We investigate the statistical properties of drawdowns and drawups in interest rates (US$) using over 10 years' worth of daily data. We analyse the nature of the drawdowns in terms of length of runs, magnitude of the individual price moves and coincidence of their occurrence across the maturity spectrum. We document significant positive autocorrelation for several holding periods, pronounced term structure effects and an unexpectedly low degree of coincidence in the occurrence of drawdowns across the maturity spectrum (despite high correlation in daily moves). By drawing on previous work by Rebonato et al. (2005) we try to provide a coherent explanation for a complex set of empirical observations. An essential ingredient of this explanation appears to be the existence of at least two distinct types (normal and excited) of price dynamics, with different serial correlation properties. We concur with the results by Sornette and Johansen (Significance of log-periodic precursors to financial crashes. Quant. Finance, 2001, 1, 452-471) for different asset classes that very large drawdowns belong to the 'undemocratic' case, and may therefore result from an amplification mechanism.