Intra Commodity Spreads

Spread Margin

Spread Savings

2 Yr Treasury: 2F - 5.125 06/08 vs. 2G – 5.00 07/08

5%

95%

3 Yr Treasury: 3E – 4.875 05/09 vs.3H – 4.875 09/09

5%

95%

5 Yr Treasury: 5F – 5.125 06/11 vs. 5G – 4.875 07/11

2.5%

97.50%

10 Yr Treasury: 1E – 5.125 05/16 vs. 1H – 4.875 08/16

2.5%

97.50%

Inter Commodity Spreads

Spread Margin

Spread Savings

2 Yr Treasury - 2F 5.125 06/08 vs. 3 Yr Treasury 3E 4.875 08/09

20%

80%

2 Yr Treasury - 2F 5.125 06/08 vs. 3 Yr Treasury 3H 4.875 09/09

20%

80%

2 Yr Treasury - 2G 5.00 07/08 vs. .3 Yr Treasury 3E 4.875 08/09

20%

80%

2 Yr Treasury - 2G 5.00 07/08 vs. 3 Yr Treasury 3H 4.875 09/09

20%

80%

2 Yr Treasury - 2F 5.125 06/08 vs. 5Yr Treasury 5F 5.125 06/11

15%

85%

2 Yr Treasury - 2F 5.125 06/08 vs. 5Yr Treasury 5G 4.875 07/11

15%

85%

2 Yr Treasury - 2G 5.00 07/08 vs. 5Yr Treasury 5F 5.125 06/11

15%

85%

2 Yr Treasury - 2G 5.00 07/08 vs. 5Yr Treasury 5G 4.875 07/11

15%

85%

2 Yr Treasury - 2F 5.125 06/08 vs. 10 yr Treasury 1E 5.125 06/16

20%

80%

2 Yr Treasury - 2F 5.125 06/08 vs. 10 yr Treasury 1H 4.875 08/16

20%

80%

2 Yr Treasury - 2G 5.00 07/08 vs. 10 Yr Treasury 1E 5.125 06/16

20%

80%

2 Yr Treasury - 2G 5.00 07/08 vs 10 Yr Treasury 1H 4.875 08/16

20%

80%

2 Yr Treasury - 2F 5.125 06/08 vs. 30 Yr Bond SB 4.50 02/36

25%

75%

2 Yr Treasury - 2G 5.00 07/08 vs. 30 Yr Bond SB 4.50 02/36

25%

75%

3 Yr Treasury - 3E 4.875 05/09 vs. 5 Yr Treasury 5F 5.125 06/11

15%

85%

3 Yr Treasury - 3E 4.875 05/09 vs. 5Yr Treasury 5G 4.875 07/11

15%

85%

3 Yr Treasury - 3H 4.875 09/09 vs. 5 Yr Treasury 5F 5.125 06/11

15%

85%

3 Yr Treasury - 3H 4.875 09/09 vs. 5Yr Treasury 5G 4.875 07/11

15%

85%

3 Yr Treasury - 3E 4.875 05/09 vs. 10 Yr Treasury 1E 5.125 06/16

20%

80%

3 Yr Treasury - 3E 4.875 05/09 vs. 10 Yr Treasury 1H 4.875 08/16

20%

80%

3 Yr Treasury - 3H 4.875 09/09 vs. 10 Yr Treasury 1E 5.125 06/16

20%

80%

3 Yr Treasury - 3H 4.875 09/09 vs. 10 Yr Treasury 1H 4.875 08/16

20%

80%

3 Yr Treasury - 3E 4.875 05/09 vs. 30 Yr Bond SB 4.50 02/36

25%

75%

3 Yr Treasury - 3H 4.875 09/09 vs. 30 Yr Bond SB 4.50 02/36

25%

75%

5 Yr Treasury - 5F 5.125 06/11 vs. 10 Yr Treasury 1E 5.125 06/16

10%

90%

5 Yr Treasury - 5F 5.125 06/11 vs. 10 Yr Treasury 1H 4.875 08/16

10%

90%

5 Yr Treasury - 5G 4.875 07/11 vs. 10 Yr Treasury 1E 5.125 06/16

10%

90%

5 Yr Treasury - 5G 4.875 07/11 vs. 10 Yr Treasury 1H 4.875 08/16

10%

90%

5 Yr Treasury - 5F 5.125 06/11 vs. 30 Yr Bond SB 4.50 02/36

15%

85%

5 Yr Treasury - 5G 4.875 07/11 vs. 30Yr Bond SB 4.50 02/36

15%

85%

10 Yr Treasury - 1E 5.125 06/16 vs. 30 Yr Bond SB 4.50 02/36

20%

80%

10 Yr Treasury - 1H 4.875 08/16 vs. 30 Yr Bond SB 4.50 02/36

20%

80%