.43 0.0012 0.0010 5.51 0.0016

######## 5.35 0.0012 0.0009 5.46 0.0003 0.0007 5.51 0.0000

1/30/1998 5.18 -0.0017 0.0012 5.23 -0.0023 0.0013 5.23 -0.0028

2/27/1998 5.33 0.0015 0.0013 5.34 0.0011 0.0013 5.42 0.0019

3/31/1998 5.16 -0.0017 0.0014 5.28 -0.0006 0.0013 5.40 -0.0002

4/30/1998 4.98 -0.0018 0.0015 5.23 -0.0005 0.0013 5.39 -0.0001

5/29/1998 5.02 0.0004 0.0016 5.33 0.0010 0.0013 5.42 0.0003

6/30/1998 5.10 0.0008 0.0015 5.24 -0.0009 0.0013 5.38 -0.0004

7/31/1998 5.08 -0.0002 0.0013 5.22 -0.0002 0.0009 5.36 -0.0002

8/31/1998 4.89 -0.0019 0.0012 5.00 -0.0022 0.0010 4.97 -0.0039

9/30/1998 4.36 -0.0053 0.0022 4.49 -0.0051 0.0021 4.43 -0.0054

######## 4.33 -0.0003 0.0023 4.36 -0.0013 0.0021 4.20 -0.0023

######## 4.54 0.0021 0.0026 4.60 0.0024 0.0025 4.53 0.0033

######## 4.47 -0.0007 0.0025 4.55 -0.0005 0.0025 4.53 0.0000

1/29/1999 4.47 0.0000 0.0025 4.46 -0.0009 0.0024 4.53 0.0000

US TREAS.BENCHMARK BOND 2 YR (DS) - RED. YIELD BOND 3 YR (DS) - RED. YIELD BOND 5 YR (DS) -

SURY BILL 1 YEAR - MIDDLE RATE US TREAS.BENCHMARK US TREAS.BENCHMARK

USBDS2Y USBDS3Y USBDS5Y

6 mo vol U$ delta 6 mo vol U$ delta 6 mo vol U$ delta

7.25 7.45 7.82

7.11 -0.0014 7.30 -0.0015 7.65 -0.0017

7.40 0.0029 7.62 0.0032 8.04 0.0039

7.75 0.0035 7.94 0.0032 8.35 0.0031

8.07 0.0032 8.28 0.0034 8.57 0.0022

8.00 -0.0007 8.12 -0.0016 8.39 -0.0018

0.0027 8.36 0.0036 0.0023 8.50 0.0038 0.0026 8.69 0.0030

0.0024 8.69 0.0033 0.0017 8.82 0.0032 0.0020 8.97 0.0028

0.0029 8.41 -0.0028 0.0027 8.48 -0.0034 0.0031 8.60 -0.0037

0.0030 8.25 -0.0016 0.0029 8.32 -0.0016 0.0032 8.40 -0.0020

0.0030 8.86 0.0061 0.0035 8.88 0.0056 0.0037 8.91 0.0051

0.0027 9.14 0.0028 0.0034 9.16 0.0028 0.0035 9.14 0.0023

0.0027 9.10 -0.0004 0.0034 9.11 -0.0005 0.0034 9.05 -0.0009

0.0028 9.55 0.0045 0.0036 9.44 0.0033 0.0034 9.45 0.0040

0.0023 9.54 -0.0001 0.0031 9.50 0.0006 0.0027 9.39 -0.0006

0.0037 9.34 -0.0020 0.0032 9.30 -0.0020 0.0028 9.18 -0.0021

0.0038 8.82 -0.0052 0.0034 8.76 -0.0054 0.0032 8.66 -0.0052

0.0043 8.02 -0.0080 0.0043 8.00 -0.0076 0.0040 8.00 -0.0066

0.0044 7.46 -0.0056 0.0045 7.53 -0.0047 0.0041 7.52 -0.0048

0.0052 8.32 0.0086 0.0059 8.27 0.0074 0.0054 8.17 0.0065

0.0051 8.46 0.0014 0.0060 8.44 0.0017 0.0055 8.34 0.0017

0.0052 7.87 -0.0059 0.0063 7.88 -0.0056 0.0057 7.84 -0.0050

0.0052 7.70 -0.0017 0.0061 7.70 -0.0018 0.0055 7.70 -0.0014

0.0045 7.85 0.0015 0.0054 7.87 0.0017 0.0048 7.86 0.0016

0.0041 8.28 0.0043 0.0050 8.34 0.0047 0.0046 8.35 0.0049

0.0031 8.53 0.0025 0.0036 8.53 0.0019 0.0036 8.55 0.0020

0.0032 8.62 0.0009 0.0036 8.67 0.0014 0.0036 8.66 0.0011

0.0018 9.03 0.0041 0.0022 9.09 0.0042 0.0023 9.07 0.0041

0.0024 8.32 -0.0071 0.0042 8.35 -0.0074 0.0044 8.38 -0.0069

0.0026 8.24 -0.0008 0.0043 8.29 -0.0006 0.0044 8.34 -0.0004

0.0026 7.84 -0.0040 0.0042 7.94 -0.0035 0.0042 8.05 -0.0029

0.0026 8.07 0.0023 0.0042 8.25 0.0031 0.0044 8.53 0.0048

0.0022 7.94 -0.0013 0.0041 8.09 -0.0016 0.0043 8.38 -0.0015

0.0015 7.66 -0.0028 0.0032 7.84 -0.0025 0.0035 8.14 -0.0024

0.0012 7.53 -0.0013 0.0021 7.65 -0.0019 0.0023 7.88 -0.0026

0.0019 7.16 -0.0037 0.0023 7.38 -0.0027 0.0024 7.69 -0.0019

0.0018 6.86 -0.0030 0.0022 7.08 -0.0030 0.0023 7.45 -0.0024

0.0015 7.13 0.0027 0.0023 7.36 0.0028 0.0022 7.71 0.0026

0.0014 7.02 -0.0011 0.0023 7.27 -0.0009 0.0022 7.72 0.0001

0.0014 6.81 -0.0021 0.0022 7.09 -0.0018 0.0021 7.61 -0.0011

0.0020 6.80 -0.0001 0.0023 7.19 0.0010 0.0023 7.78 0.0017

0.0018 6.98 0.0018 0.0022 7.35 0.0016 0.0022 7.91 0.0013

0.0015 6.84 -0.0014 0.0019 7.13 -0.0022 0.0020 7.75 -0.0016

0.0023 6.36 -0.0048 0.0022 6.66 -0.0047 0.0023 7.32 -0.0043

0.0024 5.97 -0.0039 0.0024 6.23 -0.0043 0.0026 6.87 -0.0045

0.0025 5.65 -0.0032 0.0025 5.93 -0.0030 0.0027 6.71 -0.0016

0.0023 5.32 -0.0033 0.0024 5.69 -0.0024 0.0022 6.42 -0.0029

0.0016 4.77 -0.0055 0.0014 5.05 -0.0064 0.0016 5.93 -0.0049

0.0025 5.14 0.0037 0.0033 5.63 0.0058 0.0043 6.52 0.0059

0.0029 5.44 0.0030 0.0039 5.91 0.0028 0.0046 6.73 0.0021

0.0033 5.52 0.0008 0.0038 6.01 0.0010 0.0044 6.82 0.0009

0.0032 5.32 -0.0020 0.0037 5.84 -0.0017 0.0043 6.83 0.0001

0.0029 5.28 -0.0004 0.0034 5.80 -0.0004 0.0042 6.68 -0.0015

0.0017 4.82 -0.0046 0.0031 5.30 -0.0050 0.0037 6.26 -0.0042

0.0023 4.40 -0.0042 0.0029 4.86 -0.0044 0.0030 5.82 -0.0044

0.0021 4.12 -0.0028 0.0021 4.60 -0.0026 0.0023 5.52 -0.0030

0.0014 3.70 -0.0042 0.0016 4.15 -0.0045 0.0018 5.20 -0.0032

0.0033 4.47 0.0077 0.0047 4.95 0.0080 0.0049 5.92 0.0072

0.0037 4.84 0.0037 0.0052 5.39 0.0044 0.0055 6.23 0.0032

0.0037 4.58 -0.0026 0.0049 5.06 -0.0033 0.0053 6.05 -0.0019

0.0034 4.18 -0.0040 0.0049 4.60 -0.0046 0.0053 5.54 -0.0051

0.0033 3.87 -0.0031 0.0049 4.31 -0.0029 0.0053 5.12 -0.0042

0.0028 3.96 0.0009 0.0046 4.37 0.0006 0.0050 5.19 0.0007

0.0019 3.74 -0.0022 0.0029 4.14 -0.0023 0.0033 5.05 -0.0014

0.0021 4.14 0.0040 0.0030 4.52 0.0038 0.0031 5.25 0.0020

0.0020 3.99 -0.0015 0.0030 4.32 -0.0020 0.0030 5.03 -0.0022

0.0018 4.20 0.0021 0.0028 4.49 0.0017 0.0027 5.18 0.0015

0.0019 3.87 -0.0033 0.0028 4.19 -0.0030 0.0027 4.80 -0.0038

0.0019 3.84 -0.0003 0.0028 4.14 -0.0005 0.0026 4.70 -0.0010

0.0019 4.11 0.0027 0.0028 4.37 0.0023 0.0026 4.95 0.0025

0.0012 4.19 0.0008 0.0023 4.52 0.0015 0.0022 5.12 0.0018

0.0010 4.26 0.0007 0.0021 4.60 0.0008 0.0020 5.30 0.0017

0.0010 4.20 -0.0006 0.0020 4.46 -0.0014 0.0020 5.09 -0.0020

0.0020 4.79 0.0059 0.0024 5.19 0.0073 0.0031 5.74 0.0065

0.0022 5.19 0.0040 0.0024 5.61 0.0042 0.0030 6.22 0.0048

0.0030 5.77 0.0058 0.0028 6.12 0.0051 0.0032 6.68 0.0046

0.0029 5.95 0.0018 0.0027 6.30 0.0018 0.0032 6.73 0.0005

0.0024 6.16 0.0021 0.0025 6.48 0.0018 0.0031 6.94 0.0021

0.0029 5.95 -0.0021 0.0030 6.28 -0.0020 0.0032 6.73 -0.0021

0.0028 6.15 0.0019 0.0026 6.42 0.0014 0.0025 6.81 0.0008

0.0028 6.67 0.0053 0.0028 6.96 0.0055 0.0027 7.35 0.0054

0.0018 6.91 0.0024 0.0023 7.15 0.0019 0.0024 7.58 0.0024

0.0029 7.41 0.0050 0.0027 7.62 0.0047 0.0027 7.79 0.0021

0.0028 7.69 0.0028 0.0026 7.79 0.0016 0.0027 7.83 0.0003

0.0036 7.33 -0.0036 0.0032 7.41 -0.0037 0.0032 7.56 -0.0027

0.0044 6.80 -0.0052 0.0045 6.91 -0.0050 0.0043 7.06 -0.0050

0.0042 6.72 -0.0008 0.0040 6.84 -0.0007 0.0037 6.99 -0.0007

0.0043 6.59 -0.0014 0.0039 6.71 -0.0013 0.0035 6.89 -0.0010

0.0031 5.68 -0.0090 0.0041 5.75 -0.0096 0.0039 5.93 -0.0095

0.0022 5.76 0.0008 0.0036 5.84 0.0009 0.0038 5.96 0.0002

0.0021 5.91 0.0015 0.0040 6.04 0.0020 0.0043 6.21 0.0025

0.0020 5.78 -0.0014 0.0038 5.87 -0.0018 0.0041 6.00 -0.0021

0.0019 5.83 0.0006 0.0039 5.87 0.0000 0.0041 6.00 0.0000

0.0019 5.51 -0.0032 0.0039 5.58 -0.0028 0.0042 5.73 -0.0027

0.0009 5.31 -0.0020 0.0018 5.36 -0.0022 0.0019 5.49 -0.0025

0.0010 5.17 -0.0014 0.0017 5.23 -0.0014 0.0018 5.39 -0.0010

0.0012 4.92 -0.0025 0.0013 5.01 -0.0022 0.0010 5.23 -0.0016

0.0023 5.24 0.0032 0.0024 5.38 0.0037 0.0024 5.57 0.0034

0.0025 5.75 0.0051 0.0034 5.89 0.0050 0.0034 6.06 0.0050

0.0026 6.00 0.0025 0.0032 6.16 0.0027 0.0032 6.38 0.0031

0.0024 6.24 0.0024 0.0029 6.40 0.0024 0.0029 6.66 0.0028

0.0021 6.12 -0.0012 0.0029 6.29 -0.0011 0.0028 6.49 -0.0017

0.0013 6.05 -0.0007 0.0024 6.20 -0.0009 0.0025 6.40 -0.0009

0.0010 6.36 0.0031 0.0024 6.48 0.0028 0.0024 6.74 0.0034

0.0016 6.03 -0.0033 0.0026 6.19 -0.0029 0.0024 6.38 -0.0035

0.0018 5.77 -0.0026 0.0026 5.90 -0.0029 0.0025 5.98 -0.0040

0.0016 5.60 -0.0017 0.0022 5.71 -0.0019 0.0021 5.84 -0.0014

0.0017 5.88 0.0028 0.0027 6.02 0.0032 0.0028 6.21 0.0037

0.0017 5.87 -0.0001 0.0027 5.99 -0.0004 0.0027 6.20 -0.0002

0.0017 6.11 0.0024 0.0026 6.25 0.0026 0.0027 6.41 0.0022

0.0020 6.41 0.0030 0.0024 6.56 0.0031 0.0027 6.74 0.0032

0.0016 6.22 -0.0019 0.0023 6.39 -0.0017 0.0024 6.55 -0.0019

0.0018 6.21 -0.0001 0.0020 6.34 -0.0004 0.0021 6.50 -0.0005

0.0019 6.01 -0.0020 0.0021 6.16 -0.0018 0.0021 6.32 -0.0018

0.0021 5.86 -0.0015 0.0022 5.95 -0.0021 0.0023 6.08 -0.0025

0.0022 5.93 0.0007 0.0020 6.07 0.0013 0.0021 6.20 0.0012

0.0013 5.72 -0.0021 0.0012 5.79 -0.0029 0.0015 5.92 -0.0027

0.0013 5.67 -0.0005 0.0011 5.73 -0.0005 0.0015 5.78 -0.0014

0.0016 5.77 0.0010 0.0014 5.79 0.0006 0.0016 5.82 0.0004

0.0016 5.65 -0.0012 0.0012 5.67 -0.0012 0.0016 5.71 -0.0011

0.0017 5.37 -0.0029 0.0015 5.35 -0.0032 0.0018 5.43 -0.0029

0.0018 5.56 0.0019 0.0018 5.59 0.0024 0.0021 5.66 0.0024

0.0017 5.53 -0.0003 0.0017 5.56 -0.0003 0.0019 5.58 -0.0008

0.0017 5.55 0.0002 0.0017 5.60 0.0004 0.0019 5.61 0.0004

0.0015 5.48 -0.0007 0.0016 5.49 -0.0011 0.0019 5.52 -0.0009

0.0015 5.42 -0.0006 0.0015 5.44 -0.0005 0.0019 5.42 -0.0010

0.0009 5.46 0.0004 0.0009 5.41 -0.0003 0.0012 5.45 0.0003

0.0016 4.85 -0.0061 0.0025 4.78 -0.0063 0.0024 4.89 -0.0057

0.0024 4.15 -0.0071 0.0034 4.10 -0.0069 0.0032 4.08 -0.0081

0.0023 4.26 0.0011 0.0035 4.51 0.0041 0.0041 4.38 0.0030

0.0031 4.43 0.0017 0.0038 4.51 0.0000 0.0042 4.43 0.0005

0.0031 4.53 0.0011 0.0040 4.63 0.0012 0.0043 4.55 0.0012

0.0031 4.57 0.0004 0.0040 4.62 0.0000 0.0043 4.55 0.0000

US TREAS.BENCHMARK US TREAS.BENCHMARK

S.BENCHMARK BOND 5 YR (DS) - RED. YIELD BOND 10 YR (DS) - RED. YIELD BOND 30 YR (DS) - RED. YIELD

USBD10Y USBD30Y

6 mo vol U$ delta 6 mo vol U$ delta 6 mo vol

8.28 8.43

8.16 -0.0012 8.35 -0.0008

8.57 0.0041 8.80 0.0045

8.88 0.0031 9.11 0.0031

9.01 0.0013 9.10 -0.0001

8.78 -0.0023 8.84 -0.0026

0.0025 9.05 0.0027 0.0025 9.17 0.0033 0.0028

0.0020 9.25 0.0020 0.0022 9.31 0.0014 0.0026

0.0029 8.84 -0.0041 0.0029 8.96 -0.0035 0.0029

0.0029 8.67 -0.0017 0.0027 8.76 -0.0020 0.0026

0.0035 9.01 0.0034 0.0031 9.02 0.0026 0.0029

0.0034 9.14 0.0013 0.0029 9.00 -0.0002 0.0027

0.0033 8.98 -0.0017 0.0028 8.81 -0.0019 0.0023

0.0035 9.38 0.0040 0.0032 9.19 0.0038 0.0029

0.0029 9.22 -0.0016 0.0027 9.07 -0.0012 0.0024

0.0029 9.13 -0.0008 0.0025 9.00 -0.0008 0.0023

0.0033 8.60 -0.0054 0.0032 8.60 -0.0039 0.0026

0.0038 8.08 -0.0052 0.0034 8.07 -0.0053 0.0031

0.0039 7.76 -0.0032 0.0035 7.85 -0.0022 0.0032

0.0048 8.17 0.0041 0.0035 8.12 0.0027 0.0028

0.0050 8.27 0.0010 0.0037 8.21 0.0009 0.0030

0.0052 7.88 -0.0039 0.0038 7.88 -0.0033 0.0031

0.0050 7.81 -0.0007 0.0035 7.88 0.0000 0.0030

0.0044 7.93 0.0012 0.0030 7.98 0.0010 0.0022

0.0042 8.41 0.0048 0.0032 8.43 0.0045 0.0026

0.0034 8.59 0.0018 0.0029 8.61 0.0018 0.0025

0.0034 8.64 0.0005 0.0029 8.63 0.0002 0.0026

0.0023 9.07 0.0042 0.0021 9.04 0.0040 0.0020

0.0042 8.45 -0.0061 0.0039 8.44 -0.0059 0.0038

0.0042 8.42 -0.0003 0.0040 8.41 -0.0003 0.0038

0.0039 8.28 -0.0014 0.0035 8.35 -0.0006 0.0033

0.0044 8.84 0.0057 0.0042 8.98 0.0063 0.0042

0.0044 8.71 -0.0013 0.0043 8.84 -0.0014 0.0043

0.0038 8.56 -0.0015 0.0038 8.69 -0.0015 0.0039

0.0029 8.21 -0.0034 0.0031 8.36 -0.0034 0.0033

0.0029 8.07 -0.0014 0.0032 8.25 -0.0011 0.0034

0.0029 7.91 -0.0017 0.0032 8.09 -0.0016 0.0034

0.0020 8.12 0.0021 0.0018 8.28 0.0020 0.0017

0.0021 8.04 -0.0008 0.0018 8.24 -0.0005 0.0017

0.0020 8.05 0.0000 0.0019 8.22 -0.0001 0.0018

0.0020 8.12 0.0008 0.0014 8.34 0.0012 0.0014

0.0019 8.25 0.0013 0.0014 8.43 0.0010 0.0013

0.0017 8.16 -0.0009 0.0012 8.37 -0.0006 0.0010

0.0022 7.81 -0.0035 0.0017 8.05 -0.0032 0.0016

0.0026 7.44 -0.0037 0.0021 7.81 -0.0024 0.0018

0.0026 7.46 0.0002 0.0022 7.92 0.0011 0.0019

0.0022 7.32 -0.0015 0.0020 7.91 -0.0001 0.0018

0.0015 6.70 -0.0062 0.0023 7.41 -0.0050 0.0023

0.0041 7.35 0.0065 0.0044 7.81 0.0040 0.0033

0.0042 7.37 0.0002 0.0043 7.89 0.0008 0.0031

0.0039 7.44 0.0007 0.0041 7.90 0.0001 0.0029

0.0038 7.54 0.0010 0.0041 8.01 0.0011 0.0029

0.0036 7.38 -0.0016 0.0041 7.89 -0.0012 0.0030

0.0034 7.09 -0.0029 0.0032 7.76 -0.0013 0.0020

0.0027 6.71 -0.0038 0.0020 7.45 -0.0031 0.0016

0.0022 6.55 -0.0015 0.0019 7.38 -0.0008 0.0014

0.0017 6.22 -0.0034 0.0017 7.30 -0.0008 0.0013

0.0044 6.86 0.0064 0.0038 7.65 0.0035 0.0022

0.0048 6.92 0.0006 0.0039 7.57 -0.0008 0.0022

0.0045 6.69 -0.0023 0.0038 7.40 -0.0018 0.0022

0.0047 6.36 -0.0033 0.0037 7.21 -0.0019 0.0020

0.0048 5.94 -0.0042 0.0040 6.83 -0.0037 0.0024

0.0047 6.05 0.0011 0.0039 6.96 0.0013 0.0026

0.0031 5.95 -0.0010 0.0021 6.86 -0.0010 0.0017

0.0027 6.06 0.0011 0.0022 6.88 0.0002 0.0018

0.0027 5.78 -0.0027 0.0023 6.68 -0.0019 0.0018

0.0024 5.83 0.0005 0.0022 6.56 -0.0013 0.0017

0.0023 5.45 -0.0038 0.0021 6.09 -0.0047 0.0021

0.0022 5.32 -0.0012 0.0019 5.98 -0.0011 0.0017

0.0025 5.53 0.0021 0.0023 6.01 0.0003 0.0018

0.0025 5.79 0.0025 0.0026 6.27 0.0026 0.0024

0.0024 5.89 0.0010 0.0024 6.41 0.0013 0.0025

0.0025 5.72 -0.0017 0.0025 6.30 -0.0010 0.0025

0.0030 6.28 0.0056 0.0027 6.78 0.0048 0.0023

0.0029 6.76 0.0048 0.0026 7.11 0.0033 0.0021

0.0030 7.08 0.0032 0.0026 7.33 0.0022 0.0020

0.0032 7.11 0.0003 0.0028 7.38 0.0006 0.0021

0.0032 7.33 0.0022 0.0027 7.62 0.0023 0.0020

0.0032 7.12 -0.0021 0.0029 7.40 -0.0021 0.0024

0.0027 7.18 0.0006 0.0024 7.46 0.0005 0.0019

0.0028 7.65 0.0047 0.0024 7.86 0.0040 0.0021

0.0025 7.90 0.0025 0.0023 8.06 0.0021 0.0021

0.0024 7.92 0.0002 0.0023 8.01 -0.0005 0.0022

0.0025 7.84 -0.0009 0.0024 7.88 -0.0013 0.0023

0.0027 7.65 -0.0018 0.0024 7.74 -0.0014 0.0021

0.0037 7.23 -0.0043 0.0032 7.45 -0.0029 0.0026

0.0029 7.14 -0.0009 0.0022 7.39 -0.0006 0.0016

0.0024 7.08 -0.0006 0.0016 7.35 -0.0004 0.0009

0.0037 6.19 -0.0089 0.0032 6.60 -0.0074 0.0026

0.0036 6.20 0.0001 0.0034 6.63 0.0003 0.0028

0.0043 6.49 0.0029 0.0041 6.92 0.0029 0.0035

0.0041 6.22 -0.0027 0.0040 6.60 -0.0032 0.0035

0.0042 6.14 -0.0007 0.0040 6.48 -0.0012 0.0035

0.0042 5.96 -0.0018 0.0039 6.29 -0.0019 0.0035

0.0020 5.71 -0.0025 0.0021 6.09 -0.0020 0.0022

0.0020 5.58 -0.0013 0.0021 5.96 -0.0014 0.0021

0.0010 5.61 0.0004 0.0012 6.08 0.0013 0.0015

0.0022 5.99 0.0038 0.0023 6.38 0.0030 0.0020

0.0032 6.30 0.0031 0.0027 6.65 0.0027 0.0023

0.0031 6.67 0.0037 0.0027 6.90 0.0025 0.0022

0.0026 6.86 0.0019 0.0021 7.01 0.0011 0.0016

0.0028 6.73 -0.0014 0.0021 6.90 -0.0011 0.0015

0.0026 6.64 -0.0009 0.0023 6.84 -0.0006 0.0018

0.0026 6.94 0.0030 0.0022 7.12 0.0028 0.0017

0.0030 6.64 -0.0031 0.0027 6.87 -0.0025 0.0021

0.0031 6.37 -0.0027 0.0025 6.68 -0.0020 0.0020

0.0026 6.06 -0.0031 0.0023 6.36 -0.0031 0.0021

0.0033 6.42 0.0036 0.0031 6.64 0.0028 0.0027

0.0033 6.45 0.0003 0.0031 6.74 0.0009 0.0027

0.0031 6.57 0.0012 0.0027 6.83 0.0009 0.0024

0.0030 6.89 0.0032 0.0028 7.09 0.0026 0.0024

0.0024 6.69 -0.0020 0.0027 6.93 -0.0016 0.0024

0.0023 6.65 -0.0004 0.0021 6.90 -0.0003 0.0017

0.0021 6.44 -0.0021 0.0020 6.74 -0.0016 0.0016

0.0024 6.20 -0.0024 0.0022 6.46 -0.0028 0.0020

0.0022 6.33 0.0014 0.0023 6.60 0.0014 0.0020

0.0015 6.03 -0.0030 0.0016 6.32 -0.0028 0.0016

0.0015 5.89 -0.0014 0.0016 6.20 -0.0012 0.0016

0.0016 5.85 -0.0004 0.0016 6.04 -0.0017 0.0016

0.0016 5.74 -0.0011 0.0016 5.93 -0.0011 0.0016

0.0016 5.56 -0.0018 0.0015 5.86 -0.0006 0.0014

0.0020 5.71 0.0016 0.0015 6.03 0.0016 0.0015

0.0018 5.61 -0.0011 0.0012 5.90 -0.0013 0.0012

0.0018 5.66 0.0005 0.0012 5.94 0.0004 0.0012

0.0017 5.52 -0.0014 0.0013 5.78 -0.0016 0.0012

0.0017 5.43 -0.0009 0.0013 5.63 -0.0015 0.0013

0.0013 5.45 0.0002 0.0011 5.66 0.0003 0.0013

0.0022 5.04 -0.0040 0.0016 5.33 -0.0033 0.0014

0.0035 4.30 -0.0074 0.0030 4.89 -0.0044 0.0019

0.0041 4.75 0.0045 0.0040 5.23 0.0034 0.0028

0.0042 4.66 -0.0009 0.0040 5.05 -0.0018 0.0028

0.0044 4.65 -0.0001 0.0041 5.09 0.0003 0.0028

0.0044 4.65 0.0000 0.0041 5.09 0.0000 0.0028

S) - RED. YIELD

Shape of the Curve (Spreads) Change in Shape of the C

6mo-3mo 1yr-6mo 2yr-1yr 3yr-2yr 5yr-3yr 10yr-5yr 30yr-10yr 6mo-3mo

0.0051 0.0032 0.0063 0.0020 0.0037 0.0046 0.0015

0.0026 0.0053 0.0056 0.0019 0.0035 0.0051 0.0019 -0.0025

0.0044 0.0045 0.0066 0.0022 0.0042 0.0053 0.0023 0.0019

0.0047 0.0047 0.0064 0.0019 0.0041 0.0053 0.0023 0.0003

0.0054 0.0047 0.0046 0.0021 0.0029 0.0044 0.0009 0.0007

0.0028 0.0042 0.0054 0.0012 0.0027 0.0039 0.0006 -0.0027

0.0036 0.0042 0.0045 0.0014 0.0019 0.0036 0.0012 0.0008

0.0037 0.0037 0.0045 0.0013 0.0015 0.0028 0.0006 0.0001

0.0034 0.0027 0.0028 0.0007 0.0012 0.0024 0.0012 -0.0003

0.0028 0.0021 0.0018 0.0007 0.0008 0.0027 0.0009 -0.0006

0.0033 0.0017 0.0030 0.0002 0.0003 0.0010 0.0001 0.0005

0.0030 0.0037 0.0011 0.0002 -0.0002 0.0000 -0.0015 -0.0003

0.0023 0.0014 0.0007 0.0001 -0.0006 -0.0007 -0.0017 -0.0006

0.0022 0.0018 0.0018 -0.0011 0.0001 -0.0007 -0.0019 -0.0002

0.0032 0.0014 -0.0010 -0.0004 -0.0011 -0.0017 -0.0014 0.0010

0.0027 0.0013 0.0017 -0.0004 -0.0012 -0.0005 -0.0014 -0.0004

-0.0005 -0.0001 -0.0003 -0.0006 -0.0010 -0.0006 0.0000 -0.0033

-0.0011 0.0000 -0.0010 -0.0002 0.0000 0.0008 -0.0001 -0.0006

-0.0021 -0.0019 -0.0019 0.0007 -0.0001 0.0024 0.0009 -0.0010

0.0004 0.0008 0.0003 -0.0005 -0.0010 0.0000 -0.0005 0.0025

0.0014 0.0017 0.0001 -0.0002 -0.0010 -0.0007 -0.0006 0.0010

-0.0006 -0.0010 -0.0001 0.0001 -0.0004 0.0004 0.0000 -0.0020

-0.0007 -0.0007 -0.0001 0.0000 0.0000 0.0011 0.0007 -0.0001

0.0015 -0.0022 0.0007 0.0002 -0.0001 0.0007 0.0005 0.0022

0.0012 -0.0004 0.0020 0.0006 0.0001 0.0006 0.0002 -0.0003

0.0010 -0.0005 0.0043 0.0000 0.0002 0.0004 0.0002 -0.0002

0.0019 0.0010 0.0028 0.0005 -0.0001 -0.0002 -0.0001 0.0009

0.0038 0.0013 0.0047 0.0006 -0.0002 0.0000 -0.0003 0.0019

0.0012 0.0008 0.0011 0.0003 0.0003 0.0007 -0.0001 -0.0026

0.0002 0.0003 0.0019 0.0005 0.0005 0.0008 -0.0001 -0.0010

-0.0002 0.0002 0.0011 0.0010 0.0011 0.0023 0.0007 -0.0004

0.0013 0.0001 0.0031 0.0018 0.0028 0.0031 0.0014 0.0015

0.0017 0.0014 0.0026 0.0015 0.0029 0.0033 0.0013 0.0004

0.0012 -0.0003 0.0021 0.0018 0.0030 0.0042 0.0014 -0.0005

0.0011 -0.0005 0.0022 0.0012 0.0023 0.0033 0.0014 -0.0001

0.0009 0.0009 0.0035 0.0022 0.0031 0.0038 0.0018 -0.0002

0.0011 0.0003 0.0034 0.0022 0.0037 0.0046 0.0018 0.0002

0.0011 0.0006 0.0076 0.0023 0.0035 0.0041 0.0016 0.0000

0.0013 0.0020 0.0078 0.0025 0.0045 0.0032 0.0019 0.0002

0.0014 0.0019 0.0078 0.0028 0.0052 0.0044 0.0017 0.0001

0.0025 0.0021 0.0066 0.0039 0.0059 0.0034 0.0021 0.0011

0.0024 0.0037 0.0068 0.0037 0.0056 0.0034 0.0018 -0.0001

0.0023 0.0026 0.0066 0.0029 0.0062 0.0041 0.0022 -0.0001

0.0010 0.0014 0.0064 0.0030 0.0066 0.0049 0.0024 -0.0013

0.0006 0.0009 0.0056 0.0026 0.0064 0.0057 0.0037 -0.0004

0.0007 0.0006 0.0057 0.0028 0.0078 0.0075 0.0046 0.0001

0.0010 0.0010 0.0065 0.0037 0.0073 0.0090 0.0060 0.0003

0.0005 0.0008 0.0069 0.0028 0.0088 0.0077 0.0071 -0.0005

0.0012 0.0015 0.0093 0.0049 0.0089 0.0083 0.0046 0.0007

0.0011 0.0018 0.0113 0.0047 0.0082 0.0064 0.0052 -0.0001

0.0017 0.0019 0.0101 0.0049 0.0081 0.0062 0.0046 0.0006

0.0018 0.0036 0.0099 0.0052 0.0099 0.0071 0.0047 0.0001

0.0017 0.0028 0.0103 0.0052 0.0088 0.0070 0.0051 -0.0001

0.0012 0.0029 0.0076 0.0048 0.0096 0.0083 0.0067 -0.0005

0.0013 0.0024 0.0078 0.0046 0.0096 0.0089 0.0074 0.0001

0.0011 0.0012 0.0066 0.0048 0.0092 0.0104 0.0082 -0.0002

0.0017 0.0015 0.0064 0.0045 0.0105 0.0102 0.0108 0.0006

0.0027 0.0024 0.0094 0.0048 0.0097 0.0094 0.0079 0.0010

0.0024 0.0023 0.0103 0.0055 0.0084 0.0069 0.0066 -0.0003

0.0023 0.0021 0.0099 0.0048 0.0099 0.0064 0.0071 -0.0001

0.0019 0.0020 0.0082 0.0042 0.0094 0.0082 0.0085 -0.0004

0.0014 0.0015 0.0058 0.0044 0.0081 0.0082 0.0089 -0.0005

0.0013 0.0020 0.0067 0.0041 0.0082 0.0085 0.0092 -0.0001

0.0012 0.0020 0.0047 0.0040 0.0091 0.0090 0.0091 -0.0001

0.0018 0.0031 0.0052 0.0038 0.0073 0.0081 0.0082 0.0006

0.0012 0.0022 0.0055 0.0033 0.0071 0.0075 0.0090 -0.0006

0.0017 0.0024 0.0068 0.0029 0.0069 0.0065 0.0073 0.0005

0.0013 0.0017 0.0049 0.0032 0.0061 0.0065 0.0064 -0.0004

0.0015 0.0025 0.0046 0.0030 0.0056 0.0062 0.0066 0.0002

0.0019 0.0017 0.0066 0.0026 0.0058 0.0059 0.0048 0.0004

0.0025 0.0017 0.0063 0.0033 0.0060 0.0066 0.0049 0.0006

0.0035 0.0011 0.0079 0.0034 0.0070 0.0059 0.0052 0.0010

0.0021 0.0027 0.0069 0.0026 0.0063 0.0063 0.0058 -0.0014

0.0027 0.0028 0.0080 0.0040 0.0055 0.0054 0.0051 0.0006

0.0037 0.0046 0.0079 0.0042 0.0061 0.0054 0.0035 0.0010

0.0049 0.0065 0.0067 0.0035 0.0056 0.0040 0.0025 0.0012

0.0056 0.0054 0.0057 0.0035 0.0042 0.0038 0.0028 0.0007

0.0059 0.0068 0.0066 0.0032 0.0046 0.0039 0.0029 0.0003

0.0049 0.0051 0.0058 0.0033 0.0045 0.0039 0.0029 -0.0010

0.0036 0.0050 0.0061 0.0027 0.0039 0.0037 0.0028 -0.0013

0.0064 0.0052 0.0072 0.0029 0.0038 0.0031 0.0020 0.0028

0.0052 0.0048 0.0075 0.0024 0.0043 0.0032 0.0016 -0.0012

0.0050 0.0064 0.0053 0.0022 0.0017 0.0013 0.0009 -0.0002

0.0083 0.0065 0.0051 0.0010 0.0004 0.0001 0.0005 0.0033

0.0041 0.0038 0.0054 0.0009 0.0015 0.0009 0.0009 -0.0042

0.0024 0.0024 0.0038 0.0011 0.0015 0.0017 0.0022 -0.0017

0.0024 0.0038 0.0022 0.0012 0.0015 0.0015 0.0025 0.0000

0.0020 0.0025 0.0026 0.0013 0.0017 0.0019 0.0027 -0.0004

0.0003 -0.0003 -0.0015 0.0007 0.0018 0.0025 0.0042 -0.0017

-0.0001 0.0007 0.0004 0.0008 0.0012 0.0024 0.0043 -0.0004

0.0003 0.0006 0.0024 0.0013 0.0017 0.0028 0.0043 0.0004

0.0008 0.0011 0.0014 0.0009 0.0013 0.0022 0.0039 0.0005

0.0017 0.0010 0.0014 0.0003 0.0014 0.0014 0.0034 0.0009

0.0005 -0.0001 -0.0004 0.0007 0.0015 0.0023 0.0033 -0.0012

0.0023 -0.0040 -0.0005 0.0005 0.0012 0.0022 0.0038 0.0018

0.0009 -0.0003 0.0003 0.0006 0.0016 0.0019 0.0038 -0.0014

-0.0008 -0.0008 0.0003 0.0009 0.0022 0.0038 0.0047 -0.0017

0.0004 0.0018 0.0000 0.0015 0.0018 0.0042 0.0039 0.0012

0.0007 0.0020 0.0033 0.0014 0.0018 0.0024 0.0035 0.0003

0.0016 0.0031 0.0038 0.0016 0.0022 0.0029 0.0023 0.0009

0.0019 0.0039 0.0049 0.0016 0.0026 0.0020 0.0015 0.0003

0.0021 0.0032 0.0043 0.0017 0.0020 0.0024 0.0018 0.0002

0.0016 0.0036 0.0021 0.0015 0.0019 0.0024 0.0020 -0.0005

0.0020 0.0042 0.0045 0.0012 0.0026 0.0020 0.0018 0.0004

0.0020 0.0044 0.0035 0.0016 0.0019 0.0025 0.0024 0.0000

0.0014 0.0014 0.0034 0.0013 0.0008 0.0038 0.0031 -0.0006

0.0011 0.0012 0.0024 0.0010 0.0014 0.0022 0.0030 -0.0003

0.0012 0.0017 0.0044 0.0014 0.0019 0.0021 0.0023 0.0001

0.0013 0.0031 0.0028 0.0012 0.0021 0.0025 0.0029 0.0001

0.0016 0.0030 0.0043 0.0014 0.0017 0.0016 0.0026 0.0003

0.0021 0.0047 0.0039 0.0014 0.0018 0.0015 0.0020 0.0005

0.0029 0.0037 0.0032 0.0016 0.0016 0.0015 0.0024 0.0008

0.0045 0.0037 0.0044 0.0013 0.0016 0.0015 0.0025 0.0016

0.0009 0.0040 0.0035 0.0015 0.0016 0.0012 0.0030 -0.0036

0.0009 0.0009 0.0044 0.0008 0.0013 0.0012 0.0027 0.0000

0.0016 0.0018 0.0036 0.0014 0.0012 0.0014 0.0027 0.0007

0.0018 0.0016 0.0027 0.0007 0.0014 0.0011 0.0029 0.0002

0.0011 0.0004 0.0032 0.0006 0.0004 0.0012 0.0031 -0.0007

0.0020 0.0008 0.0026 0.0002 0.0003 0.0003 0.0019 0.0009

0.0011 0.0005 0.0014 0.0002 0.0004 0.0003 0.0019 -0.0009

0.0005 0.0000 0.0014 -0.0002 0.0008 0.0013 0.0031 -0.0006

0.0001 0.0008 0.0014 0.0004 0.0007 0.0005 0.0031 -0.0004

0.0012 0.0012 0.0013 0.0003 0.0002 0.0003 0.0029 0.0011

0.0025 0.0016 0.0016 0.0005 0.0002 0.0005 0.0028 0.0013

0.0031 0.0009 0.0006 0.0001 0.0003 0.0000 0.0025 0.0006

0.0014 0.0014 0.0004 0.0002 -0.0001 0.0000 0.0020 -0.0017

0.0014 0.0014 0.0010 -0.0005 0.0004 -0.0001 0.0021 0.0000

0.0011 -0.0003 -0.0012 -0.0007 0.0010 0.0016 0.0029 -0.0003

0.0013 -0.0006 -0.0028 -0.0005 -0.0002 0.0022 0.0059 0.0002

0.0003 -0.0016 0.0006 0.0025 -0.0013 0.0038 0.0048 -0.0010

0.0006 -0.0007 -0.0010 0.0008 -0.0008 0.0023 0.0039 0.0003

0.0008 -0.0002 0.0000 0.0009 -0.0008 0.0010 0.0044 0.0002

-0.0001 0.0007 0.0004 0.0005 -0.0007 0.0010 0.0044 -0.0009

Change in Shape of the Curve (Negative means Tightening)

1yr-6mo 2yr-1yr 3yr-2yr 5yr-3yr 10yr-5yr 30yr-10yr



0.0021 -0.0007 -0.0001 -0.0002 0.0005 0.0004

-0.0008 0.0010 0.0003 0.0007 0.0002 0.0004

0.0002 -0.0002 -0.0003 -0.0001 0.0000 0.0000

0.0000 -0.0018 0.0002 -0.0012 -0.0009 -0.0014

-0.0005 0.0008 -0.0009 -0.0002 -0.0005 -0.0003

0.0000 -0.0009 0.0002 -0.0008 -0.0003 0.0006

-0.0006 0.0000 -0.0001 -0.0004 -0.0008 -0.0006

-0.0010 -0.0017 -0.0006 -0.0003 -0.0004 0.0006

-0.0005 -0.0010 0.0000 -0.0004 0.0003 -0.0003

-0.0004 0.0012 -0.0005 -0.0005 -0.0017 -0.0008

0.0020 -0.0019 0.0000 -0.0005 -0.0010 -0.0016

-0.0023 -0.0004 -0.0001 -0.0004 -0.0008 -0.0002

0.0004 0.0011 -0.0012 0.0007 0.0000 -0.0002

-0.0004 -0.0028 0.0007 -0.0012 -0.0010 0.0004

-0.0002 0.0027 0.0000 -0.0001 0.0013 0.0001

-0.0013 -0.0020 -0.0002 0.0002 -0.0002 0.0014

0.0000 -0.0007 0.0004 0.0010 0.0014 -0.0002

-0.0019 -0.0009 0.0009 -0.0001 0.0016 0.0010

0.0027 0.0022 -0.0012 -0.0009 -0.0024 -0.0014

0.0009 -0.0002 0.0003 0.0000 -0.0007 -0.0001

-0.0027 -0.0002 0.0003 0.0006 0.0011 0.0006

0.0003 0.0000 -0.0001 0.0004 0.0007 0.0006

-0.0015 0.0008 0.0002 -0.0001 -0.0004 -0.0002

0.0018 0.0013 0.0004 0.0002 0.0000 -0.0003

-0.0001 0.0023 -0.0006 0.0001 -0.0003 0.0000

0.0015 -0.0015 0.0005 -0.0003 -0.0005 -0.0003

0.0003 0.0019 0.0001 -0.0001 0.0001 -0.0002

-0.0005 -0.0036 -0.0003 0.0005 0.0008 0.0002

-0.0005 0.0008 0.0002 0.0002 0.0001 0.0000

-0.0001 -0.0008 0.0005 0.0006 0.0015 0.0009

-0.0001 0.0020 0.0008 0.0017 0.0009 0.0006

0.0013 -0.0005 -0.0003 0.0001 0.0002 -0.0001

-0.0017 -0.0005 0.0003 0.0001 0.0009 0.0001

-0.0002 0.0001 -0.0006 -0.0007 -0.0008 0.0001

0.0014 0.0013 0.0010 0.0008 0.0005 0.0004

-0.0006 -0.0001 0.0000 0.0006 0.0007 0.0000

0.0003 0.0042 0.0001 -0.0002 -0.0005 -0.0002

0.0014 0.0002 0.0002 0.0010 -0.0009 0.0003

-0.0001 0.0000 0.0003 0.0007 0.0011 -0.0002

0.0002 -0.0012 0.0011 0.0007 -0.0009 0.0004

0.0016 0.0002 -0.0002 -0.0003 0.0000 -0.0003

-0.0011 -0.0002 -0.0008 0.0006 0.0007 0.0004

-0.0012 -0.0002 0.0001 0.0004 0.0008 0.0003

-0.0005 -0.0008 -0.0004 -0.0002 0.0008 0.0013

-0.0003 0.0001 0.0002 0.0014 0.0018 0.0009

0.0004 0.0008 0.0009 -0.0005 0.0014 0.0014

-0.0002 0.0004 -0.0009 0.0015 -0.0013 0.0012

0.0007 0.0024 0.0021 0.0001 0.0006 -0.0025

0.0003 0.0020 -0.0002 -0.0007 -0.0019 0.0006

0.0001 -0.0012 0.0002 -0.0001 -0.0002 -0.0006

0.0017 -0.0002 0.0003 0.0018 0.0009 0.0001

-0.0008 0.0004 0.0000 -0.0011 -0.0001 0.0005

0.0001 -0.0027 -0.0004 0.0008 0.0013 0.0015

-0.0005 0.0002 -0.0002 0.0000 0.0006 0.0008

-0.0012 -0.0012 0.0002 -0.0004 0.0015 0.0008

0.0003 -0.0002 -0.0003 0.0013 -0.0002 0.0026

0.0009 0.0030 0.0003 -0.0008 -0.0008 -0.0029

-0.0001 0.0009 0.0007 -0.0012 -0.0026 -0.0014

-0.0002 -0.0004 -0.0007 0.0014 -0.0004 0.0005

-0.0001 -0.0017 -0.0006 -0.0005 0.0018 0.0014

-0.0005 -0.0024 0.0002 -0.0013 0.0000 0.0004

0.0005 0.0009 -0.0003 0.0001 0.0004 0.0002

0.0000 -0.0020 -0.0001 0.0009 0.0004 0.0000

0.0011 0.0005 -0.0002 -0.0018 -0.0009 -0.0009

-0.0009 0.0003 -0.0005 -0.0002 -0.0005 0.0008

0.0002 0.0013 -0.0004 -0.0002 -0.0010 -0.0018

-0.0007 -0.0019 0.0003 -0.0008 0.0000 -0.0009

0.0008 -0.0003 -0.0002 -0.0005 -0.0003 0.0002

-0.0008 0.0020 -0.0004 0.0002 -0.0004 -0.0018

0.0000 -0.0003 0.0007 0.0003 0.0008 0.0001

-0.0006 0.0016 0.0001 0.0009 -0.0007 0.0003

0.0016 -0.0010 -0.0008 -0.0006 0.0004 0.0006

0.0001 0.0011 0.0014 -0.0008 -0.0009 -0.0007

0.0018 -0.0001 0.0002 0.0006 0.0000 -0.0015

0.0019 -0.0012 -0.0007 -0.0005 -0.0014 -0.0010

-0.0011 -0.0010 0.0000 -0.0014 -0.0001 0.0002

0.0014 0.0009 -0.0003 0.0004 0.0000 0.0001

-0.0017 -0.0008 0.0001 -0.0001 0.0000 0.0000

-0.0001 0.0002 -0.0006 -0.0006 -0.0002 -0.0001

0.0002 0.0012 0.0002 -0.0001 -0.0006 -0.0007

-0.0004 0.0003 -0.0005 0.0005 0.0001 -0.0004

0.0016 -0.0022 -0.0003 -0.0026 -0.0019 -0.0007

0.0001 -0.0002 -0.0012 -0.0013 -0.0012 -0.0005

-0.0027 0.0003 -0.0001 0.0011 0.0009 0.0004

-0.0014 -0.0015 0.0002 0.0000 0.0007 0.0014

0.0014 -0.0016 0.0001 0.0000 -0.0002 0.0003

-0.0013 0.0003 0.0001 0.0003 0.0004 0.0002

-0.0028 -0.0040 -0.0006 0.0001 0.0006 0.0015

0.0010 0.0019 0.0001 -0.0006 -0.0001 0.0001

-0.0001 0.0020 0.0005 0.0005 0.0004 0.0000

0.0005 -0.0011 -0.0004 -0.0003 -0.0006 -0.0005

-0.0001 0.0001 -0.0006 0.0000 -0.0007 -0.0005

-0.0011 -0.0018 0.0004 0.0001 0.0009 -0.0001

-0.0039 -0.0001 -0.0002 -0.0002 -0.0001 0.0006

0.0037 0.0008 0.0000 0.0004 -0.0003 0.0000

-0.0005 0.0000 0.0003 0.0006 0.0019 0.0009

0.0026 -0.0003 0.0006 -0.0004 0.0004 -0.0008

0.0002 0.0032 -0.0001 -0.0001 -0.0018 -0.0004

0.0011 0.0005 0.0003 0.0004 0.0006 -0.0012

0.0008 0.0011 0.0000 0.0004 -0.0009 -0.0008

-0.0007 -0.0006 0.0001 -0.0006 0.0004 0.0003

0.0004 -0.0022 -0.0002 0.0000 0.0000 0.0002

0.0006 0.0024 -0.0003 0.0006 -0.0004 -0.0002

0.0002 -0.0010 0.0004 -0.0007 0.0005 0.0006

-0.0030 -0.0001 -0.0003 -0.0011 0.0013 0.0007

-0.0002 -0.0010 -0.0003 0.0005 -0.0017 -0.0001

0.0005 0.0020 0.0004 0.0005 -0.0001 -0.0007

0.0014 -0.0016 -0.0003 0.0002 0.0004 0.0007

-0.0001 0.0015 0.0002 -0.0004 -0.0009 -0.0003

0.0017 -0.0004 0.0001 0.0001 0.0000 -0.0006

-0.0010 -0.0007 0.0002 -0.0002 -0.0001 0.0004

0.0000 0.0012 -0.0003 0.0000 0.0001 0.0001

0.0003 -0.0009 0.0002 0.0001 -0.0004 0.0005

-0.0031 0.0009 -0.0006 -0.0003 0.0000 -0.0004

0.0009 -0.0008 0.0006 -0.0001 0.0002 0.0001

-0.0002 -0.0009 -0.0007 0.0001 -0.0003 0.0002

-0.0012 0.0005 -0.0001 -0.0009 0.0001 0.0002

0.0004 -0.0006 -0.0004 -0.0002 -0.0009 -0.0013

-0.0003 -0.0012 0.0000 0.0001 0.0000 0.0000

-0.0005 -0.0001 -0.0004 0.0004 0.0010 0.0012

0.0008 0.0000 0.0006 -0.0001 -0.0008 0.0000

0.0004 -0.0001 -0.0001 -0.0005 -0.0002 -0.0002

0.0004 0.0003 0.0002 0.0000 0.0002 -0.0001

-0.0007 -0.0010 -0.0004 0.0001 -0.0004 -0.0002

0.0005 -0.0002 0.0001 -0.0004 0.0000 -0.0006

0.0000 0.0006 -0.0007 0.0006 -0.0001 0.0001

-0.0017 -0.0022 -0.0001 0.0006 0.0016 0.0008

-0.0003 -0.0017 0.0002 -0.0013 0.0007 0.0030

-0.0010 0.0034 0.0030 -0.0011 0.0015 -0.0011

0.0009 -0.0016 -0.0017 0.0005 -0.0015 -0.0008

0.0005 0.0011 0.0001 0.0000 -0.0013 0.0005

0.0009 0.0004 -0.0004 0.0000 0.0000 0.0000

Date 2 yr swap 2 yr T-bill 2 yr swap 5 yr swap 5 yr T-bill 5 yr swap

rate rate spread delta rate rate spread delta



1/29/1988 7.955 7.25 0.71 8.74 7.82 0.92

2/29/1988 7.69 7.11 0.58 -0.0013 8.605 7.65 0.96 0.0004

3/31/1988 8.055 7.40 0.65 0.0007 8.865 8.04 0.83 -0.0013

4/29/1988 8.405 7.75 0.65 0.0000 9.15 8.35 0.80 -0.0003

5/31/1988 8.95 8.07 0.88 0.0023 9.55 8.57 0.98 0.0018

6/30/1988 8.79 8.00 0.79 -0.0009 9.235 8.39 0.84 -0.0014

7/29/1988 9.205 8.36 0.85 0.0006 9.55 8.69 0.86 0.0002

8/31/1988 9.545 8.69 0.86 0.0001 9.83 8.97 0.86 0.0000

9/30/1988 9.2 8.41 0.79 -0.0007 9.49 8.60 0.89 0.0003

10/31/1988 8.92 8.25 0.67 -0.0012 9.185 8.40 0.79 -0.0011

11/30/1988 9.525 8.86 0.67 0.0000 9.68 8.91 0.77 -0.0002

12/30/1988 9.79 9.14 0.65 -0.0002 9.935 9.14 0.80 0.0003

1/31/1989 9.81 9.10 0.71 0.0006 9.705 9.05 0.65 -0.0014

2/28/1989 10.495 9.55 0.94 0.0023 10.22 9.45 0.77 0.0012

3/31/1989 10.885 9.54 1.35 0.0040 10.395 9.39 1.01 0.0023

4/28/1989 10.03 9.34 0.69 -0.0066 9.885 9.18 0.71 -0.0030

5/31/1989 9.505 8.82 0.69 0.0000 9.47 8.66 0.81 0.0011

6/30/1989 8.77 8.02 0.75 0.0006 8.83 8.00 0.83 0.0002

7/31/1989 8.205 7.46 0.75 0.0000 8.41 7.52 0.89 0.0006

8/31/1989 9.03 8.32 0.71 -0.0004 9.08 8.17 0.91 0.0002

9/29/1989 9.19 8.46 0.73 0.0002 9.27 8.34 0.93 0.0002

10/31/1989 8.48 7.87 0.61 -0.0012 8.71 7.84 0.87 -0.0006

11/30/1989 8.31 7.70 0.61 0.0000 8.555 7.70 0.86 -0.0002

12/29/1989 8.36 7.85 0.51 -0.0010 8.71 7.86 0.85 0.0000

1/31/1990 8.99 8.28 0.71 0.0020 9.285 8.35 0.94 0.0009

2/28/1990 8.95 8.53 0.42 -0.0029 9.25 8.55 0.70 -0.0024

3/30/1990 9.24 8.62 0.62 0.0020 9.48 8.66 0.82 0.0012

4/30/1990 9.57 9.03 0.54 -0.0008 9.815 9.07 0.74 -0.0008

5/31/1990 9.01 8.32 0.69 0.0015 9.37 8.38 0.99 0.0024

6/29/1990 8.68 8.24 0.44 -0.0025 9.115 8.34 0.78 -0.0021

7/31/1990 8.305 7.84 0.47 0.0003 8.815 8.05 0.76 -0.0001

8/31/1990 8.565 8.07 0.49 0.0003 9.165 8.53 0.64 -0.0013

9/28/1990 8.655 7.94 0.71 0.0022 9.125 8.38 0.74 0.0011

10/31/1990 8.355 7.66 0.70 -0.0002 8.945 8.14 0.81 0.0006

11/30/1990 8.175 7.53 0.65 -0.0005 8.67 7.88 0.79 -0.0001

12/31/1990 7.735 7.16 0.58 -0.0007 8.51 7.69 0.82 0.0003

1/31/1991 7.645 6.86 0.78 0.0021 8.37 7.45 0.92 0.0010

2/28/1991 7.565 7.13 0.44 -0.0035 8.385 7.71 0.68 -0.0024

3/29/1991 7.53 7.02 0.51 0.0008 8.425 7.72 0.71 0.0003

4/30/1991 7.31 6.81 0.50 -0.0001 8.295 7.61 0.69 -0.0002

5/31/1991 7.26 6.80 0.46 -0.0004 8.285 7.78 0.51 -0.0018

6/28/1991 7.605 6.98 0.63 0.0017 8.565 7.91 0.65 0.0015

7/31/1991 7.29 6.84 0.45 -0.0018 8.325 7.75 0.57 -0.0008

8/30/1991 6.745 6.36 0.39 -0.0007 7.85 7.32 0.53 -0.0004

9/30/1991 6.32 5.97 0.35 -0.0003 7.455 6.87 0.59 0.0006

10/31/1991 5.98 5.65 0.33 -0.0002 7.345 6.71 0.64 0.0005

11/29/1991 5.61 5.32 0.29 -0.0004 6.99 6.42 0.57 -0.0006

12/31/1991 4.915 4.77 0.15 -0.0015 6.49 5.93 0.56 -0.0001

1/31/1992 5.54 5.14 0.40 0.0026 7.01 6.52 0.49 -0.0007

2/28/1992 5.58 5.44 0.14 -0.0026 7.085 6.73 0.36 -0.0014

3/31/1992 6.04 5.52 0.52 0.0038 7.45 6.82 0.63 0.0028

4/30/1992 5.67 5.32 0.35 -0.0017 7.24 6.83 0.41 -0.0022

5/29/1992 5.395 5.28 0.11 -0.0024 6.9 6.68 0.22 -0.0019

6/30/1992 5.05 4.82 0.23 0.0012 6.61 6.26 0.35 0.0013

7/31/1992 4.58 4.40 0.18 -0.0005 6.11 5.82 0.29 -0.0006

8/31/1992 4.39 4.12 0.27 0.0009 5.95 5.52 0.43 0.0014

9/30/1992 3.995 3.70 0.30 0.0003 5.635 5.20 0.44 0.0000

10/30/1992 4.71 4.47 0.24 -0.0005 6.28 5.92 0.36 -0.0007

11/30/1992 5.205 4.84 0.37 0.0013 6.625 6.23 0.39 0.0003

12/31/1992 4.86 4.58 0.28 -0.0009 6.36 6.05 0.32 -0.0008

1/29/1993 4.395 4.18 0.22 -0.0007 5.915 5.54 0.38 0.0006

2/26/1993 4.095 3.87 0.23 0.0001 5.455 5.12 0.34 -0.0004

3/31/1993 4.135 3.96 0.18 -0.0005 5.47 5.19 0.28 -0.0006

4/30/1993 3.965 3.74 0.23 0.0005 5.325 5.05 0.28 0.0000

5/31/1993 4.465 4.14 0.33 0.0010 5.625 5.25 0.37 0.0010

6/30/1993 4.215 3.99 0.23 -0.0010 5.305 5.03 0.27 -0.0010

7/30/1993 4.305 4.20 0.11 -0.0012 5.38 5.18 0.20 -0.0007

8/31/1993 4 3.87 0.13 0.0003 4.99 4.80 0.19 -0.0001

9/30/1993 3.995 3.84 0.16 0.0003 4.955 4.70 0.25 0.0006

10/29/1993 4.085 4.11 -0.03 -0.0018 5.055 4.95 0.11 -0.0015

11/30/1993 4.365 4.19 0.18 0.0020 5.405 5.12 0.28 0.0017

12/31/1993 4.38 4.26 0.12 -0.0005 5.41 5.30 0.11 -0.0017

1/31/1994 4.235 4.20 0.04 -0.0009 5.21 5.09 0.12 0.0000

2/28/1994 4.885 4.79 0.09 0.0006 5.855 5.74 0.12 0.0000

3/31/1994 5.485 5.19 0.30 0.0020 6.61 6.22 0.39 0.0027

4/29/1994 6 5.77 0.23 -0.0006 6.95 6.68 0.27 -0.0012

5/31/1994 6.27 5.95 0.32 0.0009 7.1 6.73 0.38 0.0010

6/30/1994 6.43 6.16 0.27 -0.0005 7.25 6.94 0.31 -0.0006

7/29/1994 6.22 5.95 0.27 0.0000 7.02 6.73 0.29 -0.0002

8/31/1994 6.38 6.15 0.24 -0.0003 7.115 6.81 0.31 0.0002

9/30/1994 6.89 6.67 0.22 -0.0002 7.6 7.35 0.26 -0.0005

10/31/1994 7.16 6.91 0.25 0.0003 7.87 7.58 0.29 0.0003

11/30/1994 7.81 7.41 0.40 0.0015 8.21 7.79 0.42 0.0013

12/30/1994 8.17 7.69 0.48 0.0008 8.22 7.83 0.39 -0.0002

1/31/1995 7.63 7.33 0.30 -0.0018 7.94 7.56 0.38 -0.0001

2/28/1995 7.13 6.80 0.33 0.0002 7.44 7.06 0.38 0.0000

3/31/1995 7.08 6.72 0.36 0.0003 7.39 6.99 0.40 0.0002

4/28/1995 6.87 6.59 0.28 -0.0007 7.2 6.89 0.31 -0.0009

5/31/1995 6.05 5.68 0.37 0.0008 6.36 5.93 0.43 0.0011

6/30/1995 6 5.76 0.24 -0.0013 6.32 5.96 0.36 -0.0006

7/31/1995 6.07 5.91 0.16 -0.0008 6.49 6.21 0.28 -0.0008

8/31/1995 6.04 5.78 0.26 0.0011 6.43 6.00 0.43 0.0015

9/29/1995 6.04 5.83 0.21 -0.0006 6.35 6.00 0.35 -0.0008

10/31/1995 5.83 5.51 0.32 0.0011 6.12 5.73 0.39 0.0004

11/30/1995 5.51 5.31 0.20 -0.0012 5.83 5.49 0.35 -0.0004

12/29/1995 5.36 5.17 0.19 -0.0001 5.72 5.39 0.33 -0.0001

1/31/1996 5.08 4.92 0.16 -0.0003 5.55 5.23 0.32 -0.0001

2/29/1996 5.61 5.24 0.38 0.0022 6.14 5.57 0.57 0.0025

3/29/1996 5.98 5.75 0.23 -0.0014 6.45 6.06 0.39 -0.0019

4/30/1996 6.24 6.00 0.24 0.0001 6.72 6.38 0.34 -0.0004

5/31/1996 6.46 6.24 0.22 -0.0002 6.96 6.66 0.30 -0.0004

6/28/1996 6.31 6.12 0.19 -0.0003 6.76 6.49 0.27 -0.0003

7/31/1996 6.445 6.05 0.39 0.0020 6.85 6.40 0.45 0.0018

8/30/1996 6.525 6.36 0.17 -0.0023 7.01 6.74 0.27 -0.0018

9/30/1996 6.305 6.03 0.27 0.0011 6.73 6.38 0.35 0.0007

10/31/1996 5.945 5.77 0.18 -0.0010 6.365 5.98 0.38 0.0004

11/29/1996 5.785 5.60 0.18 0.0000 6.095 5.84 0.25 -0.0013

12/31/1996 6.075 5.88 0.20 0.0001 6.465 6.21 0.25 0.0000

1/31/1997 6.135 5.87 0.27 0.0007 6.525 6.20 0.33 0.0008

2/28/1997 6.275 6.11 0.17 -0.0010 6.645 6.41 0.23 -0.0010

3/31/1997 6.655 6.41 0.24 0.0008 7.015 6.74 0.28 0.0005

4/30/1997 6.525 6.22 0.30 0.0006 6.845 6.55 0.30 0.0002

5/30/1997 6.475 6.21 0.26 -0.0004 6.795 6.50 0.30 0.0000

6/30/1997 6.385 6.01 0.37 0.0011 6.705 6.32 0.38 0.0009

7/31/1997 6.045 5.86 0.18 -0.0019 6.265 6.08 0.19 -0.0019

8/29/1997 6.245 5.93 0.32 0.0013 6.505 6.20 0.31 0.0012

9/30/1997 6.165 5.72 0.45 0.0013 6.365 5.92 0.44 0.0013

10/31/1997 6.015 5.67 0.35 -0.0010 6.195 5.78 0.42 -0.0003

11/28/1997 6.115 5.77 0.34 0.0000 6.215 5.82 0.39 -0.0002

12/31/1997 6.045 5.65 0.39 0.0005 6.155 5.71 0.45 0.0005

1/30/1998 5.675 5.37 0.31 -0.0009 5.845 5.43 0.42 -0.0003

2/27/1998 5.875 5.56 0.32 0.0001 6.015 5.66 0.36 -0.0007

3/31/1998 5.965 5.53 0.44 0.0012 6.065 5.58 0.49 0.0013

4/30/1998 5.985 5.55 0.44 0.0000 6.075 5.61 0.46 -0.0003

5/29/1998 5.885 5.48 0.41 -0.0003 5.975 5.52 0.46 -0.0001

6/30/1998 5.865 5.42 0.44 0.0004 5.945 5.42 0.52 0.0007

7/31/1998 5.875 5.46 0.41 -0.0003 5.965 5.45 0.51 -0.0001

8/31/1998 5.515 4.85 0.66 0.0025 5.695 4.89 0.81 0.0030

9/30/1998 4.815 4.15 0.67 0.0001 5.005 4.08 0.93 0.0012

10/30/1998 4.615 4.26 0.36 -0.0031 4.975 4.38 0.60 -0.0033

11/30/1998 5.095 4.43 0.67 0.0031 5.255 4.43 0.82 0.0023

12/31/1998 5.115 4.53 0.58 -0.0008 5.295 4.55 0.75 -0.0008

1/29/1999 5.125 4.57 0.56 -0.0003 5.25 4.55 0.70 -0.0004

10 yr swap 10 yr T-bill 10 yr swap

rate rate spread delta



9.21 8.28 0.93

9.14 8.16 0.98 0.0005

9.415 8.57 0.84 -0.0014

9.71 8.88 0.83 -0.0001

10.1 9.01 1.09 0.0026

9.7 8.78 0.92 -0.0017

9.965 9.05 0.91 -0.0001

10.105 9.25 0.86 -0.0006

9.74 8.84 0.90 0.0004

9.51 8.67 0.84 -0.0006

9.83 9.01 0.82 -0.0002

9.96 9.14 0.82 0.0000

9.715 8.98 0.74 -0.0008

10.145 9.38 0.77 0.0003

10.185 9.22 0.97 0.0020

9.86 9.13 0.73 -0.0024

9.46 8.60 0.86 0.0014

8.93 8.08 0.85 -0.0001

8.68 7.76 0.92 0.0007

9.165 8.17 1.00 0.0007

9.26 8.27 0.99 -0.0001

8.805 7.88 0.93 -0.0006

8.74 7.81 0.93 0.0000

8.85 7.93 0.92 -0.0001

9.48 8.41 1.07 0.0015

9.39 8.59 0.80 -0.0027

9.6 8.64 0.96 0.0015

9.96 9.07 0.89 -0.0006

9.525 8.45 1.07 0.0018

9.33 8.42 0.91 -0.0017

9.17 8.28 0.89 -0.0002

9.615 8.84 0.77 -0.0012

9.56 8.71 0.85 0.0008

9.39 8.56 0.83 -0.0002

9.03 8.21 0.82 -0.0002

8.895 8.07 0.82 0.0001

8.85 7.91 0.94 0.0012

8.735 8.12 0.62 -0.0033

8.755 8.04 0.71 0.0010

8.725 8.05 0.68 -0.0004

8.69 8.12 0.57 -0.0011

8.915 8.25 0.66 0.0010

8.745 8.16 0.59 -0.0008

8.385 7.81 0.58 -0.0001

8.045 7.44 0.61 0.0003

8.075 7.46 0.61 0.0001

7.935 7.32 0.62 0.0001

7.32 6.70 0.62 0.0000

7.865 7.35 0.52 -0.0011

7.82 7.37 0.45 -0.0007

8.07 7.44 0.63 0.0018

7.99 7.54 0.45 -0.0018

7.73 7.38 0.35 -0.0010

7.52 7.09 0.43 0.0008

7.08 6.71 0.37 -0.0006

7.03 6.55 0.48 0.0010

6.725 6.22 0.51 0.0003

7.23 6.86 0.37 -0.0014

7.37 6.92 0.45 0.0008

7.105 6.69 0.42 -0.0003

6.78 6.36 0.42 0.0000

6.345 5.94 0.41 -0.0002

6.36 6.05 0.31 -0.0009

6.325 5.95 0.38 0.0006

6.505 6.06 0.45 0.0007

6.195 5.78 0.41 -0.0004

6.17 5.83 0.34 -0.0007

5.74 5.45 0.29 -0.0005

5.715 5.32 0.39 0.0010

5.775 5.53 0.24 -0.0015

6.195 5.79 0.41 0.0017

6.13 5.89 0.24 -0.0017

5.905 5.72 0.18 -0.0006

6.555 6.28 0.28 0.0009

7.265 6.76 0.51 0.0023

7.47 7.08 0.39 -0.0011

7.57 7.11 0.46 0.0007

7.72 7.33 0.39 -0.0007

7.52 7.12 0.40 0.0001

7.595 7.18 0.42 0.0001

8.01 7.65 0.36 -0.0006

8.27 7.90 0.37 0.0001

8.36 7.92 0.44 0.0007

8.25 7.84 0.42 -0.0002

8.06 7.65 0.41 -0.0001

7.7 7.23 0.47 0.0007

7.64 7.14 0.51 0.0003

7.51 7.08 0.44 -0.0007

6.71 6.19 0.52 0.0009

6.65 6.20 0.45 -0.0007

6.87 6.49 0.38 -0.0007

6.74 6.22 0.53 0.0014

6.63 6.14 0.49 -0.0004

6.43 5.96 0.47 -0.0002

6.17 5.71 0.46 -0.0001

6.05 5.58 0.48 0.0001

5.99 5.61 0.38 -0.0009

6.59 5.99 0.60 0.0022

6.81 6.30 0.51 -0.0009

7.09 6.67 0.42 -0.0009

7.26 6.86 0.40 -0.0002

7.11 6.73 0.38 -0.0001

7.2 6.64 0.56 0.0018

7.35 6.94 0.41 -0.0015

7.07 6.64 0.44 0.0003

6.725 6.37 0.36 -0.0008

6.385 6.06 0.32 -0.0003

6.775 6.42 0.36 0.0004

6.865 6.45 0.42 0.0006

6.925 6.57 0.36 -0.0006

7.265 6.89 0.38 0.0002

7.095 6.69 0.40 0.0003

7.055 6.65 0.40 0.0000

6.945 6.44 0.51 0.0010

6.445 6.20 0.25 -0.0026

6.755 6.33 0.42 0.0017

6.565 6.03 0.54 0.0011

6.385 5.89 0.49 -0.0004

6.315 5.85 0.47 -0.0003

6.265 5.74 0.53 0.0006

6.025 5.56 0.47 -0.0006

6.155 5.71 0.44 -0.0003

6.185 5.61 0.58 0.0014

6.185 5.66 0.52 -0.0005

6.075 5.52 0.55 0.0003

6.015 5.43 0.59 0.0003

6.055 5.45 0.61 0.0002

5.905 5.04 0.86 0.0025

5.245 4.30 0.95 0.0008

5.375 4.75 0.62 -0.0032

5.535 4.66 0.87 0.0025

5.475 4.65 0.83 -0.0005

5.45 4.65 0.80 -0.0003

Name consumer confidence consumer expectations consumer confidence - present

Code USCNCONF USCNEXPT USCNPSIT

Currency U$ pct change U$ pct change U$ pct change

1/15/1987 85.4 85.6 85

2/15/1987 91.8 0.075 91.8 0.072 91.9 0.081

3/15/1987 95.8 0.044 96.8 0.054 94.2 0.025

4/15/1987 97.4 0.017 100.5 0.038 92.8 -0.015

5/15/1987 103 0.057 105.6 0.051 99.1 0.068

6/15/1987 102.1 -0.009 98.2 -0.070 107.9 0.089

7/15/1987 105.8 0.036 105.6 0.075 106.2 -0.016

8/15/1987 110.7 0.046 107.5 0.018 115.6 0.089

9/15/1987 115.7 0.045 112.5 0.047 120.5 0.042

10/15/1987 115.1 -0.005 108.9 -0.032 124.4 0.032

11/15/1987 100.8 -0.124 90.9 -0.165 115.6 -0.071

12/15/1987 107.7 0.068 99.6 0.096 119.8 0.036

1/15/1988 109.9 0.020 102.2 0.026 121.5 0.014

2/15/1988 114.9 0.045 105.5 0.032 129.1 0.063

3/15/1988 112.7 -0.019 104.9 -0.006 124.5 -0.036

4/15/1988 115.7 0.027 112.8 0.075 120.2 -0.035

5/15/1988 120.2 0.039 114.4 0.014 129 0.073

6/15/1988 115.7 -0.037 108.6 -0.051 126.3 -0.021

7/15/1988 113.5 -0.019 103.7 -0.045 128.2 0.015

8/15/1988 119.7 0.055 109.4 0.055 135.1 0.054

9/15/1988 110.7 -0.075 100.1 -0.085 126.7 -0.062

10/15/1988 116.9 0.056 109.3 0.092 128.3 0.013

11/15/1988 112.9 -0.034 102 -0.067 129.1 0.006

12/15/1988 119.4 0.058 105.6 0.035 140.1 0.085

1/15/1989 115.8 -0.030 104.1 -0.014 133.4 -0.048

2/15/1989 120.7 0.042 108.3 0.040 139.2 0.043

3/15/1989 117.4 -0.027 104.9 -0.031 136.2 -0.022

4/15/1989 116.6 -0.007 101.8 -0.030 138.9 0.020

5/15/1989 116.7 0.001 103 0.012 137.2 -0.012

6/15/1989 117.2 0.004 105.1 0.020 135.5 -0.012

7/15/1989 120.4 0.027 106.6 0.014 141.1 0.041

8/15/1989 115.4 -0.042 103.7 -0.027 133 -0.057

9/15/1989 116.3 0.008 106.1 0.023 131.7 -0.010

10/15/1989 117 0.006 106.4 0.003 133 0.010

11/15/1989 115.1 -0.016 103.7 -0.025 132.3 -0.005

12/15/1989 113 -0.018 104.4 0.007 125.9 -0.048

1/15/1990 106.5 -0.058 97 -0.071 120.7 -0.041

2/15/1990 106.7 0.002 93.7 -0.034 126.3 0.046

3/15/1990 110.6 0.037 101.9 0.088 123.7 -0.021

4/15/1990 107.3 -0.030 99.2 -0.026 119.4 -0.035

5/15/1990 107.3 0.000 100.3 0.011 117.8 -0.013

6/15/1990 102.4 -0.046 96.6 -0.037 111.1 -0.057

7/15/1990 101.7 -0.007 91.8 -0.050 116.6 0.050

8/15/1990 84.7 -0.167 74.2 -0.192 100.4 -0.139

9/15/1990 85.6 0.011 77.7 0.047 97.5 -0.029

10/15/1990 62.6 -0.269 55.6 -0.284 73.2 -0.249

11/15/1990 61.7 -0.014 56.1 0.009 70.3 -0.040

12/15/1990 61.2 -0.008 59.8 0.066 63.3 -0.100

1/15/1991 55.1 -0.100 55.3 -0.075 54.7 -0.136

2/15/1991 59.4 0.078 63.6 0.150 53.1 -0.029

3/15/1991 81.1 0.365 100.7 0.583 51.7 -0.026

4/15/1991 79.4 -0.021 99.7 -0.010 48.9 -0.054

5/15/1991 76.4 -0.038 95.5 -0.042 47.8 -0.022

6/15/1991 78 0.021 100.9 0.057 43.7 -0.086

7/15/1991 77.7 -0.004 100.3 -0.006 43.8 0.002

8/15/1991 76.1 -0.021 96.8 -0.035 45.1 0.030

9/15/1991 72.9 -0.042 95.4 -0.014 39.1 -0.133

10/15/1991 60.1 -0.176 79.5 -0.167 31 -0.207

11/15/1991 52.7 -0.123 69.7 -0.123 27.1 -0.126

12/15/1991 52.5 -0.004 72.6 0.042 22.5 -0.170

1/15/1992 50.2 -0.044 68.7 -0.054 22.6 0.004

2/15/1992 47.3 -0.058 63.5 -0.076 23 0.018

3/15/1992 56.5 0.195 76.7 0.208 26.2 0.139

4/15/1992 65.1 0.152 89.7 0.169 28 0.069

5/15/1992 71.9 0.104 96.9 0.080 34.4 0.229

6/15/1992 72.6 0.010 95.9 -0.010 37.7 0.096

7/15/1992 61.2 -0.157 80.1 -0.165 32.7 -0.133

8/15/1992 59 -0.036 78.3 -0.022 30.1 -0.080

9/15/1992 57.3 -0.029 74.2 -0.052 32 0.063

10/15/1992 54.6 -0.047 70.7 -0.047 30.5 -0.047

11/15/1992 65.6 0.201 85.7 0.212 35.5 0.164

12/15/1992 78.1 0.191 103.9 0.212 39.3 0.107

1/15/1993 76.7 -0.018 98 -0.057 44.8 0.140

2/15/1993 68.5 -0.107 84.7 -0.136 44.1 -0.016

3/15/1993 63.2 -0.077 77.3 -0.087 42.1 -0.045

4/15/1993 67.6 0.070 81.1 0.049 47.2 0.121

5/15/1993 61.9 -0.084 73.1 -0.099 45 -0.047

6/15/1993 58.6 -0.053 69.6 -0.048 42 -0.067

7/15/1993 59.2 0.010 66.8 -0.040 47.8 0.138

8/15/1993 59.3 0.002 66.8 0.000 48.1 0.006

9/15/1993 63.8 0.076 72.8 0.090 50.2 0.044

10/15/1993 60.5 -0.052 66.7 -0.084 51.2 0.020

11/15/1993 71.9 0.188 80.3 0.204 59.2 0.156

12/15/1993 79.8 0.110 91.8 0.143 61.8 0.044

1/15/1994 82.6 0.035 92.6 0.009 67.6 0.094

2/15/1994 79.9 -0.033 84.4 -0.089 73.1 0.081

3/15/1994 86.7 0.085 92.6 0.097 77.9 0.066

4/15/1994 92.1 0.062 95.4 0.030 87.1 0.118

5/15/1994 88.9 -0.035 93.6 -0.019 81.9 -0.060

6/15/1994 92.5 0.040 94.6 0.011 89.4 0.092

7/15/1994 91.3 -0.013 91.9 -0.029 90.5 0.012

8/15/1994 90.4 -0.010 89.4 -0.027 91.7 0.013

9/15/1994 89.5 -0.010 89.5 0.001 89.5 -0.024

10/15/1994 89.1 -0.004 87.9 -0.018 90.9 0.016

11/15/1994 100.4 0.127 97.5 0.109 104.8 0.153

12/15/1994 103.4 0.030 98.1 0.006 111.4 0.063

1/15/1995 101.4 -0.019 94.8 -0.034 111.3 -0.001

2/15/1995 99.4 -0.020 90.8 -0.042 112.2 0.008

3/15/1995 100.2 0.008 90.1 -0.008 115.3 0.028

4/15/1995 104.6 0.044 97 0.077 116.2 0.008

5/15/1995 102 -0.025 93.1 -0.040 115.4 -0.007

6/15/1995 94.6 -0.073 84.5 -0.092 109.7 -0.049

7/15/1995 101.4 0.072 89.1 0.054 119.9 0.093

8/15/1995 102.4 0.010 94.7 0.063 113.9 -0.050

9/15/1995 97.3 -0.050 88.8 -0.062 110 -0.034

10/15/1995 96.3 -0.010 89.9 0.012 105.9 -0.037

11/15/1995 101.6 0.055 92.5 0.029 115.3 0.089

12/15/1995 99.2 -0.024 92.3 -0.002 109.5 -0.050

1/15/1996 88.4 -0.109 79.9 -0.134 101.1 -0.077

2/15/1996 98 0.109 89.5 0.120 110.8 0.096

3/15/1996 98.4 0.004 90.7 0.013 110 -0.007

4/15/1996 104.8 0.065 95.9 0.057 118.2 0.075

5/15/1996 103.5 -0.012 92.4 -0.036 120.2 0.017

6/15/1996 100.1 -0.033 90.3 -0.023 114.7 -0.046

7/15/1996 107 0.069 95 0.052 125 0.090

8/15/1996 112 0.047 100.3 0.056 129.5 0.036

9/15/1996 111.8 -0.002 100.7 0.004 128.5 -0.008

10/15/1996 107.3 -0.040 95.7 -0.050 124.6 -0.030

11/15/1996 109.5 0.021 93.5 -0.023 133.4 0.071

12/15/1996 114.2 0.043 99.9 0.068 135.7 0.017

1/15/1997 118.7 0.039 103.8 0.039 141.2 0.041

2/15/1997 118.9 0.002 101.9 -0.018 144.3 0.022

3/15/1997 118.5 -0.003 101.1 -0.008 144.8 0.003

4/15/1997 118.5 0.000 103.2 0.021 141.6 -0.022

5/15/1997 127.9 0.079 111.4 0.079 152.6 0.078

6/15/1997 129.9 0.016 111.7 0.003 157.1 0.029

7/15/1997 126.3 -0.028 107.6 -0.037 154.5 -0.017

8/15/1997 127.6 0.010 108.7 0.010 156.1 0.010

9/15/1997 130.2 0.020 111.9 0.029 157.6 0.010

10/15/1997 123.4 -0.052 107.3 -0.041 147.5 -0.064

11/15/1997 128.1 0.038 108.9 0.015 156.8 0.063

12/15/1997 136.2 0.063 118.3 0.086 163.1 0.040

1/15/1998 128.3 -0.058 107.7 -0.090 159.3 -0.023

2/15/1998 137.4 0.071 114.5 0.063 171.8 0.078

3/15/1998 133.8 -0.026 107.9 -0.058 172.7 0.005

4/15/1998 137.2 0.025 115.8 0.073 169.3 -0.020

5/15/1998 136.3 -0.007 113.3 -0.022 170.9 0.009

6/15/1998 138.2 0.014 116.2 0.026 171.3 0.002

7/15/1998 137.2 -0.007 113.4 -0.024 172.9 0.009

8/15/1998 133.1 -0.030 106.8 -0.058 172.6 -0.002

9/15/1998 126.4 -0.050 96.8 -0.094 170.7 -0.011

10/15/1998 119.3 -0.056 88.7 -0.084 165.2 -0.032

11/15/1998 126.4 0.060 99.5 0.122 166.7 0.009

12/15/1998 126.7 0.002 98.7 -0.008 168.6 0.011

1/15/1999 127.6 0.007 97.9 -0.008 172.1 0.021

Name ind prod - mfg.

Code USESMNP9G

Currency U$ pct change

1/15/1987 90.7

2/15/1987 92.2 0.017

3/15/1987 92.7 0.005

4/15/1987 93 0.003

5/15/1987 93.7 0.008

6/15/1987 94.6 0.010

7/15/1987 95 0.004

8/15/1987 95 0.000

9/15/1987 95.2 0.002

10/15/1987 96.1 0.009

11/15/1987 96.6 0.005

12/15/1987 97.1 0.005

1/15/1988 97.3 0.002

2/15/1988 97.5 0.002

3/15/1988 97.7 0.002

4/15/1988 98.3 0.006

5/15/1988 98.2 -0.001

6/15/1988 98.2 0.000

7/15/1988 98.7 0.005

8/15/1988 99.1 0.004

9/15/1988 99.2 0.001

10/15/1988 99.3 0.001

11/15/1988 100.2 0.009

12/15/1988 100.7 0.005

1/15/1989 101.5 0.008

2/15/1989 100.6 -0.009

3/15/1989 101.2 0.006

4/15/1989 101.4 0.002

5/15/1989 100.9 -0.005

6/15/1989 100.7 -0.002

7/15/1989 99.5 -0.012

8/15/1989 100 0.005

9/15/1989 99.6 -0.004

10/15/1989 99.1 -0.005

11/15/1989 99.4 0.003

12/15/1989 99.6 0.002

1/15/1990 99.6 0.000

2/15/1990 100.5 0.009

3/15/1990 100.8 0.003

4/15/1990 100.1 -0.007

5/15/1990 100.5 0.004

6/15/1990 100.4 -0.001

7/15/1990 100.3 -0.001

8/15/1990 100.6 0.003

9/15/1990 100.6 0.000

10/15/1990 99.9 -0.007

11/15/1990 98.7 -0.012

12/15/1990 98 -0.007

1/15/1991 97.2 -0.008

2/15/1991 96.5 -0.007

3/15/1991 95.5 -0.010

4/15/1991 95.8 0.003

5/15/1991 96.4 0.006

6/15/1991 97.8 0.015

7/15/1991 98 0.002

8/15/1991 98.2 0.002

9/15/1991 99.3 0.011

10/15/1991 99.3 0.000

11/15/1991 99 -0.003

12/15/1991 98.5 -0.005

1/15/1992 98.7 0.002

2/15/1992 99.5 0.008

3/15/1992 100.4 0.009

4/15/1992 101 0.006

5/15/1992 101.5 0.005

6/15/1992 101.4 -0.001

7/15/1992 102.1 0.007

8/15/1992 101.8 -0.003

9/15/1992 102.2 0.004

10/15/1992 102.9 0.007

11/15/1992 103.5 0.006

12/15/1992 103.4 -0.001

1/15/1993 104.2 0.008

2/15/1993 104.5 0.003

3/15/1993 104.6 0.001

4/15/1993 105.1 0.005

5/15/1993 104.6 -0.005

6/15/1993 104.6 0.000

7/15/1993 104.9 0.003

8/15/1993 104.6 -0.003

9/15/1993 105.8 0.011

10/15/1993 106 0.002

11/15/1993 106.6 0.006

12/15/1993 107.5 0.008

1/15/1994 107.6 0.001

2/15/1994 108.2 0.006

3/15/1994 109.2 0.009

4/15/1994 109.9 0.006

5/15/1994 110.7 0.007

6/15/1994 110.8 0.001

7/15/1994 111.7 0.008

8/15/1994 111.8 0.001

9/15/1994 112 0.002

10/15/1994 112.8 0.007

11/15/1994 113.6 0.007

12/15/1994 114.6 0.009

1/15/1995 115 0.003

2/15/1995 114.6 -0.003

3/15/1995 114.8 0.002

4/15/1995 114.4 -0.003

5/15/1995 114.3 -0.001

6/15/1995 114.6 0.003

7/15/1995 114.4 -0.002

8/15/1995 115.2 0.007

9/15/1995 115.9 0.006

10/15/1995 115.5 -0.003

11/15/1995 115.3 -0.002

12/15/1995 115.5 0.002

1/15/1996 115.1 -0.003

2/15/1996 116.5 0.012

3/15/1996 115.7 -0.007

4/15/1996 117 0.011

5/15/1996 117.4 0.003

6/15/1996 118.2 0.007

7/15/1996 118.8 0.005

8/15/1996 119 0.002

9/15/1996 123.3 0.036

10/15/1996 123.3 0.000

11/15/1996 124.4 0.009

12/15/1996 125 0.005

1/15/1997 125.3 0.002

2/15/1997 126.3 0.008

3/15/1997 126.8 0.004

4/15/1997 127.3 0.004

5/15/1997 127.6 0.002

6/15/1997 128 0.003

7/15/1997 128.8 0.006

8/15/1997 129.8 0.008

9/15/1997 130 0.002

10/15/1997 130.9 0.007

11/15/1997 132.4 0.011

12/15/1997 133.1 0.005

1/15/1998 0.003

2/15/1998 0.001

3/15/1998 0.000

4/15/1998 -0.001

5/15/1998 0.004

6/15/1998 -0.004

7/15/1998 -0.005

8/15/1998 0.011

9/15/1998 0.001

10/15/1998 0.002

11/15/1998 -0.004

12/15/1998 0.002

1/15/1999