|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:29 EST 2020
| Setup Time => Mon Jan 27 00:35:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
accrued => 1.913333333333335E-6
accrued01 => 3.4166666666666666E-5
assetswapspread => 0.021030922862039666
asw => 0.021030922862039666
bondbasis => 0.01902307786763973
cleancouponpv => 1.0853240203640535
cleandv01 => 0.001972241857792952
cleanindexcouponpv => NaN
cleanprice => 1.5911207675886843
cleanpv => 1.5911207675886843
convexity => 2.910625320456354E-6
creditbasis => -31.648800403238486
creditrisklessparpv => 0.5057967472246307
creditrisklessprincipalpv => 0.0
creditriskyparpv => NaN
creditriskyprincipalpv => 0.0
defaultexposure => NaN
defaultexposurenorec => NaN
dirtycouponpv => 1.0853221070307202
dirtydv01 => 0.0019380751911262854
dirtyindexcouponpv => 1.0853221070307197
dirtyprice => 1.591118854255351
dirtypv => 1.591118854255351
discountmargin => 0.03866828670913873
duration => 0.001425805469905133
dv01 => 0.001972241857792952
expectedrecovery => 0.0
fairaccrued => 1.913333333333335E-6
fairaccrued01 => 3.4166666666666666E-5
fairassetswapspread => -4.603101505137111E-4
fairasw => -4.603101505137111E-4
fairbondbasis => -7.485585431823739E-4
faircleancouponpv => 1.0853240203640535
faircleandv01 => 0.001972241857792952
faircleanindexcouponpv => NaN
faircleanprice => 1.5911207675886843
faircleanpv => 1.5911207675886843
fairconvexity => 3.4311340227565648E-6
faircreditbasis => -215.9879333478276
faircreditrisklessparpv => 0.5057967472246307
faircreditrisklessprincipalpv => 0.0
faircreditriskyparpv => NaN
faircreditriskyprincipalpv => 0.0
fairdefaultexposure => NaN
fairdefaultexposurenorec => NaN
fairdirtycouponpv => 1.0853221070307202
fairdirtydv01 => 0.0019380751911262854
fairdirtyindexcouponpv => 1.0853221070307197
fairdirtyprice => 1.591118854255351
fairdirtypv => 1.591118854255351
fairdiscountmargin => 0.018896650298316626
fairduration => 0.0015985523412141694
fairdv01 => 0.001972241857792952
fairexpectedrecovery => 0.0
fairfirstcouponrate => 0.05600000000000005
fairfirstindexrate => NaN
fairgspread => -0.00337763555318046
fairispread => -0.001218993040344677
fairlossoninstantaneousdefault => NaN
fairmacaulayduration => 16.200628394173094
fairmodifiedduration => 0.0015985523412141694
fairoas => -0.003377635563176938
fairoaspread => -0.003377635563176938
fairoptionadjustedspread => -0.003377635563176938
fairparpv => 0.5057967472246307
fairparspread => 560.0000000000002
fairpecs => NaN
fairprice => 1.5911207675886843
fairprincipalpv => 0.0
fairpv => 1.5911207675886843
fairrecoverypv => 0.0
fairrisklesscleancouponpv => 1.0853240203640535
fairrisklesscleandv01 => 0.001972241857792952
fairrisklesscleanindexcouponpv => NaN
fairrisklesscleanpv => 1.5911207675886843
fairrisklessdirtycouponpv => 1.0853221070307202
fairrisklessdirtydv01 => 0.0019380751911262854
fairrisklessdirtyindexcouponpv => 1.0853221070307197
fairrisklessdirtypv => 1.591118854255351
fairtsyspread => -0.004978756703077791
fairworkoutdate => 2466716.0
fairworkoutfactor => 1.0
fairworkouttype => 3.0
fairworkoutyield => 0.02474124329692221
fairyield => 0.02474124329692221
fairyield01 => 0.002574075487241423
fairyieldbasis => -7.485585431823739E-4
fairyieldspread => -7.485585431823739E-4
fairzspread => -7.604269425390541E-4
firstcouponrate => 0.05600000000000005
firstindexrate => NaN
gspread => 0.016394000857641644
ispread => 0.018552643370477427
lossoninstantaneousdefault => NaN
macaulayduration => 14.590253800709611
marketassetswapspread => 0.021030922862039666
marketasw => 0.021030922862039666
marketbondbasis => 0.01902307786763973
marketconvexity => 2.910625320456354E-6
marketcreditbasis => -31.648800403238486
marketdiscountmargin => 0.03866828670913873
marketduration => 0.001425805469905133
marketgspread => 0.016394000857641644
marketinputtype=cleanprice => 1.1746
marketispread => 0.018552643370477427
marketmacaulayduration => 14.590253800709611
marketmodifiedduration => 0.001425805469905133
marketoas => 0.01639400058920131
marketoaspread => 0.01639400058920131
marketoptionadjustedspread => 0.01639400058920131
marketparspread => 339.10813229043316
marketpecs => NaN
marketprice => 1.1746000000458128
markettsyspread => 0.014792879707744313
marketworkoutdate => 2466716.0
marketworkoutfactor => 1.0
marketworkouttype => 3.0
marketworkoutyield => 0.04451287970774431
marketyield => 0.04451287970774431
marketyield01 => 0.0017020315620523974
marketyieldbasis => 0.01902307786763973
marketyieldspread => 0.01902307786763973
marketzspread => 0.019357478704560508
modifiedduration => 0.001425805469905133
oas => 0.01639400058920131
oaspread => 0.01639400058920131
optionadjustedspread => 0.01639400058920131
parpv => 0.5057967472246307
parspread => 339.10813229043316
pecs => NaN
price => 1.1746000000458128
principalpv => 0.0
pv => 1.5911207675886843
recoverypv => 0.0
risklesscleancouponpv => 1.0853240203640535
risklesscleandv01 => 0.001972241857792952
risklesscleanindexcouponpv => NaN
risklesscleanpv => 1.5911207675886843
risklessdirtycouponpv => 1.0853221070307202
risklessdirtydv01 => 0.0019380751911262854
risklessdirtyindexcouponpv => 1.0853221070307197
risklessdirtypv => 1.591118854255351
tsyspread => 0.014792879707744313
workoutdate => 2466716.0
workoutfactor => 1.0
workouttype => 3.0
workoutyield => 0.04451287970774431
yield => 0.04451287970774431
yield01 => 0.0017020315620523974
yieldbasis => 0.01902307786763973
yieldspread => 0.01902307786763973
zspread => 0.019357478704560508
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:29 EST 2020
| Setup Time => Mon Jan 27 00:35:29 EST 2020
| Finish Time => Mon Jan 27 00:37:30 EST 2020
| Setup Duration => 1 ms
| Run Duration => 2 m 1 s 247 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:37:30 EST 2020
| Setup Time => Mon Jan 27 00:37:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------------------------------------------------------------||
| ISSUE | tsy::18-nov-2016 | tsy::18-nov-2017 | tsy::18-nov-2018 | tsy::18-nov-2020 | tsy::18-nov-2022 | tsy::18-nov-2025 | tsy::18-nov-2045 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
| AEG 6.0000 15-JAN-2018 | -0.00000 | 1.71798 | 0.32460 | -0.00000 | -0.00000 | -0.00000 | -0.00000 ||
| AEG 7.7500 15-JUL-2025 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | 0.82311 | 6.33449 | -0.00000 ||
| AEG 7.6250 15-OCT-2026 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | 7.48217 | 0.35528 ||
| AEG 4.1250 15-DEC-2026 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | 8.36195 | 0.47439 ||
| AEG 8.0000 29-APR-2027 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | 7.46574 | 0.58073 ||
| AEG 4.2500 01-OCT-2027 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | 8.41846 | 0.86728 ||
| AEG 6.4000 15-MAY-2038 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | -0.00000 | 4.92525 | 8.18477 ||
| AEG 5.6000 15-JUL-2041 | -0.00004 | -0.00004 | -0.00004 | -0.00004 | -0.00004 | 3.15047 | 11.34478 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:37:30 EST 2020
| Setup Time => Mon Jan 27 00:37:30 EST 2020
| Finish Time => Mon Jan 27 00:37:30 EST 2020
| Setup Duration => 1 ms
| Run Duration => 288 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:37:30 EST 2020
| Setup Time => Mon Jan 27 00:37:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------------||
| ||
| Issuer Bond Relative Value Metrics ||
| ------ ---- -------- ----- ------- ||
| ||
| L -> R ||
| Bond Issue Name ||
| Asset Swap Spread ||
| Bond Basis ||
| Credit Basis ||
| Discount Margin ||
| G Spread ||
| I Spread ||
| Option Adjusted Spread ||
| Par Equivalent CDS Spread (PECS) ||
| Treasury Spread ||
| Yield Spread ||
| Z Spread ||
| ||
|------------------------------------------------------------------------------------------------------||
| AEG 6.0000 15-JAN-2018 | 146 | 086 | -006 | 000 | 095 | 085 | 095 | ? | 100 | 086 | 086 ||
| AEG 7.7500 15-JUL-2025 | 266 | 223 | 023 | 000 | 209 | 216 | 209 | ? | 207 | 223 | 225 ||
| AEG 7.6250 15-OCT-2026 | 265 | 229 | 023 | 000 | 217 | 222 | 217 | ? | 221 | 229 | 231 ||
| AEG 4.1250 15-DEC-2026 | 177 | 178 | -015 | 000 | 171 | 175 | 171 | ? | 175 | 178 | 179 ||
| AEG 8.0000 29-APR-2027 | 268 | 228 | 018 | 000 | 216 | 220 | 216 | ? | 222 | 228 | 229 ||
| AEG 4.2500 01-OCT-2027 | 176 | 176 | -020 | 000 | 170 | 173 | 170 | ? | 177 | 176 | 177 ||
| AEG 6.4000 15-MAY-2038 | 222 | 193 | -032 | 000 | 175 | 186 | 175 | ? | 148 | 193 | 196 ||
| AEG 5.6000 15-JUL-2041 | 210 | 190 | -032 | 000 | 164 | 186 | 164 | ? | 148 | 190 | 194 ||
|------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:37:30 EST 2020
| Setup Time => Mon Jan 27 00:37:30 EST 2020
| Finish Time => Mon Jan 27 00:44:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 7 m 17 s 977 ms
|-----------------------------------------------------------------|