rates

date 1mth Eurodollar 3mth Eurodollar 6mth Eurodollar 1yr swap 2yr swap 3yr swap 4yr swap 5yr swap 7yr swap 10yr swap 30yr swap
02/10/10 0.28 0.4 0.45 0.54 1.15 1.75 2.25 2.66 3.24 3.74 4.42
02/11/10 0.28 0.4 0.45 0.55 1.17 1.79 2.31 2.73 3.32 3.83 4.53
02/12/10 0.28 0.4 0.45 0.52 1.11 1.72 2.24 2.66 3.26 3.78 4.51
02/16/10 0.28 0.4 0.45 0.52 1.14 1.75 2.27 2.69 3.29 3.81 4.53
02/17/10 0.28 0.4 0.45 0.51 1.11 1.72 2.24 2.67 3.27 3.8 4.54
02/18/10 0.28 0.4 0.45 0.51 1.14 1.77 2.3 2.72 3.33 3.85 4.59
02/19/10 0.28 0.4 0.45 0.55 1.22 1.88 2.4 2.82 3.41 3.91 4.6
02/22/10 0.28 0.4 0.45 0.53 1.17 1.82 2.35 2.77 3.38 3.88 4.58
02/23/10 0.28 0.4 0.45 0.5 1.12 1.74 2.27 2.71 3.32 3.83 4.54
02/24/10 0.28 0.4 0.45 0.49 1.1 1.73 2.25 2.68 3.26 3.77 4.48
02/25/10 0.28 0.4 0.45 0.47 1.07 1.68 2.2 2.63 3.22 3.73 4.44
02/26/10 0.28 0.4 0.45 0.47 1.06 1.66 2.17 2.59 3.18 3.7 4.41
03/01/10 0.28 0.4 0.45 0.47 1.06 1.66 2.18 2.59 3.19 3.7 4.44
03/02/10 0.28 0.4 0.45 0.46 1.05 1.66 2.17 2.59 3.19 3.71 4.45
03/03/10 0.28 0.4 0.45 0.46 1.05 1.65 2.16 2.58 3.18 3.69 4.44
03/04/10 0.28 0.4 0.45 0.48 1.07 1.65 2.16 2.56 3.14 3.65 4.4
03/05/10 0.28 0.4 0.45 0.52 1.14 1.74 2.23 2.65 3.24 3.74 4.49
03/08/10 0.28 0.4 0.45 0.52 1.14 1.73 2.23 2.65 3.25 3.77 4.52
03/09/10 0.28 0.4 0.4 0.49 1.1 1.69 2.2 2.62 3.22 3.75 4.51
03/10/10 0.28 0.4 0.45 0.51 1.12 1.72 2.22 2.64 3.24 3.76 4.54
03/11/10 0.28 0.4 0.45 0.53 1.15 1.75 2.26 2.67 3.27 3.78 4.54

Yield Curve Proxy

(Eurodollar and Swap Rates) - 2/10/10
5

4.5

3.5

2.5

1.5

0.5

0
1mth Eurodollar 3mth Eurodollar 6mth Eurodollar 1yr swap 2yr swap 3yr swap 4yr swap 5yr swap 7yr swap 10yr swap 30yr swap

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 scenario

maturity t0 Hypothetical t1 ∆
1mth Eurodollar 0.28 0.75 0.47
3mth Eurodollar 0.4 1.15 0.75
6mth Eurodollar 0.45 1.3 0.85
1yr swap 0.54 1.55 1.01
2yr swap 1.15 2 0.85
3yr swap 1.75 2.3 0.55
4yr swap 2.25 2.95 0.7
5yr swap 2.66 3.05 0.39
7yr swap 3.24 3.2 -0.04
10yr swap 3.74 3.6 -0.14
30yr swap 4.42 3.75 -0.67

spread t0 Hypothetical t1
3mth/1yr spread 0.14 0.4
2/5 spread 1.51 1.05
2/10 spread 2.59 1.6
2/30 spread 3.27 1.75
5/10 spread 1.08 0.55
5/30 spread 1.76 0.7

Hypothetical Bear Flattener

5

4.5

3.5

2.5

1.5

0.5

0
3mth Eurodollar 1yr swap 3yr swap 5yr swap 10yr swap
1mth Eurodollar 6mth Eurodollar 2yr swap 4yr swap 7yr swap 30yr swap

t0 Hypothetical t1

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 portfolio
size: $100,000,000
at t0
duration rate weight cost/yield wam
0.08 0.28
0.25 0.4 0.25 $100,000 0.06
0.5 0.45 0.25 $112,500 0.13
1 0.54 0.5 $270,000 0.5 0.69
2 1.15
3 1.75
4 2.25
5 2.66
7 3.24 0.25 $810,000 1.75
10 3.74 0.25 $935,000 2.5
30 4.42 0.5 $2,210,000 15 19.25

P&L $3,472,500 28 times to roll to match maturity profiles

hypothetical
duration rate weight cost/yield wam
0.08 0.75
0.25 1.15 0.25 $287,500 0.06
0.5 1.3 0.25 $325,000 0.13
1 1.55 0.5 $775,000 0.5 0.69
2 2
3 2.3
4 2.95
5 3.05
7 3.2 0.25 $800,000 1.75
10 3.6 0.25 $900,000 2.5
30 3.75 0.5 $1,875,000 15 19.25

P&L $2,187,500 28 times to roll to match maturity profiles

-37.01% reduction in P&L

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 hedge

03/12/2010 Eurodollar option costs. Based on settle prices

duration contract date contracts settle cost
0.25 06/01/10 25 2.25 $1,406.25
0.25 09/01/10 25 7.75 $4,843.75
0.25 12/01/10 25 19.25 $12,031.25
0.25 03/01/11 25 33.25 $20,781.25
0.5 09/01/10 25 3.75 $2,343.75
0.5 03/01/11 25 13 $8,125.00
1 03/01/11 50 5.75 $7,187.50

Total hedge cost $56,718.75

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