May 18, 2010 [SUMMARY STATISTICS: US YIELDS]

CJ Johnson – laszlochi@gmail.com

Looking At Tail Risk

Kurtosis

SPX
US1030Sprd
US530Sprd
US510Sprd
US230Sprd
US210Sprd
US25Sprd
US23Sprd
US30YR
US10YR
US7YR
US5YR
US3YR
US2YR
US1YR

0 1 2 3 4 5 6 7 8 9
 May 18, 2010 [SUMMARY STATISTICS: US YIELDS]

Statistical Summary – US Yields

US1YR US2YR US3YR US5YR US7YR US10YR US30YR

Minimum -0.2082 -0.2472 -0.2405 -0.2614 -0.2241 -0.1850 -0.0843
Maximum 0.2926 0.3185 0.1995 0.1199 0.1169 0.0892 0.0588
1 Quartile -0.0339 -0.0357 -0.0314 -0.0219 -0.0190 -0.0144 -0.0110
3 Quartile 0.0253 0.0317 0.0283 0.0211 0.0175 0.0141 0.0118
Mean -0.0042 -0.0024 -0.0015 -0.0007 -0.0003 -0.0002 0.0000
Median 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
Sum -1.8127 -1.0249 -0.6495 -0.3129 -0.1485 -0.0695 -0.0005
SE Mean 0.0028 0.0028 0.0024 0.0020 0.0016 0.0013 0.0010
LCL Mean -0.0097 -0.0080 -0.0063 -0.0046 -0.0035 -0.0027 -0.0019
UCL Mean 0.0012 0.0032 0.0033 0.0031 0.0028 0.0024 0.0019
Variance 0.0033 0.0035 0.0026 0.0016 0.0011 0.0007 0.0004
Stdev 0.0576 0.0590 0.0507 0.0404 0.0336 0.0271 0.0203
Skewness 0.5180 0.0784 -0.2438 -0.5810 -0.6115 -0.8100 -0.3358
Kurtosis 3.5905 3.1903 2.4382 4.3696 4.9608 5.2264 1.5595

Statistical Summary – US Swap Rates

USSP2R USSP3R USSP5R USSP7R USSP10R USSP30R

Minimum -0.1970 -0.1853 -0.2063 -0.2076 -0.2031 -0.1560
Maximum 0.2188 0.1732 0.1167 0.0894 0.0774 0.0861
1 Quartile -0.0255 -0.0226 -0.0175 -0.0151 -0.0130 -0.0115
3 Quartile 0.0228 0.0197 0.0167 0.0155 0.0154 0.0124
Mean -0.0025 -0.0019 -0.0012 -0.0008 -0.0006 -0.0003
Median -0.0062 0.0000 0.0000 0.0000 0.0000 0.0000
Sum -1.0747 -0.8192 -0.4943 -0.3450 -0.2469 -0.1497
SE Mean 0.0019 0.0017 0.0015 0.0014 0.0013 0.0012
LCL Mean -0.0062 -0.0053 -0.0041 -0.0036 -0.0032 -0.0027
UCL Mean 0.0012 0.0014 0.0018 0.0020 0.0020 0.0020
Variance 0.0015 0.0013 0.0010 0.0008 0.0008 0.0006
Stdev 0.0392 0.0354 0.0313 0.0291 0.0275 0.0247
Skewness 0.0931 -0.1887 -0.8223 -1.1479 -1.3161 -0.9426
Kurtosis 3.5042 3.2604 5.5294 7.2347 8.4726 6.2119
 May 18, 2010 [SUMMARY STATISTICS: US YIELDS]

Statistical Summary – US Yield Spreads

US23Sprd US25Sprd US210Sprd US230Sprd US510Sprd US530Sprd US1030Sprd

Minimum -0.3001 -0.2772 -0.1571 -0.1355 -0.1921 -0.1487 -0.3209
Maximum 0.3365 0.1728 0.1126 0.1297 0.1335 0.1808 0.3209
1 Quartile -0.0260 -0.0194 -0.0110 -0.0114 -0.0103 -0.0130 -0.0220
3 Quartile 0.0351 0.0200 0.0156 0.0134 0.0177 0.0151 0.0235
Mean 0.0016 0.0015 0.0014 0.0012 0.0013 0.0011 0.0008
Median 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
Sum 0.6931 0.6254 0.5930 0.5242 0.5596 0.4645 0.3376
SE Mean 0.0035 0.0021 0.0014 0.0012 0.0016 0.0015 0.0028
LCL Mean -0.0053 -0.0026 -0.0014 -0.0011 -0.0018 -0.0019 -0.0047
UCL Mean 0.0085 0.0055 0.0041 0.0036 0.0044 0.0041 0.0063
Variance 0.0053 0.0018 0.0008 0.0006 0.0011 0.0010 0.0034
Stdev 0.0729 0.0428 0.0290 0.0248 0.0327 0.0315 0.0584
Skewness 0.1546 -0.3391 -0.4739 0.1514 -0.8627 -0.1320 0.1260
Kurtosis 3.8212 5.8754 4.9728 5.5657 6.9686 5.7561 8.7606
 May 18, 2010 [SUMMARY STATISTICS: US YIELDS]

Asset Return Grouping Via Eigenvalue Analysis

 May 18, 2010 [SUMMARY STATISTICS: US YIELDS]
CJ Johnson – laszlochi@gmail.com

Selected Asset Return Histograms

May 18, 2010 [SUMMARY STATISTICS: US YIELDS]
May 18, 2010 [SUMMARY STATISTICS: US YIELDS]
 May 18, 2010 [SUMMARY STATISTICS: US YIELDS]
CJ Johnson – laszlochi@gmail.com

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