FI Chartbook – Random Graphs, Stats

CJ Johnson – laszlochi@gmail.com
12/8/2010 (Data as of 3PM NY Close, 12/7/2010)

A chartbook of selected yields, spreads and summary statistics designed to put the market action of 12/7 into
some perspective. I believe that sometimes a picture is worth a thousand words. Any
questions/comments/criticism (please don't hide behind an anonymous alias, if you have a legitimate gripe -
we're all adults and can discuss it/I can correct the problem) – please direct them to my email above, or
alternatively on AOL IM at cjtrader124.
Usual disclaimers apply – this is not investment advice or a solicitation to buy/sell any type of security. Data
used in generating these charts is sourced from Bloomberg, US Dept. Of Treasury (where applicable). I am
not responsible for data errors or other anomalies, use at your own risk (although I make every attempt
possible to ensure the integrity of the data contained within my local databases). Full disclaimer is at the end
of this document.
US Yields
2008-Present
US Yields: 2000-Present
US Monthly Average Yield Change
US Yield Curve SD Spikes
US Yield 30 Day Rolling Correlation
US Yield 252 Day (12M) Rolling Correlation
US Yield Curve Spreads
US Yield Spreads: 2008 – Present
US Yield Spreads: 2000 – Present
US Yield Curve Spreads Standard Deviations
US Swap Spreads
2008 – Present
US Swap Curve Spreads: 2008 – Present
US Swap Curve Spreads: 2000 – Present
TIPS Breakeven Rates
Short Term Interest Rates (STIRS)
STIRS 2008-Present
STIRS Spreads: 2008-Present
Benchmark vs. Short Term Rates
Linear Regressions Versus SPX
Summary Statistics – Previous 90 Days
US Yields

US1YR US2YR US3YR US5YR US7YR US10YR US30YR

Min. :0.2100 Min. :0.3300 Min. :0.4500 Min. :1.040 Min. :1.730 Min. :2.410 Min. :3.520

1st Qu.:0.2325 1st Qu.:0.4000 1st Qu.:0.6000 1st Qu.:1.230 1st Qu.:1.890 1st Qu.:2.545 1st Qu.:3.730

Median :0.2500 Median :0.4850 Median :0.7300 Median :1.400 Median :2.020 Median :2.655 Median :3.910

Mean :0.2498 Mean :0.4613 Mean :0.6997 Mean :1.368 Mean :2.026 Mean :2.681 Mean :3.929

3rd Qu.:0.2600 3rd Qu.:0.5200 3rd Qu.:0.7800 3rd Qu.:1.490 3rd Qu.:2.147 3rd Qu.:2.785 3rd Qu.:4.085

Max. :0.2900 Max. :0.5800 Max. :0.8800 Max. :1.752 Max. :2.518 Max. :3.164 Max. :4.412

US Yield Standard Deviations (Previous 90 Days)

US1YR US2YR US3YR US5YR US7YR US10YR US30YR

0.02 0.07 0.11 0.16 0.17 0.17 0.23

US Yield Spread Statistics
US23 US25 US210 US230 US510 US530 US1030 US27 US57 US710 US730

Min. : Min. : Min. : Min. : Min. : Min. : Min. : Min. : Min. : Min. : Min. :
12.00 71.00 199.0 302.0 112.0 215.0 103.0 137.0 59.00 53.00 156.0

1st 1st Qu.: 1st 1st 1st 1st 1st 1st 1st 1st 1st
Qu.:20.50 83.00 Qu.:211.2 Qu.:329.0 Qu.:123.0 Qu.:239.2 Qu.:111.5 Qu.:147.0 Qu.:63.00 Qu.:60.00 Qu.:174.0

Median : Median : Median : Median : Median : Median : Median : Median : Median : Median : Median :
25.00 91.50 220.0 347.0 132.5 252.0 122.5 155.0 65.00 65.00 187.7

Mean : Mean : Mean : Mean : Mean : Mean : Mean : Mean : Mean : Mean : Mean :
23.84 90.72 222.0 346.8 131.2 256.0 124.8 156.4 65.71 65.53 190.3

3rd 3rd Qu.: 3rd 3rd 3rd 3rd 3rd 3rd 3rd 3rd 3rd
Qu.:27.00 98.00 Qu.:232.0 Qu.:367.8 Qu.:139.0 Qu.:276.8 Qu.:136.0 Qu.:163.0 Qu.:69.00 Qu.:69.75 Qu.:207.8

Max. : Max. : Max. : Max. : Max. : Max. : Max. : Max. : Max. : Max. : Max. :
31.00 120.40 261.6 386.4 156.0 302.0 160.0 197.0 76.60 82.00 241.0

US Yield Spread Standard Deviations (Previous 90 Days)

US23 US25 US210 US230 US510 US530 U1030 US27 US57 US710 US730

4.51 10.55 13.45 22.78 10.08 23.78 14.87 12.46 4.24 7.28 21.77
US Swap Spread Statistics
US2YSwpSprd US3YSwpSprd US5YSwpSprd US7YSwpSprd US10YSwpSprd US30YSwpSprd

Min. :13.00 Min. :16.00 Min. :13.00 Min. : 1.00 Min. :-9.000 Min. :-50.00

1st Qu.:17.00 1st Qu.:21.00 1st Qu.:20.00 1st Qu.:10.00 1st Qu.:-1.000 1st Qu.:-39.00

Median :18.00 Median :23.00 Median :22.50 Median :15.00 Median : 3.750 Median :-36.00

Mean :18.45 Mean :22.87 Mean :22.83 Mean :14.96 Mean : 4.124 Mean :-36.01

3rd Qu.:19.93 3rd Qu.:24.00 3rd Qu.:26.00 3rd Qu.:19.00 3rd Qu.: 8.000 3rd Qu.:-33.00

Max. :31.00 Max. :32.00 Max. :38.00 Max. :38.00 Max. :21.000 Max. :-24.00

US Swap Spread Standard Deviations (Previous 90 Days)

US2YSwpSprd US3YSwpSprd US5YSwpSprd US7YSwpSprd US10YSwpSprd US30YSwpSprd

3.16 3.11 4.32 6.65 6.64 4.91

Disclosure/Legal
THE MATERIAL CONTAINED IN THIS DOCUMENT IS INFORMATIONAL ONLY, AND IS NOT INTENDED AS AN OFFER OR A
SOLICITATION TO BUY OR SELL ANY SECURITIES. THE AUTHOR IS NOT ACTING AS AN ADVISOR OR FIDUCIARY IN
ANY RESPECT IN CONNECTION WITH PROVIDING THIS INFORMATION AND NO INFORMATION OR MATERIAL CONTAINED
WITHIN THIS DOCUMENT IS TO BE RELIED UPON FOR THE PURPOSE OF MAKING OR COMMUNICATING INVESTMENT OR
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