\setupbodyfont[7pt]% \starttext% \bTABLE[left=\setupinterlinespace,strut=yes,autostrut=no,frame=off,headstyle=bold,align={middle,lohi},alignmentcharacter={.},aligncharacter=yes,background=color,backgroundcolor=screen,option=stretch,aligncharacter=no,style={\switchtobodyfont[tt]},frame=off]% \chardef\characteralignmentmode=2% \bTABLEhead% \bTR% \bTH[nc=22]{\setupinterlinespace\strut}{\strut}\eTH% \eTR% \bTR% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{}\eTH% \bTH[]{\setupinterlinespace\strut}{Price}\eTH% \bTH[nc=2]{\setupinterlinespace\strut}{\Delta Price}\eTH% \bTH[]{\setupinterlinespace\strut}{Yield}\eTH% \bTH[nc=2]{\setupinterlinespace\strut}{\Delta Yield (bps)}\eTH% \bTH[nc=5]{\setupinterlinespace\strut}{Historical Levels}\eTH% \bTH[nc=3]{\setupinterlinespace\strut}{Average}\eTH% \eTR% \bTR% \bTH[]{\setupinterlinespace\strut}{Term}\eTH% \bTH[]{\setupinterlinespace\strut}{Cpn}\eTH% \bTH[]{\setupinterlinespace\strut}{Mat}\eTH% \bTH[]{\setupinterlinespace\strut}{Dur}\eTH% \bTH[]{\setupinterlinespace\strut}{\$ Dur}\eTH% \bTH[]{\setupinterlinespace\strut}{\#}\eTH% \bTH[]{\setupinterlinespace\strut}{*}\eTH% \bTH[]{\setupinterlinespace\strut}{Cx}\eTH% \bTH[]{\setupinterlinespace\strut}{9/10}\eTH% \bTH[]{\setupinterlinespace\strut}{1d}\eTH% \bTH[]{\setupinterlinespace\strut}{5d}\eTH% \bTH[]{\setupinterlinespace\strut}{9/10}\eTH% \bTH[]{\setupinterlinespace\strut}{1d}\eTH% \bTH[]{\setupinterlinespace\strut}{5d}\eTH% \bTH[]{\setupinterlinespace\strut}{9/9}\eTH% \bTH[]{\setupinterlinespace\strut}{9/8}\eTH% \bTH[]{\setupinterlinespace\strut}{9/5}\eTH% \bTH[]{\setupinterlinespace\strut}{9/4}\eTH% \bTH[]{\setupinterlinespace\strut}{9/3}\eTH% \bTH[]{\setupinterlinespace\strut}{20d}\eTH% \bTH[]{\setupinterlinespace\strut}{60d}\eTH% \bTH[]{\setupinterlinespace\strut}{120d}\eTH% \eTR% \eTABLEhead% \bTABLEbody% \bTR% \bTD[]{1y$^{\dag}$}\eTD% \bTD[]{}\eTD% \bTD[]{08/27/09}\eTD% \bTD[]{0.95}\eTD% \bTD[]{0.93}\eTD% \bTD[]{0.30}\eTD% \bTD[]{3.35}\eTD% \bTD[]{0.01}\eTD% \bTD[]{98:02}\eTD% \bTD[]{0:00}\eTD% \bTD[]{0:02}\eTD% \bTD[]{2.00}\eTD% \bTD[]{0.00}\eTD% \bTD[]{-2.00}\eTD% \bTD[]{2.00}\eTD% \bTD[]{2.06}\eTD% \bTD[]{2.00}\eTD% \bTD[]{1.98}\eTD% \bTD[]{2.02}\eTD% \bTD[]{2.05}\eTD% \bTD[]{2.17}\eTD% \bTD[]{2.05}\eTD% \eTR% \bTR% \bTD[]{2y}\eTD% \bTD[]{2 3/8}\eTD% \bTD[]{08/31/10}\eTD% \bTD[]{1.92}\eTD% \bTD[]{1.92}\eTD% \bTD[]{0.62}\eTD% \bTD[]{1.62}\eTD% \bTD[]{0.05}\eTD% \bTD[]{100:09+}\eTD% \bTD[]{-0:00+}\eTD% \bTD[]{0:01+}\eTD% \bTD[]{2.22}\eTD% \bTD[]{1.20}\eTD% \bTD[]{-2.58}\eTD% \bTD[]{2.21}\eTD% \bTD[]{2.29}\eTD% \bTD[]{2.24}\eTD% \bTD[]{2.19}\eTD% \bTD[]{2.25}\eTD% \bTD[]{2.32}\eTD% \bTD[]{2.52}\eTD% \bTD[]{2.39}\eTD% \eTR% \bTR% \bTD[]{5y}\eTD% \bTD[]{3 1/8}\eTD% \bTD[]{08/31/13}\eTD% \bTD[]{4.58}\eTD% \bTD[]{4.63}\eTD% \bTD[]{1.48}\eTD% \bTD[]{0.68}\eTD% \bTD[]{0.24}\eTD% \bTD[]{100:31}\eTD% \bTD[]{-0:05+}\eTD% \bTD[]{0:03+}\eTD% \bTD[]{2.92}\eTD% \bTD[]{3.70}\eTD% \bTD[]{-2.29}\eTD% \bTD[]{2.88}\eTD% \bTD[]{2.96}\eTD% \bTD[]{2.92}\eTD% \bTD[]{2.87}\eTD% \bTD[]{2.94}\eTD% \bTD[]{3.03}\eTD% \bTD[]{3.24}\eTD% \bTD[]{3.13}\eTD% \eTR% \bTR% \bTD[]{10y}\eTD% \bTD[]{4 \color[clear] 0/8}\eTD% \bTD[]{08/15/18}\eTD% \bTD[]{8.15}\eTD% \bTD[]{8.42}\eTD% \bTD[]{2.69}\eTD% \bTD[]{0.37}\eTD% \bTD[]{0.78}\eTD% \bTD[]{102:31}\eTD% \bTD[]{-0:13}\eTD% \bTD[]{0:15}\eTD% \bTD[]{3.64}\eTD% \bTD[]{4.81}\eTD% \bTD[]{-5.64}\eTD% \bTD[]{3.59}\eTD% \bTD[]{3.67}\eTD% \bTD[]{3.66}\eTD% \bTD[]{3.64}\eTD% \bTD[]{3.70}\eTD% \bTD[]{3.77}\eTD% \bTD[]{3.93}\eTD% \bTD[]{3.86}\eTD% \eTR% \bTR% \bTD[]{30y}\eTD% \bTD[]{4 1/2}\eTD% \bTD[]{05/15/38}\eTD% \bTD[]{16.38}\eTD% \bTD[]{17.38}\eTD% \bTD[]{5.56}\eTD% \bTD[]{0.18}\eTD% \bTD[]{3.85}\eTD% \bTD[]{104:19+}\eTD% \bTD[]{-0:20+}\eTD% \bTD[]{1:19+}\eTD% \bTD[]{4.23}\eTD% \bTD[]{3.67}\eTD% \bTD[]{-9.37}\eTD% \bTD[]{4.19}\eTD% \bTD[]{4.27}\eTD% \bTD[]{4.28}\eTD% \bTD[]{4.28}\eTD% \bTD[]{4.32}\eTD% \bTD[]{4.39}\eTD% \bTD[]{4.53}\eTD% \bTD[]{4.53}\eTD% \eTR% \bTR% \bTD[nc=4]{\dag\ -- Use H15 when no OTR 1Y Tsy}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{1mo LIBOR}\eTD% \bTD[]{2.49}\eTD% \bTD[]{-0.19}\eTD% \bTD[]{-0.06}\eTD% \bTD[]{2.49}\eTD% \bTD[]{2.49}\eTD% \bTD[]{2.49}\eTD% \bTD[]{2.49}\eTD% \bTD[]{2.49}\eTD% \bTD[]{2.48}\eTD% \bTD[]{2.47}\eTD% \bTD[]{2.54}\eTD% \eTR% \bTR% \bTD[nc=4]{\# -- Value of 1 bp in ticks}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{Mortgage Repo}\eTD% \bTD[]{2.20}\eTD% \bTD[]{0.00}\eTD% \bTD[]{-5.00}\eTD% \bTD[]{2.20}\eTD% \bTD[]{2.17}\eTD% \bTD[]{2.17}\eTD% \bTD[]{2.22}\eTD% \bTD[]{2.25}\eTD% \bTD[]{2.24}\eTD% \bTD[]{2.26}\eTD% \bTD[]{2.24}\eTD% \eTR% \bTR% \bTD[nc=4]{* -- Value of 1 tick in bps}\eTD% \bTD[nr=4,nc=4]{Treasury Curve (bps)}\eTD% \bTD[nc=3]{~5y - 2y}\eTD% \bTD[]{69.58}\eTD% \bTD[]{2.50}\eTD% \bTD[]{0.28}\eTD% \bTD[]{67.08}\eTD% \bTD[]{67.04}\eTD% \bTD[]{67.15}\eTD% \bTD[]{68.13}\eTD% \bTD[]{69.30}\eTD% \bTD[]{71.12}\eTD% \bTD[]{71.94}\eTD% \bTD[]{74.00}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{10y - 2y}\eTD% \bTD[]{142.08}\eTD% \bTD[]{3.61}\eTD% \bTD[]{-3.06}\eTD% \bTD[]{138.46}\eTD% \bTD[]{137.56}\eTD% \bTD[]{141.46}\eTD% \bTD[]{144.82}\eTD% \bTD[]{145.14}\eTD% \bTD[]{145.59}\eTD% \bTD[]{141.56}\eTD% \bTD[]{146.95}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{10y - 5y}\eTD% \bTD[]{72.49}\eTD% \bTD[]{1.11}\eTD% \bTD[]{-3.35}\eTD% \bTD[]{71.38}\eTD% \bTD[]{70.52}\eTD% \bTD[]{74.31}\eTD% \bTD[]{76.68}\eTD% \bTD[]{75.84}\eTD% \bTD[]{74.46}\eTD% \bTD[]{69.62}\eTD% \bTD[]{72.95}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{30y - 10y}\eTD% \bTD[]{58.50}\eTD% \bTD[]{-1.14}\eTD% \bTD[]{-3.73}\eTD% \bTD[]{59.64}\eTD% \bTD[]{60.14}\eTD% \bTD[]{61.59}\eTD% \bTD[]{63.88}\eTD% \bTD[]{62.23}\eTD% \bTD[]{61.64}\eTD% \bTD[]{59.58}\eTD% \bTD[]{67.10}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nr=2,nc=4]{Treasury Butterflies (bps)}\eTD% \bTD[nc=3]{2y - 5y - 10y}\eTD% \bTD[]{-2.91}\eTD% \bTD[]{1.39}\eTD% \bTD[]{3.63}\eTD% \bTD[]{-4.31}\eTD% \bTD[]{-3.49}\eTD% \bTD[]{-7.15}\eTD% \bTD[]{-8.55}\eTD% \bTD[]{-6.54}\eTD% \bTD[]{-3.34}\eTD% \bTD[]{2.32}\eTD% \bTD[]{1.05}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{5y - 10y - 30y}\eTD% \bTD[]{13.99}\eTD% \bTD[]{2.25}\eTD% \bTD[]{0.38}\eTD% \bTD[]{11.75}\eTD% \bTD[]{10.39}\eTD% \bTD[]{12.71}\eTD% \bTD[]{12.80}\eTD% \bTD[]{13.61}\eTD% \bTD[]{12.83}\eTD% \bTD[]{10.04}\eTD% \bTD[]{5.85}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nr=4,nc=4]{Swap Spreads (bps)}\eTD% \bTD[nc=3]{2y}\eTD% \bTD[]{92.26}\eTD% \bTD[]{-0.75}\eTD% \bTD[]{-6.32}\eTD% \bTD[]{93.00}\eTD% \bTD[]{88.86}\eTD% \bTD[]{96.61}\eTD% \bTD[]{97.24}\eTD% \bTD[]{98.58}\eTD% \bTD[]{97.90}\eTD% \bTD[]{94.87}\eTD% \bTD[]{89.90}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{5y}\eTD% \bTD[]{87.88}\eTD% \bTD[]{-0.95}\eTD% \bTD[]{-9.41}\eTD% \bTD[]{88.82}\eTD% \bTD[]{84.47}\eTD% \bTD[]{94.45}\eTD% \bTD[]{95.71}\eTD% \bTD[]{97.28}\eTD% \bTD[]{96.87}\eTD% \bTD[]{94.79}\eTD% \bTD[]{89.20}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{10y}\eTD% \bTD[]{60.53}\eTD% \bTD[]{-1.61}\eTD% \bTD[]{-9.61}\eTD% \bTD[]{62.14}\eTD% \bTD[]{60.45}\eTD% \bTD[]{67.10}\eTD% \bTD[]{68.38}\eTD% \bTD[]{70.14}\eTD% \bTD[]{69.69}\eTD% \bTD[]{70.86}\eTD% \bTD[]{67.87}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{30y}\eTD% \bTD[]{35.78}\eTD% \bTD[]{-1.17}\eTD% \bTD[]{-6.78}\eTD% \bTD[]{36.95}\eTD% \bTD[]{35.86}\eTD% \bTD[]{39.95}\eTD% \bTD[]{39.84}\eTD% \bTD[]{42.56}\eTD% \bTD[]{41.81}\eTD% \bTD[]{43.78}\eTD% \bTD[]{40.09}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nr=4,nc=4]{Swap Yields}\eTD% \bTD[nc=3]{2y}\eTD% \bTD[]{3.14}\eTD% \bTD[]{0.45}\eTD% \bTD[]{-8.90}\eTD% \bTD[]{3.14}\eTD% \bTD[]{3.18}\eTD% \bTD[]{3.21}\eTD% \bTD[]{3.17}\eTD% \bTD[]{3.23}\eTD% \bTD[]{3.29}\eTD% \bTD[]{3.47}\eTD% \bTD[]{3.29}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{5y}\eTD% \bTD[]{3.79}\eTD% \bTD[]{2.75}\eTD% \bTD[]{-11.70}\eTD% \bTD[]{3.77}\eTD% \bTD[]{3.80}\eTD% \bTD[]{3.86}\eTD% \bTD[]{3.83}\eTD% \bTD[]{3.91}\eTD% \bTD[]{4.00}\eTD% \bTD[]{4.18}\eTD% \bTD[]{4.02}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{10y}\eTD% \bTD[]{4.25}\eTD% \bTD[]{3.20}\eTD% \bTD[]{-15.25}\eTD% \bTD[]{4.21}\eTD% \bTD[]{4.27}\eTD% \bTD[]{4.33}\eTD% \bTD[]{4.33}\eTD% \bTD[]{4.40}\eTD% \bTD[]{4.47}\eTD% \bTD[]{4.64}\eTD% \bTD[]{4.54}\eTD% \eTR% \bTR% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[]{}\eTD% \bTD[nc=3]{30y}\eTD% \bTD[]{4.58}\eTD% \bTD[]{2.50}\eTD% \bTD[]{-16.15}\eTD% \bTD[]{4.56}\eTD% \bTD[]{4.62}\eTD% \bTD[]{4.67}\eTD% \bTD[]{4.68}\eTD% \bTD[]{4.75}\eTD% \bTD[]{4.81}\eTD% \bTD[]{4.97}\eTD% \bTD[]{4.93}\eTD% \eTR% \eTABLEbody% \eTABLE% \stoptext%