Treasury Yield Versus Usa Risk
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US Treasury 2s10s Steepness (bps) 10Y USA CDS
80
375
70
325
60
275
50 40
225 30 175
20
125
10
75
0
1000
100 90
800 80
2s10s TIPS Forecast Inflation (bps) 10Y USA Default Risk (bps)
70 600 60 400
50 40
200 30 20 0 1/4/2008
‐200
3/4/2008
5/4/2008
7/4/2008
9/4/2008
11/4/2008
1/4/2009
3/4/2009
10 0
US Treasury 2s10s Steepness (bps) 10Y USA CDS
80
375
70
325
60
275
50 40
225 30 175
20
125
10
75
0
1000
100 90
800 80
2s10s TIPS Forecast Inflation (bps) 10Y USA Default Risk (bps)
70 600 60 400
50 40
200 30 20 0 1/4/2008
‐200
3/4/2008
5/4/2008
7/4/2008
9/4/2008
11/4/2008
1/4/2009
3/4/2009
10 0
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