|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:44:48 EST 2020
| Setup Time => Mon Jan 27 00:44:48 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 => Bareilly
Effective Date => 28-JAN-2010
Maturity Date => 15-FEB-2040
Exercise Date => 15-FEB-2040
Price => 115.20200
Bond Accrued => 0.6853
Bond YTW => 6.893%
Bond YTM => 6.893%
Bond WAL TW => 15.602
Bond WAL TM => 15.602
Bond Modified Duration TW => 10.9985
Bond Z Spread TW => 418.9
Bond OAS TW => 401.1
|-----------------------------------------------------------------|
| 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 00:44:48 EST 2020
| Setup Time => Mon Jan 27 00:44:48 EST 2020
| Finish Time => Mon Jan 27 00:44:48 EST 2020
| Setup Duration => 1 ms
| Run Duration => 356 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 00:44:48 EST 2020
| Setup Time => Mon Jan 27 00:44:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing AGENCY 1.0000 28-AUG-2028
Doing AGENCY 1.5000 30-APR-2020
Doing AGENCY 3.0200 12-JAN-2026
Doing AGENCY 2.5000 12-JUL-2027
Doing AGENCY 4.0000 10-APR-2028
Doing AGENCY 4.0000 01-SEP-2028
Doing AGENCY 4.0000 08-DEC-2028
Doing AGENCY 4.0000 11-APR-2029
Doing AGENCY 3.3750 08-JUN-2029
Doing AGENCY 3.3500 01-AUG-2029
Doing AGENCY 4.0000 24-OCT-2029
Doing AGENCY 3.2800 08-FEB-2030
Doing AGENCY 2.9900 29-MAR-2030
Doing AGENCY 3.5000 01-AUG-2030
Doing AGENCY 3.0500 24-OCT-2030
Doing AGENCY 3.3000 27-NOV-2030
Doing AGENCY 3.5300 23-DEC-2030
Doing AGENCY 3.3400 14-JAN-2031
Doing AGENCY 3.3900 27-JAN-2031
Doing AGENCY 3.0400 11-FEB-2031
Doing AGENCY 3.1000 10-MAR-2031
Doing AGENCY 2.7500 11-JUL-2031
Doing AGENCY 3.5500 01-AUG-2031
Doing AGENCY 2.7000 08-AUG-2031
Doing AGENCY 2.9000 28-JUN-2032
Doing AGENCY 3.5000 20-JUL-2032
Doing AGENCY 3.3300 01-FEB-2033
Doing AGENCY 3.0000 21-APR-2033
Doing AGENCY 4.1250 11-OCT-2033
Doing AGENCY 3.9900 24-JUL-2034
Doing AGENCY 3.9400 05-SEP-2034
Doing AGENCY 3.3000 02-FEB-2035
Doing AGENCY 3.4000 01-JUN-2035
Doing AGENCY 3.6250 22-OCT-2035
Doing AGENCY 3.3150 13-NOV-2035
Doing AGENCY 3.6700 28-DEC-2035
Doing AGENCY 3.5600 01-FEB-2036
Doing AGENCY 3.1300 06-FEB-2036
Doing AGENCY 3.5000 08-FEB-2036
Doing AGENCY 3.4400 22-FEB-2036
Doing AGENCY 3.1400 18-APR-2036
Doing AGENCY 3.0000 29-APR-2036
Doing AGENCY 3.0000 16-MAY-2036
Doing AGENCY 3.0400 20-MAY-2036
Doing AGENCY 3.0300 23-MAY-2036
Doing AGENCY 3.0000 16-JUN-2036
Doing AGENCY 5.5000 15-JUL-2036
Doing AGENCY 2.7000 22-AUG-2036
Doing AGENCY 2.7500 08-SEP-2036
Doing AGENCY 2.7000 08-SEP-2036
Doing AGENCY 5.6250 15-JUL-2037
Doing AGENCY 3.9500 06-AUG-2037
Doing AGENCY 2.7800 02-NOV-2037
Doing AGENCY 6.2100 06-AUG-2038
Doing AGENCY 2.7100 26-AUG-2038
Doing AGENCY 3.5000 02-FEB-2039
Doing AGENCY 5.2500 15-SEP-2039
Doing AGENCY 3.6500 02-FEB-2041
Doing AGENCY 3.4300 06-APR-2045
Doing AGENCY 5.3750 01-APR-2056
Doing AGENCY 4.2500 24-SEP-2065
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 1.0000 28-AUG-2028 | 30-AUG-2016 | 28-AUG-2028 | 28-AUG-2017 | 099.316 | 1.06% | 10.91 | 10.85 | 10.82 | 1082 | 1.28 | -140 ||
| AGENCY 1.5000 30-APR-2020 | 30-OCT-2012 | 30-APR-2020 | 30-APR-2013 | 099.348 | 1.71% | 03.17 | 03.14 | 03.13 | 0313 | 0.12 | -003 ||
| AGENCY 3.0200 12-JAN-2026 | 12-JAN-2016 | 12-JAN-2026 | 12-JUL-2016 | 099.050 | 3.14% | 07.89 | 07.76 | 07.70 | 0770 | 0.69 | 084 ||
| AGENCY 2.5000 12-JUL-2027 | 12-JUL-2016 | 12-JUL-2027 | 12-JAN-2017 | 094.797 | 3.09% | 09.20 | 09.06 | 08.60 | 0860 | 0.94 | 070 ||
| AGENCY 4.0000 10-APR-2028 | 10-APR-2013 | 10-APR-2028 | 10-OCT-2013 | 109.669 | 2.98% | 09.14 | 09.00 | 09.98 | 0998 | 0.97 | 058 ||
| AGENCY 4.0000 01-SEP-2028 | 04-OCT-2013 | 01-SEP-2028 | 01-SEP-2014 | 109.360 | 3.04% | 09.35 | 09.21 | 10.22 | 1022 | 1.02 | 062 ||
| AGENCY 4.0000 08-DEC-2028 | 08-DEC-2013 | 08-DEC-2028 | 08-JUN-2014 | 109.672 | 3.02% | 09.62 | 09.48 | 10.45 | 1045 | 1.07 | 060 ||
| AGENCY 4.0000 11-APR-2029 | 11-APR-2014 | 11-APR-2029 | 11-OCT-2014 | 100.650 | 3.93% | 09.66 | 09.47 | 09.65 | 0965 | 1.09 | 149 ||
| AGENCY 3.3750 08-JUN-2029 | 04-JUN-2014 | 08-JUN-2029 | 08-DEC-2014 | 103.044 | 3.08% | 10.19 | 10.03 | 10.39 | 1039 | 1.19 | 062 ||
| AGENCY 3.3500 01-AUG-2029 | 28-MAY-2015 | 01-AUG-2029 | 01-FEB-2016 | 101.102 | 3.24% | 10.33 | 10.16 | 10.27 | 1027 | 1.21 | 078 ||
| AGENCY 4.0000 24-OCT-2029 | 24-APR-2013 | 24-OCT-2029 | 24-OCT-2013 | 109.588 | 3.08% | 10.14 | 09.98 | 11.04 | 1104 | 1.20 | 063 ||
| AGENCY 3.2800 08-FEB-2030 | 08-FEB-2016 | 08-FEB-2030 | 08-AUG-2016 | 098.803 | 3.39% | 10.51 | 10.33 | 10.37 | 1037 | 1.31 | 092 ||
| AGENCY 2.9900 29-MAR-2030 | 29-SEP-2016 | 29-MAR-2030 | 29-MAR-2017 | 096.674 | 3.30% | 10.82 | 10.63 | 10.39 | 1039 | 1.34 | 082 ||
| AGENCY 3.5000 01-AUG-2030 | 01-AUG-2015 | 01-AUG-2030 | 01-FEB-2016 | 101.893 | 3.32% | 10.90 | 10.71 | 10.92 | 1092 | 1.37 | 084 ||
| AGENCY 3.0500 24-OCT-2030 | 24-OCT-2012 | 24-OCT-2030 | 24-APR-2013 | 098.603 | 3.18% | 11.20 | 11.02 | 10.96 | 1096 | 1.44 | 068 ||
| AGENCY 3.3000 27-NOV-2030 | 27-NOV-2015 | 27-NOV-2030 | 27-MAY-2016 | 097.599 | 3.52% | 11.10 | 10.90 | 10.71 | 1071 | 1.44 | 102 ||
| AGENCY 3.5300 23-DEC-2030 | 23-DEC-2015 | 23-DEC-2030 | 23-JUN-2016 | 098.716 | 3.65% | 11.04 | 10.83 | 10.73 | 1073 | 1.42 | 115 ||
| AGENCY 3.3400 14-JAN-2031 | 14-JAN-2016 | 14-JAN-2031 | 14-JUL-2016 | 097.701 | 3.55% | 11.21 | 11.00 | 10.77 | 1077 | 1.46 | 105 ||
| AGENCY 3.3900 27-JAN-2031 | 27-JAN-2016 | 27-JAN-2031 | 27-JUL-2016 | 099.426 | 3.44% | 11.24 | 11.04 | 10.98 | 1098 | 1.45 | 094 ||
| AGENCY 3.0400 11-FEB-2031 | 11-FEB-2016 | 11-FEB-2031 | 11-AUG-2016 | 095.365 | 3.46% | 11.28 | 11.08 | 10.73 | 1073 | 1.47 | 095 ||
| AGENCY 3.1000 10-MAR-2031 | 10-MAR-2016 | 10-MAR-2031 | 10-SEP-2016 | 097.303 | 3.34% | 11.35 | 11.15 | 10.99 | 1099 | 1.49 | 083 ||
| AGENCY 2.7500 11-JUL-2031 | 11-JUL-2016 | 11-JUL-2031 | 11-JAN-2017 | 093.998 | 3.27% | 11.90 | 11.70 | 11.02 | 1102 | 1.61 | 075 ||
| AGENCY 3.5500 01-AUG-2031 | 08-MAY-2015 | 01-AUG-2031 | 01-FEB-2016 | 101.721 | 3.40% | 11.49 | 11.29 | 11.48 | 1148 | 1.53 | 089 ||
| AGENCY 2.7000 08-AUG-2031 | 08-AUG-2016 | 08-AUG-2031 | 08-FEB-2017 | 093.297 | 3.28% | 11.84 | 11.64 | 11.01 | 1101 | 1.61 | 076 ||
| AGENCY 2.9000 28-JUN-2032 | 28-JUN-2015 | 28-JUN-2032 | 28-DEC-2015 | 093.172 | 3.48% | 12.37 | 12.15 | 11.35 | 1135 | 1.76 | 094 ||
| AGENCY 3.5000 20-JUL-2032 | 20-JUL-2015 | 20-JUL-2032 | 20-JAN-2016 | 102.405 | 3.30% | 12.11 | 11.90 | 12.20 | 1220 | 1.71 | 077 ||
| AGENCY 3.3300 01-FEB-2033 | 01-FEB-2016 | 01-FEB-2033 | 01-AUG-2016 | 096.584 | 3.61% | 12.46 | 12.23 | 11.81 | 1181 | 1.81 | 107 ||
| AGENCY 3.0000 21-APR-2033 | 21-APR-2016 | 21-APR-2033 | 21-OCT-2016 | 094.244 | 3.47% | 12.73 | 12.50 | 11.89 | 1189 | 1.89 | 091 ||
| AGENCY 4.1250 11-OCT-2033 | 11-OCT-2013 | 11-OCT-2033 | 11-APR-2014 | 101.978 | 3.96% | 12.13 | 11.88 | 12.27 | 1227 | 1.79 | 142 ||
| AGENCY 3.9900 24-JUL-2034 | 24-JUL-2014 | 24-JUL-2034 | 24-JAN-2015 | 099.884 | 4.00% | 12.73 | 12.47 | 12.47 | 1247 | 1.96 | 144 ||
| AGENCY 3.9400 05-SEP-2034 | 05-SEP-2014 | 05-SEP-2034 | 05-MAR-2015 | 099.705 | 3.96% | 12.64 | 12.39 | 12.55 | 1255 | 1.96 | 140 ||
| AGENCY 3.3000 02-FEB-2035 | 02-FEB-2016 | 02-FEB-2035 | 02-AUG-2016 | 097.708 | 3.47% | 13.43 | 13.19 | 13.10 | 1310 | 2.17 | 089 ||
| AGENCY 3.4000 01-JUN-2035 | 01-JUN-2015 | 01-JUN-2035 | 01-DEC-2015 | 102.078 | 3.25% | 13.77 | 13.54 | 13.89 | 1389 | 2.26 | 067 ||
| AGENCY 3.6250 22-OCT-2035 | 22-OCT-2015 | 22-OCT-2035 | 22-APR-2016 | 097.656 | 3.80% | 13.54 | 13.28 | 13.10 | 1310 | 2.25 | 122 ||
| AGENCY 3.3150 13-NOV-2035 | 12-NOV-2015 | 13-NOV-2035 | 13-MAY-2016 | 099.953 | 3.32% | 14.03 | 13.79 | 13.88 | 1388 | 2.36 | 073 ||
| AGENCY 3.6700 28-DEC-2035 | 28-DEC-2015 | 28-DEC-2035 | 28-JUN-2016 | 098.896 | 3.75% | 13.72 | 13.45 | 13.35 | 1335 | 2.28 | 117 ||
| AGENCY 3.5600 01-FEB-2036 | 01-FEB-2016 | 01-FEB-2036 | 01-AUG-2016 | 098.205 | 3.69% | 13.91 | 13.65 | 13.40 | 1340 | 2.33 | 111 ||
| AGENCY 3.1300 06-FEB-2036 | 06-FEB-2016 | 06-FEB-2036 | 06-AUG-2016 | 092.674 | 3.67% | 14.03 | 13.76 | 12.97 | 1297 | 2.38 | 108 ||
| AGENCY 3.5000 08-FEB-2036 | 08-FEB-2016 | 08-FEB-2036 | 08-AUG-2016 | 097.856 | 3.66% | 13.74 | 13.48 | 13.42 | 1342 | 2.31 | 107 ||
| AGENCY 3.4400 22-FEB-2036 | 22-FEB-2016 | 22-FEB-2036 | 22-AUG-2016 | 097.319 | 3.64% | 13.84 | 13.58 | 13.42 | 1342 | 2.33 | 105 ||
| AGENCY 3.1400 18-APR-2036 | 18-APR-2016 | 18-APR-2036 | 18-OCT-2016 | 092.859 | 3.66% | 14.22 | 13.96 | 13.09 | 1309 | 2.43 | 107 ||
| AGENCY 3.0000 29-APR-2036 | 29-APR-2016 | 29-APR-2036 | 29-OCT-2016 | 091.328 | 3.63% | 14.39 | 14.12 | 13.00 | 1300 | 2.47 | 103 ||
| AGENCY 3.0000 16-MAY-2036 | 16-MAY-2016 | 16-MAY-2036 | 16-NOV-2016 | 091.253 | 3.63% | 14.43 | 14.16 | 13.01 | 1301 | 2.49 | 104 ||
| AGENCY 3.0400 20-MAY-2036 | 09-JUN-2016 | 20-MAY-2036 | 20-MAY-2017 | 093.857 | 3.48% | 14.27 | 14.02 | 13.43 | 1343 | 2.46 | 088 ||
| AGENCY 3.0300 23-MAY-2036 | 23-MAY-2016 | 23-MAY-2036 | 23-NOV-2016 | 093.472 | 3.50% | 14.48 | 14.22 | 13.38 | 1338 | 2.50 | 090 ||
| AGENCY 3.0000 16-JUN-2036 | 16-JUN-2006 | 16-JUN-2036 | 16-DEC-2006 | 093.434 | 3.47% | 14.59 | 14.32 | 13.44 | 1344 | 2.53 | 087 ||
| AGENCY 5.5000 15-JUL-2036 | 17-JUL-2006 | 15-JUL-2036 | 15-JUL-2007 | 132.701 | 3.22% | 13.19 | 12.97 | 17.24 | 1724 | 2.19 | 066 ||
| AGENCY 2.7000 22-AUG-2036 | 22-AUG-2016 | 22-AUG-2036 | 22-FEB-2017 | 088.966 | 3.48% | 14.81 | 14.55 | 13.12 | 1312 | 2.61 | 088 ||
| AGENCY 2.7500 08-SEP-2036 | 08-SEP-2016 | 08-SEP-2036 | 08-MAR-2017 | 089.471 | 3.50% | 14.80 | 14.54 | 13.16 | 1316 | 2.61 | 089 ||
| AGENCY 2.7000 08-SEP-2036 | 08-SEP-2016 | 08-SEP-2036 | 08-MAR-2017 | 089.855 | 3.41% | 14.89 | 14.62 | 13.30 | 1330 | 2.63 | 081 ||
| AGENCY 5.6250 15-JUL-2037 | 18-JUL-2007 | 15-JUL-2037 | 15-JUL-2008 | 134.289 | 3.31% | 13.55 | 13.32 | 17.92 | 1792 | 2.33 | 073 ||
| AGENCY 3.9500 06-AUG-2037 | 06-JUL-2015 | 06-AUG-2037 | 06-FEB-2016 | 105.761 | 3.55% | 14.18 | 13.92 | 14.99 | 1499 | 2.52 | 096 ||
| AGENCY 2.7800 02-NOV-2037 | 02-NOV-2016 | 02-NOV-2037 | 02-MAY-2017 | 088.926 | 3.54% | 15.44 | 15.15 | 13.58 | 1358 | 2.85 | 092 ||
| AGENCY 6.2100 06-AUG-2038 | 06-AUG-1998 | 06-AUG-2038 | 06-FEB-1999 | 144.476 | 3.30% | 13.49 | 13.26 | 19.56 | 1956 | 2.39 | 072 ||
| AGENCY 2.7100 26-AUG-2038 | 26-JUL-2016 | 26-AUG-2038 | 26-FEB-2017 | 086.115 | 3.65% | 15.74 | 15.45 | 13.52 | 1352 | 3.01 | 102 ||
| AGENCY 3.5000 02-FEB-2039 | 02-FEB-2016 | 02-FEB-2039 | 02-AUG-2016 | 097.649 | 3.66% | 15.16 | 14.87 | 14.78 | 1478 | 2.88 | 104 ||
| AGENCY 5.2500 15-SEP-2039 | 22-SEP-2009 | 15-SEP-2039 | 15-SEP-2010 | 125.952 | 3.57% | 14.32 | 14.06 | 17.98 | 1798 | 2.68 | 097 ||
| AGENCY 3.6500 02-FEB-2041 | 02-FEB-2016 | 02-FEB-2041 | 02-AUG-2016 | 098.115 | 3.77% | 15.81 | 15.50 | 15.49 | 1549 | 3.20 | 115 ||
| AGENCY 3.4300 06-APR-2045 | 06-APR-2015 | 06-APR-2045 | 06-OCT-2015 | 094.239 | 3.76% | 17.75 | 17.40 | 16.59 | 1659 | 4.12 | 113 ||
| AGENCY 5.3750 01-APR-2056 | 03-APR-2006 | 01-APR-2056 | 01-APR-2007 | 127.159 | 4.00% | 18.74 | 18.35 | 23.66 | 2366 | 5.18 | 137 ||
| AGENCY 4.2500 24-SEP-2065 | 24-SEP-2015 | 24-SEP-2065 | 24-MAR-2016 | 105.138 | 4.01% | 21.23 | 20.78 | 22.16 | 2216 | 6.96 | 140 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 1.0000 28-AUG-2028 | 099.316 | 1.06% | -140 |-147 | 10.90 | 01.28 |-137 | -147 | -137 | -142 | 10YON ||
| AGENCY 1.5000 30-APR-2020 | 099.348 | 1.71% | -003 | 016 | 03.15 | 00.12 |-005 | 016 | -004 | 022 | 03YON ||
| AGENCY 3.0200 12-JAN-2026 | 099.050 | 3.14% | 084 | 074 | 07.78 | 00.70 | 083 | 074 | 083 | 066 | 10YON ||
| AGENCY 2.5000 12-JUL-2027 | 094.797 | 3.09% | 070 | 059 | 09.08 | 00.94 | 066 | 059 | 070 | 061 | 10YON ||
| AGENCY 4.0000 10-APR-2028 | 109.669 | 2.98% | 058 | 046 | 09.11 | 00.99 | 063 | 046 | 056 | 050 | 10YON ||
| AGENCY 4.0000 01-SEP-2028 | 109.360 | 3.04% | 062 | 050 | 09.35 | 01.04 | 068 | 050 | 060 | 056 | 10YON ||
| AGENCY 4.0000 08-DEC-2028 | 109.672 | 3.02% | 060 | 048 | 09.53 | 01.09 | 063 | 048 | 058 | 054 | 10YON ||
| AGENCY 4.0000 11-APR-2029 | 100.650 | 3.93% | 150 | 138 | 09.59 | 01.12 | 148 | 138 | 147 | 145 | 10YON ||
| AGENCY 3.3750 08-JUN-2029 | 103.044 | 3.08% | 063 | 052 | 10.09 | 01.20 | 063 | 052 | 061 | 060 | 10YON ||
| AGENCY 3.3500 01-AUG-2029 | 101.102 | 3.24% | 079 | 068 | 10.16 | 01.22 | 078 | 068 | 078 | 076 | 10YON ||
| AGENCY 4.0000 24-OCT-2029 | 109.588 | 3.08% | 063 | 052 | 10.08 | 01.22 | 068 | 052 | 061 | 060 | 10YON ||
| AGENCY 3.2800 08-FEB-2030 | 098.803 | 3.39% | 092 | 082 | 10.50 | 01.30 | 090 | 082 | 091 | 091 | 10YON ||
| AGENCY 2.9900 29-MAR-2030 | 096.674 | 3.30% | 082 | 072 | 10.75 | 01.36 | 079 | 072 | 082 | 082 | 10YON ||
| AGENCY 3.5000 01-AUG-2030 | 101.893 | 3.32% | 084 | 073 | 10.72 | 01.38 | 084 | 073 | 083 | 084 | 10YON ||
| AGENCY 3.0500 24-OCT-2030 | 098.603 | 3.18% | 068 | 058 | 11.12 | 01.45 | 067 | 058 | 068 | 070 | 10YON ||
| AGENCY 3.3000 27-NOV-2030 | 097.599 | 3.52% | 103 | 092 | 10.98 | 01.43 | 100 | 092 | 102 | 104 | 10YON ||
| AGENCY 3.5300 23-DEC-2030 | 098.716 | 3.65% | 116 | 104 | 10.88 | 01.42 | 113 | 104 | 114 | 117 | 10YON ||
| AGENCY 3.3400 14-JAN-2031 | 097.701 | 3.55% | 105 | 094 | 11.03 | 01.45 | 103 | 094 | 104 | 107 | 10YON ||
| AGENCY 3.3900 27-JAN-2031 | 099.426 | 3.44% | 095 | 083 | 11.05 | 01.46 | 093 | 083 | 093 | 096 | 10YON ||
| AGENCY 3.0400 11-FEB-2031 | 095.365 | 3.46% | 096 | 085 | 11.25 | 01.50 | 090 | 085 | 095 | 098 | 10YON ||
| AGENCY 3.1000 10-MAR-2031 | 097.303 | 3.34% | 084 | 073 | 11.30 | 01.52 | 081 | 073 | 083 | 086 | 10YON ||
| AGENCY 2.7500 11-JUL-2031 | 093.998 | 3.27% | 076 | 065 | 11.73 | 01.61 | 072 | 065 | 075 | 079 | 10YON ||
| AGENCY 3.5500 01-AUG-2031 | 101.721 | 3.40% | 089 | 077 | 11.29 | 01.53 | 089 | 077 | 088 | 092 | 10YON ||
| AGENCY 2.7000 08-AUG-2031 | 093.297 | 3.28% | 076 | 066 | 11.81 | 01.63 | 070 | 066 | 076 | 080 | 10YON ||
| AGENCY 2.9000 28-JUN-2032 | 093.172 | 3.48% | 094 | 082 | 12.20 | 01.77 | 088 | 082 | 093 | 040 | 30YON ||
| AGENCY 3.5000 20-JUL-2032 | 102.405 | 3.30% | 077 | 065 | 11.92 | 01.71 | 077 | 065 | 075 | 022 | 30YON ||
| AGENCY 3.3300 01-FEB-2033 | 096.584 | 3.61% | 107 | 094 | 12.24 | 01.81 | 103 | 094 | 106 | 053 | 30YON ||
| AGENCY 3.0000 21-APR-2033 | 094.244 | 3.47% | 092 | 079 | 12.62 | 01.91 | 086 | 079 | 091 | 039 | 30YON ||
| AGENCY 4.1250 11-OCT-2033 | 101.978 | 3.96% | 142 | 127 | 12.04 | 01.81 | 142 | 127 | 139 | 088 | 30YON ||
| AGENCY 3.9900 24-JUL-2034 | 099.884 | 4.00% | 145 | 128 | 12.49 | 01.96 | 142 | 128 | 142 | 092 | 30YON ||
| AGENCY 3.9400 05-SEP-2034 | 099.705 | 3.96% | 141 | 124 | 12.60 | 01.99 | 138 | 124 | 138 | 088 | 30YON ||
| AGENCY 3.3000 02-FEB-2035 | 097.708 | 3.47% | 090 | 074 | 13.42 | 02.21 | 087 | 074 | 088 | 039 | 30YON ||
| AGENCY 3.4000 01-JUN-2035 | 102.078 | 3.25% | 067 | 050 | 13.62 | 02.28 | 067 | 050 | 066 | 017 | 30YON ||
| AGENCY 3.6250 22-OCT-2035 | 097.656 | 3.80% | 123 | 104 | 13.43 | 02.25 | 118 | 104 | 120 | 072 | 30YON ||
| AGENCY 3.3150 13-NOV-2035 | 099.953 | 3.32% | 074 | 056 | 13.90 | 02.37 | 072 | 056 | 072 | 024 | 30YON ||
| AGENCY 3.6700 28-DEC-2035 | 098.896 | 3.75% | 118 | 099 | 13.51 | 02.29 | 114 | 099 | 115 | 067 | 30YON ||
| AGENCY 3.5600 01-FEB-2036 | 098.205 | 3.69% | 111 | 092 | 13.66 | 02.33 | 108 | 092 | 109 | 061 | 30YON ||
| AGENCY 3.1300 06-FEB-2036 | 092.674 | 3.67% | 108 | 090 | 14.00 | 02.42 | 100 | 090 | 107 | 059 | 30YON ||
| AGENCY 3.5000 08-FEB-2036 | 097.856 | 3.66% | 108 | 089 | 13.73 | 02.35 | 104 | 089 | 106 | 058 | 30YON ||
| AGENCY 3.4400 22-FEB-2036 | 097.319 | 3.64% | 105 | 087 | 13.80 | 02.37 | 101 | 087 | 103 | 056 | 30YON ||
| AGENCY 3.1400 18-APR-2036 | 092.859 | 3.66% | 107 | 089 | 14.10 | 02.45 | 100 | 089 | 106 | 058 | 30YON ||
| AGENCY 3.0000 29-APR-2036 | 091.328 | 3.63% | 104 | 085 | 14.25 | 02.49 | 095 | 085 | 103 | 055 | 30YON ||
| AGENCY 3.0000 16-MAY-2036 | 091.253 | 3.63% | 104 | 086 | 14.27 | 02.50 | 096 | 086 | 103 | 055 | 30YON ||
| AGENCY 3.0400 20-MAY-2036 | 093.857 | 3.48% | 089 | 070 | 14.33 | 02.53 | 083 | 070 | 087 | 040 | 30YON ||
| AGENCY 3.0300 23-MAY-2036 | 093.472 | 3.50% | 091 | 072 | 14.32 | 02.52 | 085 | 072 | 089 | 042 | 30YON ||
| AGENCY 3.0000 16-JUN-2036 | 093.434 | 3.47% | 088 | 069 | 14.40 | 02.55 | 082 | 069 | 086 | 039 | 30YON ||
| AGENCY 5.5000 15-JUL-2036 | 132.701 | 3.22% | 066 | 044 | 13.00 | 02.19 | 078 | 044 | 062 | 014 | 30YON ||
| AGENCY 2.7000 22-AUG-2036 | 088.966 | 3.48% | 088 | 070 | 14.76 | 02.66 | 079 | 070 | 088 | 040 | 30YON ||
| AGENCY 2.7500 08-SEP-2036 | 089.471 | 3.50% | 090 | 071 | 14.73 | 02.66 | 080 | 071 | 089 | 042 | 30YON ||
| AGENCY 2.7000 08-SEP-2036 | 089.855 | 3.41% | 081 | 063 | 14.81 | 02.66 | 073 | 063 | 081 | 033 | 30YON ||
| AGENCY 5.6250 15-JUL-2037 | 134.289 | 3.31% | 073 | 049 | 13.35 | 02.33 | 087 | 049 | 069 | 023 | 30YON ||
| AGENCY 3.9500 06-AUG-2037 | 105.761 | 3.55% | 096 | 074 | 14.19 | 02.56 | 099 | 074 | 094 | 047 | 30YON ||
| AGENCY 2.7800 02-NOV-2037 | 088.926 | 3.54% | 093 | 072 | 15.29 | 02.88 | 084 | 072 | 092 | 046 | 30YON ||
| AGENCY 6.2100 06-AUG-2038 | 144.476 | 3.30% | 073 | 046 | 13.55 | 02.44 | 099 | 046 | 068 | 022 | 30YON ||
| AGENCY 2.7100 26-AUG-2038 | 086.115 | 3.65% | 103 | 080 | 15.71 | 03.06 | 090 | 080 | 102 | 057 | 30YON ||
| AGENCY 3.5000 02-FEB-2039 | 097.649 | 3.66% | 105 | 080 | 15.16 | 02.93 | 101 | 080 | 103 | 058 | 30YON ||
| AGENCY 5.2500 15-SEP-2039 | 125.952 | 3.57% | 098 | 069 | 14.29 | 02.73 | 115 | 069 | 094 | 049 | 30YON ||
| AGENCY 3.6500 02-FEB-2041 | 098.115 | 3.77% | 116 | 086 | 15.81 | 03.26 | 112 | 086 | 114 | 069 | 30YON ||
| AGENCY 3.4300 06-APR-2045 | 094.239 | 3.76% | 114 | 073 | 17.62 | 04.17 | 107 | 073 | 112 | 068 | 30YON ||
| AGENCY 5.3750 01-APR-2056 | 127.159 | 4.00% | 139 | 092 | 18.64 | 05.26 | 165 | 092 | 136 | 092 | 30YON ||
| AGENCY 4.2500 24-SEP-2065 | 105.138 | 4.01% | 141 | 093 | 21.11 | 07.06 | 145 | 093 | 139 | 093 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 1.0000 28-AUG-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.18 | 01.71 | -00.00 ||
| AGENCY 1.5000 30-APR-2020 | -00.00 | -00.00 | 02.77 | 00.38 | -00.00 | -00.00 | -00.00 | -00.00 ||
| AGENCY 3.0200 12-JAN-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.74 | 05.04 | -00.00 | -00.00 ||
| AGENCY 2.5000 12-JUL-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.67 | 00.40 | -00.00 ||
| AGENCY 4.0000 10-APR-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.02 | 01.08 | -00.00 ||
| AGENCY 4.0000 01-SEP-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.87 | 01.48 | -00.00 ||
| AGENCY 4.0000 08-DEC-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.77 | 01.76 | -00.00 ||
| AGENCY 4.0000 11-APR-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.49 | 02.10 | -00.00 ||
| AGENCY 3.3750 08-JUN-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.72 | 02.37 | -00.00 ||
| AGENCY 3.3500 01-AUG-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.62 | 02.53 | -00.00 ||
| AGENCY 4.0000 24-OCT-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.33 | 02.75 | -00.00 ||
| AGENCY 3.2800 08-FEB-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.33 | 03.17 | -00.00 ||
| AGENCY 2.9900 29-MAR-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.36 | 03.39 | -00.00 ||
| AGENCY 3.5000 01-AUG-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.97 | 03.74 | -00.00 ||
| AGENCY 3.0500 24-OCT-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.98 | 04.14 | -00.00 ||
| AGENCY 3.3000 27-NOV-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.79 | 04.19 | -00.00 ||
| AGENCY 3.5300 23-DEC-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.65 | 04.23 | -00.00 ||
| AGENCY 3.3400 14-JAN-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.67 | 04.35 | -00.00 ||
| AGENCY 3.3900 27-JAN-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.65 | 04.40 | -00.00 ||
| AGENCY 3.0400 11-FEB-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.72 | 04.53 | -00.00 ||
| AGENCY 3.1000 10-MAR-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.67 | 04.63 | -00.00 ||
| AGENCY 2.7500 11-JUL-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.53 | 05.20 | -00.00 ||
| AGENCY 3.5500 01-AUG-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.22 | 05.07 | -00.00 ||
| AGENCY 2.7000 08-AUG-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.48 | 05.32 | -00.00 ||
| AGENCY 2.9000 28-JUN-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.61 | 06.58 | -00.00 ||
| AGENCY 3.5000 20-JUL-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.41 | 06.51 | -00.00 ||
| AGENCY 3.3300 01-FEB-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.90 | 07.34 | -00.00 ||
| AGENCY 3.0000 21-APR-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.78 | 07.84 | -00.00 ||
| AGENCY 4.1250 11-OCT-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.99 | 08.05 | -00.00 ||
| AGENCY 3.9900 24-JUL-2034 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.16 | 09.33 | -00.00 ||
| AGENCY 3.9400 05-SEP-2034 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.04 | 09.55 | -00.00 ||
| AGENCY 3.3000 02-FEB-2035 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 02.69 | 10.73 | 00.00 ||
| AGENCY 3.4000 01-JUN-2035 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 02.28 | 11.33 | 00.00 ||
| AGENCY 3.6250 22-OCT-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.72 | 11.70 | -00.00 ||
| AGENCY 3.3150 13-NOV-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.70 | 12.19 | -00.00 ||
| AGENCY 3.6700 28-DEC-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.49 | 12.01 | -00.00 ||
| AGENCY 3.5600 01-FEB-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.37 | 12.28 | -00.00 ||
| AGENCY 3.1300 06-FEB-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.39 | 12.61 | -00.00 ||
| AGENCY 3.5000 08-FEB-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.35 | 12.37 | -00.00 ||
| AGENCY 3.4400 22-FEB-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.31 | 12.49 | -00.00 ||
| AGENCY 3.1400 18-APR-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.12 | 12.97 | -00.00 ||
| AGENCY 3.0000 29-APR-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.09 | 13.15 | -00.00 ||
| AGENCY 3.0000 16-MAY-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.02 | 13.24 | -00.00 ||
| AGENCY 3.0400 20-MAY-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.01 | 13.30 | -00.00 ||
| AGENCY 3.0300 23-MAY-2036 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 01.00 | 13.31 | 00.00 ||
| AGENCY 3.0000 16-JUN-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.91 | 13.47 | -00.00 ||
| AGENCY 5.5000 15-JUL-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.72 | 12.28 | -00.00 ||
| AGENCY 2.7000 22-AUG-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.66 | 14.08 | -00.00 ||
| AGENCY 2.7500 08-SEP-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.59 | 14.12 | -00.00 ||
| AGENCY 2.7000 08-SEP-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.60 | 14.20 | -00.00 ||
| AGENCY 5.6250 15-JUL-2037 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 12.75 | 00.60 ||
| AGENCY 3.9500 06-AUG-2037 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 13.46 | 00.72 ||
| AGENCY 2.7800 02-NOV-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.13 | 01.14 ||
| AGENCY 6.2100 06-AUG-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.50 | 02.04 ||
| AGENCY 2.7100 26-AUG-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 13.25 | 02.45 ||
| AGENCY 3.5000 02-FEB-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 12.12 | 03.03 ||
| AGENCY 5.2500 15-SEP-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.55 | 03.74 ||
| AGENCY 3.6500 02-FEB-2041 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.48 | 06.32 ||
| AGENCY 3.4300 06-APR-2045 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.22 | 14.39 ||
| AGENCY 5.3750 01-APR-2056 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 18.61 ||
| AGENCY 4.2500 24-SEP-2065 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 21.07 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:44:48 EST 2020
| Setup Time => Mon Jan 27 00:44:48 EST 2020
| Finish Time => Mon Jan 27 00:44:55 EST 2020
| Setup Duration => 0 ms
| Run Duration => 6 s 996 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 00:44:55 EST 2020
| Setup Time => Mon Jan 27 00:44:55 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing CORPORA 1.3500 10-MAR-2017
Doing CORPORA 3.7500 11-MAY-2017
Doing CORPORA 1.3500 09-JUN-2017
Doing CORPORA 2.1250 02-OCT-2017
Doing CORPORA 3.8750 16-JUL-2018
Doing CORPORA 8.2500 15-JAN-2019
Doing CORPORA 8.1250 15-FEB-2019
Doing CORPORA 5.4900 15-MAR-2019
Doing CORPORA 9.3750 15-MAR-2019
Doing CORPORA 9.2500 16-AUG-2019
Doing CORPORA 7.3750 15-OCT-2019
Doing CORPORA 7.8750 31-JAN-2020
Doing CORPORA 6.2500 15-FEB-2020
Doing CORPORA 6.3750 30-APR-2020
Doing CORPORA 8.5000 15-MAY-2020
Doing CORPORA 5.8750 15-SEP-2020
Doing CORPORA 6.3750 29-SEP-2020
Doing CORPORA 5.5000 15-NOV-2020
Doing CORPORA 5.0000 01-MAR-2021
Doing CORPORA 5.3750 01-NOV-2021
Doing CORPORA 4.4500 15-NOV-2021
Doing CORPORA 5.1250 15-APR-2022
Doing CORPORA 5.9830 19-APR-2022
Doing CORPORA 6.8210 08-OCT-2022
Doing CORPORA 6.2510 15-JAN-2023
Doing CORPORA 4.3750 15-MAR-2023
Doing CORPORA 3.7500 01-JUN-2023
Doing CORPORA 6.1250 15-AUG-2023
Doing CORPORA 5.0000 02-OCT-2023
Doing CORPORA 6.1250 15-NOV-2023
Doing CORPORA 4.1500 15-JAN-2024
Doing CORPORA 4.3500 15-FEB-2024
Doing CORPORA 4.0000 03-MAR-2024
Doing CORPORA 4.6000 01-APR-2024
Doing CORPORA 4.4000 01-APR-2024
Doing CORPORA 3.8000 08-APR-2024
Doing CORPORA 5.0000 01-JUL-2024
Doing CORPORA 4.0000 01-FEB-2025
Doing CORPORA 4.3500 15-FEB-2025
Doing CORPORA 4.4500 15-FEB-2025
Doing CORPORA 4.7500 24-NOV-2025
Doing CORPORA 4.5000 16-DEC-2025
Doing CORPORA 4.3750 09-NOV-2027
Doing CORPORA 7.1250 03-MAR-2031
Doing CORPORA 4.9500 29-JUL-2035
Doing CORPORA 6.2500 01-NOV-2035
Doing CORPORA 5.5580 01-OCT-2036
Doing CORPORA 6.5030 15-AUG-2043
Doing CORPORA 5.9370 01-OCT-2043
Doing CORPORA 5.2700 15-DEC-2047
Doing CORPORA 5.6900 15-MAY-2049
Doing CORPORA 5.5240 15-JUN-2050
Doing CORPORA 5.9120 15-JUN-2050
Doing CORPORA 5.5210 01-JAN-2051
Doing CORPORA 5.6580 01-OCT-2051
Doing CORPORA 6.1710 15-JUN-2053
Doing CORPORA 8.4210 15-JUN-2053
Doing CORPORA 6.8030 15-AUG-2053
Doing CORPORA 7.5000 15-SEP-2053
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.3500 10-MAR-2017 | 10-MAR-2014 | 10-MAR-2017 | 10-SEP-2014 | 100.044 | 0.93% | 00.11 | 00.11 | 00.11 | 0011 | 0.00 | -003 ||
| CORPORA 3.7500 11-MAY-2017 | 11-MAY-2012 | 11-MAY-2017 | 11-NOV-2012 | 100.705 | 1.17% | 00.27 | 00.27 | 00.28 | 0028 | 0.00 | 015 ||
| CORPORA 1.3500 09-JUN-2017 | 11-JUN-2014 | 09-JUN-2017 | 09-JUN-2015 | 100.302 | 0.49% | 00.35 | 00.35 | 00.35 | 0035 | 0.00 | -056 ||
| CORPORA 2.1250 02-OCT-2017 | 01-OCT-2012 | 02-OCT-2017 | 02-APR-2013 | 100.270 | 1.71% | 00.66 | 00.66 | 00.66 | 0066 | 0.01 | 056 ||
| CORPORA 3.8750 16-JUL-2018 | 13-NOV-2015 | 16-JUL-2018 | 16-JUL-2016 | 102.110 | 2.39% | 01.43 | 01.41 | 01.44 | 0144 | 0.03 | 104 ||
| CORPORA 8.2500 15-JAN-2019 | 11-DEC-2008 | 15-JAN-2019 | 15-JUL-2009 | 112.290 | 1.81% | 01.84 | 01.83 | 02.06 | 0206 | 0.05 | 034 ||
| CORPORA 8.1250 15-FEB-2019 | 03-FEB-2009 | 15-FEB-2019 | 15-AUG-2009 | 111.016 | 2.54% | 01.86 | 01.84 | 02.11 | 0211 | 0.05 | 105 ||
| CORPORA 5.4900 15-MAR-2019 | 04-MAY-2007 | 15-MAR-2019 | 15-MAR-2008 | 106.227 | 2.46% | 01.99 | 01.97 | 02.13 | 0213 | 0.05 | 095 ||
| CORPORA 9.3750 15-MAR-2019 | 17-MAR-2009 | 15-MAR-2019 | 15-MAR-2010 | 115.033 | 2.09% | 01.92 | 01.90 | 02.26 | 0226 | 0.05 | 058 ||
| CORPORA 9.2500 16-AUG-2019 | 06-FEB-2009 | 16-AUG-2019 | 16-AUG-2009 | 117.719 | 2.05% | 02.26 | 02.24 | 02.73 | 0273 | 0.07 | 046 ||
| CORPORA 7.3750 15-OCT-2019 | 09-OCT-2009 | 15-OCT-2019 | 15-APR-2010 | 112.997 | 2.38% | 02.47 | 02.44 | 02.81 | 0281 | 0.08 | 075 ||
| CORPORA 7.8750 31-JAN-2020 | 15-JAN-2010 | 31-JAN-2020 | 31-JUL-2010 | 113.919 | 2.99% | 02.75 | 02.71 | 03.08 | 0308 | 0.09 | 131 ||
| CORPORA 6.2500 15-FEB-2020 | 11-DEC-2009 | 15-FEB-2020 | 15-AUG-2010 | 110.635 | 2.58% | 02.75 | 02.72 | 03.09 | 0309 | 0.09 | 089 ||
| CORPORA 6.3750 30-APR-2020 | 26-APR-2010 | 30-APR-2020 | 30-OCT-2010 | 110.612 | 2.92% | 02.96 | 02.91 | 03.27 | 0327 | 0.12 | 120 ||
| CORPORA 8.5000 15-MAY-2020 | 10-MAY-2010 | 15-MAY-2020 | 15-NOV-2010 | 111.540 | 4.67% | 02.91 | 02.85 | 03.23 | 0323 | 0.10 | 294 ||
| CORPORA 5.8750 15-SEP-2020 | 17-SEP-2010 | 15-SEP-2020 | 15-SEP-2011 | 107.563 | 3.63% | 03.26 | 03.20 | 03.51 | 0351 | 0.13 | 184 ||
| CORPORA 6.3750 29-SEP-2020 | 29-SEP-2010 | 29-SEP-2020 | 29-MAR-2011 | 113.107 | 2.60% | 03.28 | 03.24 | 03.74 | 0374 | 0.13 | 081 ||
| CORPORA 5.5000 15-NOV-2020 | 15-NOV-2010 | 15-NOV-2020 | 15-MAY-2011 | 108.865 | 3.00% | 03.45 | 03.40 | 03.74 | 0374 | 0.14 | 119 ||
| CORPORA 5.0000 01-MAR-2021 | 17-MAR-2016 | 01-MAR-2021 | 01-MAR-2017 | 107.833 | 2.95% | 03.61 | 03.56 | 03.99 | 0399 | 0.16 | 110 ||
| CORPORA 5.3750 01-NOV-2021 | 23-MAY-2014 | 01-NOV-2021 | 01-MAY-2015 | 102.487 | 4.78% | 04.21 | 04.11 | 04.26 | 0426 | 0.20 | 285 ||
| CORPORA 4.4500 15-NOV-2021 | 15-NOV-2011 | 15-NOV-2021 | 15-MAY-2012 | 103.662 | 3.61% | 04.33 | 04.26 | 04.45 | 0445 | 0.21 | 167 ||
| CORPORA 5.1250 15-APR-2022 | 15-APR-2012 | 15-APR-2022 | 15-OCT-2012 | 111.002 | 2.83% | 04.61 | 04.54 | 05.11 | 0511 | 0.25 | 085 ||
| CORPORA 5.9830 19-APR-2022 | 10-APR-2007 | 19-APR-2022 | 19-OCT-2007 | 110.306 | 3.78% | 04.52 | 04.44 | 04.97 | 0497 | 0.24 | 180 ||
| CORPORA 6.8210 08-OCT-2022 | 14-APR-2008 | 08-OCT-2022 | 08-APR-2009 | 115.159 | 3.83% | 04.79 | 04.70 | 05.51 | 0551 | 0.27 | 180 ||
| CORPORA 6.2510 15-JAN-2023 | 13-DEC-2007 | 15-JAN-2023 | 15-JUL-2008 | 114.584 | 3.51% | 05.12 | 05.03 | 05.78 | 0578 | 0.30 | 146 ||
| CORPORA 4.3750 15-MAR-2023 | 23-AUG-2013 | 15-MAR-2023 | 15-MAR-2014 | 100.750 | 4.23% | 05.35 | 05.24 | 05.36 | 0536 | 0.33 | 215 ||
| CORPORA 3.7500 01-JUN-2023 | 22-MAY-2013 | 01-JUN-2023 | 01-DEC-2013 | 100.772 | 3.61% | 05.66 | 05.56 | 05.64 | 0564 | 0.36 | 151 ||
| CORPORA 6.1250 15-AUG-2023 | 15-AUG-2013 | 15-AUG-2023 | 15-FEB-2014 | 104.523 | 5.30% | 05.37 | 05.23 | 05.61 | 0561 | 0.34 | 319 ||
| CORPORA 5.0000 02-OCT-2023 | 02-OCT-2013 | 02-OCT-2023 | 02-APR-2014 | 105.455 | 4.06% | 05.69 | 05.58 | 05.97 | 0597 | 0.37 | 193 ||
| CORPORA 6.1250 15-NOV-2023 | 09-NOV-2015 | 15-NOV-2023 | 15-MAY-2016 | 107.486 | 4.82% | 05.63 | 05.50 | 05.98 | 0598 | 0.37 | 269 ||
| CORPORA 4.1500 15-JAN-2024 | 11-DEC-2013 | 15-JAN-2024 | 15-JUL-2014 | 105.007 | 3.34% | 06.12 | 06.02 | 06.33 | 0633 | 0.42 | 118 ||
| CORPORA 4.3500 15-FEB-2024 | 11-FEB-2014 | 15-FEB-2024 | 15-AUG-2014 | 095.787 | 5.07% | 05.99 | 05.84 | 05.71 | 0571 | 0.41 | 291 ||
| CORPORA 4.0000 03-MAR-2024 | 03-MAR-2014 | 03-MAR-2024 | 03-SEP-2014 | 102.838 | 3.54% | 06.16 | 06.05 | 06.32 | 0632 | 0.43 | 138 ||
| CORPORA 4.6000 01-APR-2024 | 14-MAR-2014 | 01-APR-2024 | 01-OCT-2014 | 102.640 | 4.17% | 06.11 | 05.98 | 06.23 | 0623 | 0.43 | 200 ||
| CORPORA 4.4000 01-APR-2024 | 09-MAR-2014 | 01-APR-2024 | 01-OCT-2014 | 099.900 | 4.42% | 06.13 | 06.00 | 06.08 | 0608 | 0.43 | 225 ||
| CORPORA 3.8000 08-APR-2024 | 08-APR-2014 | 08-APR-2024 | 08-OCT-2014 | 098.916 | 3.97% | 06.27 | 06.15 | 06.16 | 0616 | 0.44 | 180 ||
| CORPORA 5.0000 01-JUL-2024 | 20-JUN-2014 | 01-JUL-2024 | 01-JAN-2015 | 105.427 | 4.14% | 06.30 | 06.17 | 06.53 | 0653 | 0.45 | 196 ||
| CORPORA 4.0000 01-FEB-2025 | 26-JAN-2015 | 01-FEB-2025 | 01-AUG-2015 | 097.599 | 4.36% | 06.91 | 06.76 | 06.59 | 0659 | 0.53 | 213 ||
| CORPORA 4.3500 15-FEB-2025 | 24-FEB-2015 | 15-FEB-2025 | 15-FEB-2016 | 099.801 | 4.38% | 06.73 | 06.58 | 06.70 | 0670 | 0.52 | 215 ||
| CORPORA 4.4500 15-FEB-2025 | 04-DEC-2014 | 15-FEB-2025 | 15-AUG-2015 | 097.728 | 4.79% | 06.69 | 06.53 | 06.51 | 0651 | 0.52 | 256 ||
| CORPORA 4.7500 24-NOV-2025 | 24-NOV-2015 | 24-NOV-2025 | 24-MAY-2016 | 100.651 | 4.66% | 07.24 | 07.08 | 07.19 | 0719 | 0.60 | 238 ||
| CORPORA 4.5000 16-DEC-2025 | 16-DEC-2012 | 16-DEC-2025 | 16-JUN-2013 | 103.182 | 4.07% | 07.40 | 07.25 | 07.52 | 0752 | 0.63 | 179 ||
| CORPORA 4.3750 09-NOV-2027 | 09-NOV-2012 | 09-NOV-2027 | 09-MAY-2013 | 105.751 | 3.72% | 08.69 | 08.53 | 09.10 | 0910 | 0.88 | 134 ||
| CORPORA 7.1250 03-MAR-2031 | 02-MAR-2001 | 03-MAR-2031 | 03-SEP-2001 | 135.930 | 3.81% | 09.67 | 09.48 | 13.17 | 1317 | 1.18 | 134 ||
| CORPORA 4.9500 29-JUL-2035 | 01-OCT-2015 | 29-JUL-2035 | 29-JUL-2016 | 106.004 | 4.47% | 12.51 | 12.23 | 12.97 | 1297 | 1.96 | 191 ||
| CORPORA 6.2500 01-NOV-2035 | 09-MAY-2015 | 01-NOV-2035 | 01-MAY-2016 | 108.994 | 5.48% | 11.46 | 11.15 | 12.33 | 1233 | 1.73 | 292 ||
| CORPORA 5.5580 01-OCT-2036 | 09-NOV-2006 | 01-OCT-2036 | 01-OCT-2007 | 113.379 | 4.52% | 12.48 | 12.20 | 14.06 | 1406 | 2.02 | 195 ||
| CORPORA 6.5030 15-AUG-2043 | 01-AUG-2013 | 15-AUG-2043 | 15-SEP-2013 | 117.767 | 5.26% | 13.71 | 13.64 | 16.10 | 1610 | 2.73 | 267 ||
| CORPORA 5.9370 01-OCT-2043 | 01-OCT-2003 | 01-OCT-2043 | 01-APR-2004 | 112.273 | 5.09% | 14.17 | 13.80 | 15.77 | 1577 | 2.82 | 248 ||
| CORPORA 5.2700 15-DEC-2047 | 24-FEB-2005 | 15-DEC-2047 | 15-DEC-2005 | 103.923 | 5.02% | 15.75 | 15.34 | 16.05 | 1605 | 3.54 | 240 ||
| CORPORA 5.6900 15-MAY-2049 | 01-MAR-2005 | 15-MAY-2049 | 15-NOV-2005 | 114.965 | 4.78% | 16.04 | 15.65 | 18.18 | 1818 | 3.72 | 216 ||
| CORPORA 5.5240 15-JUN-2050 | 26-APR-2005 | 15-JUN-2050 | 15-DEC-2005 | 109.618 | 4.93% | 16.22 | 15.81 | 17.45 | 1745 | 3.84 | 231 ||
| CORPORA 5.9120 15-JUN-2050 | 02-JUN-2014 | 15-JUN-2050 | 15-DEC-2014 | 120.260 | 4.70% | 16.31 | 15.92 | 19.27 | 1927 | 3.86 | 208 ||
| CORPORA 5.5210 01-JAN-2051 | 01-JUL-2006 | 01-JAN-2051 | 01-JAN-2007 | 092.768 | 6.02% | 14.97 | 14.52 | 13.54 | 1354 | 3.39 | 340 ||
| CORPORA 5.6580 01-OCT-2051 | 01-NOV-2006 | 01-OCT-2051 | 01-OCT-2007 | 101.818 | 5.54% | 15.42 | 14.98 | 15.54 | 1554 | 3.62 | 292 ||
| CORPORA 6.1710 15-JUN-2053 | 04-DEC-2007 | 15-JUN-2053 | 15-JUN-2008 | 096.940 | 6.39% | 14.47 | 14.01 | 13.69 | 1369 | 3.29 | 377 ||
| CORPORA 8.4210 15-JUN-2053 | 04-DEC-2007 | 15-JUN-2053 | 15-JUN-2008 | 104.466 | 8.04% | 12.02 | 11.54 | 12.18 | 1218 | 2.37 | 542 ||
| CORPORA 6.8030 15-AUG-2053 | 01-AUG-2013 | 15-AUG-2053 | 15-FEB-2014 | 137.761 | 4.65% | 16.37 | 15.97 | 22.51 | 2251 | 4.05 | 203 ||
| CORPORA 7.5000 15-SEP-2053 | 04-NOV-2008 | 15-SEP-2053 | 15-SEP-2009 | 138.220 | 5.16% | 15.47 | 15.07 | 21.25 | 2125 | 3.69 | 255 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.3500 10-MAR-2017 | 100.044 | 0.93% | -003 | 010 | 00.11 | 00.00 | 001 | 010 | -032 | 010 | null ||
| CORPORA 3.7500 11-MAY-2017 | 100.705 | 1.17% | 015 | 034 | 00.28 | 00.00 | 109 | 034 | -008 | 034 | null ||
| CORPORA 1.3500 09-JUN-2017 | 100.302 | 0.49% | -056 |-034 | 00.35 | 00.00 |-050 | -034 | -076 | -034 | null ||
| CORPORA 2.1250 02-OCT-2017 | 100.270 | 1.71% | 056 | 088 | 00.66 | 00.01 | 061 | 088 | 047 | 088 | null ||
| CORPORA 3.8750 16-JUL-2018 | 102.110 | 2.39% | 104 | 139 | 01.41 | 00.03 | 109 | 139 | 103 | 117 | 02YON ||
| CORPORA 8.2500 15-JAN-2019 | 112.290 | 1.81% | 034 | 061 | 01.83 | 00.04 | 052 | 061 | 033 | 059 | 02YON ||
| CORPORA 8.1250 15-FEB-2019 | 111.016 | 2.54% | 105 | 131 | 01.90 | 00.05 | 215 | 131 | 103 | 132 | 02YON ||
| CORPORA 5.4900 15-MAR-2019 | 106.227 | 2.46% | 095 | 121 | 02.01 | 00.05 | 144 | 121 | 093 | 124 | 02YON ||
| CORPORA 9.3750 15-MAR-2019 | 115.033 | 2.09% | 058 | 083 | 01.96 | 00.05 | 175 | 083 | 056 | 087 | 02YON ||
| CORPORA 9.2500 16-AUG-2019 | 117.719 | 2.05% | 046 | 069 | 02.32 | 00.07 | 162 | 069 | 044 | 056 | 03YON ||
| CORPORA 7.3750 15-OCT-2019 | 112.997 | 2.38% | 075 | 097 | 02.49 | 00.08 | 131 | 097 | 073 | 089 | 03YON ||
| CORPORA 7.8750 31-JAN-2020 | 113.919 | 2.99% | 131 | 150 | 02.71 | 00.09 | 141 | 150 | 129 | 150 | 03YON ||
| CORPORA 6.2500 15-FEB-2020 | 110.635 | 2.58% | 089 | 109 | 02.79 | 00.10 | 143 | 109 | 088 | 109 | 03YON ||
| CORPORA 6.3750 30-APR-2020 | 110.612 | 2.92% | 120 | 138 | 02.96 | 00.11 | 152 | 138 | 118 | 143 | 03YON ||
| CORPORA 8.5000 15-MAY-2020 | 111.540 | 4.67% | 294 | 312 | 02.89 | 00.10 | 336 | 312 | 292 | 318 | 03YON ||
| CORPORA 5.8750 15-SEP-2020 | 107.563 | 3.63% | 184 | 200 | 03.27 | 00.13 | 212 | 200 | 182 | 214 | 03YON ||
| CORPORA 6.3750 29-SEP-2020 | 113.107 | 2.60% | 081 | 096 | 03.30 | 00.13 | 119 | 096 | 078 | 111 | 03YON ||
| CORPORA 5.5000 15-NOV-2020 | 108.865 | 3.00% | 119 | 134 | 03.43 | 00.14 | 138 | 134 | 117 | 151 | 03YON ||
| CORPORA 5.0000 01-MAR-2021 | 107.833 | 2.95% | 110 | 122 | 03.70 | 00.16 | 133 | 122 | 108 | 102 | 05YON ||
| CORPORA 5.3750 01-NOV-2021 | 102.487 | 4.78% | 285 | 291 | 04.16 | 00.21 | 290 | 291 | 283 | 285 | 05YON ||
| CORPORA 4.4500 15-NOV-2021 | 103.662 | 3.61% | 167 | 173 | 04.30 | 00.22 | 172 | 173 | 165 | 168 | 05YON ||
| CORPORA 5.1250 15-APR-2022 | 111.002 | 2.83% | 085 | 087 | 04.60 | 00.25 | 102 | 087 | 083 | 090 | 05YON ||
| CORPORA 5.9830 19-APR-2022 | 110.306 | 3.78% | 181 | 182 | 04.51 | 00.24 | 201 | 182 | 178 | 185 | 05YON ||
| CORPORA 6.8210 08-OCT-2022 | 115.159 | 3.83% | 180 | 178 | 04.79 | 00.27 | 210 | 178 | 177 | 190 | 05YON ||
| CORPORA 6.2510 15-JAN-2023 | 114.584 | 3.51% | 146 | 142 | 05.04 | 00.31 | 159 | 142 | 143 | 158 | 05YON ||
| CORPORA 4.3750 15-MAR-2023 | 100.750 | 4.23% | 216 | 211 | 05.33 | 00.33 | 215 | 211 | 213 | 196 | 07YON ||
| CORPORA 3.7500 01-JUN-2023 | 100.772 | 3.61% | 151 | 146 | 05.60 | 00.37 | 150 | 146 | 149 | 134 | 07YON ||
| CORPORA 6.1250 15-AUG-2023 | 104.523 | 5.30% | 320 | 311 | 05.37 | 00.35 | 330 | 311 | 316 | 303 | 07YON ||
| CORPORA 5.0000 02-OCT-2023 | 105.455 | 4.06% | 194 | 184 | 05.67 | 00.38 | 202 | 184 | 191 | 179 | 07YON ||
| CORPORA 6.1250 15-NOV-2023 | 107.486 | 4.82% | 270 | 258 | 05.57 | 00.37 | 282 | 258 | 266 | 255 | 07YON ||
| CORPORA 4.1500 15-JAN-2024 | 105.007 | 3.34% | 118 | 108 | 06.03 | 00.43 | 121 | 108 | 116 | 107 | 07YON ||
| CORPORA 4.3500 15-FEB-2024 | 095.787 | 5.07% | 291 | 280 | 05.96 | 00.42 | 277 | 280 | 289 | 280 | 07YON ||
| CORPORA 4.0000 03-MAR-2024 | 102.838 | 3.54% | 138 | 127 | 06.15 | 00.44 | 141 | 127 | 136 | 127 | 07YON ||
| CORPORA 4.6000 01-APR-2024 | 102.640 | 4.17% | 201 | 189 | 06.07 | 00.43 | 203 | 189 | 198 | 190 | 07YON ||
| CORPORA 4.4000 01-APR-2024 | 099.900 | 4.42% | 225 | 213 | 06.09 | 00.43 | 222 | 213 | 222 | 215 | 07YON ||
| CORPORA 3.8000 08-APR-2024 | 098.916 | 3.97% | 180 | 169 | 06.23 | 00.45 | 176 | 169 | 178 | 170 | 07YON ||
| CORPORA 5.0000 01-JUL-2024 | 105.427 | 4.14% | 196 | 184 | 06.19 | 00.45 | 201 | 184 | 193 | 187 | 07YON ||
| CORPORA 4.0000 01-FEB-2025 | 097.599 | 4.36% | 213 | 202 | 06.76 | 00.53 | 207 | 202 | 211 | 209 | 07YON ||
| CORPORA 4.3500 15-FEB-2025 | 099.801 | 4.38% | 215 | 204 | 06.72 | 00.53 | 212 | 204 | 212 | 211 | 07YON ||
| CORPORA 4.4500 15-FEB-2025 | 097.728 | 4.79% | 257 | 245 | 06.67 | 00.52 | 248 | 245 | 254 | 252 | 07YON ||
| CORPORA 4.7500 24-NOV-2025 | 100.651 | 4.66% | 239 | 226 | 07.14 | 00.62 | 237 | 226 | 236 | 218 | 10YON ||
| CORPORA 4.5000 16-DEC-2025 | 103.182 | 4.07% | 179 | 167 | 07.29 | 00.63 | 181 | 167 | 176 | 159 | 10YON ||
| CORPORA 4.3750 09-NOV-2027 | 105.751 | 3.72% | 135 | 122 | 08.61 | 00.88 | 138 | 122 | 132 | 124 | 10YON ||
| CORPORA 7.1250 03-MAR-2031 | 135.930 | 3.81% | 135 | 120 | 09.70 | 01.21 | 172 | 120 | 129 | 133 | 10YON ||
| CORPORA 4.9500 29-JUL-2035 | 106.004 | 4.47% | 192 | 172 | 12.24 | 01.96 | 195 | 172 | 188 | 139 | 30YON ||
| CORPORA 6.2500 01-NOV-2035 | 108.994 | 5.48% | 295 | 272 | 11.32 | 01.75 | 306 | 272 | 288 | 240 | 30YON ||
| CORPORA 5.5580 01-OCT-2036 | 113.379 | 4.52% | 197 | 173 | 12.41 | 02.06 | 211 | 173 | 191 | 144 | 30YON ||
| CORPORA 6.5030 15-AUG-2043 | 117.767 | 5.26% | 271 | 228 | 13.68 | 02.74 | 296 | 228 | 262 | 218 | 30YON ||
| CORPORA 5.9370 01-OCT-2043 | 112.273 | 5.09% | 251 | 210 | 14.06 | 02.87 | 267 | 210 | 245 | 201 | 30YON ||
| CORPORA 5.2700 15-DEC-2047 | 103.923 | 5.02% | 243 | 194 | 15.46 | 03.57 | 244 | 194 | 238 | 194 | 30YON ||
| CORPORA 5.6900 15-MAY-2049 | 114.965 | 4.78% | 218 | 170 | 15.83 | 03.77 | 237 | 170 | 213 | 170 | 30YON ||
| CORPORA 5.5240 15-JUN-2050 | 109.618 | 4.93% | 234 | 185 | 15.94 | 03.86 | 245 | 185 | 229 | 185 | 30YON ||
| CORPORA 5.9120 15-JUN-2050 | 120.260 | 4.70% | 211 | 162 | 16.04 | 03.89 | 237 | 162 | 206 | 162 | 30YON ||
| CORPORA 5.5210 01-JAN-2051 | 092.768 | 6.02% | 345 | 294 | 14.61 | 03.41 | 320 | 294 | 338 | 294 | 30YON ||
| CORPORA 5.6580 01-OCT-2051 | 101.818 | 5.54% | 296 | 246 | 15.28 | 03.68 | 294 | 246 | 290 | 246 | 30YON ||
| CORPORA 6.1710 15-JUN-2053 | 096.940 | 6.39% | 382 | 331 | 14.14 | 03.32 | 366 | 331 | 375 | 331 | 30YON ||
| CORPORA 8.4210 15-JUN-2053 | 104.466 | 8.04% | 552 | 496 | 11.68 | 02.40 | 559 | 496 | 540 | 496 | 30YON ||
| CORPORA 6.8030 15-AUG-2053 | 137.761 | 4.65% | 205 | 157 | 16.36 | 04.15 | 259 | 157 | 201 | 157 | 30YON ||
| CORPORA 7.5000 15-SEP-2053 | 138.220 | 5.16% | 259 | 208 | 15.40 | 03.76 | 327 | 208 | 253 | 208 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.3500 10-MAR-2017 | 00.11 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.7500 11-MAY-2017 | 00.28 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 ||
| CORPORA 1.3500 09-JUN-2017 | 00.35 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.1250 02-OCT-2017 | 00.66 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.8750 16-JUL-2018 | 00.78 | 00.63 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.2500 15-JAN-2019 | 00.09 | 01.74 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.1250 15-FEB-2019 | -00.00 | 01.83 | 00.07 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.4900 15-MAR-2019 | -00.00 | 01.78 | 00.23 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.3750 15-MAR-2019 | -00.00 | 01.74 | 00.22 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.2500 16-AUG-2019 | -00.00 | 01.08 | 01.24 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.3750 15-OCT-2019 | -00.00 | 00.75 | 01.74 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.8750 31-JAN-2020 | -00.00 | 00.01 | 02.69 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 15-FEB-2020 | -00.00 | -00.00 | 02.74 | 00.05 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.3750 30-APR-2020 | -00.00 | -00.00 | 02.60 | 00.36 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.5000 15-MAY-2020 | -00.00 | -00.00 | 02.48 | 00.41 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.8750 15-SEP-2020 | -00.00 | -00.00 | 02.26 | 01.01 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.3750 29-SEP-2020 | -00.00 | -00.00 | 02.22 | 01.08 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.5000 15-NOV-2020 | -00.00 | -00.00 | 02.09 | 01.35 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 01-MAR-2021 | -00.00 | -00.00 | 01.71 | 01.99 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3750 01-NOV-2021 | 00.00 | 00.00 | 00.53 | 03.63 | 00.00 | 00.00 | 00.00 | 00.00 ||
| CORPORA 4.4500 15-NOV-2021 | -00.00 | -00.00 | 00.46 | 03.83 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1250 15-APR-2022 | -00.00 | -00.00 | -00.00 | 04.15 | 00.45 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.9830 19-APR-2022 | -00.00 | -00.00 | -00.00 | 04.04 | 00.47 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8210 08-OCT-2022 | -00.00 | -00.00 | -00.00 | 03.16 | 01.63 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2510 15-JAN-2023 | -00.00 | -00.00 | -00.00 | 02.65 | 02.40 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.3750 15-MAR-2023 | -00.00 | -00.00 | -00.00 | 02.36 | 02.96 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.7500 01-JUN-2023 | -00.00 | -00.00 | -00.00 | 01.89 | 03.71 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1250 15-AUG-2023 | -00.00 | -00.00 | -00.00 | 01.26 | 04.11 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 02-OCT-2023 | -00.00 | -00.00 | -00.00 | 00.95 | 04.71 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1250 15-NOV-2023 | -00.00 | -00.00 | -00.00 | 00.60 | 04.96 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.1500 15-JAN-2024 | -00.00 | -00.00 | -00.00 | 00.15 | 05.88 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.3500 15-FEB-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.89 | 00.07 | -00.00 | -00.00 ||
| CORPORA 4.0000 03-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.98 | 00.17 | -00.00 | -00.00 ||
| CORPORA 4.6000 01-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.75 | 00.33 | -00.00 | -00.00 ||
| CORPORA 4.4000 01-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.76 | 00.33 | -00.00 | -00.00 ||
| CORPORA 3.8000 08-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.85 | 00.37 | -00.00 | -00.00 ||
| CORPORA 5.0000 01-JUL-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.34 | 00.85 | -00.00 | -00.00 ||
| CORPORA 4.0000 01-FEB-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.51 | 02.25 | -00.00 | -00.00 ||
| CORPORA 4.3500 15-FEB-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.39 | 02.32 | -00.00 | -00.00 ||
| CORPORA 4.4500 15-FEB-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.36 | 02.31 | -00.00 | -00.00 ||
| CORPORA 4.7500 24-NOV-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 02.83 | 04.31 | -00.00 | -00.00 ||
| CORPORA 4.5000 16-DEC-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 02.75 | 04.54 | -00.00 | -00.00 ||
| CORPORA 4.3750 09-NOV-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.95 | 00.66 | -00.00 ||
| CORPORA 7.1250 03-MAR-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.74 | 03.95 | -00.00 ||
| CORPORA 4.9500 29-JUL-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.86 | 10.38 | -00.00 ||
| CORPORA 6.2500 01-NOV-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.42 | 09.89 | -00.00 ||
| CORPORA 5.5580 01-OCT-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.42 | 11.98 | -00.00 ||
| CORPORA 6.5030 15-AUG-2043 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 04.75 | 08.93 ||
| CORPORA 5.9370 01-OCT-2043 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.70 | 09.36 ||
| CORPORA 5.2700 15-DEC-2047 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.44 ||
| CORPORA 5.6900 15-MAY-2049 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.81 ||
| CORPORA 5.5240 15-JUN-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.92 ||
| CORPORA 5.9120 15-JUN-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 16.02 ||
| CORPORA 5.5210 01-JAN-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.59 ||
| CORPORA 5.6580 01-OCT-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.26 ||
| CORPORA 6.1710 15-JUN-2053 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.13 ||
| CORPORA 8.4210 15-JUN-2053 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.66 ||
| CORPORA 6.8030 15-AUG-2053 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 16.34 ||
| CORPORA 7.5000 15-SEP-2053 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.38 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:44:55 EST 2020
| Setup Time => Mon Jan 27 00:44:55 EST 2020
| Finish Time => Mon Jan 27 00:45:01 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 s 685 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 00:45:01 EST 2020
| Setup Time => Mon Jan 27 00:45:01 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing CORPORA 5.6250 01-MAY-2017
Doing CORPORA 1.1500 15-MAY-2017
Doing CORPORA 2.3500 12-MAR-2018
Doing CORPORA 6.6250 15-AUG-2019
Doing CORPORA 6.8750 15-AUG-2019
Doing CORPORA 4.2500 15-OCT-2019
Doing CORPORA 7.2500 15-DEC-2019
Doing CORPORA 6.1130 15-JAN-2020
Doing CORPORA 6.7500 15-MAR-2020
Doing CORPORA 10.2500 30-JUN-2020
Doing CORPORA 5.4500 15-JUL-2020
Doing CORPORA 5.2500 15-SEP-2020
Doing CORPORA 5.3750 15-SEP-2020
Doing CORPORA 5.0000 30-SEP-2020
Doing CORPORA 6.5350 01-OCT-2020
Doing CORPORA 5.5000 21-JAN-2021
Doing CORPORA 6.1250 11-JUL-2021
Doing CORPORA 5.1250 11-SEP-2021
Doing CORPORA 6.2500 15-OCT-2021
Doing CORPORA 4.6000 01-APR-2022
Doing CORPORA 4.9500 01-APR-2022
Doing CORPORA 3.9500 15-APR-2022
Doing CORPORA 6.5000 15-MAY-2022
Doing CORPORA 4.7500 15-JUL-2022
Doing CORPORA 4.9500 15-JAN-2023
Doing CORPORA 9.5000 01-FEB-2023
Doing CORPORA 4.5000 15-JUN-2023
Doing CORPORA 6.5000 08-AUG-2023
Doing CORPORA 4.7000 15-SEP-2023
Doing CORPORA 4.0000 03-MAR-2024
Doing CORPORA 4.8500 01-APR-2024
Doing CORPORA 4.3750 10-APR-2024
Doing CORPORA 4.0000 15-APR-2024
Doing CORPORA 4.2500 30-SEP-2024
Doing CORPORA 4.2500 15-JAN-2025
Doing CORPORA 3.9000 15-JAN-2025
Doing CORPORA 3.9000 15-APR-2025
Doing CORPORA 6.5000 01-JUN-2025
Doing CORPORA 4.8750 01-AUG-2025
Doing CORPORA 4.8750 10-JUN-2025
Doing CORPORA 5.0000 15-OCT-2025
Doing CORPORA 5.2500 15-FEB-2026
Doing CORPORA 4.8000 18-APR-2026
Doing CORPORA 4.3000 01-APR-2027
Doing CORPORA 4.1250 15-DEC-2027
Doing CORPORA 5.5000 20-DEC-2027
Doing CORPORA 7.5000 01-MAY-2031
Doing CORPORA 4.4000 15-AUG-2035
Doing CORPORA 3.8500 15-JUL-2036
Doing CORPORA 7.7500 15-JUL-2037
Doing CORPORA 7.0000 01-JAN-2038
Doing CORPORA 4.1250 31-MAR-2038
Doing CORPORA 5.3830 15-FEB-2048
Doing CORPORA 5.6240 15-JUN-2050
Doing CORPORA 5.2400 01-AUG-2050
Doing CORPORA 5.4330 01-DEC-2050
Doing CORPORA 5.5810 01-JAN-2051
Doing CORPORA 7.0500 15-NOV-2055
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.6250 01-MAY-2017 | 27-APR-2005 | 01-MAY-2017 | 01-NOV-2005 | 101.138 | 1.00% | 00.25 | 00.25 | 00.25 | 0025 | 0.00 | -002 ||
| CORPORA 1.1500 15-MAY-2017 | 22-MAY-2014 | 15-MAY-2017 | 15-MAY-2015 | 099.931 | 1.39% | 00.29 | 00.28 | 00.28 | 0028 | 0.00 | 037 ||
| CORPORA 2.3500 12-MAR-2018 | 12-MAR-2015 | 12-MAR-2018 | 12-SEP-2015 | 100.679 | 1.73% | 01.09 | 01.08 | 01.10 | 0110 | 0.02 | 047 ||
| CORPORA 6.6250 15-AUG-2019 | 20-AUG-2009 | 15-AUG-2019 | 15-AUG-2010 | 110.785 | 2.23% | 02.32 | 02.30 | 02.61 | 0261 | 0.07 | 063 ||
| CORPORA 6.8750 15-AUG-2019 | 14-AUG-2009 | 15-AUG-2019 | 15-FEB-2010 | 111.127 | 2.33% | 02.31 | 02.29 | 02.61 | 0261 | 0.07 | 074 ||
| CORPORA 4.2500 15-OCT-2019 | 17-OCT-2014 | 15-OCT-2019 | 15-OCT-2015 | 103.812 | 2.77% | 02.55 | 02.52 | 02.65 | 0265 | 0.08 | 114 ||
| CORPORA 7.2500 15-DEC-2019 | 11-MAY-2009 | 15-DEC-2019 | 15-DEC-2009 | 113.735 | 2.28% | 02.64 | 02.61 | 02.99 | 0299 | 0.08 | 062 ||
| CORPORA 6.1130 15-JAN-2020 | 15-JAN-2010 | 15-JAN-2020 | 15-JUL-2010 | 107.971 | 3.26% | 02.75 | 02.70 | 02.93 | 0293 | 0.09 | 158 ||
| CORPORA 6.7500 15-MAR-2020 | 01-APR-2010 | 15-MAR-2020 | 15-MAR-2011 | 111.836 | 2.76% | 02.82 | 02.78 | 03.18 | 0318 | 0.10 | 106 ||
| CORPORA 10.2500 30-JUN-2020 | 29-JUN-2012 | 30-JUN-2020 | 30-DEC-2012 | 097.250 | 11.24% | 02.93 | 02.77 | 02.72 | 0272 | 0.10 | 950 ||
| CORPORA 5.4500 15-JUL-2020 | 19-JUL-2010 | 15-JUL-2020 | 15-JUL-2011 | 107.858 | 3.03% | 03.20 | 03.15 | 03.41 | 0341 | 0.12 | 128 ||
| CORPORA 5.2500 15-SEP-2020 | 13-SEP-2010 | 15-SEP-2020 | 15-MAR-2011 | 109.546 | 2.48% | 03.30 | 03.26 | 03.63 | 0363 | 0.13 | 069 ||
| CORPORA 5.3750 15-SEP-2020 | 20-SEP-2010 | 15-SEP-2020 | 15-SEP-2011 | 108.528 | 2.88% | 03.29 | 03.24 | 03.59 | 0359 | 0.14 | 109 ||
| CORPORA 5.0000 30-SEP-2020 | 10-SEP-2010 | 30-SEP-2020 | 30-MAR-2011 | 107.776 | 2.75% | 03.35 | 03.31 | 03.62 | 0362 | 0.14 | 096 ||
| CORPORA 6.5350 01-OCT-2020 | 12-OCT-2010 | 01-OCT-2020 | 01-OCT-2011 | 100.998 | 6.22% | 03.25 | 03.15 | 03.25 | 0325 | 0.12 | 443 ||
| CORPORA 5.5000 21-JAN-2021 | 30-SEP-2010 | 21-JAN-2021 | 21-JUL-2011 | 103.547 | 4.51% | 03.62 | 03.54 | 03.67 | 0367 | 0.17 | 268 ||
| CORPORA 6.1250 11-JUL-2021 | 11-JUL-2011 | 11-JUL-2021 | 11-JAN-2012 | 113.365 | 2.90% | 03.98 | 03.92 | 04.46 | 0446 | 0.18 | 100 ||
| CORPORA 5.1250 11-SEP-2021 | 08-JUN-2012 | 11-SEP-2021 | 11-MAR-2013 | 104.425 | 4.06% | 04.10 | 04.01 | 04.27 | 0427 | 0.19 | 214 ||
| CORPORA 6.2500 15-OCT-2021 | 05-MAY-2014 | 15-OCT-2021 | 15-APR-2015 | 109.700 | 3.97% | 04.11 | 04.03 | 04.49 | 0449 | 0.20 | 204 ||
| CORPORA 4.6000 01-APR-2022 | 29-FEB-2012 | 01-APR-2022 | 01-OCT-2012 | 105.845 | 3.36% | 04.61 | 04.53 | 04.86 | 0486 | 0.24 | 137 ||
| CORPORA 4.9500 01-APR-2022 | 13-MAR-2012 | 01-APR-2022 | 01-OCT-2012 | 102.390 | 4.43% | 04.55 | 04.46 | 04.64 | 0464 | 0.24 | 244 ||
| CORPORA 3.9500 15-APR-2022 | 22-MAR-2012 | 15-APR-2022 | 15-OCT-2012 | 104.068 | 3.10% | 04.71 | 04.64 | 04.88 | 0488 | 0.25 | 111 ||
| CORPORA 6.5000 15-MAY-2022 | 15-MAR-2016 | 15-MAY-2022 | 15-NOV-2016 | 102.920 | 5.85% | 04.51 | 04.38 | 04.57 | 0457 | 0.23 | 386 ||
| CORPORA 4.7500 15-JUL-2022 | 16-JUL-2012 | 15-JUL-2022 | 15-JUL-2013 | 107.137 | 3.31% | 04.88 | 04.80 | 05.15 | 0515 | 0.27 | 130 ||
| CORPORA 4.9500 15-JAN-2023 | 25-JUL-2014 | 15-JAN-2023 | 15-JUL-2015 | 106.000 | 3.81% | 05.24 | 05.14 | 05.46 | 0546 | 0.31 | 175 ||
| CORPORA 9.5000 01-FEB-2023 | 27-JAN-2016 | 01-FEB-2023 | 01-AUG-2016 | 114.250 | 6.59% | 04.80 | 04.65 | 05.31 | 0531 | 0.29 | 454 ||
| CORPORA 4.5000 15-JUN-2023 | 06-JUN-2013 | 15-JUN-2023 | 15-DEC-2013 | 101.918 | 4.15% | 05.59 | 05.47 | 05.61 | 0561 | 0.35 | 205 ||
| CORPORA 6.5000 08-AUG-2023 | 08-AUG-2013 | 08-AUG-2023 | 08-FEB-2014 | 107.204 | 5.18% | 05.30 | 05.17 | 05.70 | 0570 | 0.35 | 308 ||
| CORPORA 4.7000 15-SEP-2023 | 24-SEP-2013 | 15-SEP-2023 | 15-SEP-2014 | 107.071 | 3.49% | 05.71 | 05.61 | 06.10 | 0610 | 0.37 | 137 ||
| CORPORA 4.0000 03-MAR-2024 | 03-MAR-2014 | 03-MAR-2024 | 03-SEP-2014 | 103.468 | 3.44% | 06.16 | 06.05 | 06.36 | 0636 | 0.43 | 128 ||
| CORPORA 4.8500 01-APR-2024 | 30-JUN-2014 | 01-APR-2024 | 01-APR-2015 | 100.794 | 4.72% | 06.05 | 05.90 | 06.05 | 0605 | 0.43 | 255 ||
| CORPORA 4.3750 10-APR-2024 | 10-APR-2014 | 10-APR-2024 | 10-OCT-2014 | 099.790 | 4.41% | 06.16 | 06.03 | 06.10 | 0610 | 0.43 | 224 ||
| CORPORA 4.0000 15-APR-2024 | 17-MAR-2014 | 15-APR-2024 | 15-OCT-2014 | 102.209 | 3.65% | 06.27 | 06.15 | 06.36 | 0636 | 0.45 | 147 ||
| CORPORA 4.2500 30-SEP-2024 | 16-SEP-2014 | 30-SEP-2024 | 30-MAR-2015 | 104.942 | 3.51% | 06.56 | 06.44 | 06.86 | 0686 | 0.49 | 130 ||
| CORPORA 4.2500 15-JAN-2025 | 22-MAR-2016 | 15-JAN-2025 | 15-JAN-2017 | 090.907 | 5.69% | 06.75 | 06.56 | 05.98 | 0598 | 0.51 | 346 ||
| CORPORA 3.9000 15-JAN-2025 | 27-JUN-2014 | 15-JAN-2025 | 15-JAN-2015 | 099.614 | 3.96% | 06.90 | 06.76 | 06.75 | 0675 | 0.53 | 173 ||
| CORPORA 3.9000 15-APR-2025 | 07-APR-2015 | 15-APR-2025 | 15-OCT-2015 | 099.589 | 3.96% | 07.02 | 06.88 | 06.93 | 0693 | 0.56 | 171 ||
| CORPORA 6.5000 01-JUN-2025 | 09-JUN-1995 | 01-JUN-2025 | 01-JUN-1996 | 119.203 | 3.79% | 06.67 | 06.55 | 07.88 | 0788 | 0.52 | 156 ||
| CORPORA 4.8750 01-AUG-2025 | 31-JUL-2015 | 01-AUG-2025 | 01-FEB-2016 | 101.745 | 4.62% | 07.07 | 06.91 | 07.03 | 0703 | 0.57 | 237 ||
| CORPORA 4.8750 10-JUN-2025 | 10-JUN-2015 | 10-JUN-2025 | 10-DEC-2015 | 104.473 | 4.23% | 06.95 | 06.81 | 07.16 | 0716 | 0.55 | 199 ||
| CORPORA 5.0000 15-OCT-2025 | 20-OCT-2015 | 15-OCT-2025 | 15-OCT-2016 | 109.103 | 3.76% | 07.14 | 07.01 | 07.75 | 0775 | 0.59 | 150 ||
| CORPORA 5.2500 15-FEB-2026 | 03-FEB-2016 | 15-FEB-2026 | 15-AUG-2016 | 102.746 | 4.87% | 07.17 | 06.99 | 07.36 | 0736 | 0.60 | 259 ||
| CORPORA 4.8000 18-APR-2026 | 18-APR-2016 | 18-APR-2026 | 18-OCT-2016 | 102.399 | 4.48% | 07.48 | 07.31 | 07.59 | 0759 | 0.65 | 218 ||
| CORPORA 4.3000 01-APR-2027 | 28-SEP-2016 | 01-APR-2027 | 01-APR-2017 | 099.509 | 4.36% | 08.21 | 08.03 | 08.11 | 0811 | 0.78 | 201 ||
| CORPORA 4.1250 15-DEC-2027 | 14-DEC-2015 | 15-DEC-2027 | 15-JUN-2016 | 101.916 | 3.91% | 08.85 | 08.67 | 08.88 | 0888 | 0.90 | 152 ||
| CORPORA 5.5000 20-DEC-2027 | 20-DEC-2012 | 20-DEC-2027 | 20-JUN-2013 | 104.969 | 4.90% | 08.35 | 08.15 | 08.61 | 0861 | 0.82 | 253 ||
| CORPORA 7.5000 01-MAY-2031 | 27-AUG-2001 | 01-MAY-2031 | 01-MAY-2002 | 127.092 | 4.84% | 09.49 | 09.26 | 11.94 | 1194 | 1.14 | 238 ||
| CORPORA 4.4000 15-AUG-2035 | 27-MAY-2015 | 15-AUG-2035 | 15-FEB-2016 | 103.623 | 4.12% | 12.72 | 12.46 | 13.16 | 1316 | 2.03 | 155 ||
| CORPORA 3.8500 15-JUL-2036 | 15-JUL-2016 | 15-JUL-2036 | 15-JAN-2017 | 097.906 | 4.01% | 13.77 | 13.49 | 13.23 | 1323 | 2.33 | 142 ||
| CORPORA 7.7500 15-JUL-2037 | 26-SEP-1997 | 15-JUL-2037 | 15-JUL-1998 | 113.244 | 6.56% | 11.12 | 10.76 | 12.22 | 1222 | 1.69 | 400 ||
| CORPORA 7.0000 01-JAN-2038 | 13-AUG-2013 | 01-JAN-2038 | 01-JUL-2014 | 123.097 | 5.18% | 12.18 | 11.86 | 14.67 | 1467 | 1.98 | 261 ||
| CORPORA 4.1250 31-MAR-2038 | 20-JUL-2016 | 31-MAR-2038 | 31-MAR-2017 | 098.353 | 4.24% | 13.94 | 13.64 | 13.72 | 1372 | 2.49 | 165 ||
| CORPORA 5.3830 15-FEB-2048 | 11-AUG-2005 | 15-FEB-2048 | 15-FEB-2006 | 097.239 | 5.57% | 14.82 | 14.40 | 14.36 | 1436 | 3.26 | 295 ||
| CORPORA 5.6240 15-JUN-2050 | 26-APR-2005 | 15-JUN-2050 | 15-DEC-2005 | 109.401 | 5.04% | 16.03 | 15.62 | 17.20 | 1720 | 3.76 | 242 ||
| CORPORA 5.2400 01-AUG-2050 | 01-AUG-2005 | 01-AUG-2050 | 01-FEB-2006 | 102.420 | 5.09% | 16.31 | 15.89 | 16.28 | 1628 | 3.87 | 246 ||
| CORPORA 5.4330 01-DEC-2050 | 03-OCT-2005 | 01-DEC-2050 | 01-JUN-2006 | 095.883 | 5.71% | 15.33 | 14.89 | 14.41 | 1441 | 3.54 | 309 ||
| CORPORA 5.5810 01-JAN-2051 | 01-FEB-2006 | 01-JAN-2051 | 01-JAN-2007 | 080.154 | 7.14% | 13.60 | 13.12 | 10.58 | 1058 | 2.91 | 452 ||
| CORPORA 7.0500 15-NOV-2055 | 30-OCT-2008 | 15-NOV-2055 | 15-MAY-2009 | 115.381 | 6.02% | 14.86 | 14.41 | 16.84 | 1684 | 3.51 | 340 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.6250 01-MAY-2017 | 101.138 | 1.00% | -002 | 017 | 00.25 | 00.00 | 209 | 017 | -025 | 017 | null ||
| CORPORA 1.1500 15-MAY-2017 | 099.931 | 1.39% | 037 | 056 | 00.28 | 00.00 | 004 | 056 | 014 | 056 | null ||
| CORPORA 2.3500 12-MAR-2018 | 100.679 | 1.73% | 047 | 086 | 01.09 | 00.02 | 062 | 086 | 046 | 051 | 02YON ||
| CORPORA 6.6250 15-AUG-2019 | 110.785 | 2.23% | 063 | 086 | 02.36 | 00.07 | 135 | 086 | 062 | 074 | 03YON ||
| CORPORA 6.8750 15-AUG-2019 | 111.127 | 2.33% | 074 | 097 | 02.35 | 00.07 | 149 | 097 | 072 | 084 | 03YON ||
| CORPORA 4.2500 15-OCT-2019 | 103.812 | 2.77% | 114 | 137 | 02.55 | 00.08 | 131 | 137 | 113 | 128 | 03YON ||
| CORPORA 7.2500 15-DEC-2019 | 113.735 | 2.28% | 062 | 082 | 02.63 | 00.09 | 088 | 082 | 060 | 079 | 03YON ||
| CORPORA 6.1130 15-JAN-2020 | 107.971 | 3.26% | 158 | 178 | 02.71 | 00.09 | 169 | 178 | 157 | 177 | 03YON ||
| CORPORA 6.7500 15-MAR-2020 | 111.836 | 2.76% | 106 | 125 | 02.84 | 00.10 | 156 | 125 | 104 | 127 | 03YON ||
| CORPORA 10.2500 30-JUN-2020 | 097.250 | 11.24% | 950 | 966 | 02.80 | 00.10 | 929 | 966 | 946 | 975 | 03YON ||
| CORPORA 5.4500 15-JUL-2020 | 107.858 | 3.03% | 128 | 145 | 03.16 | 00.12 | 136 | 145 | 126 | 154 | 03YON ||
| CORPORA 5.2500 15-SEP-2020 | 109.546 | 2.48% | 069 | 085 | 03.32 | 00.14 | 099 | 085 | 067 | 099 | 03YON ||
| CORPORA 5.3750 15-SEP-2020 | 108.528 | 2.88% | 109 | 125 | 03.30 | 00.13 | 137 | 125 | 107 | 139 | 03YON ||
| CORPORA 5.0000 30-SEP-2020 | 107.776 | 2.75% | 096 | 112 | 03.36 | 00.13 | 119 | 112 | 094 | 126 | 03YON ||
| CORPORA 6.5350 01-OCT-2020 | 100.998 | 6.22% | 444 | 459 | 03.22 | 00.13 | 447 | 459 | 441 | 473 | 03YON ||
| CORPORA 5.5000 21-JAN-2021 | 103.547 | 4.51% | 268 | 281 | 03.55 | 00.16 | 272 | 281 | 266 | 302 | 03YON ||
| CORPORA 6.1250 11-JUL-2021 | 113.365 | 2.90% | 100 | 109 | 03.93 | 00.18 | 111 | 109 | 098 | 097 | 05YON ||
| CORPORA 5.1250 11-SEP-2021 | 104.425 | 4.06% | 214 | 222 | 04.09 | 00.20 | 226 | 222 | 212 | 213 | 05YON ||
| CORPORA 6.2500 15-OCT-2021 | 109.700 | 3.97% | 204 | 210 | 04.10 | 00.20 | 228 | 210 | 202 | 204 | 05YON ||
| CORPORA 4.6000 01-APR-2022 | 105.845 | 3.36% | 137 | 140 | 04.60 | 00.25 | 148 | 140 | 135 | 143 | 05YON ||
| CORPORA 4.9500 01-APR-2022 | 102.390 | 4.43% | 245 | 247 | 04.53 | 00.24 | 249 | 247 | 242 | 250 | 05YON ||
| CORPORA 3.9500 15-APR-2022 | 104.068 | 3.10% | 111 | 113 | 04.69 | 00.26 | 117 | 113 | 109 | 117 | 05YON ||
| CORPORA 6.5000 15-MAY-2022 | 102.920 | 5.85% | 387 | 387 | 04.44 | 00.24 | 393 | 387 | 383 | 392 | 05YON ||
| CORPORA 4.7500 15-JUL-2022 | 107.137 | 3.31% | 130 | 130 | 04.81 | 00.27 | 135 | 130 | 127 | 138 | 05YON ||
| CORPORA 4.9500 15-JAN-2023 | 106.000 | 3.81% | 175 | 172 | 05.16 | 00.31 | 180 | 172 | 173 | 188 | 05YON ||
| CORPORA 9.5000 01-FEB-2023 | 114.250 | 6.59% | 455 | 449 | 04.65 | 00.27 | 489 | 449 | 449 | 466 | 05YON ||
| CORPORA 4.5000 15-JUN-2023 | 101.918 | 4.15% | 205 | 199 | 05.50 | 00.35 | 206 | 199 | 203 | 188 | 07YON ||
| CORPORA 6.5000 08-AUG-2023 | 107.204 | 5.18% | 309 | 300 | 05.32 | 00.34 | 327 | 300 | 305 | 291 | 07YON ||
| CORPORA 4.7000 15-SEP-2023 | 107.071 | 3.49% | 137 | 129 | 05.70 | 00.38 | 148 | 129 | 135 | 122 | 07YON ||
| CORPORA 4.0000 03-MAR-2024 | 103.468 | 3.44% | 128 | 117 | 06.15 | 00.44 | 132 | 117 | 126 | 117 | 07YON ||
| CORPORA 4.8500 01-APR-2024 | 100.794 | 4.72% | 256 | 244 | 06.00 | 00.43 | 255 | 244 | 253 | 245 | 07YON ||
| CORPORA 4.3750 10-APR-2024 | 099.790 | 4.41% | 224 | 213 | 06.11 | 00.44 | 221 | 213 | 222 | 214 | 07YON ||
| CORPORA 4.0000 15-APR-2024 | 102.209 | 3.65% | 148 | 136 | 06.23 | 00.45 | 149 | 136 | 145 | 138 | 07YON ||
| CORPORA 4.2500 30-SEP-2024 | 104.942 | 3.51% | 130 | 119 | 06.54 | 00.50 | 136 | 119 | 128 | 124 | 07YON ||
| CORPORA 4.2500 15-JAN-2025 | 090.907 | 5.69% | 347 | 335 | 06.58 | 00.51 | 324 | 335 | 344 | 342 | 07YON ||
| CORPORA 3.9000 15-JAN-2025 | 099.614 | 3.96% | 173 | 162 | 06.78 | 00.53 | 170 | 162 | 171 | 169 | 07YON ||
| CORPORA 3.9000 15-APR-2025 | 099.589 | 3.96% | 172 | 160 | 06.96 | 00.56 | 169 | 160 | 169 | 169 | 07YON ||
| CORPORA 6.5000 01-JUN-2025 | 119.203 | 3.79% | 156 | 143 | 06.61 | 00.54 | 177 | 143 | 152 | 152 | 07YON ||
| CORPORA 4.8750 01-AUG-2025 | 101.745 | 4.62% | 237 | 225 | 06.91 | 00.59 | 237 | 225 | 234 | 235 | 07YON ||
| CORPORA 4.8750 10-JUN-2025 | 104.473 | 4.23% | 199 | 187 | 06.85 | 00.56 | 203 | 187 | 196 | 196 | 07YON ||
| CORPORA 5.0000 15-OCT-2025 | 109.103 | 3.76% | 150 | 137 | 07.11 | 00.61 | 160 | 137 | 147 | 128 | 10YON ||
| CORPORA 5.2500 15-FEB-2026 | 102.746 | 4.87% | 259 | 246 | 07.16 | 00.62 | 262 | 246 | 255 | 239 | 10YON ||
| CORPORA 4.8000 18-APR-2026 | 102.399 | 4.48% | 219 | 205 | 07.41 | 00.66 | 220 | 205 | 215 | 200 | 10YON ||
| CORPORA 4.3000 01-APR-2027 | 099.509 | 4.36% | 201 | 187 | 08.16 | 00.79 | 198 | 187 | 198 | 188 | 10YON ||
| CORPORA 4.1250 15-DEC-2027 | 101.916 | 3.91% | 153 | 140 | 08.72 | 00.90 | 152 | 140 | 150 | 143 | 10YON ||
| CORPORA 5.5000 20-DEC-2027 | 104.969 | 4.90% | 254 | 240 | 08.20 | 00.83 | 258 | 240 | 249 | 242 | 10YON ||
| CORPORA 7.5000 01-MAY-2031 | 127.092 | 4.84% | 240 | 223 | 09.40 | 01.16 | 279 | 223 | 233 | 236 | 10YON ||
| CORPORA 4.4000 15-AUG-2035 | 103.623 | 4.12% | 156 | 137 | 12.71 | 02.07 | 157 | 137 | 152 | 104 | 30YON ||
| CORPORA 3.8500 15-JUL-2036 | 097.906 | 4.01% | 143 | 122 | 13.53 | 02.33 | 138 | 122 | 140 | 093 | 30YON ||
| CORPORA 7.7500 15-JUL-2037 | 113.244 | 6.56% | 405 | 375 | 10.80 | 01.71 | 431 | 375 | 395 | 348 | 30YON ||
| CORPORA 7.0000 01-JAN-2038 | 123.097 | 5.18% | 264 | 235 | 11.93 | 01.99 | 297 | 235 | 256 | 210 | 30YON ||
| CORPORA 4.1250 31-MAR-2038 | 098.353 | 4.24% | 166 | 141 | 13.96 | 02.55 | 157 | 141 | 162 | 116 | 30YON ||
| CORPORA 5.3830 15-FEB-2048 | 097.239 | 5.57% | 299 | 249 | 14.79 | 03.34 | 287 | 249 | 293 | 249 | 30YON ||
| CORPORA 5.6240 15-JUN-2050 | 109.401 | 5.04% | 245 | 196 | 15.74 | 03.79 | 256 | 196 | 240 | 196 | 30YON ||
| CORPORA 5.2400 01-AUG-2050 | 102.420 | 5.09% | 250 | 201 | 15.91 | 03.87 | 249 | 201 | 245 | 201 | 30YON ||
| CORPORA 5.4330 01-DEC-2050 | 095.883 | 5.71% | 313 | 263 | 15.05 | 03.56 | 297 | 263 | 307 | 263 | 30YON ||
| CORPORA 5.5810 01-JAN-2051 | 080.154 | 7.14% | 459 | 406 | 13.21 | 02.93 | 382 | 406 | 450 | 406 | 30YON ||
| CORPORA 7.0500 15-NOV-2055 | 115.381 | 6.02% | 345 | 294 | 14.61 | 03.55 | 379 | 294 | 338 | 294 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.6250 01-MAY-2017 | 00.25 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 1.1500 15-MAY-2017 | 00.28 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.3500 12-MAR-2018 | 00.98 | 00.11 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.6250 15-AUG-2019 | -00.00 | 01.11 | 01.25 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8750 15-AUG-2019 | -00.00 | 01.10 | 01.25 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.2500 15-OCT-2019 | -00.00 | 00.77 | 01.78 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.2500 15-DEC-2019 | -00.00 | 00.35 | 02.28 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1130 15-JAN-2020 | -00.00 | 00.13 | 02.58 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7500 15-MAR-2020 | -00.00 | -00.00 | 02.68 | 00.16 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 10.2500 30-JUN-2020 | -00.00 | -00.00 | 02.23 | 00.57 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.4500 15-JUL-2020 | -00.00 | -00.00 | 02.45 | 00.71 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.2500 15-SEP-2020 | -00.00 | -00.00 | 02.29 | 01.03 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3750 15-SEP-2020 | -00.00 | -00.00 | 02.28 | 01.02 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 30-SEP-2020 | -00.00 | -00.00 | 02.25 | 01.11 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.5350 01-OCT-2020 | -00.00 | -00.00 | 02.15 | 01.07 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.5000 21-JAN-2021 | -00.00 | -00.00 | 01.83 | 01.72 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1250 11-JUL-2021 | -00.00 | -00.00 | 01.11 | 02.83 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1250 11-SEP-2021 | -00.00 | -00.00 | 00.81 | 03.29 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 15-OCT-2021 | -00.00 | -00.00 | 00.62 | 03.48 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.6000 01-APR-2022 | -00.00 | -00.00 | -00.00 | 04.23 | 00.37 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.9500 01-APR-2022 | -00.00 | -00.00 | -00.00 | 04.17 | 00.36 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.9500 15-APR-2022 | -00.00 | -00.00 | -00.00 | 04.23 | 00.46 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.5000 15-MAY-2022 | -00.00 | -00.00 | -00.00 | 03.82 | 00.62 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7500 15-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.74 | 01.07 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.9500 15-JAN-2023 | -00.00 | -00.00 | -00.00 | 02.70 | 02.45 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.5000 01-FEB-2023 | -00.00 | -00.00 | -00.00 | 02.33 | 02.32 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.5000 15-JUN-2023 | -00.00 | -00.00 | -00.00 | 01.75 | 03.75 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.5000 08-AUG-2023 | -00.00 | -00.00 | -00.00 | 01.30 | 04.02 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.09 | 04.61 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.0000 03-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.98 | 00.17 | -00.00 | -00.00 ||
| CORPORA 4.8500 01-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.68 | 00.32 | -00.00 | -00.00 ||
| CORPORA 4.3750 10-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.73 | 00.38 | -00.00 | -00.00 ||
| CORPORA 4.0000 15-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.81 | 00.41 | -00.00 | -00.00 ||
| CORPORA 4.2500 30-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.10 | 01.44 | -00.00 | -00.00 ||
| CORPORA 4.2500 15-JAN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.49 | 02.09 | -00.00 | -00.00 ||
| CORPORA 3.9000 15-JAN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.62 | 02.15 | -00.00 | -00.00 ||
| CORPORA 3.9000 15-APR-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.18 | 02.78 | -00.00 | -00.00 ||
| CORPORA 6.5000 01-JUN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.68 | 02.92 | -00.00 | -00.00 ||
| CORPORA 4.8750 01-AUG-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.47 | 03.44 | -00.00 | -00.00 ||
| CORPORA 4.8750 10-JUN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.76 | 03.09 | -00.00 | -00.00 ||
| CORPORA 5.0000 15-OCT-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.08 | 04.03 | -00.00 | -00.00 ||
| CORPORA 5.2500 15-FEB-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.30 | 04.86 | -00.00 | -00.00 ||
| CORPORA 4.8000 18-APR-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.96 | 05.45 | -00.00 | -00.00 ||
| CORPORA 4.3000 01-APR-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.02 | 00.13 | -00.00 ||
| CORPORA 4.1250 15-DEC-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.96 | 00.75 | -00.00 ||
| CORPORA 5.5000 20-DEC-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.48 | 00.72 | -00.00 ||
| CORPORA 7.5000 01-MAY-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.41 | 03.98 | -00.00 ||
| CORPORA 4.4000 15-AUG-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.87 | 10.84 | -00.00 ||
| CORPORA 3.8500 15-JUL-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.75 | 12.77 | -00.00 ||
| CORPORA 7.7500 15-JUL-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.31 | 00.48 ||
| CORPORA 7.0000 01-JAN-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.83 | 01.09 ||
| CORPORA 4.1250 31-MAR-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 12.34 | 01.61 ||
| CORPORA 5.3830 15-FEB-2048 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.77 ||
| CORPORA 5.6240 15-JUN-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.73 ||
| CORPORA 5.2400 01-AUG-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.89 ||
| CORPORA 5.4330 01-DEC-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.03 ||
| CORPORA 5.5810 01-JAN-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 13.20 ||
| CORPORA 7.0500 15-NOV-2055 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.59 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:01 EST 2020
| Setup Time => Mon Jan 27 00:45:01 EST 2020
| Finish Time => Mon Jan 27 00:45:05 EST 2020
| Setup Duration => 0 ms
| Run Duration => 3 s 977 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 00:45:05 EST 2020
| Setup Time => Mon Jan 27 00:45:05 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing CORPORA 1.8750 15-AUG-2017
Doing CORPORA 6.4000 15-JAN-2018
Doing CORPORA 5.1500 01-MAR-2018
Doing CORPORA 5.0000 07-APR-2018
Doing CORPORA 2.0000 15-JUN-2019
Doing CORPORA 9.0000 12-AUG-2019
Doing CORPORA 6.7500 02-DEC-2019
Doing CORPORA 5.8750 01-FEB-2020
Doing CORPORA 5.0000 21-JUL-2020
Doing CORPORA 6.2500 14-JAN-2021
Doing CORPORA 7.0000 01-MAR-2021
Doing CORPORA 7.1000 02-APR-2021
Doing CORPORA 7.6250 15-AUG-2021
Doing CORPORA 6.0000 15-MAY-2022
Doing CORPORA 6.3600 02-JUL-2022
Doing CORPORA 5.5000 15-JUL-2022
Doing CORPORA 5.5000 15-JUL-2022
Doing CORPORA 5.0000 15-AUG-2022
Doing CORPORA 5.0000 19-SEP-2022
Doing CORPORA 5.1250 13-MAY-2023
Doing CORPORA 5.2500 15-JUL-2023
Doing CORPORA 4.4000 22-SEP-2023
Doing CORPORA 5.7500 15-OCT-2023
Doing CORPORA 4.5000 15-NOV-2023
Doing CORPORA 4.3000 04-MAR-2024
Doing CORPORA 5.6080 10-MAR-2024
Doing CORPORA 4.6500 15-MAR-2024
Doing CORPORA 6.0000 15-APR-2024
Doing CORPORA 6.5000 01-MAY-2024
Doing CORPORA 7.0000 30-JUN-2024
Doing CORPORA 4.9500 15-JUL-2024
Doing CORPORA 4.0000 01-SEP-2024
Doing CORPORA 3.6250 09-SEP-2024
Doing CORPORA 4.0000 08-OCT-2024
Doing CORPORA 5.8750 15-OCT-2024
Doing CORPORA 4.5000 15-MAR-2025
Doing CORPORA 4.3000 15-AUG-2025
Doing CORPORA 4.8750 01-MAR-2026
Doing CORPORA 5.2000 12-MAY-2026
Doing CORPORA 3.9000 25-MAY-2026
Doing CORPORA 5.2500 01-AUG-2026
Doing CORPORA 7.5000 20-AUG-2026
Doing CORPORA 7.0000 30-SEP-2026
Doing CORPORA 8.1500 15-MAR-2027
Doing CORPORA 4.8750 10-MAY-2028
Doing CORPORA 5.1000 01-OCT-2035
Doing CORPORA 4.7040 20-JAN-2036
Doing CORPORA 5.5080 15-JUL-2036
Doing CORPORA 7.8750 15-DEC-2037
Doing CORPORA 5.8750 14-JAN-2038
Doing CORPORA 8.5000 01-MAR-2038
Doing CORPORA 6.9500 26-JAN-2039
Doing CORPORA 10.5000 15-SEP-2039
Doing CORPORA 6.6150 15-JAN-2041
Doing CORPORA 6.2980 15-OCT-2049
Doing CORPORA 5.7500 15-JUN-2050
Doing CORPORA 5.8800 01-OCT-2051
Doing CORPORA 6.2250 15-DEC-2054
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.8750 15-AUG-2017 | 11-AUG-2014 | 15-AUG-2017 | 15-FEB-2015 | 099.985 | 1.90% | 00.53 | 00.53 | 00.53 | 0053 | 0.01 | 080 ||
| CORPORA 6.4000 15-JAN-2018 | 11-DEC-2007 | 15-JAN-2018 | 15-JUL-2008 | 104.254 | 1.87% | 00.94 | 00.93 | 00.97 | 0097 | 0.01 | 064 ||
| CORPORA 5.1500 01-MAR-2018 | 14-NOV-2003 | 01-MAR-2018 | 01-SEP-2004 | 103.169 | 2.17% | 01.04 | 01.03 | 01.09 | 0109 | 0.02 | 091 ||
| CORPORA 5.0000 07-APR-2018 | 07-APR-2011 | 07-APR-2018 | 07-OCT-2011 | 102.848 | 2.53% | 01.14 | 01.13 | 01.18 | 0118 | 0.02 | 126 ||
| CORPORA 2.0000 15-JUN-2019 | 30-DEC-2016 | 15-JUN-2019 | 15-DEC-2017 | 099.450 | 2.24% | 02.33 | 02.30 | 02.29 | 0229 | 0.07 | 066 ||
| CORPORA 9.0000 12-AUG-2019 | 12-AUG-2009 | 12-AUG-2019 | 12-FEB-2010 | 116.043 | 2.42% | 02.25 | 02.22 | 02.68 | 0268 | 0.06 | 083 ||
| CORPORA 6.7500 02-DEC-2019 | 24-NOV-2009 | 02-DEC-2019 | 02-JUN-2010 | 111.166 | 2.63% | 02.61 | 02.58 | 02.90 | 0290 | 0.08 | 098 ||
| CORPORA 5.8750 01-FEB-2020 | 01-NOV-2010 | 01-FEB-2020 | 01-AUG-2011 | 108.307 | 2.96% | 02.80 | 02.76 | 02.99 | 0299 | 0.11 | 127 ||
| CORPORA 5.0000 21-JUL-2020 | 21-JUL-2010 | 21-JUL-2020 | 21-JAN-2011 | 108.052 | 2.56% | 03.23 | 03.19 | 03.46 | 0346 | 0.12 | 080 ||
| CORPORA 6.2500 14-JAN-2021 | 14-JAN-2011 | 14-JAN-2021 | 14-JUL-2011 | 111.029 | 3.25% | 03.57 | 03.52 | 03.92 | 0392 | 0.15 | 142 ||
| CORPORA 7.0000 01-MAR-2021 | 19-MAR-2014 | 01-MAR-2021 | 01-MAR-2015 | 086.250 | 11.29% | 03.46 | 03.28 | 02.92 | 0292 | 0.14 | 945 ||
| CORPORA 7.1000 02-APR-2021 | 21-MAR-2002 | 02-APR-2021 | 02-OCT-2002 | 109.080 | 4.67% | 03.63 | 03.54 | 03.95 | 0395 | 0.16 | 282 ||
| CORPORA 7.6250 15-AUG-2021 | 06-AUG-2013 | 15-AUG-2021 | 15-FEB-2014 | 100.125 | 7.59% | 03.79 | 03.65 | 03.78 | 0378 | 0.17 | 569 ||
| CORPORA 6.0000 15-MAY-2022 | 08-MAY-2014 | 15-MAY-2022 | 15-NOV-2014 | 100.325 | 5.93% | 04.55 | 04.42 | 04.49 | 0449 | 0.24 | 394 ||
| CORPORA 6.3600 02-JUL-2022 | 26-JUN-2007 | 02-JUL-2022 | 02-JAN-2008 | 107.704 | 4.73% | 04.68 | 04.57 | 04.94 | 0494 | 0.25 | 273 ||
| CORPORA 5.5000 15-JUL-2022 | 08-AUG-2013 | 15-JUL-2022 | 15-JUL-2014 | 110.584 | 3.36% | 04.81 | 04.73 | 05.25 | 0525 | 0.27 | 135 ||
| CORPORA 5.5000 15-JUL-2022 | 26-JUN-2015 | 15-JUL-2022 | 15-JAN-2016 | 100.560 | 5.38% | 04.78 | 04.65 | 04.69 | 0469 | 0.26 | 337 ||
| CORPORA 5.0000 15-AUG-2022 | 10-AUG-2012 | 15-AUG-2022 | 15-FEB-2013 | 104.300 | 4.12% | 04.81 | 04.71 | 05.03 | 0503 | 0.27 | 210 ||
| CORPORA 5.0000 19-SEP-2022 | 17-SEP-2012 | 19-SEP-2022 | 19-MAR-2013 | 103.415 | 4.31% | 04.90 | 04.80 | 05.05 | 0505 | 0.28 | 228 ||
| CORPORA 5.1250 13-MAY-2023 | 13-NOV-2012 | 13-MAY-2023 | 13-MAY-2013 | 100.893 | 4.96% | 05.40 | 05.26 | 05.37 | 0537 | 0.33 | 287 ||
| CORPORA 5.2500 15-JUL-2023 | 18-JUN-2013 | 15-JUL-2023 | 15-JAN-2014 | 105.326 | 4.30% | 05.57 | 05.45 | 05.76 | 0576 | 0.35 | 219 ||
| CORPORA 4.4000 22-SEP-2023 | 24-SEP-2015 | 22-SEP-2023 | 22-SEP-2016 | 100.482 | 4.31% | 05.74 | 05.62 | 05.73 | 0573 | 0.38 | 219 ||
| CORPORA 5.7500 15-OCT-2023 | 04-OCT-2013 | 15-OCT-2023 | 15-APR-2014 | 106.494 | 4.61% | 05.61 | 05.48 | 05.93 | 0593 | 0.36 | 249 ||
| CORPORA 4.5000 15-NOV-2023 | 15-NOV-2013 | 15-NOV-2023 | 15-MAY-2014 | 104.911 | 3.67% | 05.89 | 05.79 | 06.13 | 0613 | 0.40 | 154 ||
| CORPORA 4.3000 04-MAR-2024 | 04-MAR-2014 | 04-MAR-2024 | 04-SEP-2014 | 102.564 | 3.88% | 06.09 | 05.98 | 06.24 | 0624 | 0.42 | 172 ||
| CORPORA 5.6080 10-MAR-2024 | 23-FEB-2005 | 10-MAR-2024 | 10-SEP-2005 | 099.700 | 5.66% | 05.83 | 05.67 | 05.77 | 0577 | 0.39 | 350 ||
| CORPORA 4.6500 15-MAR-2024 | 12-MAR-2014 | 15-MAR-2024 | 15-SEP-2014 | 100.475 | 4.57% | 06.04 | 05.90 | 06.04 | 0604 | 0.42 | 241 ||
| CORPORA 6.0000 15-APR-2024 | 01-APR-2016 | 15-APR-2024 | 15-OCT-2016 | 106.450 | 4.92% | 05.90 | 05.76 | 06.23 | 0623 | 0.41 | 276 ||
| CORPORA 6.5000 01-MAY-2024 | 23-MAR-2016 | 01-MAY-2024 | 01-NOV-2016 | 087.080 | 8.96% | 05.67 | 05.43 | 04.82 | 0482 | 0.37 | 680 ||
| CORPORA 7.0000 30-JUN-2024 | 18-MAY-2016 | 30-JUN-2024 | 30-DEC-2016 | 111.625 | 5.10% | 05.97 | 05.82 | 06.53 | 0653 | 0.42 | 293 ||
| CORPORA 4.9500 15-JUL-2024 | 20-NOV-2014 | 15-JUL-2024 | 15-JUL-2015 | 099.877 | 4.97% | 06.31 | 06.15 | 06.16 | 0616 | 0.45 | 278 ||
| CORPORA 4.0000 01-SEP-2024 | 09-AUG-2014 | 01-SEP-2024 | 01-MAR-2015 | 100.362 | 3.94% | 06.51 | 06.38 | 06.51 | 0651 | 0.48 | 174 ||
| CORPORA 3.6250 09-SEP-2024 | 09-SEP-2014 | 09-SEP-2024 | 09-MAR-2015 | 100.404 | 3.56% | 06.62 | 06.50 | 06.62 | 0662 | 0.50 | 136 ||
| CORPORA 4.0000 08-OCT-2024 | 08-OCT-2014 | 08-OCT-2024 | 08-APR-2015 | 093.019 | 5.11% | 06.56 | 06.39 | 06.03 | 0603 | 0.49 | 290 ||
| CORPORA 5.8750 15-OCT-2024 | 25-SEP-2014 | 15-OCT-2024 | 15-APR-2015 | 101.000 | 5.71% | 06.21 | 06.03 | 06.20 | 0620 | 0.45 | 351 ||
| CORPORA 4.5000 15-MAR-2025 | 12-SEP-2014 | 15-MAR-2025 | 15-MAR-2015 | 097.984 | 4.80% | 06.76 | 06.60 | 06.58 | 0658 | 0.53 | 257 ||
| CORPORA 4.3000 15-AUG-2025 | 15-AUG-2013 | 15-AUG-2025 | 15-FEB-2014 | 103.734 | 3.78% | 07.13 | 06.99 | 07.39 | 0739 | 0.59 | 152 ||
| CORPORA 4.8750 01-MAR-2026 | 13-AUG-2015 | 01-MAR-2026 | 01-MAR-2016 | 101.531 | 4.67% | 07.31 | 07.14 | 07.40 | 0740 | 0.62 | 238 ||
| CORPORA 5.2000 12-MAY-2026 | 12-MAY-2016 | 12-MAY-2026 | 12-NOV-2016 | 101.570 | 4.99% | 07.41 | 07.23 | 07.42 | 0742 | 0.64 | 269 ||
| CORPORA 3.9000 25-MAY-2026 | 25-MAY-2016 | 25-MAY-2026 | 25-NOV-2016 | 099.791 | 3.93% | 07.84 | 07.69 | 07.73 | 0773 | 0.70 | 162 ||
| CORPORA 5.2500 01-AUG-2026 | 22-JUL-2016 | 01-AUG-2026 | 01-FEB-2017 | 098.931 | 5.40% | 07.59 | 07.38 | 07.30 | 0730 | 0.66 | 309 ||
| CORPORA 7.5000 20-AUG-2026 | 20-AUG-1996 | 20-AUG-2026 | 20-FEB-1997 | 126.378 | 4.13% | 07.12 | 06.97 | 09.04 | 0904 | 0.62 | 184 ||
| CORPORA 7.0000 30-SEP-2026 | 27-SEP-2016 | 30-SEP-2026 | 30-MAR-2017 | 108.834 | 5.79% | 07.14 | 06.94 | 07.72 | 0772 | 0.62 | 349 ||
| CORPORA 8.1500 15-MAR-2027 | 18-MAR-1997 | 15-MAR-2027 | 15-MAR-1998 | 125.813 | 4.89% | 07.27 | 07.09 | 09.14 | 0914 | 0.65 | 257 ||
| CORPORA 4.8750 10-MAY-2028 | 18-MAY-2016 | 10-MAY-2028 | 10-MAY-2017 | 098.343 | 5.07% | 08.49 | 08.28 | 08.43 | 0843 | 0.88 | 267 ||
| CORPORA 5.1000 01-OCT-2035 | 24-SEP-2015 | 01-OCT-2035 | 01-APR-2016 | 111.975 | 4.17% | 12.45 | 12.19 | 13.86 | 1386 | 1.97 | 161 ||
| CORPORA 4.7040 20-JAN-2036 | 19-DEC-2013 | 20-JAN-2036 | 20-JUL-2014 | 105.200 | 4.30% | 12.90 | 12.62 | 13.30 | 1330 | 2.08 | 173 ||
| CORPORA 5.5080 15-JUL-2036 | 20-DEC-2006 | 15-JUL-2036 | 15-JUL-2007 | 106.381 | 4.99% | 12.38 | 12.07 | 12.87 | 1287 | 1.97 | 242 ||
| CORPORA 7.8750 15-DEC-2037 | 12-DEC-2007 | 15-DEC-2037 | 15-JUN-2008 | 124.682 | 5.82% | 11.52 | 11.19 | 14.06 | 1406 | 1.82 | 325 ||
| CORPORA 5.8750 14-JAN-2038 | 14-JAN-2008 | 14-JAN-2038 | 14-JUL-2008 | 126.155 | 4.02% | 13.28 | 13.00 | 16.44 | 1644 | 2.28 | 144 ||
| CORPORA 8.5000 01-MAR-2038 | 04-MAR-2008 | 01-MAR-2038 | 01-MAR-2009 | 140.617 | 5.28% | 11.50 | 11.19 | 16.13 | 1613 | 1.84 | 272 ||
| CORPORA 6.9500 26-JAN-2039 | 26-JAN-2009 | 26-JAN-2039 | 26-JUL-2009 | 126.404 | 4.96% | 12.71 | 12.39 | 15.67 | 1567 | 2.17 | 239 ||
| CORPORA 10.5000 15-SEP-2039 | 03-SEP-2009 | 15-SEP-2039 | 15-MAR-2010 | 150.832 | 6.27% | 10.96 | 10.62 | 16.44 | 1644 | 1.74 | 370 ||
| CORPORA 6.6150 15-JAN-2041 | 30-JUN-2011 | 15-JAN-2041 | 15-JAN-2012 | 114.697 | 5.50% | 13.05 | 12.69 | 14.60 | 1460 | 2.34 | 291 ||
| CORPORA 6.2980 15-OCT-2049 | 26-JUL-2007 | 15-OCT-2049 | 15-APR-2008 | 092.018 | 6.92% | 13.28 | 12.82 | 12.04 | 1204 | 2.80 | 430 ||
| CORPORA 5.7500 15-JUN-2050 | 12-MAY-2015 | 15-JUN-2050 | 15-DEC-2015 | 093.749 | 6.19% | 14.54 | 14.09 | 13.32 | 1332 | 3.22 | 357 ||
| CORPORA 5.8800 01-OCT-2051 | 09-NOV-2006 | 01-OCT-2051 | 01-OCT-2007 | 103.492 | 5.65% | 15.17 | 14.73 | 15.54 | 1554 | 3.52 | 303 ||
| CORPORA 6.2250 15-DEC-2054 | 29-NOV-2007 | 15-DEC-2054 | 15-JUN-2008 | 095.027 | 6.58% | 14.34 | 13.86 | 13.29 | 1329 | 3.28 | 396 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.8750 15-AUG-2017 | 099.985 | 1.90% | 080 | 107 | 00.53 | 00.01 | 064 | 107 | 065 | 107 | null ||
| CORPORA 6.4000 15-JAN-2018 | 104.254 | 1.87% | 064 | 104 | 00.93 | 00.01 | 086 | 104 | 063 | 104 | null ||
| CORPORA 5.1500 01-MAR-2018 | 103.169 | 2.17% | 091 | 131 | 01.05 | 00.02 | 176 | 131 | 090 | 095 | 02YON ||
| CORPORA 5.0000 07-APR-2018 | 102.848 | 2.53% | 126 | 163 | 01.15 | 00.02 | 179 | 163 | 124 | 131 | 02YON ||
| CORPORA 2.0000 15-JUN-2019 | 099.450 | 2.24% | 066 | 092 | 02.30 | 00.07 | 065 | 092 | 066 | 102 | 02YON ||
| CORPORA 9.0000 12-AUG-2019 | 116.043 | 2.42% | 083 | 106 | 02.31 | 00.07 | 194 | 106 | 081 | 093 | 03YON ||
| CORPORA 6.7500 02-DEC-2019 | 111.166 | 2.63% | 098 | 119 | 02.61 | 00.08 | 127 | 119 | 096 | 114 | 03YON ||
| CORPORA 5.8750 01-FEB-2020 | 108.307 | 2.96% | 127 | 147 | 02.76 | 00.09 | 133 | 147 | 126 | 147 | 03YON ||
| CORPORA 5.0000 21-JUL-2020 | 108.052 | 2.56% | 080 | 097 | 03.20 | 00.12 | 085 | 097 | 078 | 107 | 03YON ||
| CORPORA 6.2500 14-JAN-2021 | 111.029 | 3.25% | 142 | 155 | 03.53 | 00.16 | 154 | 155 | 140 | 176 | 03YON ||
| CORPORA 7.0000 01-MAR-2021 | 086.250 | 11.29% | 946 | 957 | 03.39 | 00.14 | 829 | 957 | 942 | 936 | 05YON ||
| CORPORA 7.1000 02-APR-2021 | 109.080 | 4.67% | 282 | 293 | 03.62 | 00.16 | 313 | 293 | 279 | 274 | 05YON ||
| CORPORA 7.6250 15-AUG-2021 | 100.125 | 7.59% | 570 | 576 | 03.78 | 00.17 | 567 | 576 | 566 | 566 | 05YON ||
| CORPORA 6.0000 15-MAY-2022 | 100.325 | 5.93% | 394 | 395 | 04.48 | 00.24 | 392 | 395 | 391 | 400 | 05YON ||
| CORPORA 6.3600 02-JUL-2022 | 107.704 | 4.73% | 273 | 273 | 04.59 | 00.26 | 285 | 273 | 270 | 280 | 05YON ||
| CORPORA 5.5000 15-JUL-2022 | 110.584 | 3.36% | 135 | 135 | 04.74 | 00.27 | 144 | 135 | 132 | 143 | 05YON ||
| CORPORA 5.5000 15-JUL-2022 | 100.560 | 5.38% | 337 | 337 | 04.66 | 00.26 | 336 | 337 | 334 | 345 | 05YON ||
| CORPORA 5.0000 15-AUG-2022 | 104.300 | 4.12% | 210 | 210 | 04.82 | 00.27 | 220 | 210 | 208 | 219 | 05YON ||
| CORPORA 5.0000 19-SEP-2022 | 103.415 | 4.31% | 228 | 227 | 04.89 | 00.28 | 235 | 227 | 226 | 238 | 05YON ||
| CORPORA 5.1250 13-MAY-2023 | 100.893 | 4.96% | 287 | 281 | 05.32 | 00.34 | 286 | 281 | 284 | 269 | 07YON ||
| CORPORA 5.2500 15-JUL-2023 | 105.326 | 4.30% | 219 | 212 | 05.47 | 00.35 | 224 | 212 | 216 | 203 | 07YON ||
| CORPORA 4.4000 22-SEP-2023 | 100.482 | 4.31% | 219 | 211 | 05.71 | 00.38 | 218 | 211 | 217 | 204 | 07YON ||
| CORPORA 5.7500 15-OCT-2023 | 106.494 | 4.61% | 249 | 239 | 05.57 | 00.37 | 261 | 239 | 246 | 234 | 07YON ||
| CORPORA 4.5000 15-NOV-2023 | 104.911 | 3.67% | 154 | 144 | 05.84 | 00.41 | 159 | 144 | 151 | 140 | 07YON ||
| CORPORA 4.3000 04-MAR-2024 | 102.564 | 3.88% | 172 | 161 | 06.08 | 00.43 | 175 | 161 | 170 | 161 | 07YON ||
| CORPORA 5.6080 10-MAR-2024 | 099.700 | 5.66% | 351 | 338 | 05.79 | 00.40 | 346 | 338 | 347 | 339 | 07YON ||
| CORPORA 4.6500 15-MAR-2024 | 100.475 | 4.57% | 241 | 229 | 06.01 | 00.43 | 240 | 229 | 238 | 230 | 07YON ||
| CORPORA 6.0000 15-APR-2024 | 106.450 | 4.92% | 277 | 264 | 05.86 | 00.42 | 288 | 264 | 273 | 265 | 07YON ||
| CORPORA 6.5000 01-MAY-2024 | 087.080 | 8.96% | 681 | 667 | 05.53 | 00.38 | 615 | 667 | 676 | 669 | 07YON ||
| CORPORA 7.0000 30-JUN-2024 | 111.625 | 5.10% | 294 | 280 | 05.85 | 00.42 | 312 | 280 | 289 | 283 | 07YON ||
| CORPORA 4.9500 15-JUL-2024 | 099.877 | 4.97% | 279 | 267 | 06.17 | 00.46 | 275 | 267 | 276 | 270 | 07YON ||
| CORPORA 4.0000 01-SEP-2024 | 100.362 | 3.94% | 174 | 163 | 06.49 | 00.49 | 173 | 163 | 172 | 167 | 07YON ||
| CORPORA 3.6250 09-SEP-2024 | 100.404 | 3.56% | 136 | 125 | 06.60 | 00.50 | 135 | 125 | 134 | 129 | 07YON ||
| CORPORA 4.0000 08-OCT-2024 | 093.019 | 5.11% | 290 | 279 | 06.48 | 00.49 | 271 | 279 | 288 | 284 | 07YON ||
| CORPORA 5.8750 15-OCT-2024 | 101.000 | 5.71% | 352 | 339 | 06.14 | 00.46 | 351 | 339 | 348 | 344 | 07YON ||
| CORPORA 4.5000 15-MAR-2025 | 097.984 | 4.80% | 257 | 245 | 06.72 | 00.53 | 250 | 245 | 254 | 253 | 07YON ||
| CORPORA 4.3000 15-AUG-2025 | 103.734 | 3.78% | 152 | 141 | 07.13 | 00.61 | 156 | 141 | 150 | 130 | 10YON ||
| CORPORA 4.8750 01-MAR-2026 | 101.531 | 4.67% | 238 | 225 | 07.29 | 00.64 | 238 | 225 | 235 | 219 | 10YON ||
| CORPORA 5.2000 12-MAY-2026 | 101.570 | 4.99% | 270 | 256 | 07.31 | 00.65 | 269 | 256 | 266 | 251 | 10YON ||
| CORPORA 3.9000 25-MAY-2026 | 099.791 | 3.93% | 162 | 149 | 07.75 | 00.70 | 159 | 149 | 160 | 145 | 10YON ||
| CORPORA 5.2500 01-AUG-2026 | 098.931 | 5.40% | 310 | 295 | 07.39 | 00.66 | 303 | 295 | 305 | 292 | 10YON ||
| CORPORA 7.5000 20-AUG-2026 | 126.378 | 4.13% | 184 | 168 | 07.16 | 00.64 | 225 | 168 | 179 | 165 | 10YON ||
| CORPORA 7.0000 30-SEP-2026 | 108.834 | 5.79% | 350 | 334 | 07.09 | 00.63 | 367 | 334 | 344 | 331 | 10YON ||
| CORPORA 8.1500 15-MAR-2027 | 125.813 | 4.89% | 258 | 240 | 07.27 | 00.67 | 304 | 240 | 251 | 241 | 10YON ||
| CORPORA 4.8750 10-MAY-2028 | 098.343 | 5.07% | 268 | 254 | 08.57 | 00.90 | 261 | 254 | 264 | 259 | 10YON ||
| CORPORA 5.1000 01-OCT-2035 | 111.975 | 4.17% | 162 | 141 | 12.38 | 02.00 | 172 | 141 | 157 | 109 | 30YON ||
| CORPORA 4.7040 20-JAN-2036 | 105.200 | 4.30% | 174 | 153 | 12.65 | 02.08 | 176 | 153 | 170 | 122 | 30YON ||
| CORPORA 5.5080 15-JUL-2036 | 106.381 | 4.99% | 245 | 221 | 12.11 | 01.97 | 249 | 221 | 239 | 191 | 30YON ||
| CORPORA 7.8750 15-DEC-2037 | 124.682 | 5.82% | 329 | 299 | 11.29 | 01.83 | 375 | 299 | 320 | 274 | 30YON ||
| CORPORA 5.8750 14-JAN-2038 | 126.155 | 4.02% | 145 | 119 | 13.05 | 02.28 | 166 | 119 | 140 | 094 | 30YON ||
| CORPORA 8.5000 01-MAR-2038 | 140.617 | 5.28% | 275 | 245 | 11.48 | 01.88 | 346 | 245 | 266 | 220 | 30YON ||
| CORPORA 6.9500 26-JAN-2039 | 126.404 | 4.96% | 241 | 211 | 12.41 | 02.17 | 276 | 211 | 234 | 188 | 30YON ||
| CORPORA 10.5000 15-SEP-2039 | 150.832 | 6.27% | 375 | 339 | 10.91 | 01.79 | 498 | 339 | 364 | 319 | 30YON ||
| CORPORA 6.6150 15-JAN-2041 | 114.697 | 5.50% | 295 | 259 | 12.74 | 02.35 | 316 | 259 | 287 | 242 | 30YON ||
| CORPORA 6.2980 15-OCT-2049 | 092.018 | 6.92% | 436 | 384 | 13.09 | 02.82 | 401 | 384 | 427 | 384 | 30YON ||
| CORPORA 5.7500 15-JUN-2050 | 093.749 | 6.19% | 363 | 311 | 14.22 | 03.24 | 339 | 311 | 355 | 311 | 30YON ||
| CORPORA 5.8800 01-OCT-2051 | 103.492 | 5.65% | 307 | 257 | 15.03 | 03.58 | 309 | 257 | 301 | 257 | 30YON ||
| CORPORA 6.2250 15-DEC-2054 | 095.027 | 6.58% | 402 | 350 | 14.00 | 03.31 | 379 | 350 | 395 | 350 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.8750 15-AUG-2017 | 00.53 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.4000 15-JAN-2018 | 00.93 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1500 01-MAR-2018 | 00.98 | 00.08 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 07-APR-2018 | 00.95 | 00.20 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.0000 15-JUN-2019 | -00.00 | 01.46 | 00.84 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.0000 12-AUG-2019 | -00.00 | 01.10 | 01.21 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7500 02-DEC-2019 | -00.00 | 00.44 | 02.16 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.8750 01-FEB-2020 | -00.00 | 00.01 | 02.75 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 21-JUL-2020 | -00.00 | -00.00 | 02.45 | 00.74 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 14-JAN-2021 | -00.00 | -00.00 | 01.85 | 01.67 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.0000 01-MAR-2021 | -00.00 | -00.00 | 01.57 | 01.82 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.1000 02-APR-2021 | -00.00 | -00.00 | 01.52 | 02.11 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.6250 15-AUG-2021 | -00.00 | -00.00 | 00.88 | 02.89 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.0000 15-MAY-2022 | -00.00 | -00.00 | -00.00 | 03.85 | 00.63 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.3600 02-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.65 | 00.94 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.5000 15-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.68 | 01.06 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.5000 15-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.62 | 01.04 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 15-AUG-2022 | -00.00 | -00.00 | -00.00 | 03.54 | 01.28 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 19-SEP-2022 | -00.00 | -00.00 | -00.00 | 03.35 | 01.53 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1250 13-MAY-2023 | 00.00 | 00.00 | 00.00 | 01.93 | 03.39 | 00.00 | 00.00 | 00.00 ||
| CORPORA 5.2500 15-JUL-2023 | 00.00 | 00.00 | 00.00 | 01.51 | 03.95 | 00.00 | 00.00 | 00.00 ||
| CORPORA 4.4000 22-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.04 | 04.67 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.7500 15-OCT-2023 | -00.00 | -00.00 | -00.00 | 00.84 | 04.73 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.5000 15-NOV-2023 | -00.00 | -00.00 | -00.00 | 00.63 | 05.21 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.3000 04-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.91 | 00.17 | -00.00 | -00.00 ||
| CORPORA 5.6080 10-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.60 | 00.20 | -00.00 | -00.00 ||
| CORPORA 4.6500 15-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.78 | 00.23 | -00.00 | -00.00 ||
| CORPORA 6.0000 15-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.46 | 00.39 | -00.00 | -00.00 ||
| CORPORA 6.5000 01-MAY-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.08 | 00.45 | -00.00 | -00.00 ||
| CORPORA 7.0000 30-JUN-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.06 | 00.80 | -00.00 | -00.00 ||
| CORPORA 4.9500 15-JUL-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.24 | 00.92 | -00.00 | -00.00 ||
| CORPORA 4.0000 01-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.23 | 01.25 | -00.00 | -00.00 ||
| CORPORA 3.6250 09-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.27 | 01.32 | -00.00 | -00.00 ||
| CORPORA 4.0000 08-OCT-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.01 | 01.47 | -00.00 | -00.00 ||
| CORPORA 5.8750 15-OCT-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.70 | 01.43 | -00.00 | -00.00 ||
| CORPORA 4.5000 15-MAR-2025 | 00.00 | 00.00 | 00.00 | 00.00 | 04.22 | 02.49 | 00.00 | 00.00 ||
| CORPORA 4.3000 15-AUG-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.49 | 03.64 | -00.00 | -00.00 ||
| CORPORA 4.8750 01-MAR-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.25 | 05.04 | -00.00 | -00.00 ||
| CORPORA 5.2000 12-MAY-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.77 | 05.54 | -00.00 | -00.00 ||
| CORPORA 3.9000 25-MAY-2026 | 00.00 | 00.00 | 00.00 | 00.00 | 01.79 | 05.96 | 00.00 | 00.00 ||
| CORPORA 5.2500 01-AUG-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.25 | 06.14 | -00.00 | -00.00 ||
| CORPORA 7.5000 20-AUG-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.08 | 06.07 | -00.00 | -00.00 ||
| CORPORA 7.0000 30-SEP-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 00.81 | 06.28 | -00.00 | -00.00 ||
| CORPORA 8.1500 15-MAR-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.19 | 00.08 | -00.00 ||
| CORPORA 4.8750 10-MAY-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.48 | 01.09 | -00.00 ||
| CORPORA 5.1000 01-OCT-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.66 | 10.72 | -00.00 ||
| CORPORA 4.7040 20-JAN-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.31 | 11.33 | -00.00 ||
| CORPORA 5.5080 15-JUL-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.67 | 11.43 | -00.00 ||
| CORPORA 7.8750 15-DEC-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.30 | 00.98 ||
| CORPORA 5.8750 14-JAN-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.80 | 01.24 ||
| CORPORA 8.5000 01-MAR-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.24 | 01.23 ||
| CORPORA 6.9500 26-JAN-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.95 | 02.46 ||
| CORPORA 10.5000 15-SEP-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.05 | 02.85 ||
| CORPORA 6.6150 15-JAN-2041 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.70 | 05.03 ||
| CORPORA 6.2980 15-OCT-2049 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 13.08 ||
| CORPORA 5.7500 15-JUN-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.20 ||
| CORPORA 5.8800 01-OCT-2051 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 15.01 ||
| CORPORA 6.2250 15-DEC-2054 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 13.98 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:05 EST 2020
| Setup Time => Mon Jan 27 00:45:05 EST 2020
| Finish Time => Mon Jan 27 00:45:09 EST 2020
| Setup Duration => 0 ms
| Run Duration => 4 s 250 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 00:45:09 EST 2020
| Setup Time => Mon Jan 27 00:45:09 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing CORPORA 1.4500 01-JUL-2017
Doing CORPORA 1.8000 25-SEP-2017
Doing CORPORA 7.5750 01-MAR-2019
Doing CORPORA 9.0000 15-APR-2019
Doing CORPORA 8.5000 15-JUL-2019
Doing CORPORA 6.0400 01-NOV-2019
Doing CORPORA 7.0000 01-MAR-2020
Doing CORPORA 5.3500 15-MAR-2020
Doing CORPORA 7.3750 01-APR-2020
Doing CORPORA 6.2500 30-SEP-2020
Doing CORPORA 5.7500 16-NOV-2020
Doing CORPORA 5.2500 30-JAN-2021
Doing CORPORA 5.3750 15-AUG-2021
Doing CORPORA 7.2500 15-SEP-2021
Doing CORPORA 3.9500 15-JUN-2022
Doing CORPORA 5.3750 15-AUG-2022
Doing CORPORA 3.8750 12-SEP-2023
Doing CORPORA 4.4500 15-SEP-2022
Doing CORPORA 5.1000 15-SEP-2023
Doing CORPORA 5.0000 15-SEP-2023
Doing CORPORA 3.8750 26-NOV-2023
Doing CORPORA 4.2500 01-APR-2024
Doing CORPORA 4.1500 11-APR-2024
Doing CORPORA 4.5000 11-APR-2024
Doing CORPORA 5.2500 01-JUN-2024
Doing CORPORA 4.6000 15-NOV-2024
Doing CORPORA 5.8750 15-NOV-2024
Doing CORPORA 4.5000 15-NOV-2024
Doing CORPORA 4.8750 01-DEC-2024
Doing CORPORA 6.6250 18-MAR-2025
Doing CORPORA 3.6630 15-MAY-2025
Doing CORPORA 4.7000 15-AUG-2025
Doing CORPORA 4.6000 15-SEP-2025
Doing CORPORA 4.5000 15-SEP-2025
Doing CORPORA 4.3750 14-OCT-2025
Doing CORPORA 4.5000 01-DEC-2025
Doing CORPORA 4.5000 01-DEC-2025
Doing CORPORA 3.1070 16-JAN-2027
Doing CORPORA 4.1000 15-JAN-2028
Doing CORPORA 3.1000 07-OCT-2028
Doing CORPORA 6.6250 05-JAN-2031
Doing CORPORA 7.5070 10-JAN-2032
Doing CORPORA 4.5000 15-MAY-2035
Doing CORPORA 5.5600 15-JAN-2036
Doing CORPORA 5.9510 10-MAY-2037
Doing CORPORA 6.7500 01-APR-2038
Doing CORPORA 5.9000 15-MAY-2038
Doing CORPORA 6.5000 01-FEB-2039
Doing CORPORA 9.3750 15-AUG-2039
Doing CORPORA 6.9500 15-OCT-2040
Doing CORPORA 6.0710 15-DEC-2041
Doing CORPORA 4.9000 15-SEP-2044
Doing CORPORA 8.1250 15-MAR-2046
Doing CORPORA 6.1930 01-FEB-2049
Doing CORPORA 5.7500 15-JUN-2050
Doing CORPORA 5.6110 15-SEP-2051
Doing CORPORA 6.1600 15-SEP-2053
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.4500 01-JUL-2017 | 23-JUL-2015 | 01-JUL-2017 | 01-JUL-2016 | 100.132 | 1.13% | 00.41 | 00.41 | 00.41 | 0041 | 0.00 | 006 ||
| CORPORA 1.8000 25-SEP-2017 | 20-SEP-2012 | 25-SEP-2017 | 25-MAR-2013 | 100.118 | 1.62% | 00.64 | 00.64 | 00.64 | 0064 | 0.01 | 047 ||
| CORPORA 7.5750 01-MAR-2019 | 25-JUN-1999 | 01-MAR-2019 | 01-MAR-2000 | 104.550 | 5.23% | 01.91 | 01.86 | 02.00 | 0200 | 0.05 | 374 ||
| CORPORA 9.0000 15-APR-2019 | 07-APR-2009 | 15-APR-2019 | 15-OCT-2009 | 113.667 | 2.57% | 02.01 | 01.99 | 02.31 | 0231 | 0.05 | 105 ||
| CORPORA 8.5000 15-JUL-2019 | 30-JUN-2009 | 15-JUL-2019 | 15-JAN-2010 | 113.766 | 2.66% | 02.27 | 02.24 | 02.56 | 0256 | 0.06 | 109 ||
| CORPORA 6.0400 01-NOV-2019 | 13-NOV-2007 | 01-NOV-2019 | 01-NOV-2008 | 105.307 | 3.98% | 02.54 | 02.49 | 02.66 | 0266 | 0.08 | 234 ||
| CORPORA 7.0000 01-MAR-2020 | 01-MAR-2012 | 01-MAR-2020 | 01-SEP-2012 | 108.071 | 4.18% | 02.76 | 02.70 | 03.00 | 0300 | 0.09 | 248 ||
| CORPORA 5.3500 15-MAR-2020 | 11-MAR-2011 | 15-MAR-2020 | 15-SEP-2011 | 104.931 | 3.66% | 02.87 | 02.81 | 03.01 | 0301 | 0.10 | 196 ||
| CORPORA 7.3750 01-APR-2020 | 26-MAR-2013 | 01-APR-2020 | 01-OCT-2013 | 100.250 | 7.28% | 02.81 | 02.71 | 02.79 | 0279 | 0.09 | 557 ||
| CORPORA 6.2500 30-SEP-2020 | 27-SEP-2010 | 30-SEP-2020 | 30-MAR-2011 | 111.207 | 2.99% | 03.29 | 03.24 | 03.67 | 0367 | 0.13 | 120 ||
| CORPORA 5.7500 16-NOV-2020 | 16-NOV-2010 | 16-NOV-2020 | 16-MAY-2011 | 109.565 | 3.06% | 03.44 | 03.39 | 03.75 | 0375 | 0.14 | 125 ||
| CORPORA 5.2500 30-JAN-2021 | 25-JAN-2011 | 30-JAN-2021 | 30-JUL-2011 | 107.121 | 3.33% | 03.67 | 03.61 | 03.86 | 0386 | 0.15 | 149 ||
| CORPORA 5.3750 15-AUG-2021 | 09-AUG-2011 | 15-AUG-2021 | 15-FEB-2012 | 109.861 | 3.03% | 04.02 | 03.96 | 04.45 | 0445 | 0.19 | 112 ||
| CORPORA 7.2500 15-SEP-2021 | 14-NOV-2011 | 15-SEP-2021 | 15-SEP-2012 | 107.405 | 5.41% | 03.93 | 03.83 | 04.22 | 0422 | 0.18 | 350 ||
| CORPORA 3.9500 15-JUN-2022 | 14-JUN-2012 | 15-JUN-2022 | 15-DEC-2012 | 099.364 | 4.08% | 04.86 | 04.77 | 04.76 | 0476 | 0.27 | 207 ||
| CORPORA 5.3750 15-AUG-2022 | 13-AUG-2012 | 15-AUG-2022 | 15-FEB-2013 | 111.006 | 3.19% | 04.80 | 04.72 | 05.36 | 0536 | 0.27 | 117 ||
| CORPORA 3.8750 12-SEP-2023 | 12-SEP-2016 | 12-SEP-2023 | 12-MAR-2017 | 104.195 | 3.17% | 05.83 | 05.74 | 06.06 | 0606 | 0.39 | 104 ||
| CORPORA 4.4500 15-SEP-2022 | 18-SEP-2012 | 15-SEP-2022 | 15-SEP-2013 | 096.463 | 5.18% | 04.94 | 04.81 | 04.72 | 0472 | 0.29 | 315 ||
| CORPORA 5.1000 15-SEP-2023 | 20-JUN-2014 | 15-SEP-2023 | 15-MAR-2015 | 101.707 | 4.79% | 05.60 | 05.47 | 05.67 | 0567 | 0.36 | 267 ||
| CORPORA 5.0000 15-SEP-2023 | 12-SEP-2013 | 15-SEP-2023 | 15-MAR-2014 | 108.428 | 3.56% | 05.66 | 05.56 | 06.13 | 0613 | 0.37 | 144 ||
| CORPORA 3.8750 26-NOV-2023 | 26-NOV-2013 | 26-NOV-2023 | 26-MAY-2014 | 101.847 | 3.57% | 06.02 | 05.92 | 06.07 | 0607 | 0.41 | 142 ||
| CORPORA 4.2500 01-APR-2024 | 03-APR-2014 | 01-APR-2024 | 01-APR-2015 | 101.339 | 4.03% | 06.17 | 06.05 | 06.22 | 0622 | 0.43 | 186 ||
| CORPORA 4.1500 11-APR-2024 | 22-MAR-2012 | 11-APR-2024 | 11-OCT-2012 | 103.171 | 3.64% | 06.23 | 06.12 | 06.39 | 0639 | 0.44 | 147 ||
| CORPORA 4.5000 11-APR-2024 | 04-NOV-2014 | 11-APR-2024 | 11-OCT-2015 | 101.689 | 4.22% | 06.15 | 06.02 | 06.21 | 0621 | 0.43 | 205 ||
| CORPORA 5.2500 01-JUN-2024 | 23-MAY-2014 | 01-JUN-2024 | 01-DEC-2014 | 098.957 | 5.42% | 06.12 | 05.95 | 05.95 | 0595 | 0.43 | 325 ||
| CORPORA 4.6000 15-NOV-2024 | 10-NOV-2014 | 15-NOV-2024 | 15-MAY-2015 | 099.942 | 4.61% | 06.57 | 06.42 | 06.48 | 0648 | 0.49 | 240 ||
| CORPORA 5.8750 15-NOV-2024 | 29-JAN-2015 | 15-NOV-2024 | 15-NOV-2015 | 101.250 | 5.67% | 06.29 | 06.12 | 06.27 | 0627 | 0.46 | 347 ||
| CORPORA 4.5000 15-NOV-2024 | 17-NOV-2014 | 15-NOV-2024 | 15-NOV-2015 | 098.557 | 4.72% | 06.58 | 06.43 | 06.40 | 0640 | 0.50 | 251 ||
| CORPORA 4.8750 01-DEC-2024 | 27-SEP-2016 | 01-DEC-2024 | 01-JUN-2017 | 104.310 | 4.22% | 06.53 | 06.39 | 06.78 | 0678 | 0.49 | 201 ||
| CORPORA 6.6250 18-MAR-2025 | 31-MAR-2005 | 18-MAR-2025 | 18-MAR-2006 | 113.753 | 4.58% | 06.40 | 06.25 | 07.27 | 0727 | 0.49 | 236 ||
| CORPORA 3.6630 15-MAY-2025 | 15-MAY-2015 | 15-MAY-2025 | 15-JUN-2015 | 100.969 | 3.53% | 07.15 | 07.13 | 07.21 | 0721 | 0.57 | 129 ||
| CORPORA 4.7000 15-AUG-2025 | 03-AUG-2015 | 15-AUG-2025 | 15-FEB-2016 | 103.272 | 4.24% | 07.01 | 06.86 | 07.23 | 0723 | 0.57 | 198 ||
| CORPORA 4.6000 15-SEP-2025 | 24-SEP-2015 | 15-SEP-2025 | 15-SEP-2016 | 104.554 | 3.97% | 07.13 | 06.99 | 07.43 | 0743 | 0.59 | 171 ||
| CORPORA 4.5000 15-SEP-2025 | 09-DEC-2015 | 15-SEP-2025 | 15-SEP-2016 | 098.414 | 4.73% | 07.10 | 06.94 | 06.95 | 0695 | 0.59 | 246 ||
| CORPORA 4.3750 14-OCT-2025 | 14-OCT-2015 | 14-OCT-2025 | 14-APR-2016 | 099.221 | 4.48% | 07.23 | 07.07 | 07.10 | 0710 | 0.60 | 221 ||
| CORPORA 4.5000 01-DEC-2025 | 23-NOV-2015 | 01-DEC-2025 | 01-JUN-2016 | 103.203 | 4.06% | 07.36 | 07.21 | 07.49 | 0749 | 0.62 | 179 ||
| CORPORA 4.5000 01-DEC-2025 | 23-NOV-2015 | 01-DEC-2025 | 01-JUN-2016 | 097.895 | 4.79% | 07.31 | 07.14 | 07.04 | 0704 | 0.61 | 252 ||
| CORPORA 3.1070 16-JAN-2027 | 16-SEP-2016 | 16-JAN-2027 | 16-JUL-2017 | 095.018 | 3.71% | 08.50 | 08.34 | 08.02 | 0802 | 0.81 | 135 ||
| CORPORA 4.1000 15-JAN-2028 | 19-JAN-2016 | 15-JAN-2028 | 15-JAN-2017 | 101.819 | 3.89% | 08.94 | 08.76 | 08.94 | 0894 | 0.92 | 150 ||
| CORPORA 3.1000 07-OCT-2028 | 27-SEP-2016 | 07-OCT-2028 | 07-APR-2017 | 095.763 | 3.55% | 09.73 | 09.56 | 09.26 | 0926 | 1.08 | 111 ||
| CORPORA 6.6250 05-JAN-2031 | 25-APR-2011 | 05-JAN-2031 | 05-JAN-2012 | 114.264 | 5.17% | 09.59 | 09.34 | 10.72 | 1072 | 1.14 | 271 ||
| CORPORA 7.5070 10-JAN-2032 | 22-DEC-2009 | 10-JAN-2032 | 10-JUL-2010 | 123.755 | 5.20% | 09.80 | 09.55 | 11.86 | 1186 | 1.22 | 272 ||
| CORPORA 4.5000 15-MAY-2035 | 14-MAY-2015 | 15-MAY-2035 | 15-NOV-2015 | 095.929 | 4.84% | 12.40 | 12.09 | 11.72 | 1172 | 1.93 | 227 ||
| CORPORA 5.5600 15-JAN-2036 | 31-JAN-2006 | 15-JAN-2036 | 15-JAN-2007 | 110.730 | 4.70% | 12.30 | 12.00 | 13.32 | 1332 | 1.93 | 214 ||
| CORPORA 5.9510 10-MAY-2037 | 10-MAY-2007 | 10-MAY-2037 | 10-NOV-2007 | 121.478 | 4.35% | 12.70 | 12.42 | 15.25 | 1525 | 2.10 | 177 ||
| CORPORA 6.7500 01-APR-2038 | 04-APR-2008 | 01-APR-2038 | 01-APR-2009 | 134.835 | 4.24% | 12.70 | 12.43 | 17.04 | 1704 | 2.15 | 167 ||
| CORPORA 5.9000 15-MAY-2038 | 08-MAY-2008 | 15-MAY-2038 | 15-NOV-2008 | 118.832 | 4.51% | 13.02 | 12.72 | 15.28 | 1528 | 2.23 | 193 ||
| CORPORA 6.5000 01-FEB-2039 | 03-FEB-2009 | 01-FEB-2039 | 01-FEB-2010 | 126.229 | 4.59% | 13.11 | 12.80 | 16.16 | 1616 | 2.28 | 201 ||
| CORPORA 9.3750 15-AUG-2039 | 10-AUG-2009 | 15-AUG-2039 | 15-FEB-2010 | 154.508 | 5.23% | 11.71 | 11.41 | 18.12 | 1812 | 1.94 | 266 ||
| CORPORA 6.9500 15-OCT-2040 | 15-OCT-2010 | 15-OCT-2040 | 15-APR-2011 | 122.706 | 5.26% | 12.84 | 12.50 | 15.60 | 1560 | 2.29 | 267 ||
| CORPORA 6.0710 15-DEC-2041 | 04-DEC-2007 | 15-DEC-2041 | 15-JUN-2008 | 094.575 | 6.51% | 12.71 | 12.30 | 11.73 | 1173 | 2.29 | 391 ||
| CORPORA 4.9000 15-SEP-2044 | 18-SEP-2014 | 15-SEP-2044 | 15-SEP-2015 | 108.215 | 4.38% | 15.63 | 15.28 | 16.82 | 1682 | 3.36 | 177 ||
| CORPORA 8.1250 15-MAR-2046 | 11-JUL-2013 | 15-MAR-2046 | 15-MAR-2014 | 123.201 | 6.36% | 12.72 | 12.31 | 15.55 | 1555 | 2.45 | 376 ||
| CORPORA 6.1930 01-FEB-2049 | 27-MAY-2004 | 01-FEB-2049 | 01-FEB-2005 | 118.078 | 5.05% | 15.57 | 15.17 | 17.92 | 1792 | 3.51 | 243 ||
| CORPORA 5.7500 15-JUN-2050 | 12-MAY-2015 | 15-JUN-2050 | 15-DEC-2015 | 098.547 | 5.85% | 14.96 | 14.52 | 14.42 | 1442 | 3.37 | 323 ||
| CORPORA 5.6110 15-SEP-2051 | 29-SEP-2006 | 15-SEP-2051 | 15-SEP-2007 | 103.731 | 5.37% | 15.62 | 15.19 | 16.08 | 1608 | 3.69 | 275 ||
| CORPORA 6.1600 15-SEP-2053 | 04-NOV-2008 | 15-SEP-2053 | 15-SEP-2009 | 097.492 | 6.34% | 14.35 | 13.89 | 13.87 | 1387 | 3.28 | 372 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.4500 01-JUL-2017 | 100.132 | 1.13% | 006 | 030 | 00.41 | 00.01 |-006 | 030 | -012 | 030 | null ||
| CORPORA 1.8000 25-SEP-2017 | 100.118 | 1.62% | 047 | 079 | 00.64 | 00.01 | 043 | 079 | 037 | 079 | null ||
| CORPORA 7.5750 01-MAR-2019 | 104.550 | 5.23% | 374 | 399 | 01.92 | 00.05 | 421 | 399 | 372 | 401 | 02YON ||
| CORPORA 9.0000 15-APR-2019 | 113.667 | 2.57% | 105 | 130 | 02.03 | 00.05 | 190 | 130 | 103 | 135 | 02YON ||
| CORPORA 8.5000 15-JUL-2019 | 113.766 | 2.66% | 109 | 132 | 02.25 | 00.06 | 128 | 132 | 107 | 144 | 02YON ||
| CORPORA 6.0400 01-NOV-2019 | 105.307 | 3.98% | 234 | 256 | 02.53 | 00.08 | 258 | 256 | 232 | 249 | 03YON ||
| CORPORA 7.0000 01-MAR-2020 | 108.071 | 4.18% | 249 | 267 | 02.78 | 00.10 | 292 | 267 | 246 | 269 | 03YON ||
| CORPORA 5.3500 15-MAR-2020 | 104.931 | 3.66% | 196 | 215 | 02.87 | 00.10 | 218 | 215 | 194 | 217 | 03YON ||
| CORPORA 7.3750 01-APR-2020 | 100.250 | 7.28% | 557 | 575 | 02.78 | 00.10 | 557 | 575 | 555 | 579 | 03YON ||
| CORPORA 6.2500 30-SEP-2020 | 111.207 | 2.99% | 120 | 136 | 03.30 | 00.13 | 155 | 136 | 118 | 150 | 03YON ||
| CORPORA 5.7500 16-NOV-2020 | 109.565 | 3.06% | 125 | 139 | 03.43 | 00.14 | 145 | 139 | 123 | 157 | 03YON ||
| CORPORA 5.2500 30-JAN-2021 | 107.121 | 3.33% | 149 | 162 | 03.61 | 00.17 | 154 | 162 | 147 | 184 | 03YON ||
| CORPORA 5.3750 15-AUG-2021 | 109.861 | 3.03% | 112 | 120 | 04.05 | 00.19 | 140 | 120 | 110 | 110 | 05YON ||
| CORPORA 7.2500 15-SEP-2021 | 107.405 | 5.41% | 351 | 357 | 03.93 | 00.19 | 377 | 357 | 347 | 348 | 05YON ||
| CORPORA 3.9500 15-JUN-2022 | 099.364 | 4.08% | 207 | 209 | 04.79 | 00.27 | 205 | 209 | 206 | 215 | 05YON ||
| CORPORA 5.3750 15-AUG-2022 | 111.006 | 3.19% | 117 | 117 | 04.83 | 00.27 | 140 | 117 | 115 | 126 | 05YON ||
| CORPORA 3.8750 12-SEP-2023 | 104.195 | 3.17% | 104 | 096 | 05.82 | 00.39 | 109 | 096 | 102 | 090 | 07YON ||
| CORPORA 4.4500 15-SEP-2022 | 096.463 | 5.18% | 315 | 315 | 04.89 | 00.28 | 302 | 315 | 313 | 325 | 05YON ||
| CORPORA 5.1000 15-SEP-2023 | 101.707 | 4.79% | 268 | 259 | 05.58 | 00.37 | 269 | 259 | 265 | 252 | 07YON ||
| CORPORA 5.0000 15-SEP-2023 | 108.428 | 3.56% | 144 | 135 | 05.66 | 00.38 | 157 | 135 | 141 | 129 | 07YON ||
| CORPORA 3.8750 26-NOV-2023 | 101.847 | 3.57% | 142 | 133 | 05.96 | 00.41 | 143 | 133 | 140 | 130 | 07YON ||
| CORPORA 4.2500 01-APR-2024 | 101.339 | 4.03% | 186 | 175 | 06.14 | 00.44 | 187 | 175 | 184 | 176 | 07YON ||
| CORPORA 4.1500 11-APR-2024 | 103.171 | 3.64% | 147 | 136 | 06.20 | 00.45 | 150 | 136 | 145 | 137 | 07YON ||
| CORPORA 4.5000 11-APR-2024 | 101.689 | 4.22% | 206 | 194 | 06.11 | 00.44 | 207 | 194 | 203 | 195 | 07YON ||
| CORPORA 5.2500 01-JUN-2024 | 098.957 | 5.42% | 325 | 313 | 06.01 | 00.43 | 320 | 313 | 322 | 315 | 07YON ||
| CORPORA 4.6000 15-NOV-2024 | 099.942 | 4.61% | 240 | 228 | 06.48 | 00.50 | 237 | 228 | 237 | 234 | 07YON ||
| CORPORA 5.8750 15-NOV-2024 | 101.250 | 5.67% | 348 | 335 | 06.20 | 00.46 | 347 | 335 | 344 | 340 | 07YON ||
| CORPORA 4.5000 15-NOV-2024 | 098.557 | 4.72% | 251 | 240 | 06.49 | 00.50 | 246 | 240 | 249 | 245 | 07YON ||
| CORPORA 4.8750 01-DEC-2024 | 104.310 | 4.22% | 201 | 189 | 06.50 | 00.50 | 205 | 189 | 198 | 195 | 07YON ||
| CORPORA 6.6250 18-MAR-2025 | 113.753 | 4.58% | 237 | 223 | 06.39 | 00.50 | 261 | 223 | 232 | 231 | 07YON ||
| CORPORA 3.6630 15-MAY-2025 | 100.969 | 3.53% | 129 | 117 | 07.15 | 00.57 | 127 | 117 | 126 | 126 | 07YON ||
| CORPORA 4.7000 15-AUG-2025 | 103.272 | 4.24% | 198 | 186 | 07.01 | 00.58 | 202 | 186 | 195 | 176 | 10YON ||
| CORPORA 4.6000 15-SEP-2025 | 104.554 | 3.97% | 171 | 159 | 07.11 | 00.60 | 176 | 159 | 168 | 149 | 10YON ||
| CORPORA 4.5000 15-SEP-2025 | 098.414 | 4.73% | 246 | 234 | 07.06 | 00.59 | 240 | 234 | 243 | 225 | 10YON ||
| CORPORA 4.3750 14-OCT-2025 | 099.221 | 4.48% | 222 | 209 | 07.16 | 00.61 | 217 | 209 | 219 | 200 | 10YON ||
| CORPORA 4.5000 01-DEC-2025 | 103.203 | 4.06% | 179 | 167 | 07.26 | 00.62 | 181 | 167 | 176 | 158 | 10YON ||
| CORPORA 4.5000 01-DEC-2025 | 097.895 | 4.79% | 252 | 240 | 07.19 | 00.61 | 245 | 240 | 249 | 231 | 10YON ||
| CORPORA 3.1070 16-JAN-2027 | 095.018 | 3.71% | 136 | 123 | 08.45 | 00.82 | 130 | 123 | 134 | 123 | 10YON ||
| CORPORA 4.1000 15-JAN-2028 | 101.819 | 3.89% | 151 | 138 | 08.78 | 00.93 | 150 | 138 | 148 | 141 | 10YON ||
| CORPORA 3.1000 07-OCT-2028 | 095.763 | 3.55% | 112 | 101 | 09.67 | 01.09 | 106 | 101 | 111 | 107 | 10YON ||
| CORPORA 6.6250 05-JAN-2031 | 114.264 | 5.17% | 273 | 257 | 09.39 | 01.15 | 292 | 257 | 267 | 269 | 10YON ||
| CORPORA 7.5070 10-JAN-2032 | 123.755 | 5.20% | 274 | 256 | 09.59 | 01.23 | 309 | 256 | 266 | 272 | 10YON ||
| CORPORA 4.5000 15-MAY-2035 | 095.929 | 4.84% | 229 | 209 | 12.22 | 01.94 | 218 | 209 | 225 | 176 | 30YON ||
| CORPORA 5.5600 15-JAN-2036 | 110.730 | 4.70% | 216 | 193 | 12.04 | 01.93 | 225 | 193 | 210 | 162 | 30YON ||
| CORPORA 5.9510 10-MAY-2037 | 121.478 | 4.35% | 179 | 154 | 12.57 | 02.13 | 201 | 154 | 173 | 127 | 30YON ||
| CORPORA 6.7500 01-APR-2038 | 134.835 | 4.24% | 168 | 141 | 12.65 | 02.19 | 205 | 141 | 162 | 116 | 30YON ||
| CORPORA 5.9000 15-MAY-2038 | 118.832 | 4.51% | 195 | 168 | 12.87 | 02.26 | 215 | 168 | 189 | 143 | 30YON ||
| CORPORA 6.5000 01-FEB-2039 | 126.229 | 4.59% | 203 | 174 | 12.82 | 02.28 | 232 | 174 | 197 | 151 | 30YON ||
| CORPORA 9.3750 15-AUG-2039 | 154.508 | 5.23% | 270 | 236 | 11.74 | 02.00 | 366 | 236 | 260 | 215 | 30YON ||
| CORPORA 6.9500 15-OCT-2040 | 122.706 | 5.26% | 271 | 236 | 12.72 | 02.33 | 306 | 236 | 263 | 218 | 30YON ||
| CORPORA 6.0710 15-DEC-2041 | 094.575 | 6.51% | 396 | 358 | 12.41 | 02.31 | 373 | 358 | 388 | 343 | 30YON ||
| CORPORA 4.9000 15-SEP-2044 | 108.215 | 4.38% | 179 | 137 | 15.56 | 03.42 | 185 | 137 | 174 | 130 | 30YON ||
| CORPORA 8.1250 15-MAR-2046 | 123.201 | 6.36% | 382 | 331 | 12.64 | 02.52 | 437 | 331 | 372 | 328 | 30YON ||
| CORPORA 6.1930 01-FEB-2049 | 118.078 | 5.05% | 246 | 197 | 15.19 | 03.51 | 272 | 197 | 241 | 197 | 30YON ||
| CORPORA 5.7500 15-JUN-2050 | 098.547 | 5.85% | 327 | 277 | 14.65 | 03.39 | 317 | 277 | 321 | 277 | 30YON ||
| CORPORA 5.6110 15-SEP-2051 | 103.731 | 5.37% | 279 | 229 | 15.52 | 03.77 | 281 | 229 | 273 | 229 | 30YON ||
| CORPORA 6.1600 15-SEP-2053 | 097.492 | 6.34% | 377 | 326 | 14.24 | 03.37 | 363 | 326 | 370 | 326 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.4500 01-JUL-2017 | 00.41 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 1.8000 25-SEP-2017 | 00.64 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.5750 01-MAR-2019 | -00.00 | 01.78 | 00.14 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.0000 15-APR-2019 | -00.00 | 01.63 | 00.40 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.5000 15-JUL-2019 | -00.00 | 01.24 | 01.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.0400 01-NOV-2019 | -00.00 | 00.64 | 01.88 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.0000 01-MAR-2020 | -00.00 | -00.00 | 02.67 | 00.11 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3500 15-MAR-2020 | -00.00 | -00.00 | 02.70 | 00.16 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.3750 01-APR-2020 | -00.00 | -00.00 | 02.56 | 00.22 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 30-SEP-2020 | -00.00 | -00.00 | 02.21 | 01.09 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.7500 16-NOV-2020 | -00.00 | -00.00 | 02.08 | 01.35 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.2500 30-JAN-2021 | -00.00 | -00.00 | 01.82 | 01.79 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3750 15-AUG-2021 | -00.00 | -00.00 | 00.95 | 03.10 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.2500 15-SEP-2021 | -00.00 | -00.00 | 00.75 | 03.18 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.9500 15-JUN-2022 | 00.00 | 00.00 | 00.00 | 03.92 | 00.87 | 00.00 | 00.00 | 00.00 ||
| CORPORA 5.3750 15-AUG-2022 | -00.00 | -00.00 | -00.00 | 03.54 | 01.28 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.8750 12-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.14 | 04.68 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.4500 15-SEP-2022 | -00.00 | -00.00 | -00.00 | 03.39 | 01.51 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1000 15-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.07 | 04.51 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 15-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.09 | 04.57 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.8750 26-NOV-2023 | -00.00 | -00.00 | -00.00 | 00.56 | 05.40 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.2500 01-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.80 | 00.33 | -00.00 | -00.00 ||
| CORPORA 4.1500 11-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.80 | 00.39 | -00.00 | -00.00 ||
| CORPORA 4.5000 11-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.72 | 00.38 | -00.00 | -00.00 ||
| CORPORA 5.2500 01-JUN-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.35 | 00.66 | -00.00 | -00.00 ||
| CORPORA 4.6000 15-NOV-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.78 | 01.70 | -00.00 | -00.00 ||
| CORPORA 5.8750 15-NOV-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.57 | 01.62 | -00.00 | -00.00 ||
| CORPORA 4.5000 15-NOV-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.79 | 01.70 | -00.00 | -00.00 ||
| CORPORA 4.8750 01-DEC-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.70 | 01.80 | -00.00 | -00.00 ||
| CORPORA 6.6250 18-MAR-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.00 | 02.39 | -00.00 | -00.00 ||
| CORPORA 3.6630 15-MAY-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.09 | 03.05 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-AUG-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.43 | 03.58 | -00.00 | -00.00 ||
| CORPORA 4.6000 15-SEP-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.28 | 03.83 | -00.00 | -00.00 ||
| CORPORA 4.5000 15-SEP-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.25 | 03.81 | -00.00 | -00.00 ||
| CORPORA 4.3750 14-OCT-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.11 | 04.05 | -00.00 | -00.00 ||
| CORPORA 4.5000 01-DEC-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 02.84 | 04.43 | -00.00 | -00.00 ||
| CORPORA 4.5000 01-DEC-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 02.81 | 04.38 | -00.00 | -00.00 ||
| CORPORA 3.1070 16-JAN-2027 | 00.00 | 00.00 | 00.00 | 00.00 | 00.13 | 08.31 | 00.00 | 00.00 ||
| CORPORA 4.1000 15-JAN-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.95 | 00.83 | -00.00 ||
| CORPORA 3.1000 07-OCT-2028 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 08.04 | 01.62 | 00.00 ||
| CORPORA 6.6250 05-JAN-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.70 | 03.68 | -00.00 ||
| CORPORA 7.5070 10-JAN-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.86 | 04.73 | -00.00 ||
| CORPORA 4.5000 15-MAY-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.10 | 10.11 | -00.00 ||
| CORPORA 5.5600 15-JAN-2036 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.27 | 10.77 | -00.00 ||
| CORPORA 5.9510 10-MAY-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 12.22 | 00.33 ||
| CORPORA 6.7500 01-APR-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.17 | 01.46 ||
| CORPORA 5.9000 15-MAY-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.21 | 01.65 ||
| CORPORA 6.5000 01-FEB-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.25 | 02.56 ||
| CORPORA 9.3750 15-AUG-2039 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 08.76 | 02.97 ||
| CORPORA 6.9500 15-OCT-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.01 | 04.71 ||
| CORPORA 6.0710 15-DEC-2041 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.37 | 06.04 ||
| CORPORA 4.9000 15-SEP-2044 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.71 | 11.84 ||
| CORPORA 8.1250 15-MAR-2046 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.12 | 11.50 ||
| CORPORA 6.1930 01-FEB-2049 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.17 ||
| CORPORA 5.7500 15-JUN-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.63 ||
| CORPORA 5.6110 15-SEP-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.50 ||
| CORPORA 6.1600 15-SEP-2053 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.22 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:09 EST 2020
| Setup Time => Mon Jan 27 00:45:09 EST 2020
| Finish Time => Mon Jan 27 00:45:14 EST 2020
| Setup Duration => 1 ms
| Run Duration => 4 s 413 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 00:45:14 EST 2020
| Setup Time => Mon Jan 27 00:45:14 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing CORPORA 0.9000 25-FEB-2017
Doing CORPORA 2.2500 05-JUN-2017
Doing CORPORA 7.4500 15-JUL-2017
Doing CORPORA 5.1250 05-SEP-2017
Doing CORPORA 3.6250 15-APR-2018
Doing CORPORA 6.2500 01-NOV-2018
Doing CORPORA 7.7500 15-NOV-2018
Doing CORPORA 9.0000 15-NOV-2018
Doing CORPORA 7.1250 01-FEB-2019
Doing CORPORA 8.1250 01-JUN-2019
Doing CORPORA 9.8750 15-JUN-2019
Doing CORPORA 9.5000 15-JUN-2019
Doing CORPORA 7.6250 13-AUG-2019
Doing CORPORA 7.3750 15-SEP-2019
Doing CORPORA 6.2500 30-OCT-2019
Doing CORPORA 6.8500 15-FEB-2020
Doing CORPORA 6.7000 04-MAR-2020
Doing CORPORA 6.7750 19-MAR-2020
Doing CORPORA 5.8750 01-JUN-2020
Doing CORPORA 5.6250 15-SEP-2020
Doing CORPORA 5.3750 15-SEP-2020
Doing CORPORA 6.8750 15-APR-2021
Doing CORPORA 5.8000 01-MAY-2021
Doing CORPORA 4.8900 17-OCT-2021
Doing CORPORA 4.8750 15-NOV-2021
Doing CORPORA 4.7000 15-MAR-2022
Doing CORPORA 4.7000 15-OCT-2022
Doing CORPORA 6.7180 02-JAN-2023
Doing CORPORA 3.7000 20-NOV-2023
Doing CORPORA 4.6250 01-DEC-2023
Doing CORPORA 4.2500 14-MAR-2024
Doing CORPORA 8.6250 01-MAY-2024
Doing CORPORA 5.7500 03-SEP-2024
Doing CORPORA 4.7500 15-SEP-2025
Doing CORPORA 4.6500 27-JAN-2026
Doing CORPORA 3.7500 03-SEP-2026
Doing CORPORA 3.7000 01-OCT-2026
Doing CORPORA 4.2700 25-NOV-2026
Doing CORPORA 3.7500 15-DEC-2027
Doing CORPORA 7.0500 15-JUL-2028
Doing CORPORA 3.2500 15-OCT-2028
Doing CORPORA 6.9270 01-MAR-2029
Doing CORPORA 6.6250 01-MAR-2029
Doing CORPORA 5.3800 15-DEC-2030
Doing CORPORA 8.6000 15-DEC-2030
Doing CORPORA 7.3000 15-AUG-2031
Doing CORPORA 5.9000 15-OCT-2032
Doing CORPORA 6.5500 15-MAR-2033
Doing CORPORA 7.4500 01-OCT-2033
Doing CORPORA 6.3750 15-DEC-2038
Doing CORPORA 8.8750 01-JUN-2039
Doing CORPORA 6.8500 16-DEC-2039
Doing CORPORA 7.6250 15-JUN-2040
Doing CORPORA 5.7800 15-MAR-2046
Doing CORPORA 5.3000 01-AUG-2050
Doing CORPORA 5.5950 01-DEC-2051
Doing CORPORA 5.8150 15-FEB-2052
Doing CORPORA 6.7500 15-MAR-2057
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 0.9000 25-FEB-2017 | 25-FEB-2014 | 25-FEB-2017 | 25-AUG-2014 | 099.978 | 1.25% | 00.06 | 00.06 | 00.06 | 0006 | 0.00 | 024 ||
| CORPORA 2.2500 05-JUN-2017 | 14-JAN-2013 | 05-JUN-2017 | 05-DEC-2013 | 100.333 | 1.27% | 00.34 | 00.34 | 00.34 | 0034 | 0.00 | 022 ||
| CORPORA 7.4500 15-JUL-2017 | 14-JUL-1997 | 15-JUL-2017 | 15-JAN-1998 | 102.782 | 1.27% | 00.45 | 00.45 | 00.46 | 0046 | 0.00 | 019 ||
| CORPORA 5.1250 05-SEP-2017 | 05-MAR-2012 | 05-SEP-2017 | 05-SEP-2012 | 101.722 | 2.18% | 00.58 | 00.57 | 00.59 | 0059 | 0.01 | 105 ||
| CORPORA 3.6250 15-APR-2018 | 15-JUL-2013 | 15-APR-2018 | 15-APR-2014 | 101.359 | 2.47% | 01.18 | 01.16 | 01.19 | 0119 | 0.02 | 119 ||
| CORPORA 6.2500 01-NOV-2018 | 21-NOV-2011 | 01-NOV-2018 | 01-NOV-2012 | 105.625 | 2.92% | 01.66 | 01.64 | 01.76 | 0176 | 0.04 | 150 ||
| CORPORA 7.7500 15-NOV-2018 | 14-NOV-2008 | 15-NOV-2018 | 15-MAY-2009 | 109.751 | 2.15% | 01.68 | 01.67 | 01.85 | 0185 | 0.04 | 072 ||
| CORPORA 9.0000 15-NOV-2018 | 09-NOV-2011 | 15-NOV-2018 | 15-MAY-2012 | 109.730 | 3.34% | 01.67 | 01.64 | 01.83 | 0183 | 0.04 | 191 ||
| CORPORA 7.1250 01-FEB-2019 | 30-JAN-2009 | 01-FEB-2019 | 01-AUG-2009 | 109.763 | 2.11% | 01.90 | 01.88 | 02.07 | 0207 | 0.05 | 062 ||
| CORPORA 8.1250 01-JUN-2019 | 15-MAY-2009 | 01-JUN-2019 | 01-DEC-2009 | 112.434 | 2.59% | 02.16 | 02.13 | 02.42 | 0242 | 0.06 | 104 ||
| CORPORA 9.8750 15-JUN-2019 | 17-JUN-2009 | 15-JUN-2019 | 15-JUN-2010 | 117.161 | 2.38% | 02.17 | 02.14 | 02.53 | 0253 | 0.06 | 083 ||
| CORPORA 9.5000 15-JUN-2019 | 30-JUN-2009 | 15-JUN-2019 | 15-JUN-2010 | 115.849 | 2.56% | 02.17 | 02.14 | 02.51 | 0251 | 0.06 | 100 ||
| CORPORA 7.6250 13-AUG-2019 | 13-AUG-2009 | 13-AUG-2019 | 13-FEB-2010 | 111.997 | 2.69% | 02.29 | 02.26 | 02.61 | 0261 | 0.07 | 110 ||
| CORPORA 7.3750 15-SEP-2019 | 14-SEP-2009 | 15-SEP-2019 | 15-MAR-2010 | 111.605 | 2.75% | 02.38 | 02.35 | 02.69 | 0269 | 0.07 | 114 ||
| CORPORA 6.2500 30-OCT-2019 | 15-SEP-2014 | 30-OCT-2019 | 30-JAN-2015 | 098.417 | 6.89% | 02.54 | 02.50 | 02.46 | 0246 | 0.07 | 526 ||
| CORPORA 6.8500 15-FEB-2020 | 14-MAY-2009 | 15-FEB-2020 | 15-FEB-2010 | 112.162 | 2.65% | 02.73 | 02.70 | 03.11 | 0311 | 0.09 | 096 ||
| CORPORA 6.7000 04-MAR-2020 | 04-MAR-2010 | 04-MAR-2020 | 04-SEP-2010 | 111.746 | 2.71% | 02.79 | 02.75 | 03.15 | 0315 | 0.10 | 101 ||
| CORPORA 6.7750 19-MAR-2020 | 19-MAR-2010 | 19-MAR-2020 | 19-SEP-2010 | 112.623 | 2.55% | 02.83 | 02.79 | 03.22 | 0322 | 0.10 | 085 ||
| CORPORA 5.8750 01-JUN-2020 | 23-MAR-2010 | 01-JUN-2020 | 01-DEC-2010 | 110.124 | 2.68% | 03.06 | 03.02 | 03.36 | 0336 | 0.11 | 094 ||
| CORPORA 5.6250 15-SEP-2020 | 15-SEP-2009 | 15-SEP-2020 | 15-MAR-2010 | 109.497 | 2.84% | 03.28 | 03.23 | 03.61 | 0361 | 0.14 | 106 ||
| CORPORA 5.3750 15-SEP-2020 | 16-SEP-2009 | 15-SEP-2020 | 15-SEP-2010 | 108.314 | 2.94% | 03.29 | 03.24 | 03.58 | 0358 | 0.13 | 115 ||
| CORPORA 6.8750 15-APR-2021 | 28-JUN-2010 | 15-APR-2021 | 15-APR-2011 | 113.491 | 3.40% | 03.69 | 03.63 | 04.19 | 0419 | 0.16 | 154 ||
| CORPORA 5.8000 01-MAY-2021 | 06-APR-2011 | 01-MAY-2021 | 01-NOV-2011 | 111.072 | 3.00% | 03.80 | 03.75 | 04.21 | 0421 | 0.17 | 113 ||
| CORPORA 4.8900 17-OCT-2021 | 16-APR-2014 | 17-OCT-2021 | 17-OCT-2014 | 102.167 | 4.37% | 04.21 | 04.12 | 04.27 | 0427 | 0.20 | 244 ||
| CORPORA 4.8750 15-NOV-2021 | 07-NOV-2011 | 15-NOV-2021 | 15-MAY-2012 | 106.932 | 3.30% | 04.30 | 04.23 | 04.57 | 0457 | 0.21 | 136 ||
| CORPORA 4.7000 15-MAR-2022 | 12-MAR-2012 | 15-MAR-2022 | 15-SEP-2012 | 106.858 | 3.23% | 04.55 | 04.48 | 04.87 | 0487 | 0.24 | 126 ||
| CORPORA 4.7000 15-OCT-2022 | 05-OCT-2012 | 15-OCT-2022 | 15-APR-2013 | 104.570 | 3.80% | 05.02 | 04.92 | 05.22 | 0522 | 0.29 | 176 ||
| CORPORA 6.7180 02-JAN-2023 | 30-APR-2002 | 02-JAN-2023 | 02-JAN-2003 | 113.125 | 4.19% | 05.02 | 04.92 | 05.59 | 0559 | 0.29 | 214 ||
| CORPORA 3.7000 20-NOV-2023 | 19-NOV-2013 | 20-NOV-2023 | 20-MAY-2014 | 104.537 | 2.96% | 06.05 | 05.96 | 06.28 | 0628 | 0.41 | 081 ||
| CORPORA 4.6250 01-DEC-2023 | 29-NOV-2013 | 01-DEC-2023 | 01-JUN-2014 | 105.428 | 3.72% | 05.92 | 05.81 | 06.17 | 0617 | 0.40 | 158 ||
| CORPORA 4.2500 14-MAR-2024 | 12-MAR-2014 | 14-MAR-2024 | 14-SEP-2014 | 101.007 | 4.08% | 06.12 | 06.00 | 06.16 | 0616 | 0.43 | 192 ||
| CORPORA 8.6250 01-MAY-2024 | 11-MAY-1994 | 01-MAY-2024 | 01-MAY-1995 | 122.602 | 4.88% | 05.63 | 05.49 | 06.85 | 0685 | 0.38 | 274 ||
| CORPORA 5.7500 03-SEP-2024 | 29-AUG-2014 | 03-SEP-2024 | 03-MAR-2015 | 095.293 | 6.55% | 06.06 | 05.87 | 05.73 | 0573 | 0.43 | 436 ||
| CORPORA 4.7500 15-SEP-2025 | 15-SEP-2015 | 15-SEP-2025 | 15-MAR-2016 | 098.684 | 4.94% | 07.03 | 06.86 | 06.89 | 0689 | 0.57 | 267 ||
| CORPORA 4.6500 27-JAN-2026 | 27-JAN-2016 | 27-JAN-2026 | 27-JUL-2016 | 105.949 | 3.86% | 07.49 | 07.35 | 07.79 | 0779 | 0.64 | 157 ||
| CORPORA 3.7500 03-SEP-2026 | 11-AUG-2014 | 03-SEP-2026 | 03-MAR-2015 | 100.986 | 3.63% | 08.03 | 07.88 | 08.08 | 0808 | 0.74 | 130 ||
| CORPORA 3.7000 01-OCT-2026 | 16-SEP-2014 | 01-OCT-2026 | 01-APR-2015 | 100.250 | 3.67% | 08.12 | 07.97 | 08.08 | 0808 | 0.75 | 134 ||
| CORPORA 4.2700 25-NOV-2026 | 25-NOV-2014 | 25-NOV-2026 | 25-MAY-2015 | 102.021 | 4.02% | 08.08 | 07.91 | 08.14 | 0814 | 0.75 | 168 ||
| CORPORA 3.7500 15-DEC-2027 | 14-DEC-2015 | 15-DEC-2027 | 15-JUN-2016 | 100.934 | 3.64% | 08.99 | 08.83 | 08.95 | 0895 | 0.92 | 126 ||
| CORPORA 7.0500 15-JUL-2028 | 10-JUL-1998 | 15-JUL-2028 | 15-JAN-1999 | 115.760 | 5.21% | 08.29 | 08.08 | 09.37 | 0937 | 0.83 | 282 ||
| CORPORA 3.2500 15-OCT-2028 | 03-OCT-2016 | 15-OCT-2028 | 15-APR-2017 | 095.967 | 3.68% | 09.67 | 09.49 | 09.21 | 0921 | 1.07 | 125 ||
| CORPORA 6.9270 01-MAR-2029 | 06-MAR-2000 | 01-MAR-2029 | 01-MAR-2001 | 132.729 | 3.57% | 08.73 | 08.57 | 11.62 | 1162 | 0.95 | 116 ||
| CORPORA 6.6250 01-MAR-2029 | 01-MAR-1999 | 01-MAR-2029 | 01-SEP-1999 | 126.736 | 3.84% | 08.76 | 08.59 | 11.12 | 1112 | 0.95 | 143 ||
| CORPORA 5.3800 15-DEC-2030 | 01-MAR-2005 | 15-DEC-2030 | 15-DEC-2005 | 107.245 | 4.66% | 10.04 | 09.80 | 10.58 | 1058 | 1.22 | 219 ||
| CORPORA 8.6000 15-DEC-2030 | 15-DEC-2000 | 15-DEC-2030 | 15-JUN-2001 | 136.568 | 4.93% | 09.12 | 08.89 | 12.25 | 1225 | 1.06 | 248 ||
| CORPORA 7.3000 15-AUG-2031 | 15-AUG-2001 | 15-AUG-2031 | 15-FEB-2002 | 116.864 | 5.59% | 09.35 | 09.09 | 10.93 | 1093 | 1.13 | 312 ||
| CORPORA 5.9000 15-OCT-2032 | 04-MAR-2003 | 15-OCT-2032 | 15-OCT-2003 | 116.783 | 4.41% | 10.72 | 10.48 | 12.43 | 1243 | 1.44 | 190 ||
| CORPORA 6.5500 15-MAR-2033 | 25-SEP-2003 | 15-MAR-2033 | 15-SEP-2004 | 122.102 | 4.59% | 10.58 | 10.34 | 12.88 | 1288 | 1.43 | 208 ||
| CORPORA 7.4500 01-OCT-2033 | 01-OCT-2003 | 01-OCT-2033 | 01-APR-2004 | 120.380 | 5.56% | 10.23 | 09.95 | 12.22 | 1222 | 1.38 | 305 ||
| CORPORA 6.3750 15-DEC-2038 | 11-DEC-2008 | 15-DEC-2038 | 15-JUN-2009 | 129.098 | 4.31% | 13.20 | 12.91 | 16.77 | 1677 | 2.30 | 173 ||
| CORPORA 8.8750 01-JUN-2039 | 01-JUN-2009 | 01-JUN-2039 | 01-DEC-2009 | 152.222 | 4.97% | 12.13 | 11.82 | 18.18 | 1818 | 2.03 | 241 ||
| CORPORA 6.8500 16-DEC-2039 | 16-DEC-2009 | 16-DEC-2039 | 16-JUN-2010 | 130.226 | 4.68% | 13.13 | 12.82 | 16.80 | 1680 | 2.33 | 210 ||
| CORPORA 7.6250 15-JUN-2040 | 01-JUL-2010 | 15-JUN-2040 | 15-JUN-2011 | 129.555 | 5.39% | 12.56 | 12.22 | 15.95 | 1595 | 2.18 | 280 ||
| CORPORA 5.7800 15-MAR-2046 | 04-NOV-2008 | 15-MAR-2046 | 15-SEP-2009 | 117.434 | 4.68% | 15.23 | 14.86 | 17.78 | 1778 | 3.29 | 206 ||
| CORPORA 5.3000 01-AUG-2050 | 01-AUG-2005 | 01-AUG-2050 | 01-FEB-2006 | 092.536 | 5.81% | 15.37 | 14.92 | 13.80 | 1380 | 3.51 | 318 ||
| CORPORA 5.5950 01-DEC-2051 | 13-NOV-2006 | 01-DEC-2051 | 01-JUN-2007 | 105.709 | 5.24% | 16.02 | 15.59 | 16.63 | 1663 | 3.83 | 261 ||
| CORPORA 5.8150 15-FEB-2052 | 01-FEB-2007 | 15-FEB-2052 | 15-AUG-2007 | 098.312 | 5.93% | 14.77 | 14.33 | 14.47 | 1447 | 3.40 | 331 ||
| CORPORA 6.7500 15-MAR-2057 | 18-MAR-2012 | 15-MAR-2057 | 15-MAR-2013 | 131.536 | 4.94% | 16.62 | 16.20 | 21.72 | 2172 | 4.30 | 232 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 0.9000 25-FEB-2017 | 099.978 | 1.25% | 024 | 042 | 00.06 | 00.00 |-030 | 042 | -000 | 042 | null ||
| CORPORA 2.2500 05-JUN-2017 | 100.333 | 1.27% | 022 | 044 | 00.34 | 00.00 | 033 | 044 | 002 | 044 | null ||
| CORPORA 7.4500 15-JUL-2017 | 102.782 | 1.27% | 019 | 044 | 00.45 | 00.00 | 061 | 044 | 002 | 044 | null ||
| CORPORA 5.1250 05-SEP-2017 | 101.722 | 2.18% | 105 | 135 | 00.58 | 00.01 | 215 | 135 | 093 | 135 | null ||
| CORPORA 3.6250 15-APR-2018 | 101.359 | 2.47% | 119 | 156 | 01.17 | 00.02 | 141 | 156 | 117 | 125 | 02YON ||
| CORPORA 6.2500 01-NOV-2018 | 105.625 | 2.92% | 150 | 180 | 01.66 | 00.04 | 197 | 180 | 149 | 170 | 02YON ||
| CORPORA 7.7500 15-NOV-2018 | 109.751 | 2.15% | 072 | 102 | 01.69 | 00.04 | 136 | 102 | 071 | 093 | 02YON ||
| CORPORA 9.0000 15-NOV-2018 | 109.730 | 3.34% | 191 | 220 | 01.67 | 00.04 | 262 | 220 | 189 | 212 | 02YON ||
| CORPORA 7.1250 01-FEB-2019 | 109.763 | 2.11% | 062 | 089 | 01.88 | 00.05 | 067 | 089 | 061 | 089 | 02YON ||
| CORPORA 8.1250 01-JUN-2019 | 112.434 | 2.59% | 104 | 128 | 02.15 | 00.06 | 149 | 128 | 102 | 137 | 02YON ||
| CORPORA 9.8750 15-JUN-2019 | 117.161 | 2.38% | 083 | 106 | 02.16 | 00.06 | 130 | 106 | 080 | 116 | 02YON ||
| CORPORA 9.5000 15-JUN-2019 | 115.849 | 2.56% | 100 | 124 | 02.17 | 00.06 | 146 | 124 | 098 | 134 | 02YON ||
| CORPORA 7.6250 13-AUG-2019 | 111.997 | 2.69% | 110 | 133 | 02.33 | 00.07 | 194 | 133 | 108 | 120 | 03YON ||
| CORPORA 7.3750 15-SEP-2019 | 111.605 | 2.75% | 114 | 136 | 02.41 | 00.07 | 180 | 136 | 112 | 126 | 03YON ||
| CORPORA 6.2500 30-OCT-2019 | 098.417 | 6.89% | 526 | 547 | 02.50 | 00.09 | 514 | 547 | 523 | 540 | 03YON ||
| CORPORA 6.8500 15-FEB-2020 | 112.162 | 2.65% | 096 | 116 | 02.77 | 00.09 | 159 | 116 | 095 | 116 | 03YON ||
| CORPORA 6.7000 04-MAR-2020 | 111.746 | 2.71% | 101 | 120 | 02.82 | 00.10 | 155 | 120 | 099 | 122 | 03YON ||
| CORPORA 6.7750 19-MAR-2020 | 112.623 | 2.55% | 085 | 103 | 02.86 | 00.10 | 135 | 103 | 083 | 106 | 03YON ||
| CORPORA 5.8750 01-JUN-2020 | 110.124 | 2.68% | 094 | 111 | 03.05 | 00.11 | 114 | 111 | 092 | 119 | 03YON ||
| CORPORA 5.6250 15-SEP-2020 | 109.497 | 2.84% | 106 | 122 | 03.29 | 00.13 | 138 | 122 | 104 | 135 | 03YON ||
| CORPORA 5.3750 15-SEP-2020 | 108.314 | 2.94% | 115 | 131 | 03.30 | 00.13 | 143 | 131 | 113 | 145 | 03YON ||
| CORPORA 6.8750 15-APR-2021 | 113.491 | 3.40% | 154 | 165 | 03.69 | 00.16 | 188 | 165 | 151 | 147 | 05YON ||
| CORPORA 5.8000 01-MAY-2021 | 111.072 | 3.00% | 113 | 124 | 03.80 | 00.17 | 135 | 124 | 111 | 107 | 05YON ||
| CORPORA 4.8900 17-OCT-2021 | 102.167 | 4.37% | 244 | 251 | 04.18 | 00.21 | 249 | 251 | 242 | 244 | 05YON ||
| CORPORA 4.8750 15-NOV-2021 | 106.932 | 3.30% | 136 | 141 | 04.28 | 00.22 | 147 | 141 | 134 | 137 | 05YON ||
| CORPORA 4.7000 15-MAR-2022 | 106.858 | 3.23% | 126 | 129 | 04.56 | 00.24 | 140 | 129 | 124 | 130 | 05YON ||
| CORPORA 4.7000 15-OCT-2022 | 104.570 | 3.80% | 176 | 175 | 04.99 | 00.29 | 184 | 175 | 174 | 187 | 05YON ||
| CORPORA 6.7180 02-JAN-2023 | 113.125 | 4.19% | 214 | 210 | 04.94 | 00.29 | 232 | 210 | 211 | 226 | 05YON ||
| CORPORA 3.7000 20-NOV-2023 | 104.537 | 2.96% | 081 | 072 | 06.01 | 00.42 | 085 | 072 | 080 | 069 | 07YON ||
| CORPORA 4.6250 01-DEC-2023 | 105.428 | 3.72% | 158 | 148 | 05.86 | 00.42 | 163 | 148 | 155 | 145 | 07YON ||
| CORPORA 4.2500 14-MAR-2024 | 101.007 | 4.08% | 192 | 181 | 06.10 | 00.43 | 192 | 181 | 190 | 181 | 07YON ||
| CORPORA 8.6250 01-MAY-2024 | 122.602 | 4.88% | 274 | 260 | 05.59 | 00.39 | 319 | 260 | 269 | 261 | 07YON ||
| CORPORA 5.7500 03-SEP-2024 | 095.293 | 6.55% | 437 | 423 | 06.02 | 00.44 | 416 | 423 | 432 | 428 | 07YON ||
| CORPORA 4.7500 15-SEP-2025 | 098.684 | 4.94% | 268 | 256 | 06.99 | 00.58 | 262 | 256 | 265 | 246 | 10YON ||
| CORPORA 4.6500 27-JAN-2026 | 105.949 | 3.86% | 158 | 145 | 07.36 | 00.64 | 161 | 145 | 155 | 138 | 10YON ||
| CORPORA 3.7500 03-SEP-2026 | 100.986 | 3.63% | 130 | 118 | 08.00 | 00.75 | 130 | 118 | 128 | 115 | 10YON ||
| CORPORA 3.7000 01-OCT-2026 | 100.250 | 3.67% | 134 | 121 | 08.07 | 00.76 | 132 | 121 | 132 | 119 | 10YON ||
| CORPORA 4.2700 25-NOV-2026 | 102.021 | 4.02% | 169 | 155 | 07.98 | 00.75 | 169 | 155 | 166 | 154 | 10YON ||
| CORPORA 3.7500 15-DEC-2027 | 100.934 | 3.64% | 126 | 114 | 08.88 | 00.93 | 124 | 114 | 124 | 116 | 10YON ||
| CORPORA 7.0500 15-JUL-2028 | 115.760 | 5.21% | 284 | 268 | 08.10 | 00.84 | 306 | 268 | 277 | 273 | 10YON ||
| CORPORA 3.2500 15-OCT-2028 | 095.967 | 3.68% | 125 | 114 | 09.60 | 01.08 | 119 | 114 | 124 | 120 | 10YON ||
| CORPORA 6.9270 01-MAR-2029 | 132.729 | 3.57% | 117 | 102 | 08.76 | 00.96 | 149 | 102 | 111 | 109 | 10YON ||
| CORPORA 6.6250 01-MAR-2029 | 126.736 | 3.84% | 144 | 129 | 08.78 | 00.97 | 173 | 129 | 138 | 136 | 10YON ||
| CORPORA 5.3800 15-DEC-2030 | 107.245 | 4.66% | 220 | 206 | 09.87 | 01.23 | 227 | 206 | 216 | 218 | 10YON ||
| CORPORA 8.6000 15-DEC-2030 | 136.568 | 4.93% | 250 | 232 | 08.97 | 01.08 | 304 | 232 | 242 | 245 | 10YON ||
| CORPORA 7.3000 15-AUG-2031 | 116.864 | 5.59% | 314 | 296 | 09.36 | 01.16 | 345 | 296 | 307 | 311 | 10YON ||
| CORPORA 5.9000 15-OCT-2032 | 116.783 | 4.41% | 191 | 174 | 10.65 | 01.46 | 209 | 174 | 186 | 133 | 30YON ||
| CORPORA 6.5500 15-MAR-2033 | 122.102 | 4.59% | 210 | 192 | 10.55 | 01.46 | 238 | 192 | 204 | 151 | 30YON ||
| CORPORA 7.4500 01-OCT-2033 | 120.380 | 5.56% | 307 | 286 | 10.16 | 01.40 | 343 | 286 | 299 | 248 | 30YON ||
| CORPORA 6.3750 15-DEC-2038 | 129.098 | 4.31% | 174 | 145 | 13.00 | 02.32 | 203 | 145 | 168 | 123 | 30YON ||
| CORPORA 8.8750 01-JUN-2039 | 152.222 | 4.97% | 244 | 211 | 11.95 | 02.05 | 322 | 211 | 235 | 189 | 30YON ||
| CORPORA 6.8500 16-DEC-2039 | 130.226 | 4.68% | 212 | 180 | 12.91 | 02.34 | 249 | 180 | 205 | 160 | 30YON ||
| CORPORA 7.6250 15-JUN-2040 | 129.555 | 5.39% | 284 | 249 | 12.32 | 02.20 | 333 | 249 | 275 | 231 | 30YON ||
| CORPORA 5.7800 15-MAR-2046 | 117.434 | 4.68% | 209 | 162 | 15.16 | 03.36 | 230 | 162 | 203 | 160 | 30YON ||
| CORPORA 5.3000 01-AUG-2050 | 092.536 | 5.81% | 323 | 273 | 14.94 | 03.51 | 299 | 273 | 317 | 273 | 30YON ||
| CORPORA 5.5950 01-DEC-2051 | 105.709 | 5.24% | 265 | 216 | 15.75 | 03.86 | 271 | 216 | 260 | 216 | 30YON ||
| CORPORA 5.8150 15-FEB-2052 | 098.312 | 5.93% | 336 | 285 | 14.74 | 03.49 | 325 | 285 | 329 | 285 | 30YON ||
| CORPORA 6.7500 15-MAR-2057 | 131.536 | 4.94% | 235 | 186 | 16.54 | 04.39 | 287 | 186 | 230 | 186 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 0.9000 25-FEB-2017 | 00.06 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.2500 05-JUN-2017 | 00.34 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.4500 15-JUL-2017 | 00.45 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1250 05-SEP-2017 | 00.58 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.6250 15-APR-2018 | 00.94 | 00.23 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 01-NOV-2018 | 00.42 | 01.24 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.7500 15-NOV-2018 | 00.37 | 01.32 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.0000 15-NOV-2018 | 00.36 | 01.31 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.1250 01-FEB-2019 | 00.01 | 01.88 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.1250 01-JUN-2019 | -00.00 | 01.45 | 00.70 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.8750 15-JUN-2019 | -00.00 | 01.37 | 00.79 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.5000 15-JUN-2019 | -00.00 | 01.38 | 00.79 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.6250 13-AUG-2019 | -00.00 | 01.10 | 01.23 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.3750 15-SEP-2019 | -00.00 | 00.92 | 01.49 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 30-OCT-2019 | -00.00 | 00.65 | 01.85 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8500 15-FEB-2020 | -00.00 | -00.00 | 02.72 | 00.05 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7000 04-MAR-2020 | -00.00 | -00.00 | 02.70 | 00.12 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7750 19-MAR-2020 | -00.00 | -00.00 | 02.68 | 00.18 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.8750 01-JUN-2020 | -00.00 | -00.00 | 02.55 | 00.50 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.6250 15-SEP-2020 | -00.00 | -00.00 | 02.28 | 01.02 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3750 15-SEP-2020 | -00.00 | -00.00 | 02.28 | 01.02 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8750 15-APR-2021 | -00.00 | -00.00 | 01.48 | 02.21 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.8000 01-MAY-2021 | -00.00 | -00.00 | 01.44 | 02.36 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.8900 17-OCT-2021 | -00.00 | -00.00 | 00.62 | 03.56 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.8750 15-NOV-2021 | -00.00 | -00.00 | 00.46 | 03.81 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-MAR-2022 | -00.00 | -00.00 | -00.00 | 04.30 | 00.26 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-OCT-2022 | -00.00 | -00.00 | -00.00 | 03.25 | 01.74 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7180 02-JAN-2023 | 00.00 | 00.00 | 00.00 | 02.68 | 02.26 | 00.00 | 00.00 | 00.00 ||
| CORPORA 3.7000 20-NOV-2023 | -00.00 | -00.00 | -00.00 | 00.61 | 05.40 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.6250 01-DEC-2023 | -00.00 | -00.00 | -00.00 | 00.51 | 05.35 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.2500 14-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.87 | 00.23 | -00.00 | -00.00 ||
| CORPORA 8.6250 01-MAY-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.13 | 00.45 | -00.00 | -00.00 ||
| CORPORA 5.7500 03-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.84 | 01.18 | -00.00 | -00.00 ||
| CORPORA 4.7500 15-SEP-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.22 | 03.77 | -00.00 | -00.00 ||
| CORPORA 4.6500 27-JAN-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.49 | 04.87 | -00.00 | -00.00 ||
| CORPORA 3.7500 03-SEP-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.11 | 06.89 | -00.00 | -00.00 ||
| CORPORA 3.7000 01-OCT-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 00.91 | 07.15 | -00.00 | -00.00 ||
| CORPORA 4.2700 25-NOV-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 00.50 | 07.47 | -00.00 | -00.00 ||
| CORPORA 3.7500 15-DEC-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.10 | 00.77 | -00.00 ||
| CORPORA 7.0500 15-JUL-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.93 | 01.17 | -00.00 ||
| CORPORA 3.2500 15-OCT-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.97 | 01.63 | -00.00 ||
| CORPORA 6.9270 01-MAR-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.94 | 01.82 | -00.00 ||
| CORPORA 6.6250 01-MAR-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.95 | 01.82 | -00.00 ||
| CORPORA 5.3800 15-DEC-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.05 | 03.81 | -00.00 ||
| CORPORA 8.6000 15-DEC-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.50 | 03.47 | -00.00 ||
| CORPORA 7.3000 15-AUG-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.12 | 04.24 | -00.00 ||
| CORPORA 5.9000 15-OCT-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.58 | 06.07 | -00.00 ||
| CORPORA 6.5500 15-MAR-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.10 | 06.45 | -00.00 ||
| CORPORA 7.4500 01-OCT-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.39 | 06.76 | -00.00 ||
| CORPORA 6.3750 15-DEC-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.57 | 02.42 ||
| CORPORA 8.8750 01-JUN-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.17 | 02.78 ||
| CORPORA 6.8500 16-DEC-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.21 | 03.70 ||
| CORPORA 7.6250 15-JUN-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.17 | 04.15 ||
| CORPORA 5.7800 15-MAR-2046 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.34 | 13.80 ||
| CORPORA 5.3000 01-AUG-2050 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.92 ||
| CORPORA 5.5950 01-DEC-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.73 ||
| CORPORA 5.8150 15-FEB-2052 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 14.72 ||
| CORPORA 6.7500 15-MAR-2057 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 16.51 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:14 EST 2020
| Setup Time => Mon Jan 27 00:45:14 EST 2020
| Finish Time => Mon Jan 27 00:45:18 EST 2020
| Setup Duration => 1 ms
| Run Duration => 3 s 891 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 00:45:18 EST 2020
| Setup Time => Mon Jan 27 00:45:18 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.010700 | 0.010700 ||
| [15-SEP-2017] = 0.012350 | 0.012350 ||
| [15-DEC-2017] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [06-FEB-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [06-FEB-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [06-FEB-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [06-FEB-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [06-FEB-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [06-FEB-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [06-FEB-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [06-FEB-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [06-FEB-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [06-FEB-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [06-FEB-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [06-FEB-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [06-FEB-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [06-FEB-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [06-FEB-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [06-FEB-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [06-FEB-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [06-FEB-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 02-FEB-2018 | 0.830% | 0.830% ||
| UST 1.00 02-FEB-2019 | 1.220% | 1.220% ||
| UST 1.25 02-FEB-2020 | 1.490% | 1.490% ||
| UST 1.50 02-FEB-2022 | 1.930% | 1.930% ||
| UST 2.00 02-FEB-2024 | 2.270% | 2.270% ||
| UST 2.25 02-FEB-2027 | 2.480% | 2.480% ||
| UST 2.50 02-FEB-2037 | 2.800% | 2.800% ||
| UST 3.00 02-FEB-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 02-FEB-2017 ||
| Cash Settle Date : 07-FEB-2017 ||
|--------------------------------||
Doing CORPORA 1.2500 02-JUN-2017
Doing CORPORA 2.5000 09-MAR-2018
Doing CORPORA 2.9000 15-DEC-2018
Doing CORPORA 8.6250 15-JAN-2019
Doing CORPORA 6.0000 15-DEC-2020
Doing CORPORA 5.4620 16-FEB-2021
Doing CORPORA 3.3600 20-SEP-2021
Doing CORPORA 4.8750 11-JUL-2022
Doing CORPORA 6.1190 30-MAR-2024
Doing CORPORA 4.0000 29-JUL-2025
Doing CORPORA 4.1500 04-MAR-2026
Doing CORPORA 5.8200 15-JUL-2034
Doing CORPORA 5.5860 01-OCT-2049
Doing CORPORA 6.1240 15-MAY-2051
Doing CORPORA 5.3340 15-OCT-2051
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.2500 02-JUN-2017 | 05-JUN-2014 | 02-JUN-2017 | 02-JUN-2015 | 099.890 | 1.58% | 00.33 | 00.33 | 00.33 | 0033 | 0.00 | 054 ||
| CORPORA 2.5000 09-MAR-2018 | 09-MAR-2016 | 09-MAR-2018 | 09-SEP-2016 | 100.930 | 1.65% | 01.08 | 01.08 | 01.10 | 0110 | 0.02 | 039 ||
| CORPORA 2.9000 15-DEC-2018 | 08-AUG-2013 | 15-DEC-2018 | 15-JUN-2014 | 101.160 | 2.26% | 01.83 | 01.81 | 01.83 | 0183 | 0.04 | 081 ||
| CORPORA 8.6250 15-JAN-2019 | 16-JAN-2009 | 15-JAN-2019 | 15-JAN-2010 | 112.237 | 2.19% | 01.84 | 01.82 | 02.05 | 0205 | 0.04 | 072 ||
| CORPORA 6.0000 15-DEC-2020 | 15-DEC-2010 | 15-DEC-2020 | 15-JUN-2011 | 109.548 | 3.35% | 03.51 | 03.45 | 03.80 | 0380 | 0.14 | 153 ||
| CORPORA 5.4620 16-FEB-2021 | 16-FEB-2011 | 16-FEB-2021 | 16-AUG-2011 | 109.055 | 3.06% | 03.61 | 03.56 | 03.97 | 0397 | 0.15 | 121 ||
| CORPORA 3.3600 20-SEP-2021 | 27-OCT-2016 | 20-SEP-2021 | 20-SEP-2017 | 100.050 | 3.34% | 04.30 | 04.23 | 04.27 | 0427 | 0.21 | 141 ||
| CORPORA 4.8750 11-JUL-2022 | 13-JUL-2012 | 11-JUL-2022 | 11-JUL-2013 | 107.624 | 3.33% | 04.86 | 04.78 | 05.16 | 0516 | 0.27 | 132 ||
| CORPORA 6.1190 30-MAR-2024 | 04-MAY-2004 | 30-MAR-2024 | 30-MAR-2005 | 110.974 | 4.32% | 05.87 | 05.75 | 06.49 | 0649 | 0.40 | 217 ||
| CORPORA 4.0000 29-JUL-2025 | 29-JUL-2015 | 29-JUL-2025 | 29-JAN-2016 | 102.856 | 3.61% | 07.30 | 07.17 | 07.38 | 0738 | 0.60 | 134 ||
| CORPORA 4.1500 04-MAR-2026 | 04-MAR-2016 | 04-MAR-2026 | 04-SEP-2016 | 104.563 | 3.56% | 07.58 | 07.44 | 07.91 | 0791 | 0.66 | 126 ||
| CORPORA 5.8200 15-JUL-2034 | 30-JUN-2011 | 15-JUL-2034 | 15-JAN-2012 | 108.244 | 5.10% | 11.42 | 11.13 | 12.08 | 1208 | 1.65 | 256 ||
| CORPORA 5.5860 01-OCT-2049 | 15-OCT-2004 | 01-OCT-2049 | 01-OCT-2005 | 109.807 | 4.97% | 15.83 | 15.43 | 17.23 | 1723 | 3.68 | 235 ||
| CORPORA 6.1240 15-MAY-2051 | 01-MAY-2006 | 15-MAY-2051 | 15-NOV-2006 | 109.192 | 5.52% | 15.27 | 14.84 | 16.40 | 1640 | 3.52 | 290 ||
| CORPORA 5.3340 15-OCT-2051 | 30-SEP-2015 | 15-OCT-2051 | 15-APR-2016 | 103.313 | 5.13% | 16.18 | 15.76 | 16.53 | 1653 | 3.91 | 250 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.2500 02-JUN-2017 | 099.890 | 1.58% | 054 | 075 | 00.33 | 00.00 | 022 | 075 | 033 | 075 | null ||
| CORPORA 2.5000 09-MAR-2018 | 100.930 | 1.65% | 039 | 078 | 01.09 | 00.02 | 061 | 078 | 037 | 043 | 02YON ||
| CORPORA 2.9000 15-DEC-2018 | 101.160 | 2.26% | 081 | 109 | 01.81 | 00.04 | 085 | 109 | 080 | 104 | 02YON ||
| CORPORA 8.6250 15-JAN-2019 | 112.237 | 2.19% | 072 | 099 | 01.83 | 00.04 | 092 | 099 | 070 | 097 | 02YON ||
| CORPORA 6.0000 15-DEC-2020 | 109.548 | 3.35% | 153 | 167 | 03.47 | 00.14 | 169 | 167 | 151 | 186 | 03YON ||
| CORPORA 5.4620 16-FEB-2021 | 109.055 | 3.06% | 121 | 134 | 03.64 | 00.16 | 152 | 134 | 119 | 113 | 05YON ||
| CORPORA 3.3600 20-SEP-2021 | 100.050 | 3.34% | 141 | 149 | 04.27 | 00.22 | 141 | 149 | 140 | 141 | 05YON ||
| CORPORA 4.8750 11-JUL-2022 | 107.624 | 3.33% | 132 | 133 | 04.79 | 00.27 | 138 | 133 | 130 | 140 | 05YON ||
| CORPORA 6.1190 30-MAR-2024 | 110.974 | 4.32% | 217 | 204 | 05.85 | 00.41 | 236 | 204 | 213 | 205 | 07YON ||
| CORPORA 4.0000 29-JUL-2025 | 102.856 | 3.61% | 135 | 123 | 07.17 | 00.60 | 135 | 123 | 132 | 134 | 07YON ||
| CORPORA 4.1500 04-MAR-2026 | 104.563 | 3.56% | 127 | 114 | 07.57 | 00.67 | 130 | 114 | 124 | 108 | 10YON ||
| CORPORA 5.8200 15-JUL-2034 | 108.244 | 5.10% | 258 | 238 | 11.17 | 01.66 | 266 | 238 | 252 | 202 | 30YON ||
| CORPORA 5.5860 01-OCT-2049 | 109.807 | 4.97% | 239 | 189 | 15.71 | 03.74 | 250 | 189 | 233 | 189 | 30YON ||
| CORPORA 6.1240 15-MAY-2051 | 109.192 | 5.52% | 294 | 244 | 15.04 | 03.56 | 308 | 244 | 288 | 244 | 30YON ||
| CORPORA 5.3340 15-OCT-2051 | 103.313 | 5.13% | 254 | 205 | 16.02 | 03.97 | 255 | 205 | 249 | 205 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::02-feb-2018 | tsy::02-feb-2019 | tsy::02-feb-2020 | tsy::02-feb-2022 | tsy::02-feb-2024 | tsy::02-feb-2027 | tsy::02-feb-2037 | tsy::02-feb-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.2500 02-JUN-2017 | 00.33 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.5000 09-MAR-2018 | 00.98 | 00.10 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.9000 15-DEC-2018 | 00.24 | 01.57 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.6250 15-JAN-2019 | 00.09 | 01.74 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.0000 15-DEC-2020 | -00.00 | -00.00 | 01.97 | 01.51 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.4620 16-FEB-2021 | -00.00 | -00.00 | 01.75 | 01.89 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.3600 20-SEP-2021 | -00.00 | -00.00 | 00.79 | 03.48 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.8750 11-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.75 | 01.04 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1190 30-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.55 | 00.30 | -00.00 | -00.00 ||
| CORPORA 4.0000 29-JUL-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.62 | 03.55 | -00.00 | -00.00 ||
| CORPORA 4.1500 04-MAR-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.31 | 05.25 | -00.00 | -00.00 ||
| CORPORA 5.8200 15-JUL-2034 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.85 | 08.31 | -00.00 ||
| CORPORA 5.5860 01-OCT-2049 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.69 ||
| CORPORA 6.1240 15-MAY-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 15.02 ||
| CORPORA 5.3340 15-OCT-2051 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 16.00 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:18 EST 2020
| Setup Time => Mon Jan 27 00:45:18 EST 2020
| Finish Time => Mon Jan 27 00:45:19 EST 2020
| Setup Duration => 1 ms
| Run Duration => 1 s 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 00:45:19 EST 2020
| Setup Time => Mon Jan 27 00:45:19 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 => HubbaliDharwad
Effective Date => 25-JAN-2011
Maturity Date => 31-JAN-2021
Exercise Date => 31-JAN-2021
Price => 107.54980
Bond Accrued => 0.6417
Bond YTW => 3.172%
Bond YTM => 3.172%
Bond WAL TW => 3.603
Bond WAL TM => 3.603
Bond Modified Duration TW => 3.5098
Bond Z Spread TW => 110.0
Bond OAS TW => 148.4
|-----------------------------------------------------------------|
| 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 00:45:19 EST 2020
| Setup Time => Mon Jan 27 00:45:19 EST 2020
| Finish Time => Mon Jan 27 00:45:19 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 00:45:19 EST 2020
| Setup Time => Mon Jan 27 00:45:19 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 => Moradabad
Effective Date => 01-JUN-2009
Maturity Date => 01-JUN-2039
Exercise Date => 01-JUN-2039
Price => 158.12100
Bond Accrued => 2.5639
Bond YTW => 4.651%
Bond YTM => 4.651%
Bond WAL TW => 15.016
Bond WAL TM => 15.016
Bond Modified Duration TW => 11.9252
Bond Z Spread TW => 192.5
Bond OAS TW => 178.9
|-----------------------------------------------------------------|
| 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 00:45:19 EST 2020
| Setup Time => Mon Jan 27 00:45:19 EST 2020
| Finish Time => Mon Jan 27 00:45:19 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 00:45:19 EST 2020
| Setup Time => Mon Jan 27 00:45:19 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 => Mysore
Effective Date => 18-JUN-2009
Maturity Date => 01-AUG-2044
Exercise Date => 01-AUG-2044
Price => 27.28300
Bond Accrued => 0.0000
Bond YTW => 4.799%
Bond YTM => 4.799%
Bond WAL TW => 27.392
Bond WAL TM => 27.392
Bond Modified Duration TW => 26.7135
Bond Z Spread TW => 195.1
Bond OAS TW => 179.2
|-----------------------------------------------------------------|
| 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 00:45:19 EST 2020
| Setup Time => Mon Jan 27 00:45:19 EST 2020
| Finish Time => Mon Jan 27 00:45:20 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 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 => Tiruchirapalli
Effective Date => 17-MAR-2009
Maturity Date => 15-MAR-2019
Exercise Date => 15-MAR-2019
Price => 113.90280
Bond Accrued => 4.6875
Bond YTW => 2.273%
Bond YTM => 2.273%
Bond WAL TW => 1.893
Bond WAL TM => 1.893
Bond Modified Duration TW => 1.7977
Bond Z Spread TW => 58.5
Bond OAS TW => 104.9
|-----------------------------------------------------------------|
| 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 EST 2020
| Finish Time => Mon Jan 27 00:45:20 EST 2020
| Setup Duration => 0 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 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 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 => Tiruppur
Effective Date => 04-NOV-2009
Maturity Date => 04-NOV-2024
Exercise Date => 04-NOV-2024
Price => 106.06200
Bond Accrued => 0.4913
Bond YTW => 0.540%
Bond YTM => 0.540%
Bond WAL TW => 7.315
Bond WAL TM => 7.315
Bond Modified Duration TW => 7.2524
Bond Z Spread TW => -191.7
Bond OAS TW => -177.6
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| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:45:20 EST 2020
| Setup Time => Mon Jan 27 00:45:20 EST 2020
| Finish Time => Mon Jan 27 00:45:20 EST 2020
| Setup Duration => 0 ms
| Run Duration => 208 ms
|-----------------------------------------------------------------|