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Fixed Income Model Details
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| Local Market Model | Data Inception | Term Structure Factors | Spread Factors | Implied
Volatility4 | Specific Risk |
| Issue Specific | Credit Transition |
| Australia | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | AAA | AA | A | BBB | BB | B | CCC |
| Agency | • | • | • | • | | | |
| Financial | • | • | • | • | | | | | Industrial | • | • | • | • | | | | | Municipal | • | • | • | • | | | | | Sovereign | • | • | • | • | | | | | Supranational | • | • | • | • | | | | | Telecom | • | • | • | • | | | |
| Utility | • | • | • | • | | | |
| | Treasuries,
Agencies | Corporate,
Non-Sovereign,
Supranationals |
| Austria | Mar 1994 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Belgium | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Brazil | Feb 2007 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Bulgaria | Jul 2005 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Canada | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
Credit spread (56)
| | AAA | AA | A | BBB | BB | B | CCC |
| Agency | • | • | • | • | | | |
| Financial | • | • | • | • | | | |
| Industrial | • | • | • | • | | | |
| Local municipal | • | • | • | • | | | |
| Local provincial | • | • | • | • | | | |
| Sovereign/Supranational | • | • | • | • | | | |
| Telecommunications | • | • | • | • | | | |
| Utility | • | • | • | • | | | |
| | Treasuries,
Agencies | Corporate,
Non-Sovereign,
Supranationals |
| Chile | Dec 2005 |
Shift, Twist | Swap spread
| | • | |
| China | Oct 1998 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Croatia | Mar 2006 |
Shift | Swap spread
| | • | |
| Czech Republic | Aug 1997 |
Shift, Twist, Butterfly |
| | | |
| Denmark | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| EMU | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
Credit spread (31)
| | AAA | AA | A | BBB | BB | B | CCC |
| Agency | • | • | • | • | | | |
| Energy | • | • | • | • | | | | | Financial | • | • | • | • | | | | | Industrial | • | • | • | • | | | | | Pfandbrief | • | • | • | • | | | | | Sovereign | • | • | • | • | | | | | Supranational | • | • | • | • | | | |
| Telecom | • | • | • | • | | | | | Utility | • | • | • | • | | | |
| All | | | | | • | • | • |
| • | Treasuries,
Agencies | Corporate,
Non-Sovereign,
Supranationals |
| Finland | Feb 1995 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| France | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Germany | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Greece | Nov 2000 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Hong Kong | Feb 1997 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Hungary | Aug 2001 |
Shift, Twist, Butterfly |
| | | |
| Iceland | Aug 2005 |
Shift | Swap spread
| | • | |
| India | Jun 1998 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Indonesia | May 2005 |
Shift, Twist | Swap spread
| | • | |
| Ireland | Mar 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Israel | Feb 2007 |
Shift, Twist, Butterfly |
| | • | |
| Italy | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Japan | Jul 1988 |
Shift, Twist, Butterfly | Swap spread
Credit spread¹ (34)
| Premium/Discount Current Yield–Govt |
| Sinker–Non-Govt |
| Benchmark |
| MidTerm |
| Six Year |
| JFCME (Govt Guaranteed) |
| Highway (Govt Guaranteed) |
| JR (Railway) (Govt Guaranteed) |
| Government Guaranteed Others |
| NTT |
| Non-Government Guaranteed (NHK/TRT/JR Non-Guaranteed) |
| MUNI T (Tokyo Muni) |
| MUNI 5 (Big 5 Muni) |
| MUNI O (Other Muni) |
| TELEC (Tokyo Electric) |
| OELEC (Other Electric) |
| FILP (Agency) |
| IBJ (Industrial Bank of Japan) |
| CCBCI |
| CCBAF |
| LTCB (Long-Term Credit) |
| NCB (Nippon Credit Bank) |
| BOT (Bank of Tokyo) |
| ZEN (Zenshinren) |
| Corporate AAA |
| Corporate AA |
| Corporate A |
| Corporate BBB |
| Corporate BB |
| Corporate B and CCC |
| Samurai AAA |
| Samurai AA |
| Samurai A |
| Samurai BBB |
| • | • | |
| Korea | Jan 1999 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Lithuania | Jul 2005 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Malaysia | Apr 2002 |
Shift, Twist, Butterfly | Swap spread
| | | |
| Mexico | Feb 1999 |
Shift, Twist, Butterfly |
| | | |
| Netherlands | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| New Zealand | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Norway | Feb 1995 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Philippines | Jun 1998 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Poland | May 2001 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Portugal | Mar 1995 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Romania | Feb 2005 |
Shift, Twist | Swap spread
| | • | |
| Russia | Feb 2006 |
Shift, Twist | Swap spread
| | • | |
| Singapore | Dec 1995 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Slovakia | Aug 2000 |
Shift, Twist, Butterfly | Swap spread
| | | |
| South Africa | Feb 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Spain | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Sweden | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Switzerland | Jan 1993 |
Shift, Twist, Butterfly | Swap spread
Credit spread (56)
| | AAA | AA | A | BBB | BB | B | CCC |
| Financial | • | • | • | • | | | |
| Foreign sovereign | • | • | • | • | | | |
| Industrial | • | • | • | • | | | |
| Local municipal | • | • | • | • | | | |
| Pfandbrief | • | • | • | • | | | |
| Supranational | • | • | • | • | | | |
| Utility | • | • | • | • | | | |
| | Treasuries,
Agencies | Corporate,
Non-Sovereign,
Supranationals |
| Taiwan | Jun 1998 |
Shift, Twist, Butterfly | |
| | |
| Thailand | Dec 1995 |
Shift, Twist, Butterfly | Swap spread
| | • | |
| Turkey | June 2002 |
Shift, Twist, Butterfly | Swap spread
| | | |
| United Kingdom | Feb 1993 |
Shift, Twist, Butterfly | Swap spread
Credit spread (31)
| | AAA | AA | A | BBB | BB | B | CCC |
| Agency | • | • | • | • | | | |
| Financial | • | • | • | • | | | | | Industrial | • | • | • | • | | | | | Sovereign | • | • | • | • | | | |
| Telecom | • | • | • | • | | | | | Supranational | • | • | • | • | | | |
| Utility | • | • | • | • | | | |
| All | | | | | • | • | • |
| • | Treasuries,
Agencies | Corporate,
Non-Sovereign,
Supranationals |
| United States | Jan 1993 |
Shift, Twist, Butterfly²
Key Rate Duration³ | Swap spread
Credit spread (83)
| | AAA | AA | A | BBB | BB | B |
| Agency | all ratings |
| Canadian–Government, Provincial, Corporate | • | • | • | • | • | • |
| Energy (including Oil & Gas) | • | • | • | • | • | • |
| Financial–Banking, Insurance, Independent, Subsidiaries | • | • | • | • | • | • |
| Foreign Agency or Foreign Local | • | • | • | • | • | • |
| Manufacturing, Retail, Consumer Products, Diversified Industrial (except Aerospace & Airlines, Oil & Gas, Railways, and Shipping) | • | • | • | • | • | • |
| Muni³ | | • | • | • | | |
| Sovereign | • | • | • | • | • | • |
| Supranational | • | • | • | • | • | • |
| Telecommunications (including Telephone Utility) | • | • | • | • | • | • |
| Transportation (including Aerospace & Airlines, Railways, and Shipping) | • | • | • | • | • | • |
| Utility (except Telephone) | • | • | • | • | • | • |
| Yankee (not issued by U.S., Canada, or Supranationals) | • | • | • | • | • | • |
| CCC | all sectors |
| GNMA 30-year Spread | all ratings |
| GNMA 30-year Implied Prepayment5 | all ratings |
| Conventional 30-year Spread | all ratings |
| Conventional 30-year Implied Prepayment5 | all ratings |
| GNMA 15-year Spread | all ratings |
| GNMA 15-year Implied Prepayment5 | all ratings |
| Conventional 15-year Spread | all ratings |
| Conventional 15-year Implied Prepayment5 | all ratings |
| Conventional Balloons Spread | all ratings |
| Conventional Balloons Implied Prepayment5 | all ratings |
| • | Treasuries,
Agencies | Corporate,
Non-Sovereign,
Supranationals |
|
| Notes: |
| | 1. BarraOne, Cosmos Japan, and TotalRisk only |
| | 2. Cosmos, BarraOne, and TotalRisk only |
| | 3. TotalRisk only |
| | 4. Currently available in text file data, TotalRisk, and BarraOne only |
| | 5. Cosmos and BarraOne only |
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