|-----------------------------------------------------------------|
| 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 00:36:21 EST 2020
| Setup Time => Mon Jan 27 00:36:21 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Agra
Effective Date => 12-JAN-2016
Maturity Date => 12-JAN-2026
Exercise Date => 12-JAN-2026
Price => 98.80286
Bond Accrued => 0.5285
Bond YTW => 3.176%
Bond YTM => 3.176%
Bond WAL TW => 7.960
Bond WAL TM => 7.960
Bond Modified Duration TW => 7.6534
Bond Z Spread TW => 66.8
Bond OAS TW => 77.7
|-----------------------------------------------------------------|
| 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 00:36:21 EST 2020
| Setup Time => Mon Jan 27 00:36:21 EST 2020
| Finish Time => Mon Jan 27 00:36:21 EST 2020
| Setup Duration => 0 ms
| Run Duration => 170 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 00:36:21 EST 2020
| Setup Time => Mon Jan 27 00:36:21 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Aksu
Effective Date => 16-DEC-2010
Maturity Date => 15-MAR-2031
Exercise Date => 15-MAR-2021
Price => 115.50000
Bond Accrued => 3.5085
Bond YTW => 2.898%
Bond YTM => 5.424%
Bond WAL TW => 3.628
Bond WAL TM => 10.664
Bond Modified Duration TW => 3.4496
Bond Z Spread TW => 82.0
Bond OAS TW => 118.5
|-----------------------------------------------------------------|
| 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 00:36:21 EST 2020
| Setup Time => Mon Jan 27 00:36:21 EST 2020
| Finish Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 0 ms
| Run Duration => 237 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Allahabad
Effective Date => 28-DEC-2015
Maturity Date => 28-DEC-2035
Exercise Date => 28-DEC-2035
Price => 98.63401
Bond Accrued => 0.7850
Bond YTW => 3.772%
Bond YTM => 3.772%
Bond WAL TW => 15.064
Bond WAL TM => 15.064
Bond Modified Duration TW => 13.3394
Bond Z Spread TW => 101.6
Bond OAS TW => 101.0
|-----------------------------------------------------------------|
| 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Finish Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 1 ms
| Run Duration => 223 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Altay
Effective Date => 16-MAY-2016
Maturity Date => 16-MAY-2036
Exercise Date => 16-MAY-2036
Price => 91.81512
Bond Accrued => 0.9917
Bond YTW => 3.594%
Bond YTM => 3.594%
Bond WAL TW => 15.770
Bond WAL TM => 15.770
Bond Modified Duration TW => 14.0789
Bond Z Spread TW => 82.4
Bond OAS TW => 82.0
|-----------------------------------------------------------------|
| 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Finish Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 1 ms
| Run Duration => 214 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => 299620EW0
Effective Date => 15-DEC-2010
Maturity Date => 15-JAN-2030
Exercise Date => 15-JUL-2020
Price => 112.38020
Bond Accrued => 1.0833
Bond YTW => 2.612%
Bond YTM => 5.168%
Bond WAL TW => 3.091
Bond WAL TM => 10.037
Bond Modified Duration TW => 3.0153
Bond Z Spread TW => 63.3
Bond OAS TW => 104.5
|-----------------------------------------------------------------|
| 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Finish Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 1 ms
| Run Duration => 206 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Anqing
Effective Date => 16-AUG-2011
Maturity Date => 01-SEP-2036
Exercise Date => 01-SEP-2021
Price => 33.36090
Bond Accrued => 0.0000
Bond YTW => 1.703%
Bond YTM => 5.717%
Bond WAL TW => 4.475
Bond WAL TM => 19.475
Bond Modified Duration TW => 4.4361
Bond Z Spread TW => -47.7
Bond OAS TW => -11.3
|-----------------------------------------------------------------|
| 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Finish Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 0 ms
| Run Duration => 227 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Anshan
Effective Date => 01-APR-2016
Maturity Date => 15-APR-2024
Exercise Date => 15-APR-2021
Price => 105.15680
Bond Accrued => 2.5000
Bond YTW => 4.603%
Bond YTM => 5.123%
Bond WAL TW => 3.741
Bond WAL TM => 6.111
Bond Modified Duration TW => 3.5405
Bond Z Spread TW => 250.9
Bond OAS TW => 287.1
|-----------------------------------------------------------------|
| 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 00:36:22 EST 2020
| Setup Time => Mon Jan 27 00:36:22 EST 2020
| Finish Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 0 ms
| Run Duration => 170 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Anyang
Effective Date => 03-APR-2014
Maturity Date => 01-APR-2024
Exercise Date => 01-JAN-2024
Price => 100.68900
Bond Accrued => 1.9361
Bond YTW => 4.005%
Bond YTM => 4.136%
Bond WAL TW => 6.099
Bond WAL TM => 6.301
Bond Modified Duration TW => 5.9392
Bond Z Spread TW => 176.2
Bond OAS TW => 189.4
|-----------------------------------------------------------------|
| 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Finish Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 1 ms
| Run Duration => 168 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Aurangabad
Effective Date => 01-NOV-2010
Maturity Date => 15-AUG-2039
Exercise Date => 15-AUG-2020
Price => 112.56840
Bond Accrued => 0.5583
Bond YTW => 2.829%
Bond YTM => 5.700%
Bond WAL TW => 3.156
Bond WAL TM => 15.846
Bond Modified Duration TW => 3.0859
Bond Z Spread TW => 83.5
Bond OAS TW => 124.4
|-----------------------------------------------------------------|
| 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Finish Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 0 ms
| Run Duration => 272 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Baoding
Effective Date => 17-MAR-2014
Maturity Date => 01-FEB-2021
Exercise Date => 01-NOV-2020
Price => 107.50000
Bond Accrued => 0.6875
Bond YTW => 3.216%
Bond YTM => 3.544%
Bond WAL TW => 3.372
Bond WAL TM => 3.586
Bond Modified Duration TW => 3.4863
Bond Z Spread TW => 138.1
Bond OAS TW => 178.2
|-----------------------------------------------------------------|
| 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Finish Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 0 ms
| Run Duration => 152 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Baoji
Effective Date => 23-DEC-2013
Maturity Date => 01-JAN-2049
Exercise Date => 01-JAN-2029
Price => 13.87620
Bond Accrued => 0.0000
Bond YTW => 4.718%
Bond YTM => 6.306%
Bond WAL TW => 11.808
Bond WAL TM => 31.808
Bond Modified Duration TW => 11.5289
Bond Z Spread TW => 203.5
Bond OAS TW => 218.0
|-----------------------------------------------------------------|
| 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 00:36:23 EST 2020
| Setup Time => Mon Jan 27 00:36:23 EST 2020
| Finish Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 1 ms
| Run Duration => 335 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Baotou
Effective Date => 17-NOV-2015
Maturity Date => 01-DEC-2025
Exercise Date => 01-SEP-2025
Price => 111.16030
Bond Accrued => 1.7189
Bond YTW => 4.261%
Bond YTM => 4.395%
Bond WAL TW => 7.136
Bond WAL TM => 7.318
Bond Modified Duration TW => 6.7849
Bond Z Spread TW => 190.0
Bond OAS TW => 198.5
|-----------------------------------------------------------------|
| 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Finish Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 170 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Bazhong
Effective Date => 17-NOV-2015
Maturity Date => 17-NOV-2025
Exercise Date => 01-DEC-2020
Price => 112.97115
Bond Accrued => 2.1879
Bond YTW => 2.678%
Bond YTM => 4.828%
Bond WAL TW => 3.402
Bond WAL TM => 7.183
Bond Modified Duration TW => 3.6328
Bond Z Spread TW => 92.8
Bond OAS TW => 131.9
|-----------------------------------------------------------------|
| 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Finish Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 194 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Beihai
Effective Date => 27-MAY-2015
Maturity Date => 15-AUG-2035
Exercise Date => 15-FEB-2035
Price => 101.26200
Bond Accrued => 0.3667
Bond YTW => 4.298%
Bond YTM => 4.300%
Bond WAL TW => 14.087
Bond WAL TM => 14.416
Bond Modified Duration TW => 12.3105
Bond Z Spread TW => 156.4
Bond OAS TW => 156.4
|-----------------------------------------------------------------|
| 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Finish Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 0 ms
| Run Duration => 217 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Beijing
Effective Date => 01-DEC-2010
Maturity Date => 01-SEP-2040
Exercise Date => 01-SEP-2020
Price => 105.02185
Bond Accrued => 0.2819
Bond YTW => 5.638%
Bond YTM => 6.818%
Bond WAL TW => 3.175
Bond WAL TM => 16.239
Bond Modified Duration TW => 3.0517
Bond Z Spread TW => 363.8
Bond OAS TW => 404.2
|-----------------------------------------------------------------|
| 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 00:36:24 EST 2020
| Setup Time => Mon Jan 27 00:36:24 EST 2020
| Finish Time => Mon Jan 27 00:36:25 EST 2020
| Setup Duration => 1 ms
| Run Duration => 336 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 00:36:25 EST 2020
| Setup Time => Mon Jan 27 00:36:25 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Bengbu
Effective Date => 01-DEC-2010
Maturity Date => 01-NOV-2030
Exercise Date => 01-NOV-2020
Price => 116.22300
Bond Accrued => 2.8661
Bond YTW => 2.966%
Bond YTM => 5.946%
Bond WAL TW => 3.296
Bond WAL TM => 10.275
Bond Modified Duration TW => 3.1561
Bond Z Spread TW => 94.0
Bond OAS TW => 133.3
|-----------------------------------------------------------------|
| 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 00:36:25 EST 2020
| Setup Time => Mon Jan 27 00:36:25 EST 2020
| Finish Time => Mon Jan 27 00:36:25 EST 2020
| Setup Duration => 1 ms
| Run Duration => 216 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 00:36:25 EST 2020
| Setup Time => Mon Jan 27 00:36:25 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Benxi
Effective Date => 19-DEC-2013
Maturity Date => 10-JAN-2036
Exercise Date => 10-JUL-2035
Price => 105.12650
Bond Accrued => 0.0653
Bond YTW => 4.299%
Bond YTM => 4.306%
Bond WAL TW => 14.108
Bond WAL TM => 14.429
Bond Modified Duration TW => 12.3852
Bond Z Spread TW => 158.1
Bond OAS TW => 155.3
|-----------------------------------------------------------------|
| 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 00:36:25 EST 2020
| Setup Time => Mon Jan 27 00:36:25 EST 2020
| Finish Time => Mon Jan 27 00:36:25 EST 2020
| Setup Duration => 0 ms
| Run Duration => 679 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 00:36:25 EST 2020
| Setup Time => Mon Jan 27 00:36:25 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Bhopal
Effective Date => 28-OCT-2010
Maturity Date => 01-MAY-2040
Exercise Date => 01-MAY-2020
Price => 104.96000
Bond Accrued => 2.5479
Bond YTW => 5.113%
Bond YTM => 6.429%
Bond WAL TW => 2.906
Bond WAL TM => 16.201
Bond Modified Duration TW => 2.7521
Bond Z Spread TW => 317.2
Bond OAS TW => 359.2
|-----------------------------------------------------------------|
| 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 00:36:25 EST 2020
| Setup Time => Mon Jan 27 00:36:25 EST 2020
| Finish Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 1 ms
| Run Duration => 278 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Binzhou
Effective Date => 16-AUG-2011
Maturity Date => 01-SEP-2031
Exercise Date => 01-SEP-2021
Price => 48.42190
Bond Accrued => 0.0000
Bond YTW => 1.746%
Bond YTM => 5.073%
Bond WAL TW => 4.475
Bond WAL TM => 14.475
Bond Modified Duration TW => 4.4352
Bond Z Spread TW => -43.4
Bond OAS TW => -6.9
|-----------------------------------------------------------------|
| 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Finish Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 201 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Bozhou
Effective Date => 17-SEP-2009
Maturity Date => 01-AUG-2034
Exercise Date => 01-AUG-2019
Price => 110.35500
Bond Accrued => 0.8791
Bond YTW => 2.692%
Bond YTM => 6.210%
Bond WAL TW => 2.252
Bond WAL TM => 12.697
Bond Modified Duration TW => 2.2037
Bond Z Spread TW => 91.2
Bond OAS TW => 136.5
|-----------------------------------------------------------------|
| 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Finish Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 1 ms
| Run Duration => 230 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Canhzhou
Effective Date => 04-SEP-2009
Maturity Date => 01-JUL-2042
Exercise Date => 01-JUL-2019
Price => 110.10000
Bond Accrued => 1.4144
Bond YTW => 2.358%
Bond YTM => 6.092%
Bond WAL TW => 2.183
Bond WAL TM => 17.428
Bond Modified Duration TW => 2.1314
Bond Z Spread TW => 59.8
Bond OAS TW => 105.4
|-----------------------------------------------------------------|
| 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Finish Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 1 ms
| Run Duration => 265 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Chandigarh
Effective Date => 22-FEB-2016
Maturity Date => 22-FEB-2036
Exercise Date => 22-FEB-2036
Price => 96.71887
Bond Accrued => 0.2198
Bond YTW => 3.682%
Bond YTM => 3.682%
Bond WAL TW => 15.309
Bond WAL TM => 15.309
Bond Modified Duration TW => 13.6923
Bond Z Spread TW => 92.0
Bond OAS TW => 91.5
|-----------------------------------------------------------------|
| 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 00:36:26 EST 2020
| Setup Time => Mon Jan 27 00:36:26 EST 2020
| Finish Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
| Run Duration => 215 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Changchun
Effective Date => 14-MAR-2014
Maturity Date => 01-APR-2024
Exercise Date => 01-JAN-2024
Price => 102.98400
Bond Accrued => 2.0956
Bond YTW => 3.968%
Bond YTM => 4.108%
Bond WAL TW => 6.055
Bond WAL TM => 6.254
Bond Modified Duration TW => 5.8836
Bond Z Spread TW => 172.5
Bond OAS TW => 185.4
|-----------------------------------------------------------------|
| 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Finish Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
| Run Duration => 211 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Changde
Effective Date => 12-SEP-2014
Maturity Date => 15-OCT-2024
Exercise Date => 15-JUL-2024
Price => 101.38900
Bond Accrued => 1.8125
Bond YTW => 4.012%
Bond YTM => 4.135%
Bond WAL TW => 6.516
Bond WAL TM => 6.715
Bond Modified Duration TW => 6.3163
Bond Z Spread TW => 172.3
Bond OAS TW => 183.3
|-----------------------------------------------------------------|
| 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Finish Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 0 ms
| Run Duration => 200 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Changsha
Effective Date => 15-NOV-2013
Maturity Date => 15-NOV-2023
Exercise Date => 15-AUG-2023
Price => 103.69900
Bond Accrued => 1.5000
Bond YTW => 3.719%
Bond YTM => 3.866%
Bond WAL TW => 5.763
Bond WAL TM => 5.965
Bond Modified Duration TW => 5.6731
Bond Z Spread TW => 150.5
Bond OAS TW => 167.0
|-----------------------------------------------------------------|
| 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Finish Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
| Run Duration => 186 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Changshu
Effective Date => 26-JUN-2015
Maturity Date => 15-JUL-2022
Exercise Date => 15-JUN-2022
Price => 103.15700
Bond Accrued => 0.9167
Bond YTW => 4.747%
Bond YTM => 4.822%
Bond WAL TW => 4.727
Bond WAL TM => 4.795
Bond Modified Duration TW => 4.5696
Bond Z Spread TW => 258.1
Bond OAS TW => 283.7
|-----------------------------------------------------------------|
| 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Finish Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
| Run Duration => 174 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Changzhou
Effective Date => 08-DEC-2010
Maturity Date => 01-JUL-2025
Exercise Date => 01-JUL-2020
Price => 108.41235
Bond Accrued => 1.2541
Bond YTW => 3.390%
Bond YTM => 4.857%
Bond WAL TW => 3.071
Bond WAL TM => 6.994
Bond Modified Duration TW => 2.9760
Bond Z Spread TW => 141.5
Bond OAS TW => 183.1
|-----------------------------------------------------------------|
| 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 00:36:27 EST 2020
| Setup Time => Mon Jan 27 00:36:27 EST 2020
| Finish Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 1 ms
| Run Duration => 162 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Chaozhou
Effective Date => 12-JUL-2016
Maturity Date => 12-JUL-2027
Exercise Date => 12-JUL-2027
Price => 94.23200
Bond Accrued => 0.4375
Bond YTW => 3.158%
Bond YTM => 3.158%
Bond WAL TW => 9.328
Bond WAL TM => 9.328
Bond Modified Duration TW => 8.9468
Bond Z Spread TW => 57.4
Bond OAS TW => 66.7
|-----------------------------------------------------------------|
| 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Finish Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 1 ms
| Run Duration => 195 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Chengdu
Effective Date => 09-DEC-2009
Maturity Date => 15-FEB-2029
Exercise Date => 15-FEB-2020
Price => 109.83420
Bond Accrued => 0.5374
Bond YTW => 2.922%
Bond YTM => 5.324%
Bond WAL TW => 2.737
Bond WAL TM => 9.445
Bond Modified Duration TW => 2.6785
Bond Z Spread TW => 101.8
Bond OAS TW => 145.0
|-----------------------------------------------------------------|
| 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Finish Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 0 ms
| Run Duration => 182 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Chifeng
Effective Date => 16-DEC-2010
Maturity Date => 01-APR-2041
Exercise Date => 01-APR-2020
Price => 113.40000
Bond Accrued => 3.7114
Bond YTW => 3.488%
Bond YTM => 6.988%
Bond WAL TW => 2.802
Bond WAL TM => 16.258
Bond Modified Duration TW => 2.6569
Bond Z Spread TW => 156.5
Bond OAS TW => 198.5
|-----------------------------------------------------------------|
| 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Finish Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 1 ms
| Run Duration => 331 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Chongqing
Effective Date => 01-DEC-2010
Maturity Date => 01-SEP-2038
Exercise Date => 01-SEP-2020
Price => 105.03740
Bond Accrued => 0.2800
Bond YTW => 5.584%
Bond YTM => 6.752%
Bond WAL TW => 3.177
Bond WAL TM => 15.106
Bond Modified Duration TW => 3.0546
Bond Z Spread TW => 358.5
Bond OAS TW => 398.9
|-----------------------------------------------------------------|
| 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 00:36:28 EST 2020
| Setup Time => Mon Jan 27 00:36:28 EST 2020
| Finish Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 0 ms
| Run Duration => 286 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Chuzhou
Effective Date => 08-SEP-2016
Maturity Date => 08-SEP-2036
Exercise Date => 08-JUN-2036
Price => 89.27085
Bond Accrued => 0.0535
Bond YTW => 3.488%
Bond YTM => 3.515%
Bond WAL TW => 16.000
Bond WAL TM => 16.180
Bond Modified Duration TW => 14.6397
Bond Z Spread TW => 75
Bond OAS TW => 75
|-----------------------------------------------------------------|
| 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Finish Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 0 ms
| Run Duration => 302 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Cixi
Effective Date => 20-MAY-2014
Maturity Date => 01-DEC-2017
Exercise Date => 01-JUN-2017
Price => 100.26265
Bond Accrued => 0.0416
Bond YTW => -0.097%
Bond YTM => 0.707%
Bond WAL TW => 0.225
Bond WAL TM => 0.723
Bond Modified Duration TW => 0.2248
Bond Z Spread TW => -124.6
Bond OAS TW => -92.7
|-----------------------------------------------------------------|
| 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Finish Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 1 ms
| Run Duration => 173 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dalian
Effective Date => 15-OCT-2013
Maturity Date => 15-NOV-2028
Exercise Date => 15-NOV-2023
Price => 113.93925
Bond Accrued => 1.7500
Bond YTW => 2.936%
Bond YTM => 3.764%
Bond WAL TW => 5.877
Bond WAL TM => 9.555
Bond Modified Duration TW => 5.6256
Bond Z Spread TW => 58.2
Bond OAS TW => 72.0
|-----------------------------------------------------------------|
| 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Finish Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 0 ms
| Run Duration => 201 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dandong
Effective Date => 24-SEP-2015
Maturity Date => 15-SEP-2025
Exercise Date => 15-JUN-2025
Price => 104.54870
Bond Accrued => 2.3000
Bond YTW => 3.853%
Bond YTM => 3.965%
Bond WAL TW => 7.194
Bond WAL TM => 7.386
Bond Modified Duration TW => 6.8863
Bond Z Spread TW => 148.9
Bond OAS TW => 159.0
|-----------------------------------------------------------------|
| 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Finish Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 1 ms
| Run Duration => 189 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Danyang
Effective Date => 01-JUL-2015
Maturity Date => 01-JAN-2023
Exercise Date => 01-JAN-2018
Price => 102.40300
Bond Accrued => 0.8827
Bond YTW => 3.703%
Bond YTM => 3.828%
Bond WAL TW => 0.802
Bond WAL TM => 5.277
Bond Modified Duration TW => 0.7834
Bond Z Spread TW => 234.7
Bond OAS TW => 287.3
|-----------------------------------------------------------------|
| 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 00:36:29 EST 2020
| Setup Time => Mon Jan 27 00:36:29 EST 2020
| Finish Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 1 ms
| Run Duration => 175 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Daqing
Effective Date => 15-DEC-2010
Maturity Date => 15-DEC-2017
Exercise Date => 15-DEC-2017
Price => 97.75000
Bond Accrued => 2.2500
Bond YTW => 12.126%
Bond YTM => 12.126%
Bond WAL TW => 0.753
Bond WAL TM => 0.753
Bond Modified Duration TW => 0.6996
Bond Z Spread TW => 1079.0
Bond OAS TW => 1129.6
|-----------------------------------------------------------------|
| 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Finish Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 1 ms
| Run Duration => 151 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Datong
Effective Date => 30-OCT-2014
Maturity Date => 01-OCT-2034
Exercise Date => 01-OCT-2034
Price => 96.18405
Bond Accrued => 2.0195
Bond YTW => 4.756%
Bond YTM => 4.756%
Bond WAL TW => 13.825
Bond WAL TM => 13.825
Bond Modified Duration TW => 11.7325
Bond Z Spread TW => 203.0
Bond OAS TW => 203.4
|-----------------------------------------------------------------|
| 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Finish Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 1 ms
| Run Duration => 207 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dengzhou
Effective Date => 02-JUN-2016
Maturity Date => 02-JUN-2026
Exercise Date => 02-MAR-2026
Price => 99.55232
Bond Accrued => 1.2160
Bond YTW => 4.213%
Bond YTM => 4.309%
Bond WAL TW => 7.805
Bond WAL TM => 7.998
Bond Modified Duration TW => 7.4726
Bond Z Spread TW => 181.0
Bond OAS TW => 190.1
|-----------------------------------------------------------------|
| 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Finish Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 0 ms
| Run Duration => 199 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dezhou
Effective Date => 27-JAN-2016
Maturity Date => 01-FEB-2023
Exercise Date => 01-FEB-2019
Price => 113.25000
Bond Accrued => 1.1611
Bond YTW => 4.539%
Bond YTM => 6.735%
Bond WAL TW => 1.788
Bond WAL TM => 4.923
Bond Modified Duration TW => 1.7314
Bond Z Spread TW => 287.0
Bond OAS TW => 335.9
|-----------------------------------------------------------------|
| 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Finish Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 0 ms
| Run Duration => 164 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dhanbad
Effective Date => 19-MAR-2014
Maturity Date => 01-APR-2024
Exercise Date => 01-JAN-2024
Price => 100.61000
Bond Accrued => 2.0044
Bond YTW => 4.163%
Bond YTM => 4.298%
Bond WAL TW => 6.080
Bond WAL TM => 6.281
Bond Modified Duration TW => 5.9033
Bond Z Spread TW => 192.6
Bond OAS TW => 205.7
|-----------------------------------------------------------------|
| 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 00:36:30 EST 2020
| Setup Time => Mon Jan 27 00:36:30 EST 2020
| Finish Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 1 ms
| Run Duration => 192 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dingzhou
Effective Date => 25-AUG-2016
Maturity Date => 01-OCT-2035
Exercise Date => 01-OCT-2035
Price => 92.27905
Bond Accrued => 2.0589
Bond YTW => 4.315%
Bond YTM => 4.315%
Bond WAL TW => 14.879
Bond WAL TM => 14.879
Bond Modified Duration TW => 12.7736
Bond Z Spread TW => 156.5
Bond OAS TW => 156.1
|-----------------------------------------------------------------|
| 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Finish Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 1 ms
| Run Duration => 216 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dongguan
Effective Date => 20-NOV-2014
Maturity Date => 15-JUL-2024
Exercise Date => 15-APR-2024
Price => 100.65800
Bond Accrued => 0.8250
Bond YTW => 4.699%
Bond YTM => 4.841%
Bond WAL TW => 6.238
Bond WAL TM => 6.433
Bond Modified Duration TW => 6.0590
Bond Z Spread TW => 245.5
Bond OAS TW => 256.1
|-----------------------------------------------------------------|
| 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Finish Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
| Run Duration => 154 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Dongying
Effective Date => 26-MAR-2013
Maturity Date => 01-APR-2020
Exercise Date => 01-APR-2019
Price => 102.00000
Bond Accrued => 3.3597
Bond YTW => 6.320%
Bond YTM => 6.639%
Bond WAL TW => 1.955
Bond WAL TM => 2.822
Bond Modified Duration TW => 1.8310
Bond Z Spread TW => 461.8
Bond OAS TW => 508.4
|-----------------------------------------------------------------|
| 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Finish Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
| Run Duration => 181 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Ezhou
Effective Date => 23-JUN-2010
Maturity Date => 15-JUN-2040
Exercise Date => 15-JUN-2019
Price => 112.57020
Bond Accrued => 2.0000
Bond YTW => 2.270%
Bond YTM => 6.905%
Bond WAL TW => 2.127
Bond WAL TM => 15.859
Bond Modified Duration TW => 2.0684
Bond Z Spread TW => 52.2
Bond OAS TW => 97.8
|-----------------------------------------------------------------|
| 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Finish Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
| Run Duration => 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Faridabad
Effective Date => 08-MAR-2016
Maturity Date => 01-OCT-2025
Exercise Date => 01-JUL-2025
Price => 104.50600
Bond Accrued => 2.1639
Bond YTW => 4.005%
Bond YTM => 4.120%
Bond WAL TW => 7.202
Bond WAL TM => 7.393
Bond Modified Duration TW => 6.8828
Bond Z Spread TW => 164.3
Bond OAS TW => 174.2
|-----------------------------------------------------------------|
| 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 00:36:31 EST 2020
| Setup Time => Mon Jan 27 00:36:31 EST 2020
| Finish Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 176 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Feicheng
Effective Date => 09-AUG-2011
Maturity Date => 15-AUG-2021
Exercise Date => 15-MAY-2021
Price => 108.88830
Bond Accrued => 0.4479
Bond YTW => 2.934%
Bond YTM => 3.206%
Bond WAL TW => 3.841
Bond WAL TM => 4.052
Bond Modified Duration TW => 3.9489
Bond Z Spread TW => 98.1
Bond OAS TW => 134.1
|-----------------------------------------------------------------|
| 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Finish Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 0 ms
| Run Duration => 155 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Foshan
Effective Date => 07-DEC-2010
Maturity Date => 01-MAY-2029
Exercise Date => 01-MAY-2020
Price => 110.88360
Bond Accrued => 2.4194
Bond YTW => 2.852%
Bond YTM => 5.274%
Bond WAL TW => 2.916
Bond WAL TM => 9.573
Bond Modified Duration TW => 2.8078
Bond Z Spread TW => 90.9
Bond OAS TW => 133.1
|-----------------------------------------------------------------|
| 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Finish Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 194 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Fuqing
Effective Date => 07-APR-2015
Maturity Date => 15-APR-2025
Exercise Date => 15-JAN-2025
Price => 98.31502
Bond Accrued => 1.6250
Bond YTW => 4.043%
Bond YTM => 4.147%
Bond WAL TW => 6.985
Bond WAL TM => 7.185
Bond Modified Duration TW => 6.7579
Bond Z Spread TW => 171.1
Bond OAS TW => 182.3
|-----------------------------------------------------------------|
| 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Finish Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 179 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Fushun
Effective Date => 07-JUL-2016
Maturity Date => 15-JUL-2036
Exercise Date => 15-JUL-2036
Price => 96.12400
Bond Accrued => 0.6417
Bond YTW => 4.143%
Bond YTM => 4.143%
Bond WAL TW => 15.324
Bond WAL TM => 15.324
Bond Modified Duration TW => 13.3190
Bond Z Spread TW => 138.7
Bond OAS TW => 136.4
|-----------------------------------------------------------------|
| 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Finish Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
| Run Duration => 256 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Fuxin
Effective Date => 14-SEP-2015
Maturity Date => 01-SEP-2035
Exercise Date => 01-MAR-2035
Price => 101.71800
Bond Accrued => 0.1789
Bond YTW => 4.460%
Bond YTM => 4.462%
Bond WAL TW => 14.020
Bond WAL TM => 14.346
Bond Modified Duration TW => 12.1778
Bond Z Spread TW => 172.9
Bond OAS TW => 172.5
|-----------------------------------------------------------------|
| 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 00:36:32 EST 2020
| Setup Time => Mon Jan 27 00:36:32 EST 2020
| Finish Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 295 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Fuyang
Effective Date => 15-JAN-2015
Maturity Date => 15-JAN-2025
Exercise Date => 15-OCT-2024
Price => 98.47170
Bond Accrued => 0.6667
Bond YTW => 4.120%
Bond YTM => 4.230%
Bond WAL TW => 6.768
Bond WAL TM => 6.969
Bond Modified Duration TW => 6.6196
Bond Z Spread TW => 181.2
Bond OAS TW => 192.4
|-----------------------------------------------------------------|
| 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Finish Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Fuzhou
Effective Date => 30-JAN-2013
Maturity Date => 01-FEB-2023
Exercise Date => 01-FEB-2023
Price => 99.00000
Bond Accrued => 0.5806
Bond YTW => 4.947%
Bond YTM => 4.947%
Bond WAL TW => 5.301
Bond WAL TM => 5.301
Bond Modified Duration TW => 5.0515
Bond Z Spread TW => 265.2
Bond OAS TW => 286.4
|-----------------------------------------------------------------|
| 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Finish Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 165 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Ganzhou
Effective Date => 01-SEP-2014
Maturity Date => 01-JUL-2026
Exercise Date => 01-JUL-2024
Price => 112.79000
Bond Accrued => 1.0278
Bond YTW => 3.035%
Bond YTM => 3.386%
Bond WAL TW => 6.396
Bond WAL TM => 7.909
Bond Modified Duration TW => 6.1405
Bond Z Spread TW => 63.6
Bond OAS TW => 74.3
|-----------------------------------------------------------------|
| 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Finish Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 169 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Ghaziabad
Effective Date => 14-JAN-2016
Maturity Date => 14-JAN-2031
Exercise Date => 14-JAN-2031
Price => 97.75545
Bond Accrued => 0.5659
Bond YTW => 3.546%
Bond YTM => 3.546%
Bond WAL TW => 11.734
Bond WAL TM => 11.734
Bond Modified Duration TW => 10.9018
Bond Z Spread TW => 86.0
Bond OAS TW => 94.3
|-----------------------------------------------------------------|
| 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Finish Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 1 ms
| Run Duration => 226 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Giulin
Effective Date => 18-JUN-2015
Maturity Date => 15-OCT-2024
Exercise Date => 15-JUL-2024
Price => 100.50000
Bond Accrued => 2.0833
Bond YTW => 4.782%
Bond YTM => 4.920%
Bond WAL TW => 6.426
Bond WAL TM => 6.620
Bond Modified Duration TW => 6.1389
Bond Z Spread TW => 251.8
Bond OAS TW => 262.2
|-----------------------------------------------------------------|
| 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 00:36:33 EST 2020
| Setup Time => Mon Jan 27 00:36:33 EST 2020
| Finish Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 0 ms
| Run Duration => 194 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Guangzhou
Effective Date => 04-MAY-2015
Maturity Date => 15-MAY-2035
Exercise Date => 15-MAY-2035
Price => 92.91000
Bond Accrued => 1.5000
Bond YTW => 5.102%
Bond YTM => 5.102%
Bond WAL TW => 14.202
Bond WAL TM => 14.202
Bond Modified Duration TW => 11.8696
Bond Duration From OAS TW => 12.0532
Bond Z Spread TW => 237.4
Bond OAS TW => 236.1
|-----------------------------------------------------------------|
| 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Finish Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 0 ms
| Run Duration => 237 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Guigang
Effective Date => 02-DEC-2010
Maturity Date => 01-JUL-2041
Exercise Date => 01-JUL-2021
Price => 116.60555
Bond Accrued => 1.4389
Bond YTW => 2.873%
Bond YTM => 5.725%
Bond WAL TW => 3.866
Bond WAL TM => 16.810
Bond Modified Duration TW => 3.7414
Bond Z Spread TW => 75.5
Bond OAS TW => 109.5
|-----------------------------------------------------------------|
| 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Finish Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 0 ms
| Run Duration => 304 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Guiyang
Effective Date => 10-DEC-2009
Maturity Date => 01-JUN-2031
Exercise Date => 01-JUN-2019
Price => 108.60000
Bond Accrued => 2.2415
Bond YTW => 3.693%
Bond YTM => 6.804%
Bond WAL TW => 2.096
Bond WAL TM => 10.623
Bond Modified Duration TW => 2.0169
Bond Z Spread TW => 195.3
Bond OAS TW => 241.2
|-----------------------------------------------------------------|
| 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Finish Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 1 ms
| Run Duration => 212 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Guwahati
Effective Date => 11-JUL-2016
Maturity Date => 11-JUL-2031
Exercise Date => 11-JUL-2031
Price => 92.48600
Bond Accrued => 0.4889
Bond YTW => 3.417%
Bond YTM => 3.417%
Bond WAL TW => 12.379
Bond WAL TM => 12.379
Bond Modified Duration TW => 11.5649
Bond Z Spread TW => 71.2
Bond OAS TW => 79.8
|-----------------------------------------------------------------|
| 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 00:36:34 EST 2020
| Setup Time => Mon Jan 27 00:36:34 EST 2020
| Finish Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 0 ms
| Run Duration => 240 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => 3133EF3G0
Effective Date => 18-APR-2016
Maturity Date => 18-APR-2036
Exercise Date => 18-APR-2036
Price => 93.46243
Bond Accrued => 1.2822
Bond YTW => 3.617%
Bond YTM => 3.617%
Bond WAL TW => 15.617
Bond WAL TM => 15.617
Bond Modified Duration TW => 13.8737
Bond Z Spread TW => 85.0
Bond OAS TW => 84.5
|-----------------------------------------------------------------|
| 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Finish Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 1 ms
| Run Duration => 242 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Haicheng
Effective Date => 16-DEC-2010
Maturity Date => 15-JUL-2030
Exercise Date => 15-JAN-2021
Price => 113.19190
Bond Accrued => 1.0833
Bond YTW => 2.854%
Bond YTM => 5.123%
Bond WAL TW => 3.511
Bond WAL TM => 10.362
Bond Modified Duration TW => 3.4141
Bond Z Spread TW => 79.3
Bond OAS TW => 117.6
|-----------------------------------------------------------------|
| 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Finish Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 1 ms
| Run Duration => 232 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Haikou
Effective Date => 23-JUL-2015
Maturity Date => 23-JUL-2025
Exercise Date => 24-APR-2025
Price => 102.54100
Bond Accrued => 0.6500
Bond YTW => 4.026%
Bond YTM => 4.137%
Bond WAL TW => 7.100
Bond WAL TM => 7.292
Bond Modified Duration TW => 6.9005
Bond Z Spread TW => 167.6
Bond OAS TW => 177.9
|-----------------------------------------------------------------|
| 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Finish Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 0 ms
| Run Duration => 161 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 3 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Haimen
Effective Date => 12-MAR-2014
Maturity Date => 15-MAR-2024
Exercise Date => 15-SEP-2023
Price => 101.48880
Bond Accrued => 2.3250
Bond YTW => 4.385%
Bond YTM => 4.401%
Bond WAL TW => 5.815
Bond WAL TM => 6.213
Bond Modified Duration TW => 5.4559
Bond Z Spread TW => 204.1
Bond OAS TW => 219.7
|-----------------------------------------------------------------|
| 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Finish Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 3 ms
| Run Duration => 146 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Handan
Effective Date => 13-AUG-2015
Maturity Date => 01-MAR-2026
Exercise Date => 01-DEC-2025
Price => 103.07400
Bond Accrued => 0.1896
Bond YTW => 4.345%
Bond YTM => 4.456%
Bond WAL TW => 7.496
Bond WAL TM => 7.685
Bond Modified Duration TW => 7.2300
Bond Z Spread TW => 196.4
Bond OAS TW => 205.4
|-----------------------------------------------------------------|
| 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 00:36:35 EST 2020
| Setup Time => Mon Jan 27 00:36:35 EST 2020
| Finish Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 169 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Harbin
Effective Date => 11-JUN-2013
Maturity Date => 15-JUN-2021
Exercise Date => 15-JUN-2021
Price => 86.81250
Bond Accrued => 1.7500
Bond YTW => 10.946%
Bond YTM => 10.946%
Bond WAL TW => 3.830
Bond WAL TM => 3.830
Bond Modified Duration TW => 3.4590
Bond Z Spread TW => 884.0
Bond OAS TW => 917.8
|-----------------------------------------------------------------|
| 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Finish Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 0 ms
| Run Duration => 149 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Hefei
Effective Date => 08-DEC-2010
Maturity Date => 01-JUL-2040
Exercise Date => 01-JUL-2020
Price => 113.41600
Bond Accrued => 1.4823
Bond YTW => 2.925%
Bond YTM => 6.122%
Bond WAL TW => 3.036
Bond WAL TM => 16.157
Bond Modified Duration TW => 2.9455
Bond Z Spread TW => 95.5
Bond OAS TW => 136.7
|-----------------------------------------------------------------|
| 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Finish Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 0 ms
| Run Duration => 259 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Hegang
Effective Date => 22-AUG-2016
Maturity Date => 22-AUG-2036
Exercise Date => 22-AUG-2036
Price => 88.85426
Bond Accrued => 0.1725
Bond YTW => 3.494%
Bond YTM => 3.494%
Bond WAL TW => 16.187
Bond WAL TM => 16.187
Bond Modified Duration TW => 14.6576
Bond Z Spread TW => 71.7
Bond OAS TW => 71.2
|-----------------------------------------------------------------|
| 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Finish Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 252 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Hengyang
Effective Date => 12-FEB-2014
Maturity Date => 15-JUN-2019
Exercise Date => 16-APR-2019
Price => 102.37500
Bond Accrued => 1.1250
Bond YTW => 3.087%
Bond YTM => 3.399%
Bond WAL TW => 2.029
Bond WAL TM => 2.181
Bond Modified Duration TW => 2.1245
Bond Z Spread TW => 159.9
Bond OAS TW => 206.8
|-----------------------------------------------------------------|
| 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Finish Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 1 ms
| Run Duration => 149 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Heze
Effective Date => 08-MAY-2014
Maturity Date => 15-MAY-2022
Exercise Date => 15-MAY-2020
Price => 102.87500
Bond Accrued => 2.0000
Bond YTW => 5.008%
Bond YTM => 5.355%
Bond WAL TW => 2.964
Bond WAL TM => 4.624
Bond Modified Duration TW => 2.8233
Bond Z Spread TW => 305.8
Bond OAS TW => 347.8
|-----------------------------------------------------------------|
| 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 00:36:36 EST 2020
| Setup Time => Mon Jan 27 00:36:36 EST 2020
| Finish Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 1 ms
| Run Duration => 149 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Hezhou
Effective Date => 14-MAR-2015
Maturity Date => 15-JUN-2025
Exercise Date => 15-MAR-2025
Price => 100.80600
Bond Accrued => 1.0875
Bond YTW => 4.121%
Bond YTM => 4.233%
Bond WAL TW => 7.041
Bond WAL TM => 7.236
Bond Modified Duration TW => 6.8190
Bond Z Spread TW => 178.3
Bond OAS TW => 188.8
|-----------------------------------------------------------------|
| 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Finish Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 0 ms
| Run Duration => 158 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Hohhot
Effective Date => 27-OCT-2009
Maturity Date => 01-OCT-2039
Exercise Date => 01-OCT-2019
Price => 111.38400
Bond Accrued => 3.4836
Bond YTW => 2.990%
Bond YTM => 6.664%
Bond WAL TW => 2.389
Bond WAL TM => 15.576
Bond Modified Duration TW => 2.2793
Bond Z Spread TW => 117.2
Bond OAS TW => 161.9
|-----------------------------------------------------------------|
| 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Finish Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 0 ms
| Run Duration => 263 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Hongzhou
Effective Date => 27-SEP-2016
Maturity Date => 30-SEP-2026
Exercise Date => 30-SEP-2023
Price => 107.44000
Bond Accrued => 3.2667
Bond YTW => 5.769%
Bond YTM => 5.966%
Bond WAL TW => 5.610
Bond WAL TM => 7.740
Bond Modified Duration TW => 5.1169
Bond Z Spread TW => 344.1
Bond OAS TW => 357.4
|-----------------------------------------------------------------|
| 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Finish Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 1 ms
| Run Duration => 191 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Howrah
Effective Date => 29-APR-2016
Maturity Date => 29-APR-2036
Exercise Date => 29-APR-2036
Price => 91.87852
Bond Accrued => 1.1333
Bond YTW => 3.590%
Bond YTM => 3.590%
Bond WAL TW => 15.737
Bond WAL TM => 15.737
Bond Modified Duration TW => 14.0344
Bond Z Spread TW => 82.1
Bond OAS TW => 81.8
|-----------------------------------------------------------------|
| 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Finish Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 0 ms
| Run Duration => 188 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huaian
Effective Date => 22-MAY-2013
Maturity Date => 01-JUN-2023
Exercise Date => 03-JAN-2023
Price => 99.82333
Bond Accrued => 1.0833
Bond YTW => 3.558%
Bond YTM => 3.781%
Bond WAL TW => 5.337
Bond WAL TM => 5.682
Bond Modified Duration TW => 5.4511
Bond Z Spread TW => 148.8
Bond OAS TW => 171.4
|-----------------------------------------------------------------|
| 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 00:36:37 EST 2020
| Setup Time => Mon Jan 27 00:36:37 EST 2020
| Finish Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 180 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huaibei
Effective Date => 17-NOV-2015
Maturity Date => 17-NOV-2025
Exercise Date => 17-AUG-2025
Price => 99.56155
Bond Accrued => 1.5979
Bond YTW => 4.822%
Bond YTM => 4.937%
Bond WAL TW => 7.278
Bond WAL TM => 7.468
Bond Modified Duration TW => 6.8991
Bond Z Spread TW => 247.3
Bond OAS TW => 256.7
|-----------------------------------------------------------------|
| 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Finish Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 166 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huainan
Effective Date => 23-NOV-2010
Maturity Date => 15-APR-2032
Exercise Date => 15-APR-2020
Price => 110.04915
Bond Accrued => 2.9292
Bond YTW => 3.572%
Bond YTM => 6.007%
Bond WAL TW => 2.864
Bond WAL TM => 11.339
Bond Modified Duration TW => 2.7315
Bond Z Spread TW => 163.9
Bond OAS TW => 206.0
|-----------------------------------------------------------------|
| 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Finish Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 0 ms
| Run Duration => 210 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huangshi
Effective Date => 27-MAY-2004
Maturity Date => 01-JUL-2027
Exercise Date => 01-JUL-2019
Price => 103.70800
Bond Accrued => 1.0792
Bond YTW => 3.560%
Bond YTM => 4.789%
Bond WAL TW => 2.209
Bond WAL TM => 8.585
Bond Modified Duration TW => 2.1480
Bond Z Spread TW => 179.7
Bond OAS TW => 225.7
|-----------------------------------------------------------------|
| 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Finish Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 0 ms
| Run Duration => 168 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huazhou
Effective Date => 04-SEP-2014
Maturity Date => 01-JUL-2028
Exercise Date => 01-JUL-2024
Price => 113.04700
Bond Accrued => 1.0278
Bond YTW => 2.998%
Bond YTM => 3.586%
Bond WAL TW => 6.396
Bond WAL TM => 9.355
Bond Modified Duration TW => 6.1431
Bond Z Spread TW => 59.9
Bond OAS TW => 70.6
|-----------------------------------------------------------------|
| 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Finish Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 173 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huizhou
Effective Date => 08-OCT-2009
Maturity Date => 01-FEB-2042
Exercise Date => 01-FEB-2020
Price => 107.50000
Bond Accrued => 0.8800
Bond YTW => 4.407%
Bond YTM => 6.582%
Bond WAL TW => 2.684
Bond WAL TM => 17.063
Bond Modified Duration TW => 2.5958
Bond Z Spread TW => 251.3
Bond OAS TW => 294.5
|-----------------------------------------------------------------|
| 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 00:36:38 EST 2020
| Setup Time => Mon Jan 27 00:36:38 EST 2020
| Finish Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
| Run Duration => 275 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Huludao
Effective Date => 15-DEC-2010
Maturity Date => 01-JUL-2035
Exercise Date => 01-JUL-2020
Price => 112.62100
Bond Accrued => 1.6130
Bond YTW => 3.752%
Bond YTM => 6.644%
Bond WAL TW => 3.017
Bond WAL TM => 13.057
Bond Modified Duration TW => 2.9071
Bond Z Spread TW => 178.4
Bond OAS TW => 219.4
|-----------------------------------------------------------------|
| 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Finish Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 0 ms
| Run Duration => 251 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Indore
Effective Date => 27-JAN-2016
Maturity Date => 27-JAN-2031
Exercise Date => 27-JAN-2031
Price => 98.37628
Bond Accrued => 0.4520
Bond YTW => 3.539%
Bond YTM => 3.539%
Bond WAL TW => 11.739
Bond WAL TM => 11.739
Bond Modified Duration TW => 10.9139
Bond Z Spread TW => 85.2
Bond OAS TW => 93.5
|-----------------------------------------------------------------|
| 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Finish Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
| Run Duration => 205 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jabalpur
Effective Date => 21-APR-2016
Maturity Date => 21-APR-2033
Exercise Date => 21-APR-2033
Price => 93.56647
Bond Accrued => 1.2000
Bond YTW => 3.527%
Bond YTM => 3.527%
Bond WAL TW => 13.569
Bond WAL TM => 13.569
Bond Modified Duration TW => 12.3799
Bond Z Spread TW => 79.4
Bond OAS TW => 85.1
|-----------------------------------------------------------------|
| 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Finish Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
| Run Duration => 206 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jamshedpur
Effective Date => 29-MAR-2016
Maturity Date => 29-MAR-2030
Exercise Date => 29-MAR-2030
Price => 95.42820
Bond Accrued => 1.3787
Bond YTW => 3.427%
Bond YTM => 3.427%
Bond WAL TW => 11.291
Bond WAL TM => 11.291
Bond Modified Duration TW => 10.5038
Bond Z Spread TW => 75.5
Bond OAS TW => 85.0
|-----------------------------------------------------------------|
| 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Finish Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
| Run Duration => 173 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jiamusi
Effective Date => 03-AUG-2015
Maturity Date => 15-AUG-2025
Exercise Date => 15-MAY-2025
Price => 104.96700
Bond Accrued => 0.3917
Bond YTW => 3.884%
Bond YTM => 4.000%
Bond WAL TW => 7.113
Bond WAL TM => 7.305
Bond Modified Duration TW => 6.9334
Bond Z Spread TW => 152.8
Bond OAS TW => 162.9
|-----------------------------------------------------------------|
| 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 00:36:39 EST 2020
| Setup Time => Mon Jan 27 00:36:39 EST 2020
| Finish Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 1 ms
| Run Duration => 172 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jiangmen
Effective Date => 05-JAN-2016
Maturity Date => 01-JUL-2035
Exercise Date => 01-JUL-2035
Price => 46.42900
Bond Accrued => 0.0000
Bond YTW => 4.235%
Bond YTM => 4.235%
Bond WAL TW => 18.308
Bond WAL TM => 18.308
Bond Modified Duration TW => 17.9122
Bond Z Spread TW => 141.4
Bond OAS TW => 148.9
|-----------------------------------------------------------------|
| 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Finish Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 1 ms
| Run Duration => 218 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jiangyin
Effective Date => 29-APR-2003
Maturity Date => 01-JUL-2026
Exercise Date => 01-JUL-2020
Price => 103.15100
Bond Accrued => 1.0175
Bond YTW => 3.923%
Bond YTM => 4.530%
Bond WAL TW => 3.109
Bond WAL TM => 7.918
Bond Modified Duration TW => 3.0098
Bond Z Spread TW => 194.5
Bond OAS TW => 236.5
|-----------------------------------------------------------------|
| 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Finish Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 0 ms
| Run Duration => 189 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jiaozuo
Effective Date => 23-DEC-2014
Maturity Date => 15-NOV-2047
Exercise Date => 15-NOV-2031
Price => 23.96500
Bond Accrued => 0.0000
Bond YTW => 4.559%
Bond YTM => 4.711%
Bond WAL TW => 14.681
Bond WAL TM => 30.681
Bond Modified Duration TW => 14.3427
Bond Z Spread TW => 179.6
Bond OAS TW => 192.9
|-----------------------------------------------------------------|
| 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Finish Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 0 ms
| Run Duration => 298 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jiaxing
Effective Date => 30-AUG-2016
Maturity Date => 01-OCT-2028
Exercise Date => 01-OCT-2028
Price => 93.19435
Bond Accrued => 1.7420
Bond YTW => 3.955%
Bond YTM => 3.955%
Bond WAL TW => 10.060
Bond WAL TM => 10.060
Bond Modified Duration TW => 9.3029
Bond Z Spread TW => 133.3
Bond OAS TW => 142.5
|-----------------------------------------------------------------|
| 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 00:36:40 EST 2020
| Setup Time => Mon Jan 27 00:36:40 EST 2020
| Finish Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 1 ms
| Run Duration => 209 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jilin
Effective Date => 27-AUG-2009
Maturity Date => 01-OCT-2038
Exercise Date => 01-OCT-2019
Price => 111.38450
Bond Accrued => 3.6180
Bond YTW => 3.266%
Bond YTM => 6.918%
Bond WAL TW => 2.384
Bond WAL TM => 14.911
Bond Modified Duration TW => 2.2677
Bond Z Spread TW => 144.9
Bond OAS TW => 189.5
|-----------------------------------------------------------------|
| 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Finish Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 1 ms
| Run Duration => 249 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jinan
Effective Date => 23-MAY-2014
Maturity Date => 01-NOV-2021
Exercise Date => 01-NOV-2019
Price => 101.50000
Bond Accrued => 2.0007
Bond YTW => 4.761%
Bond YTM => 5.007%
Bond WAL TW => 2.507
Bond WAL TM => 4.227
Bond Modified Duration TW => 2.3966
Bond Z Spread TW => 291.8
Bond OAS TW => 336.7
|-----------------------------------------------------------------|
| 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Finish Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 0 ms
| Run Duration => 151 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jingjiang
Effective Date => 10-MAR-2016
Maturity Date => 10-MAR-2031
Exercise Date => 10-DEC-2030
Price => 97.36465
Bond Accrued => 0.0431
Bond YTW => 3.292%
Bond YTM => 3.337%
Bond WAL TW => 11.769
Bond WAL TM => 11.957
Bond Modified Duration TW => 11.0482
Bond Z Spread TW => 65.2
Bond OAS TW => 74.0
|-----------------------------------------------------------------|
| 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Finish Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 0 ms
| Run Duration => 245 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jingzhou
Effective Date => 22-JUN-2010
Maturity Date => 01-JUN-2035
Exercise Date => 01-JUN-2020
Price => 114.10300
Bond Accrued => 1.9766
Bond YTW => 2.280%
Bond YTM => 5.597%
Bond WAL TW => 2.977
Bond WAL TM => 13.306
Bond Modified Duration TW => 2.8891
Bond Z Spread TW => 32.2
Bond OAS TW => 74.0
|-----------------------------------------------------------------|
| 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Finish Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 0 ms
| Run Duration => 190 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jinhua
Effective Date => 14-MAR-2014
Maturity Date => 15-JUN-2023
Exercise Date => 15-MAR-2023
Price => 97.87289
Bond Accrued => 1.0625
Bond YTW => 4.494%
Bond YTM => 4.644%
Bond WAL TW => 5.451
Bond WAL TM => 5.657
Bond Modified Duration TW => 5.3762
Bond Z Spread TW => 235.2
Bond OAS TW => 255.5
|-----------------------------------------------------------------|
| 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 00:36:41 EST 2020
| Setup Time => Mon Jan 27 00:36:41 EST 2020
| Finish Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 1 ms
| Run Duration => 168 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jining
Effective Date => 23-MAR-2016
Maturity Date => 01-MAY-2024
Exercise Date => 01-MAY-2024
Price => 95.50000
Bond Accrued => 2.4194
Bond YTW => 7.318%
Bond YTM => 7.318%
Bond WAL TW => 6.088
Bond WAL TM => 6.088
Bond Modified Duration TW => 5.4519
Bond Z Spread TW => 495.0
Bond OAS TW => 503.8
|-----------------------------------------------------------------|
| 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Finish Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 1 ms
| Run Duration => 179 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jinzhou
Effective Date => 14-DEC-2010
Maturity Date => 01-JUL-2041
Exercise Date => 01-JUL-2020
Price => 114.39200
Bond Accrued => 1.4395
Bond YTW => 2.446%
Bond YTM => 5.882%
Bond WAL TW => 3.043
Bond WAL TM => 16.809
Bond Modified Duration TW => 2.9625
Bond Z Spread TW => 47.5
Bond OAS TW => 88.8
|-----------------------------------------------------------------|
| 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Finish Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 241 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Jiujiang
Effective Date => 30-OCT-2012
Maturity Date => 30-APR-2020
Exercise Date => 30-APR-2020
Price => 98.80542
Bond Accrued => 0.5625
Bond YTW => 1.894%
Bond YTM => 1.894%
Bond WAL TW => 3.079
Bond WAL TM => 3.079
Bond Modified Duration TW => 3.0318
Bond Z Spread TW => -6.7
Bond OAS TW => 37.3
|-----------------------------------------------------------------|
| 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Finish Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 1 ms
| Run Duration => 133 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => KalyanDombivli
Effective Date => 18-JUN-2013
Maturity Date => 15-JUL-2023
Exercise Date => 15-APR-2023
Price => 104.76400
Bond Accrued => 0.8750
Bond YTW => 4.203%
Bond YTM => 4.381%
Bond WAL TW => 5.416
Bond WAL TM => 5.615
Bond Modified Duration TW => 5.3458
Bond Z Spread TW => 204.4
Bond OAS TW => 223.3
|-----------------------------------------------------------------|
| 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Finish Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 153 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Kanpur
Effective Date => 08-FEB-2016
Maturity Date => 08-FEB-2030
Exercise Date => 08-FEB-2030
Price => 97.70663
Bond Accrued => 0.3371
Bond YTW => 3.502%
Bond YTM => 3.502%
Bond WAL TW => 11.065
Bond WAL TM => 11.065
Bond Modified Duration TW => 10.3771
Bond Z Spread TW => 83.7
Bond OAS TW => 92.9
|-----------------------------------------------------------------|
| 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 00:36:42 EST 2020
| Setup Time => Mon Jan 27 00:36:42 EST 2020
| Finish Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 222 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Karamay
Effective Date => 02-JUN-2016
Maturity Date => 02-JUN-2036
Exercise Date => 02-JUN-2036
Price => 93.26180
Bond Accrued => 0.8955
Bond YTW => 3.619%
Bond YTM => 3.619%
Bond WAL TW => 15.709
Bond WAL TM => 15.709
Bond Modified Duration TW => 14.0006
Bond Z Spread TW => 85.1
Bond OAS TW => 84.4
|-----------------------------------------------------------------|
| 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Finish Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 232 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Kashgar
Effective Date => 30-JAN-2014
Maturity Date => 15-JUL-2019
Exercise Date => 15-JAN-2018
Price => 104.46000
Bond Accrued => 1.3125
Bond YTW => 2.515%
Bond YTM => 5.809%
Bond WAL TW => 0.834
Bond WAL TM => 2.201
Bond Modified Duration TW => 0.8184
Bond Z Spread TW => 114.9
Bond OAS TW => 168.5
|-----------------------------------------------------------------|
| 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Finish Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 0 ms
| Run Duration => 170 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Keifeng
Effective Date => 27-JAN-2011
Maturity Date => 01-SEP-2040
Exercise Date => 01-SEP-2021
Price => 24.41490
Bond Accrued => 0.0000
Bond YTW => 1.770%
Bond YTM => 6.097%
Bond WAL TW => 4.475
Bond WAL TM => 23.475
Bond Modified Duration TW => 4.4347
Bond Z Spread TW => -41.0
Bond OAS TW => -4.6
|-----------------------------------------------------------------|
| 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Finish Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 208 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Kota
Effective Date => 08-SEP-2016
Maturity Date => 08-SEP-2036
Exercise Date => 08-SEP-2036
Price => 88.29321
Bond Accrued => 0.0525
Bond YTW => 3.536%
Bond YTM => 3.536%
Bond WAL TW => 16.219
Bond WAL TM => 16.219
Bond Modified Duration TW => 14.6818
Bond Z Spread TW => 75.8
Bond OAS TW => 75.2
|-----------------------------------------------------------------|
| 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Finish Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 0 ms
| Run Duration => 221 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Kunming
Effective Date => 11-FEB-2014
Maturity Date => 15-FEB-2024
Exercise Date => 16-JAN-2024
Price => 95.89842
Bond Accrued => 0.3646
Bond YTW => 5.040%
Bond YTM => 5.084%
Bond WAL TW => 6.117
Bond WAL TM => 6.182
Bond Modified Duration TW => 5.8613
Bond Z Spread TW => 272.1
Bond OAS TW => 284.6
|-----------------------------------------------------------------|
| 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 00:36:43 EST 2020
| Setup Time => Mon Jan 27 00:36:43 EST 2020
| Finish Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
| Run Duration => 153 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Laiwu
Effective Date => 15-MAR-2016
Maturity Date => 15-MAY-2022
Exercise Date => 15-MAY-2020
Price => 101.32000
Bond Accrued => 2.1667
Bond YTW => 6.034%
Bond YTM => 6.196%
Bond WAL TW => 2.949
Bond WAL TM => 4.590
Bond Modified Duration TW => 2.7850
Bond Z Spread TW => 408.6
Bond OAS TW => 450.4
|-----------------------------------------------------------------|
| 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Finish Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 168 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Langfeng
Effective Date => 07-OCT-2013
Maturity Date => 15-JAN-2024
Exercise Date => 15-OCT-2023
Price => 104.87800
Bond Accrued => 0.7500
Bond YTW => 3.544%
Bond YTM => 3.687%
Bond WAL TW => 5.897
Bond WAL TM => 6.099
Bond Modified Duration TW => 5.8472
Bond Z Spread TW => 130.8
Bond OAS TW => 145.8
|-----------------------------------------------------------------|
| 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Finish Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
| Run Duration => 177 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Lanzhou
Effective Date => 28-DEC-2010
Maturity Date => 01-DEC-2028
Exercise Date => 01-DEC-2020
Price => 112.88335
Bond Accrued => 2.0222
Bond YTW => 3.294%
Bond YTM => 5.494%
Bond WAL TW => 3.390
Bond WAL TM => 9.194
Bond Modified Duration TW => 3.2604
Bond Z Spread TW => 125.5
Bond OAS TW => 164.4
|-----------------------------------------------------------------|
| 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Finish Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
| Run Duration => 183 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Lhasa
Effective Date => 28-JUN-2016
Maturity Date => 28-JUN-2032
Exercise Date => 28-JUN-2032
Price => 93.37558
Bond Accrued => 0.6203
Bond YTW => 3.461%
Bond YTM => 3.461%
Bond WAL TW => 13.025
Bond WAL TM => 13.025
Bond Modified Duration TW => 12.0516
Bond Z Spread TW => 74.0
Bond OAS TW => 81.1
|-----------------------------------------------------------------|
| 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Finish Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
| Run Duration => 179 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Lianyungang
Effective Date => 18-JUN-2012
Maturity Date => 01-SEP-2021
Exercise Date => 01-JUN-2021
Price => 102.87500
Bond Accrued => 0.1993
Bond YTW => 4.151%
Bond YTM => 4.410%
Bond WAL TW => 3.892
Bond WAL TM => 4.104
Bond Modified Duration TW => 3.9727
Bond Z Spread TW => 225.4
Bond OAS TW => 261.1
|-----------------------------------------------------------------|
| 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Finish Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
| Run Duration => 175 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Liaocheng
Effective Date => 26-APR-2016
Maturity Date => 15-SEP-2023
Exercise Date => 15-APR-2019
Price => 110.94800
Bond Accrued => 6.6458
Bond YTW => 3.174%
Bond YTM => 5.478%
Bond WAL TW => 1.991
Bond WAL TM => 5.527
Bond Modified Duration TW => 2.1830
Bond Z Spread TW => 204.3
Bond OAS TW => 250.8
|-----------------------------------------------------------------|
| 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 00:36:44 EST 2020
| Setup Time => Mon Jan 27 00:36:44 EST 2020
| Finish Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 0 ms
| Run Duration => 158 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Liaoyang
Effective Date => 15-JUL-2015
Maturity Date => 15-JUL-2025
Exercise Date => 15-APR-2025
Price => 102.74840
Bond Accrued => 0.7250
Bond YTW => 3.850%
Bond YTM => 3.959%
Bond WAL TW => 7.106
Bond WAL TM => 7.301
Bond Modified Duration TW => 6.9245
Bond Z Spread TW => 149.7
Bond OAS TW => 160.2
|-----------------------------------------------------------------|
| 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Finish Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
| Run Duration => 189 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Lijiang
Effective Date => 15-MAY-2015
Maturity Date => 15-MAY-2025
Exercise Date => 15-MAY-2025
Price => 99.63781
Bond Accrued => 0.3052
Bond YTW => 3.714%
Bond YTM => 3.714%
Bond WAL TW => 7.247
Bond WAL TM => 7.247
Bond Modified Duration TW => 7.0359
Bond Z Spread TW => 126.4
Bond OAS TW => 136.2
|-----------------------------------------------------------------|
| 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Finish Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 0 ms
| Run Duration => 295 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Linfen
Effective Date => 22-MAR-2012
Maturity Date => 15-APR-2022
Exercise Date => 15-JAN-2022
Price => 102.75000
Bond Accrued => 1.6458
Bond YTW => 3.181%
Bond YTM => 3.358%
Bond WAL TW => 4.496
Bond WAL TM => 4.711
Bond Modified Duration TW => 4.5287
Bond Z Spread TW => 113.0
Bond OAS TW => 143.2
|-----------------------------------------------------------------|
| 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Finish Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
| Run Duration => 181 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Linhai
Effective Date => 06-AUG-2013
Maturity Date => 15-AUG-2021
Exercise Date => 15-AUG-2021
Price => 99.93750
Bond Accrued => 0.6354
Bond YTW => 7.640%
Bond YTM => 7.640%
Bond WAL TW => 3.933
Bond WAL TM => 3.933
Bond Modified Duration TW => 3.6815
Bond Z Spread TW => 551.3
Bond OAS TW => 583.4
|-----------------------------------------------------------------|
| 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Finish Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
| Run Duration => 191 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Linyi
Effective Date => 16-SEP-2016
Maturity Date => 27-JAN-2027
Exercise Date => 16-OCT-2026
Price => 94.51100
Bond Accrued => 1.5001
Bond YTW => 3.608%
Bond YTM => 3.683%
Bond WAL TW => 8.577
Bond WAL TM => 8.803
Bond Modified Duration TW => 8.2920
Bond Z Spread TW => 115.5
Bond OAS TW => 124.7
|-----------------------------------------------------------------|
| 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 00:36:45 EST 2020
| Setup Time => Mon Jan 27 00:36:45 EST 2020
| Finish Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 168 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Lishui
Effective Date => 18-MAY-2011
Maturity Date => 01-MAY-2026
Exercise Date => 01-MAY-2021
Price => 112.03755
Bond Accrued => 2.3450
Bond YTW => 3.174%
Bond YTM => 4.666%
Bond WAL TW => 3.764
Bond WAL TM => 7.562
Bond Modified Duration TW => 3.6073
Bond Z Spread TW => 107.5
Bond OAS TW => 143.3
|-----------------------------------------------------------------|
| 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Finish Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 218 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Liuzhou
Effective Date => 19-OCT-2016
Maturity Date => 25-JAN-2027
Exercise Date => 25-OCT-2026
Price => 96.18167
Bond Accrued => 1.5074
Bond YTW => 4.112%
Bond YTM => 4.191%
Bond WAL TW => 8.421
Bond WAL TM => 8.616
Bond Modified Duration TW => 8.0281
Bond Z Spread TW => 166.4
Bond OAS TW => 174.7
|-----------------------------------------------------------------|
| 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Finish Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 166 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Luan
Effective Date => 10-NOV-2010
Maturity Date => 01-AUG-2040
Exercise Date => 01-AUG-2020
Price => 114.79500
Bond Accrued => 0.8581
Bond YTW => 2.448%
Bond YTM => 5.851%
Bond WAL TW => 3.112
Bond WAL TM => 16.277
Bond Modified Duration TW => 3.0442
Bond Z Spread TW => 46.1
Bond OAS TW => 87.1
|-----------------------------------------------------------------|
| 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Finish Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 1 ms
| Run Duration => 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Luoyang
Effective Date => 15-MAY-2014
Maturity Date => 01-AUG-2035
Exercise Date => 01-FEB-2024
Price => 42.35090
Bond Accrued => 0.0000
Bond YTW => 3.956%
Bond YTM => 4.727%
Bond WAL TW => 6.892
Bond WAL TM => 18.392
Bond Modified Duration TW => 6.7556
Bond Z Spread TW => 153.9
Bond OAS TW => 170.3
|-----------------------------------------------------------------|
| 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 00:36:46 EST 2020
| Setup Time => Mon Jan 27 00:36:46 EST 2020
| Finish Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
| Run Duration => 256 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Maanshan
Effective Date => 14-APR-2010
Maturity Date => 01-SEP-2040
Exercise Date => 01-SEP-2020
Price => 115.26000
Bond Accrued => 0.3027
Bond YTW => 3.116%
Bond YTM => 6.507%
Bond WAL TW => 3.158
Bond WAL TM => 16.050
Bond Modified Duration TW => 3.0863
Bond Z Spread TW => 111.7
Bond OAS TW => 152.1
|-----------------------------------------------------------------|
| 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Finish Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
| Run Duration => 252 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Maoming
Effective Date => 03-NOV-2015
Maturity Date => 03-NOV-2035
Exercise Date => 03-MAY-2035
Price => 102.33000
Bond Accrued => 1.5400
Bond YTW => 4.018%
Bond YTM => 4.021%
Bond WAL TW => 14.330
Bond WAL TM => 14.661
Bond Modified Duration TW => 12.5002
Bond Z Spread TW => 127.7
Bond OAS TW => 127.7
|-----------------------------------------------------------------|
| 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Finish Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
| Run Duration => 201 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Mianyang
Effective Date => 12-SEP-2013
Maturity Date => 15-SEP-2023
Exercise Date => 15-JUN-2023
Price => 106.63300
Bond Accrued => 2.5000
Bond YTW => 3.674%
Bond YTM => 3.839%
Bond WAL TW => 5.575
Bond WAL TM => 5.775
Bond Modified Duration TW => 5.4413
Bond Z Spread TW => 147.7
Bond OAS TW => 165.4
|-----------------------------------------------------------------|
| 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Finish Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
| Run Duration => 152 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Mudanjiang
Effective Date => 01-JUL-2015
Maturity Date => 01-JAN-2027
Exercise Date => 01-JAN-2018
Price => 103.55400
Bond Accrued => 1.0368
Bond YTW => 3.018%
Bond YTM => 4.589%
Bond WAL TW => 0.801
Bond WAL TM => 8.267
Bond Modified Duration TW => 0.7845
Bond Z Spread TW => 166.2
Bond OAS TW => 218.8
|-----------------------------------------------------------------|
| 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Finish Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 1 ms
| Run Duration => 181 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nanchang
Effective Date => 15-OCT-2013
Maturity Date => 15-NOV-2030
Exercise Date => 15-NOV-2023
Price => 112.75555
Bond Accrued => 1.7500
Bond YTW => 3.119%
Bond YTM => 4.028%
Bond WAL TW => 5.877
Bond WAL TM => 10.925
Bond Modified Duration TW => 5.6143
Bond Z Spread TW => 76.6
Bond OAS TW => 90.3
|-----------------------------------------------------------------|
| 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 00:36:47 EST 2020
| Setup Time => Mon Jan 27 00:36:47 EST 2020
| Finish Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 0 ms
| Run Duration => 173 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nanchong
Effective Date => 15-MAY-2014
Maturity Date => 01-AUG-2036
Exercise Date => 01-FEB-2024
Price => 40.19465
Bond Accrued => 0.0000
Bond YTW => 3.880%
Bond YTM => 4.756%
Bond WAL TW => 6.892
Bond WAL TM => 19.392
Bond Modified Duration TW => 6.7580
Bond Z Spread TW => 146.4
Bond OAS TW => 162.8
|-----------------------------------------------------------------|
| 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Finish Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 222 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nanjing
Effective Date => 23-FEB-2016
Maturity Date => 23-FEB-2036
Exercise Date => 23-AUG-2035
Price => 106.55100
Bond Accrued => 0.2750
Bond YTW => 3.995%
Bond YTM => 4.003%
Bond WAL TW => 14.380
Bond WAL TM => 14.706
Bond Modified Duration TW => 12.6399
Bond Z Spread TW => 125.4
Bond OAS TW => 124.4
|-----------------------------------------------------------------|
| 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Finish Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 187 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nanning
Effective Date => 28-MAY-2015
Maturity Date => 01-AUG-2030
Exercise Date => 01-AUG-2024
Price => 100.66210
Bond Accrued => 0.4278
Bond YTW => 3.398%
Bond YTM => 3.438%
Bond WAL TW => 6.683
Bond WAL TM => 11.334
Bond Modified Duration TW => 6.4442
Bond Z Spread TW => 98.1
Bond OAS TW => 110.0
|-----------------------------------------------------------------|
| 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Finish Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 0 ms
| Run Duration => 205 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nanping
Effective Date => 11-OCT-2013
Maturity Date => 11-OCT-2033
Exercise Date => 11-JAN-2019
Price => 102.23740
Bond Accrued => 1.7073
Bond YTW => 2.532%
Bond YTM => 3.940%
Bond WAL TW => 1.787
Bond WAL TM => 13.318
Bond Modified Duration TW => 1.9632
Bond Z Spread TW => 119.8
Bond OAS TW => 170.4
|-----------------------------------------------------------------|
| 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Finish Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 308 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nantong
Effective Date => 28-MAY-2015
Maturity Date => 01-AUG-2031
Exercise Date => 01-AUG-2024
Price => 100.46800
Bond Accrued => 0.4339
Bond YTW => 3.477%
Bond YTM => 3.508%
Bond WAL TW => 6.675
Bond WAL TM => 12.042
Bond Modified Duration TW => 6.4300
Bond Z Spread TW => 106.1
Bond OAS TW => 118.0
|-----------------------------------------------------------------|
| 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 00:36:48 EST 2020
| Setup Time => Mon Jan 27 00:36:48 EST 2020
| Finish Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 1 ms
| Run Duration => 203 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nanyang
Effective Date => 05-JAN-2016
Maturity Date => 01-JUL-2034
Exercise Date => 01-JUL-2034
Price => 50.05650
Bond Accrued => 0.0000
Bond YTW => 4.038%
Bond YTM => 4.038%
Bond WAL TW => 17.308
Bond WAL TM => 17.308
Bond Modified Duration TW => 16.9509
Bond Z Spread TW => 123.0
Bond OAS TW => 132.5
|-----------------------------------------------------------------|
| 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Finish Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 203 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Nashik
Effective Date => 01-NOV-2010
Maturity Date => 01-FEB-2020
Exercise Date => 03-NOV-2019
Price => 108.40710
Bond Accrued => 0.7181
Bond YTW => 2.366%
Bond YTM => 2.826%
Bond WAL TW => 2.500
Bond WAL TM => 2.717
Bond Modified Duration TW => 2.6626
Bond Z Spread TW => 72.3
Bond OAS TW => 117.1
|-----------------------------------------------------------------|
| 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Finish Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 1 ms
| Run Duration => 188 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => NaviMumbai
Effective Date => 09-AUG-2016
Maturity Date => 15-AUG-2021
Exercise Date => 15-AUG-2020
Price => 105.95000
Bond Accrued => 0.6875
Bond YTW => 6.292%
Bond YTM => 6.674%
Bond WAL TW => 3.106
Bond WAL TM => 3.904
Bond Modified Duration TW => 2.9605
Bond Z Spread TW => 430.6
Bond OAS TW => 470.7
|-----------------------------------------------------------------|
| 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Finish Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 0 ms
| Run Duration => 159 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Neijiang
Effective Date => 21-DEC-2010
Maturity Date => 01-JUL-2040
Exercise Date => 01-JUL-2020
Price => 117.29635
Bond Accrued => 1.6239
Bond YTW => 2.426%
Bond YTM => 6.454%
Bond WAL TW => 3.016
Bond WAL TM => 15.917
Bond Modified Duration TW => 2.9326
Bond Z Spread TW => 45.8
Bond OAS TW => 86.8
|-----------------------------------------------------------------|
| 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 00:36:49 EST 2020
| Setup Time => Mon Jan 27 00:36:49 EST 2020
| Finish Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 0 ms
| Run Duration => 258 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Ningbo
Effective Date => 07-APR-2015
Maturity Date => 01-JUL-2034
Exercise Date => 01-JUL-2025
Price => 112.78200
Bond Accrued => 1.0278
Bond YTW => 3.233%
Bond YTM => 3.971%
Bond WAL TW => 7.161
Bond WAL TM => 13.409
Bond Modified Duration TW => 6.8266
Bond Z Spread TW => 77.3
Bond OAS TW => 87.1
|-----------------------------------------------------------------|
| 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Finish Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 0 ms
| Run Duration => 248 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Panjin
Effective Date => 12-NOV-2014
Maturity Date => 01-DEC-2024
Exercise Date => 01-SEP-2024
Price => 102.16160
Bond Accrued => 1.2133
Bond YTW => 3.756%
Bond YTM => 3.873%
Bond WAL TW => 6.640
Bond WAL TM => 6.839
Bond Modified Duration TW => 6.4893
Bond Z Spread TW => 144.7
Bond OAS TW => 155.9
|-----------------------------------------------------------------|
| 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Finish Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 0 ms
| Run Duration => 226 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Panzhihua
Effective Date => 16-AUG-2011
Maturity Date => 01-SEP-2041
Exercise Date => 01-SEP-2021
Price => 23.47290
Bond Accrued => 0.0000
Bond YTW => 1.644%
Bond YTM => 6.010%
Bond WAL TW => 4.475
Bond WAL TM => 24.475
Bond Modified Duration TW => 4.4374
Bond Z Spread TW => -53.6
Bond OAS TW => -17.2
|-----------------------------------------------------------------|
| 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Finish Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 1 ms
| Run Duration => 284 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Patna
Effective Date => 11-FEB-2016
Maturity Date => 11-FEB-2031
Exercise Date => 11-FEB-2031
Price => 95.44551
Bond Accrued => 0.2871
Bond YTW => 3.455%
Bond YTM => 3.455%
Bond WAL TW => 11.924
Bond WAL TM => 11.924
Bond Modified Duration TW => 11.1528
Bond Z Spread TW => 76.1
Bond OAS TW => 84.9
|-----------------------------------------------------------------|
| 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Finish Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 1 ms
| Run Duration => 229 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => PimpriChinchwad
Effective Date => 27-MAR-2012
Maturity Date => 01-MAY-2032
Exercise Date => 01-MAY-2022
Price => 106.68605
Bond Accrued => 1.8611
Bond YTW => 3.564%
Bond YTM => 4.390%
Bond WAL TW => 4.666
Bond WAL TM => 11.987
Bond Modified Duration TW => 4.4623
Bond Z Spread TW => 134.2
Bond OAS TW => 161.0
|-----------------------------------------------------------------|
| 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 00:36:50 EST 2020
| Setup Time => Mon Jan 27 00:36:50 EST 2020
| Finish Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 0 ms
| Run Duration => 219 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Pingdingshan
Effective Date => 25-MAR-2014
Maturity Date => 01-APR-2024
Exercise Date => 01-APR-2022
Price => 104.31250
Bond Accrued => 2.6764
Bond YTW => 4.901%
Bond YTM => 5.138%
Bond WAL TW => 4.536
Bond WAL TM => 6.097
Bond Modified Duration TW => 4.2511
Bond Z Spread TW => 269.3
Bond OAS TW => 296.1
|-----------------------------------------------------------------|
| 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Finish Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 1 ms
| Run Duration => 150 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Pizhou
Effective Date => 07-NOV-2016
Maturity Date => 01-DEC-2026
Exercise Date => 01-SEP-2026
Price => 97.29300
Bond Accrued => 1.4044
Bond YTW => 4.208%
Bond YTM => 4.292%
Bond WAL TW => 8.251
Bond WAL TM => 8.444
Bond Modified Duration TW => 7.8602
Bond Z Spread TW => 177.2
Bond OAS TW => 185.6
|-----------------------------------------------------------------|
| 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Finish Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 0 ms
| Run Duration => 184 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Putian
Effective Date => 23-NOV-2010
Maturity Date => 15-NOV-2035
Exercise Date => 15-APR-2020
Price => 111.05775
Bond Accrued => 2.4100
Bond YTW => 3.352%
Bond YTM => 6.220%
Bond WAL TW => 2.857
Bond WAL TM => 13.457
Bond Modified Duration TW => 2.8091
Bond Z Spread TW => 150.0
Bond OAS TW => 192.1
|-----------------------------------------------------------------|
| 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Finish Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 0 ms
| Run Duration => 251 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Puyang
Effective Date => 20-OCT-2015
Maturity Date => 15-OCT-2025
Exercise Date => 15-JUL-2025
Price => 107.59400
Bond Accrued => 2.0833
Bond YTW => 3.830%
Bond YTM => 3.949%
Bond WAL TW => 7.190
Bond WAL TM => 7.379
Bond Modified Duration TW => 6.8865
Bond Z Spread TW => 146.3
Bond OAS TW => 155.9
|-----------------------------------------------------------------|
| 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 00:36:51 EST 2020
| Setup Time => Mon Jan 27 00:36:51 EST 2020
| Finish Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 1 ms
| Run Duration => 194 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Qidong
Effective Date => 15-DEC-2010
Maturity Date => 01-JUL-2034
Exercise Date => 01-JUL-2020
Price => 114.84300
Bond Accrued => 1.5924
Bond YTW => 2.999%
Bond YTM => 6.323%
Bond WAL TM => 12.493
Bond WAL TW => 3.020
Bond Modified Duration TW => 2.9259
Bond Z Spread TM => 29.4
Bond Z Spread TW => 103.0
Bond OAS TM => 28.5
Bond OAS TW => 144.0
|-----------------------------------------------------------------|
| 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Finish Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 1 ms
| Run Duration => 287 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Qingdao
Effective Date => 27-JUN-2014
Maturity Date => 15-JAN-2025
Exercise Date => 15-OCT-2024
Price => 98.49900
Bond Accrued => 0.6500
Bond YTW => 4.017%
Bond YTM => 4.125%
Bond WAL TW => 6.784
Bond WAL TM => 6.986
Bond Modified Duration TW => 6.6470
Bond Z Spread TW => 170.5
Bond OAS TW => 181.9
|-----------------------------------------------------------------|
| 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Finish Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 0 ms
| Run Duration => 188 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Qinghuangdao
Effective Date => 24-FEB-2015
Maturity Date => 15-FEB-2025
Exercise Date => 15-NOV-2024
Price => 101.66100
Bond Accrued => 0.3625
Bond YTW => 3.985%
Bond YTM => 4.102%
Bond WAL TW => 6.780
Bond WAL TM => 6.977
Bond Modified Duration TW => 6.6449
Bond Z Spread TW => 166.7
Bond OAS TW => 177.7
|-----------------------------------------------------------------|
| 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Finish Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 0 ms
| Run Duration => 163 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Qiqihar
Effective Date => 21-OCT-2009
Maturity Date => 01-AUG-2034
Exercise Date => 01-AUG-2019
Price => 109.21045
Bond Accrued => 0.8128
Bond YTW => 2.649%
Bond YTM => 5.801%
Bond WAL TW => 2.261
Bond WAL TM => 12.862
Bond Modified Duration TW => 2.2143
Bond Z Spread TW => 86.7
Bond OAS TW => 132.2
|-----------------------------------------------------------------|
| 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Finish Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 0 ms
| Run Duration => 226 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Quanzhou
Effective Date => 04-MAR-2014
Maturity Date => 04-MAR-2024
Exercise Date => 04-DEC-2023
Price => 101.61400
Bond Accrued => 0.1314
Bond YTW => 3.898%
Bond YTM => 4.032%
Bond WAL TW => 6.032
Bond WAL TM => 6.235
Bond Modified Duration TW => 5.9888
Bond Z Spread TW => 166.0
Bond OAS TW => 179.8
|-----------------------------------------------------------------|
| 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 00:36:52 EST 2020
| Setup Time => Mon Jan 27 00:36:52 EST 2020
| Finish Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 1 ms
| Run Duration => 198 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Qujing
Effective Date => 24-SEP-2009
Maturity Date => 01-JUL-2039
Exercise Date => 01-JUL-2019
Price => 110.98800
Bond Accrued => 1.4204
Bond YTW => 2.013%
Bond YTM => 6.008%
Bond WAL TW => 2.182
Bond WAL TM => 15.694
Bond Modified Duration TW => 2.1352
Bond Z Spread TW => 25.3
Bond OAS TW => 70.9
|-----------------------------------------------------------------|
| 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Finish Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 0 ms
| Run Duration => 237 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------||
| Trade Date : 24-MAR-2017 ||
| Cash Settle Date : 24-MAR-2017 ||
|--------------------------------||
Bond Name => Raipur
Effective Date => 24-JUL-2014
Maturity Date => 24-JUL-2034
Exercise Date => 24-JUL-2017
Price => 100.71900
Bond Accrued => 0.6650
Bond YTM => 3.93%
Bond YTW => 1.81%
Bond WAL TM => 13.9
Bond WAL TW => 00.3
Bond Modified Duration TM => 12.3590
Bond Modified Duration TW => 00.3303
Bond OAS Duration => 00.3325
Bond Z Spread TM => 120
Bond Z Spread TW => 075
Bond OAS TM => 310
Bond OAS TW => 098
|-----------------------------------------------------------------|
| 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Finish Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 1 ms
| Run Duration => 211 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Ranchi
Effective Date => 01-FEB-2016
Maturity Date => 01-FEB-2036
Exercise Date => 01-FEB-2036
Price => 97.80646
Bond Accrued => 0.4351
Bond YTW => 3.723%
Bond YTM => 3.723%
Bond WAL TW => 15.193
Bond WAL TM => 15.193
Bond Modified Duration TW => 13.5294
Bond Z Spread TW => 96.3
Bond OAS TW => 95.8
|-----------------------------------------------------------------|
| 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Finish Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 1 ms
| Run Duration => 229 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Rizhao
Effective Date => 23-DEC-2014
Maturity Date => 15-NOV-2045
Exercise Date => 15-NOV-2031
Price => 26.37600
Bond Accrued => 0.0000
Bond YTW => 4.607%
Bond YTM => 4.701%
Bond WAL TW => 14.681
Bond WAL TM => 28.681
Bond Modified Duration TW => 14.3394
Bond Z Spread TW => 184.4
Bond OAS TW => 197.7
|-----------------------------------------------------------------|
| 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 00:36:53 EST 2020
| Setup Time => Mon Jan 27 00:36:53 EST 2020
| Finish Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 1 ms
| Run Duration => 313 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Rugao
Effective Date => 13-NOV-2013
Maturity Date => 01-NOV-2028
Exercise Date => 01-NOV-2023
Price => 104.15725
Bond Accrued => 1.5633
Bond YTW => 3.493%
Bond YTM => 3.755%
Bond WAL TW => 5.971
Bond WAL TM => 9.812
Bond Modified Duration TW => 5.6993
Bond Z Spread TW => 113.4
Bond OAS TW => 128.3
|-----------------------------------------------------------------|
| 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Finish Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 0 ms
| Run Duration => 173 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shanghai
Effective Date => 01-DEC-2010
Maturity Date => 01-SEP-2035
Exercise Date => 01-SEP-2020
Price => 104.82220
Bond Accrued => 0.2761
Bond YTW => 5.554%
Bond YTM => 6.643%
Bond WAL TW => 3.180
Bond WAL TM => 13.375
Bond Modified Duration TW => 3.0587
Bond Z Spread TW => 355.4
Bond OAS TW => 395.9
|-----------------------------------------------------------------|
| 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Finish Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 0 ms
| Run Duration => 298 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shantou
Effective Date => 08-OCT-2014
Maturity Date => 08-OCT-2024
Exercise Date => 08-JUL-2024
Price => 92.02673
Bond Accrued => 1.7444
Bond YTW => 5.175%
Bond YTM => 5.290%
Bond WAL TW => 6.552
Bond WAL TM => 6.754
Bond Modified Duration TW => 6.2761
Bond Z Spread TW => 292.2
Bond OAS TW => 303.4
|-----------------------------------------------------------------|
| 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Finish Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 1 ms
| Run Duration => 195 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shaoxing
Effective Date => 27-JAN-2011
Maturity Date => 01-SEP-2038
Exercise Date => 01-SEP-2021
Price => 28.14690
Bond Accrued => 0.0000
Bond YTW => 1.796%
Bond YTM => 5.991%
Bond WAL TW => 4.475
Bond WAL TM => 21.475
Bond Modified Duration TW => 4.4341
Bond Z Spread TW => -38.4
Bond OAS TW => -2.0
|-----------------------------------------------------------------|
| 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 00:36:54 EST 2020
| Setup Time => Mon Jan 27 00:36:54 EST 2020
| Finish Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 1 ms
| Run Duration => 230 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shaoyang
Effective Date => 16-AUG-2011
Maturity Date => 01-SEP-2033
Exercise Date => 01-SEP-2021
Price => 41.78590
Bond Accrued => 0.0000
Bond YTW => 1.731%
Bond YTM => 5.367%
Bond WAL TW => 4.475
Bond WAL TM => 16.475
Bond Modified Duration TW => 4.4355
Bond Z Spread TW => -44.9
Bond OAS TW => -8.5
|-----------------------------------------------------------------|
| 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Finish Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
| Run Duration => 194 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shenyang
Effective Date => 14-SEP-2015
Maturity Date => 01-OCT-2035
Exercise Date => 01-APR-2035
Price => 110.75500
Bond Accrued => 2.3233
Bond YTW => 4.241%
Bond YTM => 4.256%
Bond WAL TW => 13.849
Bond WAL TM => 14.168
Bond Modified Duration TW => 11.8370
Bond Z Spread TW => 151.4
Bond OAS TW => 150.3
|-----------------------------------------------------------------|
| 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Finish Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
| Run Duration => 217 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shenzhen
Effective Date => 04-MAR-2016
Maturity Date => 01-JUN-2023
Exercise Date => 01-JUN-2023
Price => 99.75000
Bond Accrued => 1.6250
Bond YTW => 5.671%
Bond YTM => 5.671%
Bond WAL TW => 5.481
Bond WAL TM => 5.481
Bond Modified Duration TW => 5.1102
Bond Z Spread TW => 335.9
Bond OAS TW => 353.3
|-----------------------------------------------------------------|
| 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Finish Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
| Run Duration => 171 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => ShijiaZhuang
Effective Date => 15-JUL-2009
Maturity Date => 01-FEB-2039
Exercise Date => 01-FEB-2019
Price => 109.88160
Bond Accrued => 1.0083
Bond YTW => 2.845%
Bond YTM => 7.335%
Bond WAL TW => 1.796
Bond WAL TM => 15.007
Bond Modified Duration TW => 1.7570
Bond Z Spread TW => 117.4
Bond OAS TW => 166.4
|-----------------------------------------------------------------|
| 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Finish Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Shouguang
Effective Date => 22-JUN-2010
Maturity Date => 01-JUN-2032
Exercise Date => 01-JUN-2020
Price => 110.83910
Bond Accrued => 1.9332
Bond YTW => 3.130%
Bond YTM => 5.622%
Bond WAL TW => 2.981
Bond WAL TM => 11.508
Bond Modified Duration TW => 2.8776
Bond Z Spread TW => 117.2
Bond OAS TW => 159.0
|-----------------------------------------------------------------|
| 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 00:36:55 EST 2020
| Setup Time => Mon Jan 27 00:36:55 EST 2020
| Finish Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 209 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Solapur
Effective Date => 22-FEB-2016
Maturity Date => 22-FEB-2041
Exercise Date => 22-FEB-2041
Price => 97.80581
Bond Accrued => 0.2332
Bond YTW => 3.790%
Bond YTM => 3.790%
Bond WAL TW => 18.481
Bond WAL TM => 18.481
Bond Modified Duration TW => 15.7250
Bond Z Spread TW => 100.7
Bond OAS TW => 87.9
|-----------------------------------------------------------------|
| 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Finish Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 213 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Srinagar
Effective Date => 22-OCT-2015
Maturity Date => 22-OCT-2035
Exercise Date => 22-OCT-2035
Price => 97.96771
Bond Accrued => 1.4399
Bond YTW => 3.778%
Bond YTM => 3.778%
Bond WAL TW => 14.966
Bond WAL TM => 14.966
Bond Modified Duration TW => 13.1882
Bond Z Spread TW => 102.3
Bond OAS TW => 102.2
|-----------------------------------------------------------------|
| 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Finish Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 236 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Suihua
Effective Date => 28-SEP-2016
Maturity Date => 01-APR-2027
Exercise Date => 01-JAN-2027
Price => 96.11900
Bond Accrued => 1.9947
Bond YTW => 4.704%
Bond YTM => 4.790%
Bond WAL TW => 8.426
Bond WAL TM => 8.615
Bond Modified Duration TW => 7.8718
Bond Z Spread TW => 226.2
Bond OAS TW => 233.3
|-----------------------------------------------------------------|
| 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Finish Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 1 ms
| Run Duration => 160 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Surat
Effective Date => 13-MAR-2012
Maturity Date => 01-APR-2022
Exercise Date => 01-JAN-2022
Price => 102.37500
Bond Accrued => 2.2550
Bond YTW => 4.201%
Bond YTM => 4.420%
Bond WAL TW => 4.392
Bond WAL TM => 4.601
Bond Modified Duration TW => 4.3548
Bond Z Spread TW => 220.5
Bond OAS TW => 250.6
|-----------------------------------------------------------------|
| 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Finish Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 141 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Suzhou
Effective Date => 30-NOV-2015
Maturity Date => 15-MAY-2025
Exercise Date => 15-MAY-2020
Price => 106.87500
Bond Accrued => 2.1250
Bond YTW => 4.947%
Bond YTM => 5.326%
Bond WAL TW => 2.959
Bond WAL TM => 6.863
Bond Modified Duration TW => 2.8177
Bond Z Spread TW => 299.7
Bond OAS TW => 341.7
|-----------------------------------------------------------------|
| 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 00:36:56 EST 2020
| Setup Time => Mon Jan 27 00:36:56 EST 2020
| Finish Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 199 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Taian
Effective Date => 20-AUG-2009
Maturity Date => 01-AUG-2029
Exercise Date => 01-AUG-2019
Price => 109.68200
Bond Accrued => 0.8556
Bond YTW => 2.786%
Bond YTM => 5.887%
Bond WAL TW => 2.255
Bond WAL TM => 9.629
Bond Modified Duration TW => 2.2060
Bond Z Spread TW => 100.5
Bond OAS TW => 145.9
|-----------------------------------------------------------------|
| 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Finish Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 189 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Taixing
Effective Date => 21-DEC-2010
Maturity Date => 15-DEC-2035
Exercise Date => 15-JUN-2020
Price => 110.89370
Bond Accrued => 1.7850
Bond YTW => 3.572%
Bond YTM => 6.152%
Bond WAL TW => 3.001
Bond WAL TM => 13.534
Bond Modified Duration TW => 2.8913
Bond Z Spread TW => 160.9
Bond OAS TW => 202.3
|-----------------------------------------------------------------|
| 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Finish Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 233 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Taiyuan
Effective Date => 15-OCT-2013
Maturity Date => 15-NOV-2027
Exercise Date => 15-NOV-2023
Price => 114.61580
Bond Accrued => 1.7500
Bond YTW => 2.833%
Bond YTM => 3.590%
Bond WAL TW => 5.877
Bond WAL TM => 8.851
Bond Modified Duration TW => 5.6320
Bond Z Spread TW => 47.9
Bond OAS TW => 61.7
|-----------------------------------------------------------------|
| 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Finish Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 167 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Taizhou
Effective Date => 15-DEC-2010
Maturity Date => 01-DEC-2030
Exercise Date => 01-DEC-2020
Price => 113.34295
Bond Accrued => 1.8477
Bond YTW => 2.612%
Bond YTM => 5.037%
Bond WAL TW => 3.413
Bond WAL TM => 10.633
Bond Modified Duration TW => 3.3043
Bond Z Spread TW => 57.0
Bond OAS TW => 96.2
|-----------------------------------------------------------------|
| 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Finish Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 192 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Tangshan
Effective Date => 19-DEC-2014
Maturity Date => 01-JUN-2036
Exercise Date => 01-DEC-2024
Price => 113.41045
Bond Accrued => 1.4444
Bond YTW => 3.039%
Bond YTM => 3.994%
Bond WAL TW => 6.717
Bond WAL TM => 14.635
Bond Modified Duration TW => 6.4135
Bond Z Spread TW => 61.2
Bond OAS TW => 71.8
|-----------------------------------------------------------------|
| 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 00:36:57 EST 2020
| Setup Time => Mon Jan 27 00:36:57 EST 2020
| Finish Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 1 ms
| Run Duration => 235 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Tanjin
Effective Date => 23-NOV-2010
Maturity Date => 01-DEC-2030
Exercise Date => 01-DEC-2020
Price => 112.50000
Bond Accrued => 1.8717
Bond YTW => 2.912%
Bond YTM => 5.193%
Bond WAL TW => 3.410
Bond WAL TM => 10.612
Bond Modified Duration TW => 3.2932
Bond Z Spread TW => 87.0
Bond OAS TW => 126.2
|-----------------------------------------------------------------|
| 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Finish Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 1 ms
| Run Duration => 189 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => 74526QLS9
Effective Date => 03-MAY-2007
Maturity Date => 01-JUL-2023
Exercise Date => 01-JUL-2017
Price => 103.80000
Bond Accrued => 1.0278
Bond YTW => -6.945%
Bond YTM => 4.305%
Bond WAL TW => 0.308
Bond WAL TM => 5.611
Bond Modified Duration TW => 0.3194
Bond Z Spread TW => -811.9
Bond OAS TW => -777.5
|-----------------------------------------------------------------|
| 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Finish Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 0 ms
| Run Duration => 158 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Tianshui
Effective Date => 04-SEP-2014
Maturity Date => 01-JUL-2028
Exercise Date => 01-JUL-2024
Price => 111.49700
Bond Accrued => 1.0278
Bond YTW => 3.221%
Bond YTM => 3.743%
Bond WAL TW => 6.396
Bond WAL TM => 9.355
Bond Modified Duration TW => 6.1274
Bond Z Spread TW => 82.2
Bond OAS TW => 92.9
|-----------------------------------------------------------------|
| 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Finish Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 0 ms
| Run Duration => 172 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Tieling
Effective Date => 11-MAY-2011
Maturity Date => 01-MAY-2026
Exercise Date => 01-MAY-2021
Price => 113.85400
Bond Accrued => 2.2519
Bond YTW => 2.506%
Bond YTM => 4.208%
Bond WAL TW => 3.776
Bond WAL TM => 7.602
Bond Modified Duration TW => 3.6408
Bond Z Spread TW => 40.5
Bond OAS TW => 76.5
|-----------------------------------------------------------------|
| 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Finish Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 1 ms
| Run Duration => 189 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Urumqi
Effective Date => 24-NOV-2014
Maturity Date => 01-DEC-2024
Exercise Date => 01-SEP-2024
Price => 103.36520
Bond Accrued => 1.3722
Bond YTW => 4.104%
Bond YTM => 4.234%
Bond WAL TW => 6.559
Bond WAL TM => 6.754
Bond Modified Duration TW => 6.3617
Bond Z Spread TW => 180.8
Bond OAS TW => 191.5
|-----------------------------------------------------------------|
| 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 00:36:58 EST 2020
| Setup Time => Mon Jan 27 00:36:58 EST 2020
| Finish Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
| Run Duration => 205 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Vadodra
Effective Date => 22-DEC-2011
Maturity Date => 01-JUL-2041
Exercise Date => 01-JUL-2021
Price => 104.89660
Bond Accrued => 1.0278
Bond YTW => 3.757%
Bond YTM => 4.661%
Bond WAL TW => 3.970
Bond WAL TM => 17.777
Bond Modified Duration TW => 3.8328
Bond Z Spread TW => 163.0
Bond OAS TW => 197.9
|-----------------------------------------------------------------|
| 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Finish Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
| Run Duration => 246 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Varanasi
Effective Date => 27-NOV-2015
Maturity Date => 27-NOV-2030
Exercise Date => 27-NOV-2030
Price => 98.26487
Bond Accrued => 0.9990
Bond YTW => 3.490%
Bond YTM => 3.490%
Bond WAL TW => 11.642
Bond WAL TM => 11.642
Bond Modified Duration TW => 10.7917
Bond Z Spread TW => 80.6
Bond OAS TW => 89.1
|-----------------------------------------------------------------|
| 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Finish Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
| Run Duration => 190 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => VasaiVirar
Effective Date => 23-DEC-2015
Maturity Date => 23-DEC-2030
Exercise Date => 23-DEC-2030
Price => 99.65218
Bond Accrued => 0.8041
Bond YTW => 3.562%
Bond YTM => 3.562%
Bond WAL TW => 11.611
Bond WAL TM => 11.611
Bond Modified Duration TW => 10.7471
Bond Z Spread TW => 87.9
Bond OAS TW => 96.1
|-----------------------------------------------------------------|
| 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Finish Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
| Run Duration => 216 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Vijayawada
Effective Date => 05-SEP-2014
Maturity Date => 05-SEP-2034
Exercise Date => 05-SEP-2034
Price => 99.94046
Bond Accrued => 0.1094
Bond YTW => 3.945%
Bond YTM => 3.945%
Bond WAL TW => 14.022
Bond WAL TM => 14.022
Bond Modified Duration TW => 12.5330
Bond Z Spread TW => 120.7
Bond OAS TW => 122.5
|-----------------------------------------------------------------|
| 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Finish Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
| Run Duration => 234 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Visakhapatnam
Effective Date => 01-FEB-2016
Maturity Date => 01-FEB-2033
Exercise Date => 01-FEB-2033
Price => 96.68369
Bond Accrued => 0.4070
Bond YTW => 3.606%
Bond YTM => 3.606%
Bond WAL TW => 13.228
Bond WAL TM => 13.228
Bond Modified Duration TW => 12.1246
Bond Z Spread TW => 88.0
Bond OAS TW => 93.7
|-----------------------------------------------------------------|
| 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 00:36:59 EST 2020
| Setup Time => Mon Jan 27 00:36:59 EST 2020
| Finish Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 1 ms
| Run Duration => 195 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Weifang
Effective Date => 30-DEC-2010
Maturity Date => 15-DEC-2040
Exercise Date => 15-DEC-2019
Price => 110.64430
Bond Accrued => 1.8750
Bond YTW => 3.428%
Bond YTM => 6.605%
Bond WAL TW => 2.568
Bond WAL TM => 16.312
Bond Modified Duration TW => 2.4786
Bond Z Spread TW => 156.5
Bond OAS TW => 200.1
|-----------------------------------------------------------------|
| 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Finish Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
| Run Duration => 290 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Weihai
Effective Date => 12-SEP-2014
Maturity Date => 15-MAR-2025
Exercise Date => 15-MAR-2025
Price => 99.62100
Bond Accrued => 2.2500
Bond YTW => 4.557%
Bond YTM => 4.557%
Bond WAL TW => 7.018
Bond WAL TM => 7.018
Bond Modified Duration TW => 6.5159
Bond Z Spread TW => 211.3
Bond OAS TW => 221.6
|-----------------------------------------------------------------|
| 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Finish Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 1 ms
| Run Duration => 173 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Wenling
Effective Date => 16-SEP-2014
Maturity Date => 15-DEC-2024
Exercise Date => 15-SEP-2024
Price => 100.20312
Bond Accrued => 1.0938
Bond YTW => 4.223%
Bond YTM => 4.343%
Bond WAL TW => 6.644
Bond WAL TM => 6.842
Bond Modified Duration TW => 6.4586
Bond Z Spread TW => 192.5
Bond OAS TW => 203.5
|-----------------------------------------------------------------|
| 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Finish Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
| Run Duration => 179 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Wenzhou
Effective Date => 18-FEB-2015
Maturity Date => 01-MAR-2025
Exercise Date => 12-JAN-2024
Price => 101.00000
Bond Accrued => 0.2139
Bond YTW => 5.236%
Bond YTM => 5.344%
Bond WAL TW => 5.971
Bond WAL TM => 6.835
Bond Modified Duration TW => 5.7307
Bond Z Spread TW => 296.3
Bond OAS TW => 307.9
|-----------------------------------------------------------------|
| 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Finish Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
| Run Duration => 209 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Wuchuan
Effective Date => 01-JUL-2015
Maturity Date => 01-JAN-2022
Exercise Date => 01-JAN-2022
Price => 102.23200
Bond Accrued => 0.8471
Bond YTW => 3.610%
Bond YTM => 3.610%
Bond WAL TW => 4.451
Bond WAL TM => 4.451
Bond Modified Duration TW => 4.3048
Bond Z Spread TW => 141.6
Bond OAS TW => 172.1
|-----------------------------------------------------------------|
| 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 00:37:00 EST 2020
| Setup Time => Mon Jan 27 00:37:00 EST 2020
| Finish Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 0 ms
| Run Duration => 210 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => 015271AC3
Effective Date => 29-FEB-2012
Maturity Date => 01-APR-2022
Exercise Date => 01-JAN-2022
Price => 105.63140
Bond Accrued => 2.0956
Bond YTW => 3.174%
Bond YTM => 3.379%
Bond WAL TW => 4.417
Bond WAL TM => 4.628
Bond Modified Duration TW => 4.4271
Bond Z Spread TW => 113.0
Bond OAS TW => 143.3
|-----------------------------------------------------------------|
| 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Finish Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
| Run Duration => 198 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Wuhu
Effective Date => 22-DEC-2010
Maturity Date => 01-JUL-2040
Exercise Date => 01-JUL-2020
Price => 114.21000
Bond Accrued => 1.4280
Bond YTW => 2.448%
Bond YTM => 5.824%
Bond WAL TW => 3.044
Bond WAL TM => 16.257
Bond Modified Duration TW => 2.9644
Bond Z Spread TW => 47.6
Bond OAS TW => 89.0
|-----------------------------------------------------------------|
| 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Finish Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
| Run Duration => 292 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Wuwei
Effective Date => 01-APR-2010
Maturity Date => 01-MAR-2036
Exercise Date => 01-MAR-2020
Price => 115.62800
Bond Accrued => 0.3092
Bond YTW => 2.469%
Bond YTM => 6.504%
Bond WAL TW => 2.738
Bond WAL TM => 13.420
Bond Modified Duration TW => 2.6910
Bond Z Spread TW => 56.3
Bond OAS TW => 98.6
|-----------------------------------------------------------------|
| 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Finish Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
| Run Duration => 251 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Wuxi
Effective Date => 26-OCT-2010
Maturity Date => 01-OCT-2040
Exercise Date => 01-OCT-2020
Price => 113.54980
Bond Accrued => 3.1889
Bond YTW => 2.959%
Bond YTM => 5.925%
Bond WAL TW => 3.253
Bond WAL TM => 16.381
Bond Modified Duration TW => 3.1044
Bond Z Spread TW => 94.5
Bond OAS TW => 134.6
|-----------------------------------------------------------------|
| 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 00:37:01 EST 2020
| Setup Time => Mon Jan 27 00:37:01 EST 2020
| Finish Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 1 ms
| Run Duration => 234 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xiamen
Effective Date => 26-JAN-2015
Maturity Date => 01-FEB-2025
Exercise Date => 01-NOV-2024
Price => 97.69282
Bond Accrued => 0.4889
Bond YTW => 4.238%
Bond YTM => 4.348%
Bond WAL TW => 6.804
Bond WAL TM => 7.004
Bond Modified Duration TW => 6.6540
Bond Z Spread TW => 192.9
Bond OAS TW => 204.2
|-----------------------------------------------------------------|
| 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Finish Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 1 ms
| Run Duration => 205 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xian
Effective Date => 22-DEC-2010
Maturity Date => 01-SEP-2029
Exercise Date => 01-SEP-2020
Price => 109.22485
Bond Accrued => 0.2417
Bond YTW => 3.378%
Bond YTM => 5.200%
Bond WAL TW => 3.211
Bond WAL TM => 9.860
Bond Modified Duration TW => 3.1359
Bond Z Spread TW => 137.4
Bond OAS TW => 178.2
|-----------------------------------------------------------------|
| 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Finish Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 1 ms
| Run Duration => 179 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xiangcheng
Effective Date => 03-DEC-2013
Maturity Date => 01-OCT-2032
Exercise Date => 01-OCT-2023
Price => 46.25000
Bond Accrued => 0.0000
Bond YTW => 3.758%
Bond YTM => 5.018%
Bond WAL TW => 6.558
Bond WAL TM => 15.558
Bond Modified Duration TW => 6.4351
Bond Z Spread TW => 137.0
Bond OAS TW => 156.3
|-----------------------------------------------------------------|
| 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Finish Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 0 ms
| Run Duration => 195 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xiangtan
Effective Date => 22-DEC-2010
Maturity Date => 01-AUG-2028
Exercise Date => 01-AUG-2020
Price => 115.09175
Bond Accrued => 0.8706
Bond YTW => 2.457%
Bond YTM => 5.337%
Bond WAL TW => 3.109
Bond WAL TM => 8.951
Bond Modified Duration TW => 3.0404
Bond Z Spread TW => 47.0
Bond OAS TW => 88.0
|-----------------------------------------------------------------|
| 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Finish Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 0 ms
| Run Duration => 169 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xiangyang
Effective Date => 16-DEC-2010
Maturity Date => 01-APR-2035
Exercise Date => 01-APR-2020
Price => 112.88000
Bond Accrued => 3.6203
Bond YTW => 3.470%
Bond YTM => 6.706%
Bond WAL TW => 2.807
Bond WAL TM => 12.884
Bond Modified Duration TW => 2.6639
Bond Z Spread TW => 154.7
Bond OAS TW => 196.7
|-----------------------------------------------------------------|
| 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 00:37:02 EST 2020
| Setup Time => Mon Jan 27 00:37:02 EST 2020
| Finish Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
| Run Duration => 215 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xianyang
Effective Date => 17-MAR-2014
Maturity Date => 15-APR-2024
Exercise Date => 15-JAN-2024
Price => 100.79400
Bond Accrued => 1.6667
Bond YTW => 3.747%
Bond YTM => 3.870%
Bond WAL TW => 6.163
Bond WAL TM => 6.367
Bond Modified Duration TW => 6.0374
Bond Z Spread TW => 149.1
Bond OAS TW => 162.1
|-----------------------------------------------------------------|
| 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Finish Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
| Run Duration => 179 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xingtai
Effective Date => 12-DEC-2007
Maturity Date => 15-DEC-2037
Exercise Date => 15-DEC-2032
Price => 124.50280
Bond Accrued => 1.9687
Bond YTW => 5.525%
Bond YTM => 5.825%
Bond WAL TW => 11.536
Bond WAL TM => 14.476
Bond Modified Duration TW => 9.5776
Bond Z Spread TW => 286.5
Bond OAS TW => 286.1
|-----------------------------------------------------------------|
| 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Finish Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
| Run Duration => 212 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xining
Effective Date => 04-SEP-2014
Maturity Date => 01-JUL-2030
Exercise Date => 01-JUL-2024
Price => 112.32400
Bond Accrued => 1.0278
Bond YTW => 3.102%
Bond YTM => 3.810%
Bond WAL TW => 6.396
Bond WAL TM => 10.749
Bond Modified Duration TW => 6.1358
Bond Z Spread TW => 70.3
Bond OAS TW => 81.0
|-----------------------------------------------------------------|
| 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Finish Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
| Run Duration => 189 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xinxiang
Effective Date => 06-JUN-2013
Maturity Date => 15-JUN-2023
Exercise Date => 15-DEC-2022
Price => 102.22500
Bond Accrued => 1.1250
Bond YTW => 4.062%
Bond YTM => 4.093%
Bond WAL TW => 5.221
Bond WAL TM => 5.629
Bond Modified Duration TW => 4.9948
Bond Z Spread TW => 177.8
Bond OAS TW => 200.2
|-----------------------------------------------------------------|
| 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Finish Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
| Run Duration => 157 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xinyang
Effective Date => 17-NOV-2010
Maturity Date => 01-JAN-2032
Exercise Date => 01-JAN-2020
Price => 106.49600
Bond Accrued => 1.4934
Bond YTW => 4.762%
Bond YTM => 6.571%
Bond WAL TW => 2.611
Bond WAL TM => 11.100
Bond Modified Duration TW => 2.5069
Bond Z Spread TW => 288.8
Bond OAS TW => 332.3
|-----------------------------------------------------------------|
| 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 00:37:03 EST 2020
| Setup Time => Mon Jan 27 00:37:03 EST 2020
| Finish Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 226 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xinyi
Effective Date => 03-FEB-2016
Maturity Date => 15-FEB-2026
Exercise Date => 15-AUG-2025
Price => 103.47500
Bond Accrued => 0.4375
Bond YTW => 4.745%
Bond YTM => 4.767%
Bond WAL TW => 7.213
Bond WAL TM => 7.585
Bond Modified Duration TW => 6.7629
Bond Z Spread TW => 228.3
Bond OAS TW => 237.4
|-----------------------------------------------------------------|
| 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Finish Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 1 ms
| Run Duration => 203 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xuchang
Effective Date => 25-MAR-2014
Maturity Date => 01-MAR-2026
Exercise Date => 01-MAR-2024
Price => 116.08800
Bond Accrued => 0.1944
Bond YTW => 2.474%
Bond YTM => 2.947%
Bond WAL TW => 6.138
Bond WAL TM => 7.662
Bond Modified Duration TW => 5.9772
Bond Z Spread TW => 9.7
Bond OAS TW => 20.9
|-----------------------------------------------------------------|
| 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Finish Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 185 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Xuzhou
Effective Date => 27-FEB-2014
Maturity Date => 01-AUG-2027
Exercise Date => 01-AUG-2023
Price => 68.05800
Bond Accrued => 0.0000
Bond YTW => 3.330%
Bond YTM => 3.738%
Bond WAL TW => 6.392
Bond WAL TM => 10.392
Bond Modified Duration TW => 6.2849
Bond Z Spread TW => 95.5
Bond OAS TW => 116.3
|-----------------------------------------------------------------|
| 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Finish Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 164 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yancheng
Effective Date => 02-NOV-2010
Maturity Date => 01-AUG-2040
Exercise Date => 01-AUG-2020
Price => 111.04450
Bond Accrued => 0.7745
Bond YTW => 2.894%
Bond YTM => 5.492%
Bond WAL TW => 3.135
Bond WAL TM => 16.556
Bond Modified Duration TW => 3.0592
Bond Z Spread TW => 90.4
Bond OAS TW => 131.7
|-----------------------------------------------------------------|
| 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 00:37:04 EST 2020
| Setup Time => Mon Jan 27 00:37:04 EST 2020
| Finish Time => Mon Jan 27 00:37:04 EST 2020
| Setup Duration => 0 ms
| Run Duration => 282 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yangjiang
Effective Date => 25-SEP-2014
Maturity Date => 15-OCT-2024
Exercise Date => 15-OCT-2022
Price => 103.50000
Bond Accrued => 2.4479
Bond YTW => 5.146%
Bond YTM => 5.308%
Bond WAL TW => 4.966
Bond WAL TM => 6.501
Bond Modified Duration TW => 4.6374
Bond Z Spread TW => 288.7
Bond OAS TW => 311.4
|-----------------------------------------------------------------|
| 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Finish Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 204 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yangzhou
Effective Date => 28-OCT-1944
Maturity Date => 01-JUL-2019
Exercise Date => 01-JUL-2019
Price => 95.31250
Bond Accrued => 0.8222
Bond YTW => 6.208%
Bond YTM => 6.208%
Bond WAL TW => 2.231
Bond WAL TM => 2.231
Bond Modified Duration TW => 2.1424
Bond Z Spread TW => 444.2
Bond OAS TW => 490.4
|-----------------------------------------------------------------|
| 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Finish Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 0 ms
| Run Duration => 166 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yantai
Effective Date => 01-JUL-2011
Maturity Date => 01-JUL-2034
Exercise Date => 01-JUL-2020
Price => 111.20000
Bond Accrued => 1.0278
Bond YTW => 1.516%
Bond YTM => 4.090%
Bond WAL TW => 3.108
Bond WAL TM => 13.409
Bond Modified Duration TW => 3.0545
Bond Z Spread TW => -46.3
Bond OAS TW => -4.3
|-----------------------------------------------------------------|
| 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Finish Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 0 ms
| Run Duration => 235 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yibin
Effective Date => 01-MAY-2015
Maturity Date => 01-FEB-2020
Exercise Date => 01-FEB-2018
Price => 104.37070
Bond Accrued => 1.0542
Bond YTW => 5.899%
Bond YTM => 6.926%
Bond WAL TW => 0.876
Bond WAL TM => 2.651
Bond Modified Duration TW => 0.8466
Bond Z Spread TW => 451.4
Bond OAS TW => 506.9
|-----------------------------------------------------------------|
| 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Finish Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 1 ms
| Run Duration => 138 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yichang
Effective Date => 21-MAR-2012
Maturity Date => 01-AUG-2033
Exercise Date => 01-AUG-2022
Price => 112.00000
Bond Accrued => 0.8405
Bond YTW => 4.355%
Bond YTM => 5.737%
Bond WAL TW => 4.729
Bond WAL TM => 12.180
Bond Modified Duration TW => 4.5179
Bond Z Spread TW => 211.8
Bond OAS TW => 235.8
|-----------------------------------------------------------------|
| 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Finish Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 0 ms
| Run Duration => 211 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yinchuan
Effective Date => 17-NOV-2014
Maturity Date => 15-NOV-2034
Exercise Date => 15-MAY-2034
Price => 100.92700
Bond Accrued => 1.5500
Bond YTW => 4.571%
Bond YTM => 4.572%
Bond WAL TW => 13.476
Bond WAL TM => 13.804
Bond Modified Duration TW => 11.5963
Bond Z Spread TW => 185.1
Bond OAS TW => 186.1
|-----------------------------------------------------------------|
| 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 00:37:05 EST 2020
| Setup Time => Mon Jan 27 00:37:05 EST 2020
| Finish Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 1 ms
| Run Duration => 195 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yingkou
Effective Date => 27-JAN-2011
Maturity Date => 01-MAY-2026
Exercise Date => 01-MAY-2020
Price => 109.99500
Bond Accrued => 2.5125
Bond YTW => 3.369%
Bond YTM => 5.352%
Bond WAL TW => 2.909
Bond WAL TM => 7.492
Bond Modified Duration TW => 2.7890
Bond Z Spread TW => 142.7
Bond OAS TW => 184.7
|-----------------------------------------------------------------|
| 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Finish Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 0 ms
| Run Duration => 156 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yiwu
Effective Date => 11-AUG-2014
Maturity Date => 15-AUG-2017
Exercise Date => 15-JUL-2017
Price => 100.09500
Bond Accrued => 0.1562
Bond YTW => 1.289%
Bond YTM => 1.652%
Bond WAL TW => 0.347
Bond WAL TM => 0.431
Bond Modified Duration TW => 0.4278
Bond Z Spread TW => 40.9
Bond OAS TW => 76.7
|-----------------------------------------------------------------|
| 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Finish Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 0 ms
| Run Duration => 126 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yixing
Effective Date => 08-AUG-2015
Maturity Date => 10-MAR-2024
Exercise Date => 15-JUN-2023
Price => 100.05300
Bond Accrued => 0.0708
Bond YTW => 4.931%
Bond YTM => 5.091%
Bond WAL TW => 5.565
Bond WAL TM => 6.145
Bond Modified Duration TW => 5.3378
Bond Z Spread TW => 276.9
Bond OAS TW => 294.4
|-----------------------------------------------------------------|
| 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Finish Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 1 ms
| Run Duration => 201 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yueyang
Effective Date => 31-JUL-2015
Maturity Date => 01-AUG-2025
Exercise Date => 01-MAY-2025
Price => 105.17500
Bond Accrued => 0.5958
Bond YTW => 4.018%
Bond YTM => 4.138%
Bond WAL TW => 7.054
Bond WAL TM => 7.245
Bond Modified Duration TW => 6.8494
Bond Z Spread TW => 167.0
Bond OAS TW => 176.9
|-----------------------------------------------------------------|
| 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Finish Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 0 ms
| Run Duration => 180 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond, Issue, Maturity, Exercise, Clean Price, Accrued, Yield TW, Yield TM, WAL TW, WAL TM, Duration TW, Discount Margin TW, OAS TW
Yulin,08-AUG-2016,08-AUG-2031,08-MAY-2031, 094.112, 0.2775, 3.175%, 3.214%, 12.271, 12.462, 11.7151, 194.552, 60.764
|-----------------------------------------------------------------|
| 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 00:37:06 EST 2020
| Setup Time => Mon Jan 27 00:37:06 EST 2020
| Finish Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 1 ms
| Run Duration => 267 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Yuzhou
Effective Date => 04-MAY-2016
Maturity Date => 15-MAY-2024
Exercise Date => 15-MAY-2024
Price => 97.25000
Bond Accrued => 2.6250
Bond YTW => 8.389%
Bond YTM => 8.389%
Bond WAL TW => 5.973
Bond WAL TM => 5.973
Bond Modified Duration TW => 5.2343
Bond Z Spread TW => 603.2
Bond OAS TW => 610.6
|-----------------------------------------------------------------|
| 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Finish Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 1 ms
| Run Duration => 208 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zaoyang
Effective Date => 03-DEC-2013
Maturity Date => 01-OCT-2034
Exercise Date => 01-OCT-2023
Price => 40.07520
Bond Accrued => 0.0000
Bond YTW => 3.790%
Bond YTM => 5.276%
Bond WAL TW => 6.558
Bond WAL TM => 17.558
Bond Modified Duration TW => 6.4341
Bond Z Spread TW => 140.2
Bond OAS TW => 159.5
|-----------------------------------------------------------------|
| 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Finish Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 0 ms
| Run Duration => 228 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zaozhuang
Effective Date => 23-NOV-2015
Maturity Date => 01-DEC-2025
Exercise Date => 01-SEP-2025
Price => 102.19070
Bond Accrued => 1.3000
Bond YTW => 4.090%
Bond YTM => 4.197%
Bond WAL TW => 7.372
Bond WAL TM => 7.565
Bond Modified Duration TW => 7.0915
Bond Z Spread TW => 171.7
Bond OAS TW => 181.5
|-----------------------------------------------------------------|
| 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Finish Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 0 ms
| Run Duration => 202 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhangjiagang
Effective Date => 21-DEC-2010
Maturity Date => 01-JUL-2030
Exercise Date => 01-JUL-2020
Price => 116.28560
Bond Accrued => 1.5622
Bond YTW => 2.444%
Bond YTM => 5.823%
Bond WAL TW => 3.024
Bond WAL TM => 10.087
Bond Modified Duration TW => 2.9422
Bond Z Spread TW => 47.5
Bond OAS TW => 88.6
|-----------------------------------------------------------------|
| 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Finish Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 1 ms
| Run Duration => 188 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhangqiu
Effective Date => 05-AUG-2009
Maturity Date => 01-JUN-2039
Exercise Date => 01-JUN-2019
Price => 110.02700
Bond Accrued => 2.0511
Bond YTW => 2.440%
Bond YTM => 6.258%
Bond WAL TW => 2.105
Bond WAL TM => 15.575
Bond Modified Duration TW => 2.0440
Bond Z Spread TW => 69.9
Bond OAS TW => 115.9
|-----------------------------------------------------------------|
| 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 00:37:07 EST 2020
| Setup Time => Mon Jan 27 00:37:07 EST 2020
| Finish Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 282 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhangzhou
Effective Date => 09-NOV-2015
Maturity Date => 15-NOV-2023
Exercise Date => 15-NOV-2021
Price => 106.43750
Bond Accrued => 2.0417
Bond YTW => 4.579%
Bond YTM => 4.979%
Bond WAL TW => 4.213
Bond WAL TM => 5.782
Bond Modified Duration TW => 3.9937
Bond Z Spread TW => 241.2
Bond OAS TW => 271.9
|-----------------------------------------------------------------|
| 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Finish Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 0 ms
| Run Duration => 169 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhanjiang
Effective Date => 04-DEC-2014
Maturity Date => 15-FEB-2025
Exercise Date => 15-NOV-2024
Price => 96.00000
Bond Accrued => 0.3708
Bond YTW => 4.949%
Bond YTM => 5.068%
Bond WAL TW => 6.764
Bond WAL TM => 6.961
Bond Modified Duration TW => 6.5502
Bond Z Spread TW => 265.9
Bond OAS TW => 276.6
|-----------------------------------------------------------------|
| 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Finish Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 0 ms
| Run Duration => 168 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhaoqing
Effective Date => 17-NOV-2010
Maturity Date => 01-JAN-2040
Exercise Date => 01-JAN-2020
Price => 106.52045
Bond Accrued => 1.5191
Bond YTW => 4.873%
Bond YTM => 6.821%
Bond WAL TW => 2.608
Bond WAL TM => 15.807
Bond Modified Duration TW => 2.5019
Bond Z Spread TW => 299.9
Bond OAS TW => 343.4
|-----------------------------------------------------------------|
| 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Finish Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 0 ms
| Run Duration => 285 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhengzhou
Effective Date => 07-DEC-2010
Maturity Date => 01-MAY-2026
Exercise Date => 01-MAY-2020
Price => 108.87035
Bond Accrued => 2.2706
Bond YTW => 3.113%
Bond YTM => 4.884%
Bond WAL TW => 2.928
Bond WAL TM => 7.594
Bond Modified Duration TW => 2.8174
Bond Z Spread TW => 116.9
Bond OAS TW => 159.1
|-----------------------------------------------------------------|
| 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 00:37:08 EST 2020
| Setup Time => Mon Jan 27 00:37:08 EST 2020
| Finish Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 1 ms
| Run Duration => 189 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhenjiang
Effective Date => 30-AUG-2016
Maturity Date => 01-OCT-2027
Exercise Date => 01-OCT-2027
Price => 94.11775
Bond Accrued => 1.6878
Bond YTW => 3.797%
Bond YTM => 3.797%
Bond WAL TW => 9.313
Bond WAL TM => 9.313
Bond Modified Duration TW => 8.6979
Bond Z Spread TW => 121.2
Bond OAS TW => 129.9
|-----------------------------------------------------------------|
| 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Finish Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 1 ms
| Run Duration => 195 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond, Issue, Maturity, Exercise, Clean Price, Accrued, Yield TW, Yield TM, WAL TW, WAL TM, Duration TW, Discount Margin TW, OAS TW
Zhongshan,28-MAY-2015,01-AUG-2029,01-AUG-2024, 100.084, 0.4094, 3.337%, 3.341%, 6.707, 10.647, 6.4755, 210.735, 103.911
|-----------------------------------------------------------------|
| 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Finish Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 0 ms
| Run Duration => 188 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhoukou
Effective Date => 17-SEP-2010
Maturity Date => 15-SEP-2020
Exercise Date => 15-MAR-2020
Price => 105.97700
Bond Accrued => 2.9375
Bond YTW => 3.759%
Bond YTM => 4.033%
Bond WAL TW => 2.825
Bond WAL TM => 3.256
Bond Modified Duration TW => 2.6882
Bond Z Spread TW => 183.9
Bond OAS TW => 226.6
|-----------------------------------------------------------------|
| 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Finish Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 1 ms
| Run Duration => 176 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhoushan
Effective Date => 13-NOV-2015
Maturity Date => 15-NOV-2035
Exercise Date => 15-MAY-2035
Price => 104.74100
Bond Accrued => 1.6167
Bond YTW => 4.466%
Bond YTM => 4.472%
Bond WAL TW => 14.037
Bond WAL TM => 14.359
Bond Modified Duration TW => 11.9764
Bond Z Spread TW => 173.6
Bond OAS TW => 172.4
|-----------------------------------------------------------------|
| 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Finish Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 0 ms
| Run Duration => 218 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhucheng
Effective Date => 08-DEC-2009
Maturity Date => 01-JUN-2039
Exercise Date => 01-DEC-2019
Price => 112.80785
Bond Accrued => 2.2432
Bond YTW => 2.844%
Bond YTM => 6.652%
Bond WAL TW => 2.529
Bond WAL TM => 15.347
Bond Modified Duration TW => 2.4428
Bond Z Spread TW => 99.0
Bond OAS TW => 142.8
|-----------------------------------------------------------------|
| 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 00:37:09 EST 2020
| Setup Time => Mon Jan 27 00:37:09 EST 2020
| Finish Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
| Run Duration => 260 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhuhai
Effective Date => 15-MAR-2008
Maturity Date => 15-MAR-2027
Exercise Date => 15-SEP-2018
Price => 106.39000
Bond Accrued => 3.2000
Bond YTW => 2.090%
Bond YTM => 5.559%
Bond WAL TW => 1.469
Bond WAL TM => 8.156
Bond Modified Duration TW => 1.4120
Bond Z Spread TW => 52.0
Bond OAS TW => 105.8
|-----------------------------------------------------------------|
| 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Finish Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
| Run Duration => 206 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhuji
Effective Date => 29-DEC-2010
Maturity Date => 15-NOV-2030
Exercise Date => 15-NOV-2020
Price => 113.50000
Bond Accrued => 2.3780
Bond YTW => 3.214%
Bond YTM => 5.699%
Bond WAL TW => 3.348
Bond WAL TM => 10.424
Bond Modified Duration TW => 3.2127
Bond Z Spread TW => 118.1
Bond OAS TW => 157.3
|-----------------------------------------------------------------|
| 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Finish Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 1 ms
| Run Duration => 182 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zhuzhou
Effective Date => 07-JUL-2010
Maturity Date => 15-JAN-2028
Exercise Date => 15-JUL-2020
Price => 111.34855
Bond Accrued => 1.0000
Bond YTW => 2.447%
Bond YTM => 4.655%
Bond WAL TW => 3.108
Bond WAL TM => 8.807
Bond Modified Duration TW => 3.0368
Bond Z Spread TW => 46.6
Bond OAS TW => 88.0
|-----------------------------------------------------------------|
| 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Finish Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
| Run Duration => 182 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zibo
Effective Date => 09-APR-2014
Maturity Date => 15-APR-2022
Exercise Date => 15-APR-2019
Price => 105.12500
Bond Accrued => 2.8125
Bond YTW => 4.919%
Bond YTM => 5.579%
Bond WAL TW => 1.998
Bond WAL TM => 4.508
Bond Modified Duration TW => 1.8982
Bond Z Spread TW => 320.7
Bond OAS TW => 367.2
|-----------------------------------------------------------------|
| 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Finish Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 0 ms
| Run Duration => 177 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zigong
Effective Date => 03-SEP-2009
Maturity Date => 01-SEP-2037
Exercise Date => 01-SEP-2019
Price => 112.65500
Bond Accrued => 0.3150
Bond YTW => 2.773%
Bond YTM => 6.933%
Bond WAL TW => 2.310
Bond WAL TM => 14.244
Bond Modified Duration TW => 2.2685
Bond Z Spread TW => 97.5
Bond OAS TW => 142.4
|-----------------------------------------------------------------|
| 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 00:37:10 EST 2020
| Setup Time => Mon Jan 27 00:37:10 EST 2020
| Finish Time => Mon Jan 27 00:37:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 277 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 00:37:11 EST 2020
| Setup Time => Mon Jan 27 00:37:11 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zoucheng
Effective Date => 27-SEP-2016
Maturity Date => 01-DEC-2024
Exercise Date => 01-SEP-2024
Price => 103.79000
Bond Accrued => 2.2750
Bond YTW => 4.159%
Bond YTM => 4.291%
Bond WAL TW => 6.541
Bond WAL TM => 6.736
Bond Modified Duration TW => 6.2858
Bond Z Spread TW => 186.5
Bond OAS TW => 197.1
|-----------------------------------------------------------------|
| 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 00:37:11 EST 2020
| Setup Time => Mon Jan 27 00:37:11 EST 2020
| Finish Time => Mon Jan 27 00:37:11 EST 2020
| Setup Duration => 0 ms
| Run Duration => 191 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 00:37:11 EST 2020
| Setup Time => Mon Jan 27 00:37:11 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond Name => Zunyi
Effective Date => 24-AUG-2011
Maturity Date => 01-JUL-2036
Exercise Date => 01-JAN-2021
Price => 110.94500
Bond Accrued => 1.0278
Bond YTW => 2.000%
Bond YTM => 4.169%
Bond WAL TW => 3.542
Bond WAL TM => 14.688
Bond Modified Duration TW => 3.4681
Bond Z Spread TW => -6.2
Bond OAS TW => 33.1
|-----------------------------------------------------------------|
| 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 00:37:11 EST 2020
| Setup Time => Mon Jan 27 00:37:11 EST 2020
| Finish Time => Mon Jan 27 00:37:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 256 ms
|-----------------------------------------------------------------|