Page 146

Range of Yield Curve Scales

Market Close: 10/15/02

DELPHIS HANOVER CORPORATION Copyright (C) 1963-2002 * All Rights Reserved. INDEX

100 Aaa

98

96 Aa

94

92 A

90

88 Baa

86

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025 2026 2027 2032

1.59 1.75 2.00 2.34 2.65 2.95 3.16 3.37 3.48 3.58 3.73 3.87 4.00 4.11 4.22 4.32 4.42 4.51 4.61 4.70 4.76 4.79 4.81 4.82 4.83 4.86

1.64 1.81 2.06 2.40 2.71 3.01 3.23 3.43 3.54 3.64 3.79 3.93 4.06 4.17 4.28 4.38 4.48 4.57 4.67 4.76 4.82 4.85 4.87 4.88 4.89 4.92

1.69 1.86 2.14 2.48 2.78 3.08 3.30 3.50 3.61 3.71 3.85 3.99 4.12 4.24 4.35 4.45 4.55 4.64 4.74 4.83 4.89 4.92 4.94 4.95 4.96 4.99

1.77 1.94 2.22 2.56 2.86 3.16 3.38 3.58 3.69 3.79 3.93 4.07 4.20 4.32 4.43 4.53 4.63 4.72 4.82 4.91 4.97 5.00 5.02 5.03 5.04 5.07

1.87 2.09 2.36 2.71 3.01 3.31 3.53 3.73 3.83 3.93 4.08 4.22 4.34 4.46 4.57 4.65 4.75 4.85 4.95 5.04 5.09 5.12 5.15 5.16 5.17 5.20

1.99 2.20 2.47 2.82 3.12 3.43 3.64 3.84 3.94 4.04 4.19 4.33 4.45 4.57 4.68 4.76 4.86 4.96 5.06 5.15 5.20 5.23 5.26 5.27 5.28 5.32

2.14 2.32 2.59 2.94 3.24 3.55 3.76 3.96 4.06 4.16 4.31 4.45 4.57 4.69 4.80 4.88 4.98 5.08 5.18 5.27 5.32 5.35 5.38 5.39 5.40 5.44

2.29 2.47 2.74 3.09 3.39 3.70 3.91 4.11 4.21 4.31 4.47 4.61 4.71 4.83 4.94 5.03 5.13 5.23 5.33 5.42 5.47 5.50 5.54 5.55 5.56 5.60

2037

4.89

4.95

5.02

5.10

5.23

5.35

5.47

5.63

2042

4.92

4.98

5.05

5.13

5.26

5.38

5.50

5.66

High grades were down .08 to .09; slightly more selectively. Secondary market activity was light to moderate; new issue pricing adjusted to reflect rising yields. Dollar bonds closed down one point. The market opened quoted down 1/2 to 3/4; was down 3/4 to one point by mid-morning; down one point at Noon EDT and quoted in range through the afternoon.

On The Run Treasury Issues Maturity 09/30/04 05/15/05 08/15/07 05/15/09 08/15/12 02/15/31

Coupon 1 6 3 5 4 5

7/8 3/4 1/4 1/2 3/8 3/8

Yield

Aaa/100

Aaa/Trs Ratio

2.063 2.313 3.051 3.571 4.051 4.989

1.743 1.896 2.598 3.072 3.563 4.850

84.5% 82.0% 85.2% 86.0% 88.0% 97.2%

High

Low

High

Low

Ratio

Ratio

Date

Date

97.0%

65.6%

08/13/02

03/08/02

95.1%

68.6%

08/05/02

03/08/02

96.1%

72.3%

09/30/02

03/08/02

95.1%

74.4%

10/09/02

03/08/02

96.0%

79.5%

10/09/02

11/16/01

103.1%

90.4%

11/01/01

03/20/02

Copyright (C) 1963-2002 * DELPHIS HANOVER CORPORATION * All Rights Reserved.

BAC2 Recomendations Final 04062010  
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