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1600 HY13 Intrinsics Spread (bps)

70%

Empirical Duration Adjustment (%age of Analytic Duration required to hedge


TSY exposure) (RHS) 60%
1400

50%
1200

40%
1000
30%

800
20%

600
10%

400 0%
May-08 Aug-08 Nov-08 Feb-09 May-09 Aug-09 Nov-09