Standard output
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:37:11 EST 2020
| Setup Time => Mon Jan 27 00:37:11 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [06-FEB-2017] = 0.010346 | 0.010346 ||
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|-------------------------------------||
| 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 ||
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|------------------------------------------------||
| 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 ||
|------------------------------------------------||
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| 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 ||
|--------------------------------||
|-----------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|-----------------------------------------------------------------------------------------------------------------------------------------------------||
| USD-3M + 076 bp 24-MAR-2017 | 24-MAR-2014 | 24-MAR-2017 | 24-SEP-2014 | 100.067 | 1.28% | 00.14 | 00.14 | 00.14 | 0014 | 0.00 | 027 ||
| USD-3M + 049 bp 03-AUG-2017 | 03-AUG-2015 | 03-AUG-2017 | 03-FEB-2016 | 100.272 | 1.10% | 00.50 | 00.50 | 00.50 | 0050 | 0.00 | 001 ||
| USD-3M + 058 bp 08-DEC-2017 | 09-JUN-2016 | 08-DEC-2017 | 08-JUN-2017 | 100.500 | 1.22% | 00.85 | 00.84 | 00.86 | 0086 | 0.02 | 003 ||
| USD-3M + 106 bp 30-APR-2018 | 30-APR-2013 | 30-APR-2018 | 30-OCT-2013 | 100.910 | 1.66% | 01.24 | 01.23 | 01.25 | 0125 | 0.03 | 038 ||
| USD-3M + 067 bp 19-OCT-2018 | 19-OCT-2016 | 19-OCT-2018 | 19-APR-2017 | 100.160 | 2.03% | 01.71 | 01.69 | 01.70 | 0170 | 0.04 | 063 ||
| USD-3M + 077 bp 14-DEC-2018 | 14-DEC-2015 | 14-DEC-2018 | 14-JUN-2016 | 100.534 | 1.98% | 01.86 | 01.84 | 01.85 | 0185 | 0.05 | 054 ||
| USD-3M + 078 bp 14-JAN-2019 | 14-JAN-2016 | 14-JAN-2019 | 14-JUL-2016 | 100.516 | 2.03% | 01.95 | 01.92 | 01.94 | 0194 | 0.05 | 057 ||
| USD-3M + 118 bp 15-JAN-2019 | 15-JAN-2016 | 15-JAN-2019 | 15-JUL-2016 | 100.759 | 2.30% | 01.94 | 01.92 | 01.94 | 0194 | 0.05 | 084 ||
| USD-3M + 102 bp 22-JAN-2019 | 22-JAN-2016 | 22-JAN-2019 | 22-JUL-2016 | 100.857 | 2.10% | 01.96 | 01.94 | 01.96 | 0196 | 0.05 | 063 ||
| USD-3M + 124 bp 01-FEB-2019 | 27-JAN-2016 | 01-FEB-2019 | 01-AUG-2016 | 101.741 | 1.88% | 01.99 | 01.97 | 02.00 | 0200 | 0.06 | 041 ||
| USD-3M + 072 bp 22-FEB-2019 | 23-FEB-2016 | 22-FEB-2019 | 22-FEB-2017 | 101.447 | 1.55% | 02.02 | 02.00 | 02.06 | 0206 | 0.05 | 006 ||
| USD-3M + 141 bp 14-MAR-2019 | 04-MAR-2016 | 14-MAR-2019 | 14-SEP-2016 | 101.530 | 2.23% | 02.08 | 02.05 | 02.10 | 0210 | 0.05 | 073 ||
| USD-3M + 063 bp 15-MAR-2019 | 15-MAR-2016 | 15-MAR-2019 | 15-SEP-2016 | 101.067 | 1.67% | 02.10 | 02.08 | 02.11 | 0211 | 0.05 | 018 ||
| USD-3M + 059 bp 13-MAY-2019 | 13-MAY-2016 | 13-MAY-2019 | 13-NOV-2016 | 100.454 | 1.97% | 02.26 | 02.24 | 02.25 | 0225 | 0.07 | 044 ||
| USD-3M + 051 bp 24-MAY-2019 | 02-JUN-2016 | 24-MAY-2019 | 24-MAY-2017 | 100.251 | 1.98% | 02.28 | 02.25 | 02.28 | 0228 | 0.07 | 044 ||
| USD-3M + 059 bp 14-JUN-2019 | 14-JUN-2016 | 14-JUN-2019 | 14-DEC-2016 | 100.271 | 2.08% | 02.35 | 02.32 | 02.33 | 0233 | 0.07 | 053 ||
| USD-3M + 050 bp 06-SEP-2019 | 08-SEP-2016 | 06-SEP-2019 | 06-SEP-2017 | 100.120 | 2.11% | 02.57 | 02.53 | 02.56 | 0256 | 0.08 | 051 ||
| USD-3M + 059 bp 30-SEP-2019 | 30-SEP-2016 | 30-SEP-2019 | 30-MAR-2017 | 100.226 | 2.17% | 02.63 | 02.59 | 02.61 | 0261 | 0.08 | 056 ||
| USD-3M + 091 bp 18-OCT-2019 | 18-OCT-2016 | 18-OCT-2019 | 18-APR-2017 | 100.035 | 2.56% | 02.67 | 02.63 | 02.64 | 0264 | 0.08 | 094 ||
|-----------------------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|------------------------------------------------------------------------------------------------------------------------------||
| USD-3M + 076 bp 24-MAR-2017 | 100.067 | 1.28% | 045 | 00.14 | 00.00 | 039 | 045 | 003 | 045 | null ||
| USD-3M + 049 bp 03-AUG-2017 | 100.272 | 1.10% | 015 | 00.50 | 00.01 |-028 | 027 | -015 | 027 | null ||
| USD-3M + 058 bp 08-DEC-2017 | 100.500 | 1.22% | 022 | 00.85 | 00.01 |-011 | 039 | -003 | 039 | null ||
| USD-3M + 106 bp 30-APR-2018 | 100.910 | 1.66% | 043 | 01.24 | 00.02 | 017 | 074 | 036 | 044 | 02YON ||
| USD-3M + 067 bp 19-OCT-2018 | 100.160 | 2.03% | 049 | 01.70 | 00.04 | 018 | 093 | 061 | 081 | 02YON ||
| USD-3M + 077 bp 14-DEC-2018 | 100.534 | 1.98% | 039 | 01.85 | 00.04 | 011 | 081 | 051 | 076 | 02YON ||
| USD-3M + 078 bp 14-JAN-2019 | 100.516 | 2.03% | 043 | 01.93 | 00.05 | 015 | 083 | 054 | 081 | 02YON ||
| USD-3M + 118 bp 15-JAN-2019 | 100.759 | 2.30% | 071 | 01.93 | 00.05 | 043 | 110 | 081 | 108 | 02YON ||
| USD-3M + 102 bp 22-JAN-2019 | 100.857 | 2.10% | 050 | 01.95 | 00.05 | 023 | 089 | 061 | 088 | 02YON ||
| USD-3M + 124 bp 01-FEB-2019 | 101.741 | 1.88% | 029 | 01.97 | 00.05 | 001 | 066 | 039 | 066 | 02YON ||
| USD-3M + 072 bp 22-FEB-2019 | 101.447 | 1.55% |-022 | 02.05 | 00.05 |-038 | 031 | 004 | 033 | 02YON ||
| USD-3M + 141 bp 14-MAR-2019 | 101.530 | 2.23% | 044 | 02.08 | 00.05 | 028 | 098 | 071 | 101 | 02YON ||
| USD-3M + 063 bp 15-MAR-2019 | 101.067 | 1.67% |-012 | 02.10 | 00.05 |-032 | 042 | 015 | 045 | 02YON ||
| USD-3M + 059 bp 13-MAY-2019 | 100.454 | 1.97% | 013 | 02.26 | 00.06 |-012 | 068 | 041 | 075 | 02YON ||
| USD-3M + 051 bp 24-MAY-2019 | 100.251 | 1.98% | 014 | 02.29 | 00.06 |-012 | 068 | 042 | 076 | 02YON ||
| USD-3M + 059 bp 14-JUN-2019 | 100.271 | 2.08% | 023 | 02.34 | 00.07 |-002 | 076 | 050 | 086 | 02YON ||
| USD-3M + 050 bp 06-SEP-2019 | 100.120 | 2.11% | 029 | 02.56 | 00.08 | 006 | 073 | 048 | 062 | 03YON ||
| USD-3M + 059 bp 30-SEP-2019 | 100.226 | 2.17% | 012 | 02.63 | 00.08 |-011 | 077 | 053 | 068 | 03YON ||
| USD-3M + 091 bp 18-OCT-2019 | 100.035 | 2.56% | 050 | 02.66 | 00.08 | 027 | 115 | 092 | 107 | 03YON ||
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|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 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 ||
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| USD-3M + 076 bp 24-MAR-2017 | 00.14 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 049 bp 03-AUG-2017 | 00.50 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 058 bp 08-DEC-2017 | 00.85 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 106 bp 30-APR-2018 | 00.94 | 00.30 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 067 bp 19-OCT-2018 | 00.49 | 01.21 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 077 bp 14-DEC-2018 | 00.25 | 01.60 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 078 bp 14-JAN-2019 | 00.10 | 01.83 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 118 bp 15-JAN-2019 | 00.10 | 01.83 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 102 bp 22-JAN-2019 | 00.06 | 01.89 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 124 bp 01-FEB-2019 | 00.01 | 01.97 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 072 bp 22-FEB-2019 | -00.00 | 01.93 | 00.11 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 141 bp 14-MAR-2019 | -00.00 | 01.85 | 00.23 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 063 bp 15-MAR-2019 | -00.00 | 01.87 | 00.24 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 059 bp 13-MAY-2019 | -00.00 | 01.64 | 00.62 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 051 bp 24-MAY-2019 | -00.00 | 01.59 | 00.70 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 059 bp 14-JUN-2019 | -00.00 | 01.49 | 00.85 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 050 bp 06-SEP-2019 | -00.00 | 01.05 | 01.52 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 059 bp 30-SEP-2019 | -00.00 | 00.90 | 01.73 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| USD-3M + 091 bp 18-OCT-2019 | -00.00 | 00.78 | 01.88 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 00:37:11 EST 2020
| Setup Time => Mon Jan 27 00:37:11 EST 2020
| Finish Time => Mon Jan 27 00:37:12 EST 2020
| Setup Duration => 0 ms
| Run Duration => 667 ms
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