[loeg]

I believe I read that the average maturity of their holdings are ~6 years out of the full ten. It looks like T-notes with similar maturity are yielding around 3.9-4.0%.

> Right now there are 10 year bonds at 4% that will pay 148$ at maturity.

How are you calculating that? My impression is:

> Notes and bonds are issued to pay a fixed rate of interest called the coupon rate. A $10,000 treasury note with a seven percent coupon rate pays an investor $700 per year interest in two semi-annual payments of $350 each. The interest from notes and bonds paid out to investors is simple and does not compound

Over a 10-year duration, I think that 4% bond would pay $140 on $100. 6-year to maturity notes at 3.9% would pay, I believe, $123 on $100 today; and at 1.56%, $109.

I think you'd value the 1.56% notes by something like the ratio of the two values at maturity? About 89% of what you'd pay for a 3.9% note. ($100 / 0.886 => $112.87; $112.87 * 1.0936 => about $123.)

(I don't work in this sector and I might be mathing it wrong.)