Standard output
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| Copyright (C) 2011-2020 (DRIP, DROP)
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| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:37 EST 2020
| Setup Time => Mon Jan 27 01:15:37 EST 2020
| Setup Duration => 0 ms
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|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
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| [11-MAY-2017] = 0.010346 | 0.010346 ||
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|-------------------------------------||
| FUTURES INPUT vs. CALC ||
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| [15-SEP-2017] = 0.010700 | 0.010700 ||
| [15-DEC-2017] = 0.012350 | 0.012350 ||
| [15-MAR-2018] = 0.013600 | 0.013600 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [11-MAY-2018] = 0.012484 | 0.012484 | 0.012484 ||
| [11-MAY-2019] = 0.014987 | 0.014987 | 0.014987 ||
| [11-MAY-2020] = 0.017036 | 0.017036 | 0.017036 ||
| [11-MAY-2021] = 0.018624 | 0.018624 | 0.018624 ||
| [11-MAY-2022] = 0.019868 | 0.019868 | 0.019868 ||
| [11-MAY-2023] = 0.020921 | 0.020921 | 0.020921 ||
| [11-MAY-2024] = 0.021788 | 0.021788 | 0.021788 ||
| [11-MAY-2025] = 0.022530 | 0.022530 | 0.022530 ||
| [11-MAY-2026] = 0.023145 | 0.023145 | 0.023145 ||
| [11-MAY-2027] = 0.023685 | 0.023685 | 0.023685 ||
| [11-MAY-2028] = 0.024153 | 0.024153 | 0.024153 ||
| [11-MAY-2029] = 0.024562 | 0.024562 | 0.024562 ||
| [11-MAY-2032] = 0.025389 | 0.025389 | 0.025389 ||
| [11-MAY-2037] = 0.026118 | 0.026118 | 0.026118 ||
| [11-MAY-2042] = 0.026368 | 0.026368 | 0.026368 ||
| [11-MAY-2047] = 0.026432 | 0.026432 | 0.026432 ||
| [11-MAY-2057] = 0.026339 | 0.026339 | 0.026339 ||
| [11-MAY-2067] = 0.026122 | 0.026122 | 0.026122 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 09-MAY-2018 | 1.109% | 1.109% ||
| UST 1.00 09-MAY-2019 | 1.345% | 1.345% ||
| UST 1.25 09-MAY-2020 | 1.552% | 1.552% ||
| UST 1.50 09-MAY-2022 | 1.925% | 1.925% ||
| UST 2.00 09-MAY-2024 | 2.205% | 2.205% ||
| UST 2.25 09-MAY-2027 | 2.406% | 2.406% ||
| UST 2.50 09-MAY-2037 | 2.717% | 2.717% ||
| UST 3.00 09-MAY-2047 | 3.028% | 3.028% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 09-MAY-2017 ||
| Cash Settle Date : 11-MAY-2017 ||
|--------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | BOND BASIS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
| PDVSA 6.0000 15-NOV-2026 | 15-NOV-2013 | 15-NOV-2026 | 15-MAY-2014 | 038.500 | 21.36% | 05.40 | 04.88 | 02.02 | 0202 | 0.37 | 1906 ||
| PDVSA 5.3750 12-APR-2027 | 12-APR-2012 | 12-APR-2027 | 12-OCT-2012 | 038.239 | 19.84% | 06.16 | 05.60 | 02.16 | 0216 | 0.46 | 1750 ||
| PDVSA 9.7500 17-MAY-2035 | 17-MAY-2012 | 17-MAY-2035 | 17-NOV-2012 | 045.500 | 22.05% | 04.80 | 04.32 | 02.17 | 0217 | 0.43 | 1953 ||
| PDVSA 5.5000 12-APR-2037 | 12-APR-2012 | 12-APR-2037 | 12-OCT-2012 | 038.500 | 15.60% | 07.61 | 07.06 | 02.75 | 0275 | 0.89 | 1302 ||
| URU 7.8750 15-JAN-2033 | 15-JAN-2014 | 15-JAN-2033 | 15-JUL-2014 | 133.150 | 04.83% | 09.98 | 09.74 | 13.21 | 1321 | 1.29 | 0234 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|-----------------------------------------------------------------------------------------------------------------------------------------------||
| PDVSA 6.0000 15-NOV-2026 | 038.500 | 21.36% | 1915 | 1899 | 05.25 | 00.40 | 1044 | 1899 | 1902 | 1896 | 10YON ||
| PDVSA 5.3750 12-APR-2027 | 038.239 | 19.84% | 1759 | 1743 | 05.66 | 00.47 | 0988 | 1743 | 1747 | 1743 | 10YON ||
| PDVSA 9.7500 17-MAY-2035 | 045.500 | 22.05% | 1982 | 1939 | 04.77 | 00.43 | 1079 | 1939 | 1946 | 1902 | 30YON ||
| PDVSA 5.5000 12-APR-2037 | 038.500 | 15.60% | 1320 | 1288 | 07.14 | 00.90 | 0679 | 1288 | 1299 | 1257 | 30YON ||
| URU 7.8750 15-JAN-2033 | 133.150 | 04.83% | 0236 | 0225 | 09.92 | 01.32 | 0285 | 0225 | 0228 | 0181 | 30YON ||
|-----------------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::09-may-2018 | tsy::09-may-2019 | tsy::09-may-2020 | tsy::09-may-2022 | tsy::09-may-2024 | tsy::09-may-2027 | tsy::09-may-2037 | tsy::09-may-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PDVSA 6.0000 15-NOV-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 00.84 | 04.41 | -00.00 | -00.00 ||
| PDVSA 5.3750 12-APR-2027 | -00.00 | -00.00 | -00.00 | -00.00 | 00.14 | 05.52 | -00.00 | -00.00 ||
| PDVSA 9.7500 17-MAY-2035 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.94 | 03.82 | 00.00 ||
| PDVSA 5.5000 12-APR-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.05 | 07.08 | -00.00 ||
| URU 7.8750 15-JAN-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.28 | 05.64 | -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 01:15:37 EST 2020
| Setup Time => Mon Jan 27 01:15:37 EST 2020
| Finish Time => Mon Jan 27 01:15:37 EST 2020
| Setup Duration => 0 ms
| Run Duration => 522 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 01:15:37 EST 2020
| Setup Time => Mon Jan 27 01:15:37 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
15-MAY-2024 | 1.0
15-MAY-2025 | 1.0
15-MAY-2026 | 0.666666667
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| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [29-JAN-2020] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2020] = 0.011375 | 0.011375 ||
| [15-SEP-2020] = 0.013350 | 0.013350 ||
| [15-DEC-2020] = 0.014800 | 0.014800 ||
| [15-MAR-2021] = 0.016450 | 0.016450 ||
| [15-JUN-2021] = 0.017850 | 0.017850 ||
| [15-SEP-2021] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [29-JAN-2022] = 0.017029 | 0.017029 | 0.017029 ||
| [29-JAN-2023] = 0.019354 | 0.019354 | 0.019354 ||
| [29-JAN-2024] = 0.021044 | 0.021044 | 0.021044 ||
| [29-JAN-2025] = 0.022291 | 0.022291 | 0.022291 ||
| [29-JAN-2026] = 0.023240 | 0.023240 | 0.023240 ||
| [29-JAN-2027] = 0.024025 | 0.024025 | 0.024025 ||
| [29-JAN-2028] = 0.024683 | 0.024683 | 0.024683 ||
| [29-JAN-2029] = 0.025243 | 0.025243 | 0.025243 ||
| [29-JAN-2030] = 0.025720 | 0.025720 | 0.025720 ||
| [29-JAN-2031] = 0.026130 | 0.026130 | 0.026130 ||
| [29-JAN-2032] = 0.026495 | 0.026495 | 0.026495 ||
| [29-JAN-2035] = 0.027230 | 0.027230 | 0.027230 ||
| [29-JAN-2040] = 0.027855 | 0.027855 | 0.027855 ||
| [29-JAN-2045] = 0.028025 | 0.028025 | 0.028025 ||
| [29-JAN-2050] = 0.028028 | 0.028028 | 0.028028 ||
| [29-JAN-2060] = 0.027902 | 0.027902 | 0.027902 ||
| [29-JAN-2070] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 27-JAN-2021 | 0.830% | 0.830% ||
| UST 1.00 27-JAN-2022 | 1.220% | 1.220% ||
| UST 1.25 27-JAN-2023 | 1.490% | 1.490% ||
| UST 1.50 27-JAN-2025 | 1.930% | 1.930% ||
| UST 2.00 27-JAN-2027 | 2.270% | 2.270% ||
| UST 2.25 27-JAN-2030 | 2.480% | 2.480% ||
| UST 2.50 27-JAN-2040 | 2.800% | 2.800% ||
| UST 3.00 27-JAN-2050 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 27-JAN-2020 ||
| Cash Settle Date : 27-JAN-2020 ||
|--------------------------------||
Bond Name => Maheshtala
Effective Date => 15-NOV-2013
Maturity Date => 15-NOV-2026
Exercise Date => 15-NOV-2026
Price => 38.50000
Bond Accrued => 1.2000
Bond YTW => 25.463%
Bond YTM => 25.463%
Bond WAL TW => 5.636
Bond WAL TM => 5.636
Bond Modified Duration TW => 3.9873
Bond Z Spread TW => 2316.2
Bond OAS TW => 2322.7
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:37 EST 2020
| Setup Time => Mon Jan 27 01:15:37 EST 2020
| Finish Time => Mon Jan 27 01:15:38 EST 2020
| Setup Duration => 0 ms
| Run Duration => 148 ms
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