Us Ted Spread

Trading the TED Spread
Malcolm Baker Senior Director, Regional Head of FX & IR APAC CME Group
Outline
What Makes TEDs Move Volatility in the Large Volatility in the Small
Structuring the Trade Preliminaries Analytical TEDs Empirical TEDs
Managing the Trade Implementing Interest Rate Spreads Bid-Offer Spreads Examples Initial Margin
Resources
2013 CME Group. All rights reserved.
Trading the TED Spread: Whats the draw?

Anyone can trade it, large or small. It accommodates different trading styles.
Theres something in it for nearly any time horizon seconds, minutes, days, or weeks. Theres something in it for both aggressor price takers and resting price makers.
It rewards attention to detail.

In construction and management of the Treasury leg (Implementing the Interest Rate Spreads). In construction and management of the Eurodollar leg, if spread structure is analytical (Analytical TEDs). In handling differences in trade-match algorithms, if trading style is algorithmic.
It rewards creativity.
Especially in construction and management of the Eurodollar leg, if spread structure is empirical (Empricial TEDs).
Its going to be around for a while.

For as long as there is a market in US Treasury notes, and as long as theres a Libor.
Trading the TED Spread

TED = Treasury-Eurodollar spread
Short-hand for Treasury-Swap spread (where Swap means plain-vanilla ISDAFIX standard Libor-reference IRS)
Bank credit spread Unsecured interbank (ie, London interbank offered) interest rate exposure
minus
US Treasury note yield exposure
What Makes TEDs Move

Volatility in the Large Volatility in the Small
Volatility in the Large

At low frequencies, pro-cyclical measure of commercial bank credit-spread exposure. Leading indicator of real economic cyclicality. TED widens in late stages of business cycle expansions, and narrows in business cycle downturns. Where business cycle downturn is preceded by financial upheaval, TEDs cyclical peak tends to coincide with the upheaval (eg, US equity market crash of 1987, US equity market tech wreck of 2000, US banking crisis of 2008).
Source: IHS Global Insight

As Libor-reference interest rate swap market has matured, TED volatility has trended lower. In terms of median of absolute daily changes in TED spread: 1988-2000 2.7 bps for 5-yr 2.5 bps for 2-yr 2001-present 1.7 bps for 5-yr 1.4 bps for 2-yr
Source: IHS Global Insight, CME Group calculations

Open issues for the future
What is Libor? Pre-Wheatley Review, Libor is narrowly defined: Interest rates on unsecured interbank placement. Post-Wheatley Review, could the basis for establishing Libor be redefined?
Treasury-Eurodollar Spread v Swap Spread TED qua Treasury-Eurodollar Spread Pure Treasury v Libor (whatever Libor turns out to be). TED qua Swap Spread Valuation of Libor-reference interest rate swaps and quotes of Libor-reference swap rates -- may be influenced by recent institutional changes in swap market regulation and practice (eg, increasing prevalence of central counterparty clearing of swaps, OIS as basis for valuation Libor-reference swaps, application of credit support annexes and various liquidity value adjustments (LVA) such as credit value (CVA) and debit value adjustments (DVA).
Volatility in the Small: Example -- Front ZF v 1st Green GE

At higher frequencies, TED spread dynamics are heavily influenced -and often dominated -by market expectations of US monetary policy.
Source: CME Group
Source: CME Group
10
Source: CME Group
11
Structuring the Trade

Preliminaries Analytical TEDs Empirical TEDs
12
Preliminaries: Futures v Futures TEDs

Buy Long TED = Short TED = Treasury Eurodollar Sell Eurodollar Treasury
Futures-Futures TED is Forward-Starting Spread Exposure Notional forward settlement date is expected delivery date for Treasury futures contract. Treasury Leg Front 2-Year Treasury Note (ZT) or front 5-Year Treasury Note (ZF). Avoid contracts in delivery: Use Treasury contract prior to its First Position Day (ie, 2nd business day before 1st business day of futures contract delivery month).
Eurodollar (GE) Leg Whatever you want.
One Law: GE Leg PV01 = Treasury Leg PV01
13
Preliminaries: GE Leg PV01 = Treasury Leg PV01

Example: On 23 Aug 2013, how many GE to spread versus ZTF3 or ZTU3?
ZFU3 Treasury Futures PV01 Number of GE Futures = Treasury Futures PV01/$25 $48.97 per contract $24,485 per 500-lot 979 GE per 500 ZFU3
ZTU3 $37.82 per contract $37,820 per 1,000-lot 1,513 GE per 1,000 ZTU3
14
Preliminaries: GE Leg -- Analytical or Empirical?

Analytical TEDs Popular in the 1990s, especially among strategic users. * Use term structure of GE futures rates to construct term structure of Libor-basis discount factors. * Use Libor-basis discount factors to value Treasury security cash flows as if it were a Eurobond. * For each GE futures contract, perturb that segment of term structure of Libor-basis discount factors to find PV01. * Result: GE combination that mimics synthetic Eurobond with cash flows identical to Treasury security. Pro: Synthetic Eurobond structure can be expressed in terms of notional yield comparable to Treasury yield. Con: GE combination is rigid. Requires great care and effort to enter and exit.
Empirical TEDs Pioneered by government securities dealers and interest rate swap dealers for tactical use. TED = Forward 3-month Libor associated with an arbitrarily chosen GE contract of combination of GE contracts (stack, pack, bundle) minus Forward-starting Treasury note yield.
Pro: Agnostic, tractable, easy to trade. Con: Lacks yield that is directly comparable to Treasury yield.
15
Preliminaries: GE Leg -- Analytical or Empirical?

Example: On 23 Aug 2013, which GE, and how many, to spread v 1,000 ZTU3?
Delivery Month
Analytical Semi-Analytical Synthetic Lemon Eurobond TED
Empirical Stack
Empirical Pack
Empirical Bundle
U13 Z13 H14 M14 U14 Z14 H15 M15 Total
} }
Whites
184 219 218 217 838 676 1,513 378 378 378 378 1,512 216 215 213 31 1,513
189 189 189 189 189 189 189 189 1,512
Reds
1,513
1,513
Source: Our thanks to Bill Campbell for suggesting inclusion of the Lemon TED.
16
Analytical TEDs
17
Analytical TEDs: Example -- 23 Aug 2013 Trading Session

Construct synthetic Eurobond exposure that matches the TEDs Treasury exposure. On 22 Aug 2013
Use GE contract rates and Libor (for settlement on 26 Aug 2013) to get term structure of Libor-basis discount factors. Each rate becomes a segment in term structure of Libor-basis discount factors. For Libor or GE contract rate, ri-1, for interval from settlement date ti-1 to maturity date ti , discount factor segment di = 1 / [ 1 + ((ti - ti-1)/360) * (ri-1 / 100) ] For date tc, cumulative discount factor (for t0 = 1) is Dc = i=0c di
GE Prices
GE Rates (Pct)
Convexity Bias (Bps)
Adjusted Rates = GE Rates minus Convexity Bias
IMM Wednesdays
Discount Factors (26 Aug 2013 = 1)
3-Wk Libor U13 Z13 H14 M14 U14 Z14 H15 M15
99.730 99.680 99.610 99.525 99.410 99.270 99.090 98.860
0.172 0.27 0.32 0.39 0.47 0.59 0.73 0.91 1.14
0.1 0.3 0.5 0.8 1.1 1.5 1.9
0.172 0.270 0.319 0.387 0.470 0.582 0.719 0.895 1.121
18-Sep-13 18-Dec-13 19-Mar-14 18-Jun-14 17-Sep-14 17-Dec-14 18-Mar-15 17-Jun-15 16-Sep-15
0.999890 0.999208 0.998403 0.997427 0.996244 0.994780 0.992975 0.990734 0.987935
18

On 22 Aug 2013
Assume: Cheapest-to-deliver Treasury note into ZTU3 = 1-7/8 of 30 June 2015 Expected ZTU3 delivery date = 3 October 2013 (ie, last day of ZTU3 delivery month)
Use GE discount factors, for notional valuation on 26 Aug 2013, to interpolate discount factors for 2-year Treasury note cash flow dates, for notional forward valuation on 3 October 2013.
IMM Wednesday Dates
Discount Factors (26 Aug 2013 = 1)
Discount Factors (3 Oct 2013 = 1)
Treasury Cash Flow Dates
Log-Interpolated Discount Factors (3 Oct 2013 = 1)
18-Sep-13 18-Dec-13 19-Mar-14 18-Jun-14 17-Sep-14 17-Dec-14 18-Mar-15 17-Jun-15 16-Sep-15
0.99953 0.99860 0.99734 0.99541 0.99263 0.98860 0.98395 0.97843 0.97218
0.9994304 0.9986251 0.9976492 0.9964653 0.9950015 0.9931964 0.9909545 0.9881544
31-Dec-13 30-Jun-14 31-Dec-14 30-Jun-15
0.9993153 0.9974930 0.9947236 0.9905540
19

On 22 Aug 2013
ZTU3 Daily Settlement Price = 109-312 (= 109 and 31.25/32nds) ZTU3 delivery conversion factor for CTD issue (1-7/8 of 30 June 2015) = 0.9324 Expected clean invoice price for delivery on 3 Oct 2013 = 102 and 17.82/32nds (= 109 and 31.25/32nds x 0.9324) Apply Libor-basis discount factors to CTD Treasury note cash flows to get synthetic Eurobond price.
Dc CTD Treasury Note Discount Cash Flow Factors Dates (3 Oct 2013 = 1) fc Cash Flows Dc x fc Synthetic Eurobond Present Values (as of 3 Oct 2013) ZTU3 Invoice Price for Delivery of 1-7/8 of Jun 2015 on 3 Oct 2013 Term TED Spread (Bps)
31-Dec-13 30-Jun-14 31-Dec-14 30-Jun-15
0.9993153 0.9974930 0.9947236 0.9905540
0.9375 0.9375 0.9375 100.9375 All-In Price Clean Price Yield
0.93686 0.93515 0.93255 99.98404 102.78860 102.30457 0.544 103.04075 102.55672 0.400
14.4
Synthetic Forward Eurobond Yield for 3 Oct 2013 Forward Treasury Yield for 3 Oct 2013 Forward TED Spread for 3 Oct 2013
0.544 pct 0.400 pct 0.544 minus 0.400 = 14.4 bps
20

On 22 Aug 2013
* One by one, perturb each GE contract rate (fourth column) by 1 basis point. * Resultant change to term structure of discount factors (third column) changes synthetic Eurobond present price. * Differential from synthetic Eurobonds unperturbed price is PV01 of that GE contract. * Divide PV01 by $25 to determine how many of that GE contract to incorporate in synthetic Eurobond. Synthetic Eurobond shown below assumes Treasury leg is 1,000 ZTU3 (where each ZT contract is for delivery of $200,000 face value of contract-grade Treasury notes).
GE Delivery Month Synthetic Eurobond Discount Factors (Number of GE Contracts) (3 Oct 2013 = 1) GE Rates (Pct)
U13 Z13 H14 M14 U14 Z14 H15 M15 Total
184 219 218 217 216 215 213 31 1,513
0.9994304 0.9986251 0.9976492 0.9964653 0.9950015 0.9931964 0.9909545 0.9881544
0.270 0.319 0.387 0.470 0.582 0.719 0.895 1.121
21
Empirical TEDs
22
Empirical TEDs: Correlation Surface for ZF

Establish how various GE contracts or contract structures correlate with Treasury exposure. Then pick spots on the correlation surface that suit your purposes. Correlations of daily price changes Front ZF v GE
In the long run: 28 Aug 2003-2013 and lately: 30 May 28 Aug 2013
23
Empirical TEDs: Correlation Surface for ZT
Correlations of daily price changes Front ZT v GE

In the long run: 28 Aug 2003-2013 and lately: 30 May 28 Aug 2013
24
Empirical TEDs: Correlation Surface High Points
Let long term = 28 Aug 2003-2013. Let short term = 30 May 28 Aug 2013.
Stacks
Packs Front ZF 93.4 98.6 Green Green 93.5 98.4
Bundles
Long Term Short Term
2nd Green 4th Green
5-Year 5-Year
94.2 98.8
Front ZT Long Term Short Term 1st Red 2nd Red 88.7 93.1 Red Red 89.1 93.2 2-Year 2-Year 88.4 94.3
25
Empirical TEDs: Robustness Check

Inspect relationship between Treasury and Eurodollar legs in both long term and short term.
Moving 63-Day Correlations of Daily Price Changes, 28 Aug 2003-2013
26
Managing the Trade

Implementing Interest Rate Spreads Bid-Offer Spreads Examples Initial Margin
27
Managing the Trade: Whats the Right Framework?

Price Spreads
Not recommended. Easy to compute, messy to interpret: GE leg is a forward interest rate. Treasury leg is a forward asset price.
Interest Rate Spreads

Reasonably easy to compute, especially for tactical trading purposes. Simple to interpret: TED spread = GE contract interest rate (ie, forward-starting Libor) minus Forward-starting yield on cheapest-to-deliver (CTD) Treasury note, as implied by Treasury futures delivery invoice price
DV01-weighted TED DV01 of interest rate spread is immediately evident. 23 Aug 2013 Examples: For 500 ZFU3 v 979 GEU5, 1 bp change in spread = $24,485 For 1,000 ZTU3 v 1,513 GEU4, 1 bp change in spread = $37,820
28
Implementing Interest Rate Spreads

TED Spread = GE contract interest rate minus Forward-starting yield on CTD Treasury note as implied by Treasury futures delivery invoice price
Whats the GE contract interest rate?

100 minus GE price
What determines the Treasury yield?

Treasury futures invoice price for future delivery = (Futures price x CTD conversion factor) plus Basis Guesstimate Basis Guesstimate = CTD basis (in futures numeraire) from previous nights close Forward price of CTD issue = Spot (t+1) price minus Carry to forward settlement date (Carry = Accrued coupon interest minus repo financing cost) Forward yield of CTD issue
29
Implementing Interest Rate Spreads: Example

Calculating carry: Prices and rates on 22 Aug 2013 for regular (t+1) settlement on 23 Aug 2013 ZFU3
CTD Treasury Notes for U3 futures Accrued coupon interest, 23 Aug 3 Oct 2013 (per 100)
ZTU3 1-7/8 of 30 Jun 2015 0.208899457

(41 days/184 days) x (1-7/8) / 2
5/8 of 30 Nov 2017 0.070013661

(41 days/183 days) x (5/8) / 2
Clean price, 22 Aug 2013 for regular (t+1) settlement on 23 Aug 2013 (points and 32nds)
Accrued coupon interest from last coupon date to 23 Aug 2013 (per 100) All-in price, 22 Aug 2013 for regular (t+1) settlement on 23 Aug 2013 Treasury GC term repo, 23 Aug 3 Oct 2013 (pct/yr) Financing cost, 23 Aug 3 Oct 2013 (per 100) Carry (per 100) = Accrued coupon interest minus financing cost
Source: IHS Global Insight, CME Group, CME Group calculations
96-19 = 96.6093750
0.143442623
(84 days/183 days) x (5/8) / 2
102-24 = 102.7578125
0.275135870
(54 days/184 days) x (1-7/8) / 2
96.752817623 0.075 (7.5 bps) 0.008264303

= 96.752817623 x (41 days/360 days) x (0.075/100)
103.032948370 0.075 (7.5 bps) 0.008800731

= 103.032948370 x (41 days/360 days) x (0.075/100)
0.061749358 = approx 2/32nds
0.200098726 = approx 6.4/32nds
30
Implementing Interest Rate Spreads: Example

Treasury Leg Setup for 23 August 2013 ZFU3
CTD Treasury Notes for U3 futures Price on 22 Aug, for regular (t+1) settlement on 23 Aug (points-32nds) Carry from 23 Aug to 3 Oct futures delivery (points-32nds) Forward price = Price minus Carry (points-32nds) Forward yield for forward settlement on 3 Oct 2013 Conversion factor for Sep 2013 futures delivery Futures-equivalent forward price (points-32nds) = Forward price / Futures delivery conversion factor Futures daily settlement price, 22 Aug (Points-32nds) Futures-equivalent net basis, 22 Aug = Basis excluding carry (32nds)
Source: IHS Global Insight, CME Group, CME Group calculations
ZTU3 1-7/8 of 30 Jun 2015 102-24
5/8 of 30 Nov 2017 96-19
2 / 32nds
96-17
6.4 / 32nds
102-17.85 0.400 pct 0.9324 109-31 109-31 0
1.484 pct
0.8044 120-0 120-0
31
Bid-Offer Spreads
Source: CME Group, CME Group calculations
32
Bid-Offer Spreads
Source: CME Group, CME Group calculations
33
Example: 500 ZFU3 v 979 GEU5 on 23 Aug 2013
Source: CME Group
34
Example: 1,000 ZTU3 v 1,513 GEU4 on 23 Aug 2013
Source: CME Group
35
Initial Margins and Margin Offsets

500 ZFU3 v 979 GEU5
ZF Initial Margin = $990 1st Green GE Initial Margin = $600 Position Initial Margin w/out Margin Offsets 70% Margin Offset: (1 x ZF) v (2 x 1st Green GE) Position = 490 MO Units + 10 1st Green GE Initial Margin with Margin Offsets $327,930 = (490 x $657) + (10 x $600) $495,000 = 500 x $990 $587,400 = 979 x $600 $1,082,400 $657 = 0.30 x ( 1 x $990 + 2 x $600 )
1,000 ZTU3 v 1,513 GEU4

ZT Initial Margin = $275 1st Red GE Initial Margin = $451 Position Initial Margin w/out Margin Offsets 50% Margin Offset: (2 x ZT) v (3 x 1st Red GE) Position = 500 MO Units + 13 1st Green GE Initial Margin with Margin Offsets $481,613 = (500 x $951.50) + (13 x $451) $951.50 $275,000 = 1,000 x $275 $682,363 = 1,513 x $451 $957,363 = 0.50 x ( 2 x $275 + 3 x $451 )
Source: Examples are hypothetical, and are based on CME Clearing performance bond and cross-margin settings as of 25 September 2013.
36
Resources
37
Resources
Bloomberg LP Cheapest-to-Deliver Function -- (BBG Futures Contract Code) <COMDTY> DLV <GO> Burghardt, Galen The Eurodollar Futures and Options Handbook, McGraw-Hill, 2003 Burghardt, Galen, et al The Treasury Bond Basis, 3rd Edition, McGraw-Hill, 2005 CME Clearing Margins -- http://www.cmegroup.com/clearing/margins/#e=all&a=all&p=all CME Group Eurodollar Futures: The Basics http://www.cmegroup.com/trading/interest-rates/files/eurodollar-futures-the-basics.pdf CME Group Globex Trade Match Algorithms http://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Product+Reference+Sheet http://www.cmegroup.com/confluence/display/EPICSANDBOX/Matching+Algorithms CQG Integrated Client http://www.cqg.com/Products/CQG-Integrated-Client.aspx http://www.cqg.com/Electronic-Trading/Features/Spread-Trading-in-CQG.aspx Trading Technologies Autospreader https://www.tradingtechnologies.com/en/products/trading-analytics/xtrader/autospreader/ US Department of the Treasury 31 CFR Part 356, Sale and Issue of Marketable Book-Entry Treasury Bills, Notes, and Bonds, Appendix B http://www.law.cornell.edu/cfr/text/31/356
38
Done, with gratitude
39
Disclaimer
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contracts value is required to trade, it is possible to lose more than the amount of money deposited for a f utures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. Swaps trading is not suitable for all investors, involves the risk of loss and should only be undertaken by investors who are ECPs within the meaning of section 1(a)12 of the Commodity Exchange Act. Swaps are a leveraged investment, and because only a percentage of a contracts value is required to trade, it is possible to lose more than the amount of money deposited for a swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. Any research views expressed are those of the individual author and do not necessarily represent the views of the CME Group or its affiliates. CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official Exchange rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2013 CME Group. All rights reserved.
40

Us Ted Spread

Caricato da

Informazioni sul documento

Titolo originale

Copyright

Formati disponibili

Condividi questo documento

Condividi o incorpora il documento

Opzioni di condivisione

Hai trovato utile questo documento?

Questo contenuto è inappropriato?

Copyright:

Formati disponibili

Us Ted Spread

Caricato da

Copyright:

Formati disponibili

Trading the TED Spread

Structuring the Trade Preliminaries Analytical TEDs Empirical TEDs

2013 CME Group. All rights reserved.

Trading the TED Spread: Whats the draw?

It rewards attention to detail.

Its going to be around for a while.

2013 CME Group. All rights reserved.

Trading the TED Spread

2013 CME Group. All rights reserved.

What Makes TEDs Move

2013 CME Group. All rights reserved.

Volatility in the Large

Source: IHS Global Insight

2013 CME Group. All rights reserved.

Volatility in the Large

Source: IHS Global Insight, CME Group calculations

2013 CME Group. All rights reserved.

Volatility in the Large

2013 CME Group. All rights reserved.

Volatility in the Small: Example -- Front ZF v 1st Green GE

Source: CME Group

2013 CME Group. All rights reserved.

Volatility in the Small: Example -- Front ZF v 1st Green GE

Source: CME Group

2013 CME Group. All rights reserved.

Volatility in the Small: Example -- Front ZF v 1st Green GE

Source: CME Group

2013 CME Group. All rights reserved.

Structuring the Trade

2013 CME Group. All rights reserved.

Preliminaries: Futures v Futures TEDs

Eurodollar (GE) Leg Whatever you want.

One Law: GE Leg PV01 = Treasury Leg PV01

2013 CME Group. All rights reserved.

Preliminaries: GE Leg PV01 = Treasury Leg PV01

2013 CME Group. All rights reserved.

Preliminaries: GE Leg -- Analytical or Empirical?

2013 CME Group. All rights reserved.

Preliminaries: GE Leg -- Analytical or Empirical?

Analytical Semi-Analytical Synthetic Lemon Eurobond TED

U13 Z13 H14 M14 U14 Z14 H15 M15 Total

189 189 189 189 189 189 189 189 1,512

2013 CME Group. All rights reserved.

2013 CME Group. All rights reserved.

Analytical TEDs: Example -- 23 Aug 2013 Trading Session

Convexity Bias (Bps)

Adjusted Rates = GE Rates minus Convexity Bias

Discount Factors (26 Aug 2013 = 1)

99.730 99.680 99.610 99.525 99.410 99.270 99.090 98.860

0.172 0.27 0.32 0.39 0.47 0.59 0.73 0.91 1.14

0.1 0.3 0.5 0.8 1.1 1.5 1.9

0.172 0.270 0.319 0.387 0.470 0.582 0.719 0.895 1.121

18-Sep-13 18-Dec-13 19-Mar-14 18-Jun-14 17-Sep-14 17-Dec-14 18-Mar-15 17-Jun-15 16-Sep-15

0.999890 0.999208 0.998403 0.997427 0.996244 0.994780 0.992975 0.990734 0.987935

2013 CME Group. All rights reserved.

Analytical TEDs: Example -- 23 Aug 2013 Trading Session

IMM Wednesday Dates

Discount Factors (26 Aug 2013 = 1)

Discount Factors (3 Oct 2013 = 1)

Treasury Cash Flow Dates

Log-Interpolated Discount Factors (3 Oct 2013 = 1)

18-Sep-13 18-Dec-13 19-Mar-14 18-Jun-14 17-Sep-14 17-Dec-14 18-Mar-15 17-Jun-15 16-Sep-15

0.99953 0.99860 0.99734 0.99541 0.99263 0.98860 0.98395 0.97843 0.97218