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\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%
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