|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:38 EST 2020
| Setup Time => Mon Jan 27 01:15:38 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 3.6250 15-APR-2018
Doing CORPORA 3.8750 16-JUL-2018
Doing CORPORA 6.2500 01-NOV-2018
Doing CORPORA 9.0000 15-NOV-2018
Doing CORPORA 6.3750 30-APR-2019
Doing CORPORA 4.2500 15-OCT-2019
Doing CORPORA 6.2500 30-OCT-2019
Doing CORPORA 7.0000 01-MAR-2020
Doing CORPORA 5.3500 15-MAR-2020
Doing CORPORA 7.1000 02-APR-2021
Doing CORPORA 7.2500 15-SEP-2021
Doing CORPORA 6.2500 15-OCT-2021
Doing CORPORA 6.6360 02-JUL-2022
Doing CORPORA 5.1250 13-MAY-2023
Doing CORPORA 5.2500 01-JUN-2024
Doing CORPORA 7.0000 30-JUN-2024
Doing CORPORA 5.8750 15-NOV-2024
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 3.6250 15-APR-2018 | 31-JUL-2013 | 15-APR-2018 | 15-APR-2014 | 100.850 | 1.51042 | 2.82% | 01.06 | 01.04 | 01.07 | 0107 | 0.02 | 01.07 | 153 ||
| CORPORA 3.8750 16-JUL-2018 | 30-NOV-2015 | 16-JUL-2018 | 16-JUL-2016 | 101.250 | 0.63507 | 2.91% | 01.31 | 01.29 | 01.31 | 0131 | 0.02 | 01.31 | 154 ||
| CORPORA 6.2500 01-NOV-2018 | 21-NOV-2011 | 01-NOV-2018 | 01-NOV-2012 | 104.700 | 2.32639 | 3.26% | 01.54 | 01.52 | 01.62 | 0162 | 0.05 | 01.57 | 180 ||
| CORPORA 9.0000 15-NOV-2018 | 09-NOV-2011 | 15-NOV-2018 | 15-MAY-2012 | 108.625 | 3.00000 | 3.62% | 01.55 | 01.52 | 01.70 | 0170 | 0.03 | 01.59 | 215 ||
| CORPORA 6.3750 30-APR-2019 | 03-APR-2014 | 30-APR-2019 | 30-JUL-2014 | 025.092 | 0.79687 | 85.92% | 01.78 | 01.47 | 00.38 | 0038 | 0.03 | 02.01 | 8421 ||
| CORPORA 4.2500 15-OCT-2019 | 17-OCT-2014 | 15-OCT-2019 | 15-OCT-2015 | 102.669 | 1.77083 | 3.16% | 02.43 | 02.40 | 02.50 | 0250 | 0.07 | 02.48 | 133 ||
| CORPORA 6.2500 30-OCT-2019 | 15-SEP-2014 | 30-OCT-2019 | 30-JAN-2015 | 099.125 | 0.78125 | 6.61% | 02.42 | 02.38 | 02.38 | 0238 | 0.07 | 02.46 | 478 ||
| CORPORA 7.0000 01-MAR-2020 | 01-MAR-2012 | 01-MAR-2020 | 01-SEP-2012 | 108.750 | 0.27222 | 3.84% | 02.73 | 02.68 | 02.92 | 0292 | 0.09 | 02.75 | 194 ||
| CORPORA 5.3500 15-MAR-2020 | 11-MAR-2010 | 15-MAR-2020 | 15-SEP-2010 | 103.750 | 2.67500 | 4.01% | 02.74 | 02.69 | 02.86 | 0286 | 0.09 | 02.83 | 209 ||
| CORPORA 7.1000 02-APR-2021 | 21-MAR-2002 | 02-APR-2021 | 02-OCT-2002 | 108.329 | 3.21472 | 4.81% | 03.51 | 03.42 | 03.82 | 0382 | 0.15 | 03.65 | 273 ||
| CORPORA 7.2500 15-SEP-2021 | 14-NOV-2014 | 15-SEP-2021 | 15-SEP-2015 | 107.219 | 3.62500 | 5.42% | 03.81 | 03.71 | 04.11 | 0411 | 0.17 | 04.01 | 328 ||
| CORPORA 6.2500 15-OCT-2021 | 05-MAY-2014 | 15-OCT-2021 | 15-APR-2015 | 108.750 | 2.60417 | 4.13% | 03.99 | 03.91 | 04.35 | 0435 | 0.19 | 04.13 | 198 ||
| CORPORA 6.6360 02-JUL-2022 | 26-JUN-2007 | 02-JUL-2022 | 02-JAN-2008 | 107.812 | 1.34563 | 4.94% | 04.53 | 04.42 | 04.82 | 0482 | 0.24 | 04.67 | 271 ||
| CORPORA 5.1250 13-MAY-2023 | 13-NOV-2012 | 13-MAY-2023 | 13-MAY-2013 | 100.000 | 1.73681 | 5.12% | 05.27 | 05.14 | 05.23 | 0523 | 0.32 | 05.48 | 281 ||
| CORPORA 5.2500 01-JUN-2024 | 23-MAY-2014 | 01-JUN-2024 | 01-DEC-2014 | 099.000 | 1.51667 | 5.42% | 06.00 | 05.84 | 05.87 | 0587 | 0.41 | 06.29 | 303 ||
| CORPORA 7.0000 30-JUN-2024 | 18-MAY-2016 | 30-JUN-2024 | 30-DEC-2016 | 109.625 | 1.45833 | 5.38% | 05.83 | 05.68 | 06.31 | 0631 | 0.40 | 06.14 | 300 ||
| CORPORA 5.8750 15-NOV-2024 | 29-JAN-2015 | 15-NOV-2024 | 15-NOV-2015 | 104.250 | 1.95833 | 5.19% | 06.20 | 06.04 | 06.42 | 0642 | 0.45 | 06.55 | 278 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 3.6250 15-APR-2018 | 100.850 | 2.82% | 153 | 175 | 01.06 | 00.02 | 135 | 175 | 112 | 145 | 02YON ||
| CORPORA 3.8750 16-JUL-2018 | 101.250 | 2.91% | 154 | 176 | 01.30 | 00.03 | 133 | 176 | 121 | 154 | 02YON ||
| CORPORA 6.2500 01-NOV-2018 | 104.700 | 3.26% | 180 | 201 | 01.55 | 00.03 | 217 | 201 | 156 | 189 | 02YON ||
| CORPORA 9.0000 15-NOV-2018 | 108.625 | 3.62% | 215 | 235 | 01.56 | 00.03 | 293 | 235 | 191 | 225 | 02YON ||
| CORPORA 6.3750 30-APR-2019 | 025.092 | 85.92% | 8423 | 8451 | 01.51 | 00.03 | 3511 | 8451 | 8419 | 8455 | 02YON ||
| CORPORA 4.2500 15-OCT-2019 | 102.669 | 3.16% | 133 | 162 | 02.44 | 00.08 | 150 | 162 | 132 | 149 | 03YON ||
| CORPORA 6.2500 30-OCT-2019 | 099.125 | 6.61% | 479 | 506 | 02.40 | 00.07 | 470 | 506 | 476 | 494 | 03YON ||
| CORPORA 7.0000 01-MAR-2020 | 108.750 | 3.84% | 194 | 219 | 02.69 | 00.09 | 207 | 219 | 192 | 217 | 03YON ||
| CORPORA 5.3500 15-MAR-2020 | 103.750 | 4.01% | 209 | 234 | 02.76 | 00.09 | 213 | 234 | 208 | 234 | 03YON ||
| CORPORA 7.1000 02-APR-2021 | 108.329 | 4.81% | 273 | 290 | 03.53 | 00.15 | 307 | 290 | 270 | 268 | 05YON ||
| CORPORA 7.2500 15-SEP-2021 | 107.219 | 5.42% | 328 | 340 | 03.84 | 00.18 | 340 | 340 | 325 | 329 | 05YON ||
| CORPORA 6.2500 15-OCT-2021 | 108.750 | 4.13% | 198 | 210 | 04.00 | 00.21 | 224 | 210 | 195 | 200 | 05YON ||
| CORPORA 6.6360 02-JUL-2022 | 107.812 | 4.94% | 271 | 276 | 04.48 | 00.26 | 288 | 276 | 268 | 281 | 05YON ||
| CORPORA 5.1250 13-MAY-2023 | 100.000 | 5.12% | 281 | 282 | 05.23 | 00.32 | 279 | 282 | 279 | 269 | 07YON ||
| CORPORA 5.2500 01-JUN-2024 | 099.000 | 5.42% | 303 | 298 | 05.93 | 00.42 | 298 | 298 | 300 | 299 | 07YON ||
| CORPORA 7.0000 30-JUN-2024 | 109.625 | 5.38% | 301 | 294 | 05.76 | 00.40 | 319 | 294 | 296 | 295 | 07YON ||
| CORPORA 5.8750 15-NOV-2024 | 104.250 | 5.19% | 278 | 273 | 06.16 | 00.46 | 285 | 273 | 275 | 276 | 07YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 3.6250 15-APR-2018 | 00.97 | 00.09 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.8750 16-JUL-2018 | 00.86 | 00.44 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 01-NOV-2018 | 00.57 | 00.98 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.0000 15-NOV-2018 | 00.51 | 01.05 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.3750 30-APR-2019 | -00.00 | 01.32 | 00.19 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.2500 15-OCT-2019 | -00.00 | 01.01 | 01.43 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 30-OCT-2019 | -00.00 | 00.90 | 01.50 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.0000 01-MAR-2020 | -00.00 | 00.10 | 02.58 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3500 15-MAR-2020 | -00.00 | -00.00 | 02.76 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.1000 02-APR-2021 | -00.00 | -00.00 | 01.68 | 01.85 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.2500 15-SEP-2021 | -00.00 | -00.00 | 00.95 | 02.89 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 15-OCT-2021 | -00.00 | -00.00 | 00.83 | 03.17 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.6360 02-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.81 | 00.67 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1250 13-MAY-2023 | -00.00 | -00.00 | -00.00 | 02.20 | 03.03 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.2500 01-JUN-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.51 | 00.42 | -00.00 | -00.00 ||
| CORPORA 7.0000 30-JUN-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.19 | 00.56 | -00.00 | -00.00 ||
| CORPORA 5.8750 15-NOV-2024 | 00.00 | 00.00 | 00.00 | 00.00 | 04.78 | 01.38 | 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 01:15:38 EST 2020
| Setup Time => Mon Jan 27 01:15:38 EST 2020
| Finish Time => Mon Jan 27 01:15:38 EST 2020
| Setup Duration => 0 ms
| Run Duration => 650 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 01:15:38 EST 2020
| Setup Time => Mon Jan 27 01:15:38 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 2.2500 05-JUN-2017
Doing CORPORA 1.8000 25-SEP-2017
Doing CORPORA 8.1250 15-FEB-2019
Doing CORPORA 8.1250 01-JUN-2019
Doing CORPORA 6.0400 01-NOV-2019
Doing CORPORA 8.5000 15-MAY-2020
Doing CORPORA 6.5350 01-OCT-2020
Doing CORPORA 5.2500 30-JAN-2021
Doing CORPORA 3.3600 20-SEP-2021
Doing CORPORA 4.8750 15-NOV-2021
Doing CORPORA 5.9830 19-APR-2022
Doing CORPORA 6.8210 10-AUG-2022
Doing CORPORA 5.0000 19-SEP-2022
Doing CORPORA 6.7180 02-JAN-2023
Doing CORPORA 6.2510 15-JAN-2023
Doing CORPORA 4.9500 15-JAN-2023
Doing CORPORA 4.4000 22-SEP-2023
Doing CORPORA 6.1190 30-MAR-2024
Doing CORPORA 4.1500 11-APR-2024
Doing CORPORA 4.3000 15-AUG-2025
Doing CORPORA 3.7500 03-SEP-2026
Doing CORPORA 3.7000 01-OCT-2026
Doing CORPORA 3.7500 15-DEC-2027
Doing CORPORA 5.5000 20-DEC-2027
Doing CORPORA 4.1000 15-JAN-2028
Doing CORPORA 4.8750 10-MAY-2028
Doing CORPORA 3.2500 15-OCT-2028
Doing CORPORA 7.5070 10-JAN-2032
Doing CORPORA 5.9510 10-MAY-2037
Doing CORPORA 4.1250 31-MAR-2038
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 2.2500 05-JUN-2017 | 14-JAN-2013 | 05-JUN-2017 | 05-DEC-2013 | 100.202 | 0.62500 | 1.33% | 00.22 | 00.22 | 00.22 | 0022 | 0.00 | 00.22 | 029 ||
| CORPORA 1.8000 25-SEP-2017 | 20-SEP-2012 | 25-SEP-2017 | 25-MAR-2013 | 100.068 | 0.85000 | 1.67% | 00.52 | 00.52 | 00.52 | 0052 | 0.01 | 00.53 | 056 ||
| CORPORA 8.1250 15-FEB-2019 | 03-FEB-2009 | 15-FEB-2019 | 15-AUG-2009 | 109.938 | 0.67708 | 2.76% | 01.81 | 01.78 | 01.97 | 0197 | 0.04 | 01.82 | 109 ||
| CORPORA 8.1250 01-JUN-2019 | 15-MAY-2009 | 01-JUN-2019 | 01-DEC-2009 | 111.579 | 2.34722 | 2.69% | 02.04 | 02.01 | 02.29 | 0229 | 0.05 | 02.08 | 096 ||
| CORPORA 6.0400 01-NOV-2019 | 13-NOV-2007 | 01-NOV-2019 | 01-NOV-2008 | 104.767 | 2.24822 | 4.11% | 02.42 | 02.37 | 02.54 | 0254 | 0.07 | 02.48 | 227 ||
| CORPORA 8.5000 15-MAY-2020 | 10-MAY-2010 | 15-MAY-2020 | 15-NOV-2010 | 111.048 | 2.83333 | 4.70% | 02.79 | 02.73 | 03.11 | 0311 | 0.09 | 02.88 | 276 ||
| CORPORA 6.5350 01-OCT-2020 | 12-OCT-2005 | 01-OCT-2020 | 01-OCT-2006 | 102.948 | 2.97706 | 5.61% | 03.14 | 03.05 | 03.23 | 0323 | 0.12 | 03.26 | 359 ||
| CORPORA 5.2500 30-JAN-2021 | 25-JAN-2011 | 30-JAN-2021 | 30-APR-2011 | 107.550 | 0.65625 | 3.17% | 03.53 | 03.50 | 03.78 | 0378 | 0.14 | 03.57 | 111 ||
| CORPORA 3.3600 20-SEP-2021 | 27-OCT-2016 | 20-SEP-2021 | 20-MAR-2017 | 100.125 | 1.28800 | 3.33% | 04.15 | 04.12 | 04.18 | 0418 | 0.19 | 04.23 | 117 ||
| CORPORA 4.8750 15-NOV-2021 | 11-JUL-2011 | 15-NOV-2021 | 15-MAY-2012 | 107.876 | 1.62500 | 3.05% | 04.19 | 04.12 | 04.52 | 0452 | 0.20 | 04.28 | 088 ||
| CORPORA 5.9830 19-APR-2022 | 10-APR-2007 | 19-APR-2022 | 19-OCT-2007 | 111.750 | 2.42644 | 3.45% | 04.41 | 04.34 | 04.95 | 0495 | 0.23 | 04.56 | 123 ||
| CORPORA 6.8210 10-AUG-2022 | 14-APR-2008 | 10-AUG-2022 | 10-FEB-2009 | 114.723 | 0.66315 | 3.78% | 04.65 | 04.56 | 05.26 | 0526 | 0.25 | 04.74 | 154 ||
| CORPORA 5.0000 19-SEP-2022 | 17-SEP-2012 | 19-SEP-2022 | 19-MAR-2013 | 103.580 | 2.44444 | 4.26% | 04.79 | 04.68 | 04.97 | 0497 | 0.26 | 04.97 | 200 ||
| CORPORA 6.7180 02-JAN-2023 | 30-APR-2002 | 02-JAN-2023 | 02-JAN-2003 | 112.505 | 1.36226 | 4.26% | 04.90 | 04.80 | 05.46 | 0546 | 0.28 | 05.05 | 198 ||
| CORPORA 6.2510 15-JAN-2023 | 13-DEC-2007 | 15-JAN-2023 | 15-JUL-2008 | 113.608 | 1.04183 | 3.64% | 05.00 | 04.90 | 05.62 | 0562 | 0.29 | 05.12 | 136 ||
| CORPORA 4.9500 15-JAN-2023 | 25-JUL-2014 | 15-JAN-2023 | 15-JUL-2015 | 106.526 | 0.82500 | 3.70% | 05.13 | 05.03 | 05.40 | 0540 | 0.30 | 05.23 | 140 ||
| CORPORA 4.4000 22-SEP-2023 | 24-SEP-2015 | 22-SEP-2023 | 22-SEP-2016 | 099.818 | 2.11444 | 4.43% | 05.62 | 05.49 | 05.60 | 0560 | 0.36 | 05.85 | 208 ||
| CORPORA 6.1190 30-MAR-2024 | 04-MAY-2004 | 30-MAR-2024 | 30-SEP-2004 | 110.230 | 1.27479 | 4.42% | 05.78 | 05.71 | 06.37 | 0637 | 0.39 | 06.02 | 205 ||
| CORPORA 4.1500 11-APR-2024 | 22-MAR-2012 | 11-APR-2024 | 11-JUL-2012 | 103.925 | 0.73778 | 3.52% | 06.14 | 06.09 | 06.37 | 0637 | 0.42 | 06.30 | 114 ||
| CORPORA 4.3000 15-AUG-2025 | 15-AUG-2013 | 15-AUG-2025 | 15-FEB-2014 | 104.210 | 0.35833 | 3.71% | 07.16 | 07.02 | 07.35 | 0735 | 0.58 | 07.36 | 124 ||
| CORPORA 3.7500 03-SEP-2026 | 11-AUG-2014 | 03-SEP-2026 | 03-MAR-2015 | 101.114 | 0.12500 | 3.61% | 08.06 | 07.91 | 08.01 | 0801 | 0.73 | 08.29 | 108 ||
| CORPORA 3.7000 01-OCT-2026 | 16-SEP-2014 | 01-OCT-2026 | 01-APR-2015 | 100.375 | 1.68556 | 3.65% | 08.00 | 07.85 | 08.01 | 0801 | 0.73 | 08.36 | 111 ||
| CORPORA 3.7500 15-DEC-2027 | 14-DEC-2015 | 15-DEC-2027 | 15-JUN-2016 | 100.944 | 0.93750 | 3.64% | 08.87 | 08.71 | 08.88 | 0888 | 0.90 | 09.28 | 105 ||
| CORPORA 5.5000 20-DEC-2027 | 20-DEC-2012 | 20-DEC-2027 | 20-MAR-2013 | 105.894 | 1.29861 | 4.80% | 08.18 | 08.08 | 08.66 | 0866 | 0.80 | 08.81 | 223 ||
| CORPORA 4.1000 15-JAN-2028 | 09-JAN-2016 | 15-JAN-2028 | 15-JUL-2016 | 101.993 | 0.68333 | 3.87% | 08.82 | 08.65 | 08.88 | 0888 | 0.90 | 09.24 | 128 ||
| CORPORA 4.8750 10-MAY-2028 | 18-MAY-2016 | 10-MAY-2028 | 10-MAY-2017 | 100.005 | 4.02188 | 4.87% | 08.40 | 08.20 | 08.53 | 0853 | 0.85 | 09.28 | 228 ||
| CORPORA 3.2500 15-OCT-2028 | 03-OCT-2016 | 15-OCT-2028 | 15-APR-2017 | 096.294 | 1.46250 | 3.64% | 09.56 | 09.38 | 09.17 | 0917 | 1.05 | 10.07 | 102 ||
| CORPORA 7.5070 10-JAN-2032 | 22-DEC-2009 | 10-JAN-2032 | 10-FEB-2010 | 123.307 | 0.10426 | 5.24% | 09.60 | 09.55 | 11.79 | 1179 | 1.19 | 10.94 | 259 ||
| CORPORA 5.9510 10-MAY-2037 | 10-MAY-2007 | 10-MAY-2037 | 10-NOV-2007 | 108.870 | 2.06632 | 5.23% | 12.13 | 11.81 | 13.10 | 1310 | 1.95 | 14.79 | 248 ||
| CORPORA 4.1250 31-MAR-2038 | 20-JUL-2016 | 31-MAR-2038 | 31-MAR-2017 | 094.680 | 2.69271 | 4.52% | 13.67 | 13.35 | 13.00 | 1300 | 2.41 | 16.27 | 174 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 2.2500 05-JUN-2017 | 100.202 | 1.33% | 029 | 029 | 00.22 | 00.01 | 014 | 029 | -037 | 029 | null ||
| CORPORA 1.8000 25-SEP-2017 | 100.068 | 1.67% | 056 | 063 | 00.52 | 00.02 | 003 | 063 | -003 | 063 | null ||
| CORPORA 8.1250 15-FEB-2019 | 109.938 | 2.76% | 109 | 142 | 01.80 | 00.04 | 137 | 142 | 106 | 139 | 02YON ||
| CORPORA 8.1250 01-JUN-2019 | 111.579 | 2.69% | 096 | 126 | 02.05 | 00.05 | 166 | 126 | 094 | 132 | 02YON ||
| CORPORA 6.0400 01-NOV-2019 | 104.767 | 4.11% | 227 | 255 | 02.42 | 00.07 | 256 | 255 | 225 | 244 | 03YON ||
| CORPORA 8.5000 15-MAY-2020 | 111.048 | 4.70% | 276 | 299 | 02.80 | 00.10 | 329 | 299 | 273 | 303 | 03YON ||
| CORPORA 6.5350 01-OCT-2020 | 102.948 | 5.61% | 359 | 381 | 03.14 | 00.12 | 374 | 381 | 357 | 394 | 03YON ||
| CORPORA 5.2500 30-JAN-2021 | 107.550 | 3.17% | 111 | 130 | 03.52 | 00.14 | 120 | 130 | 109 | 150 | 03YON ||
| CORPORA 3.3600 20-SEP-2021 | 100.125 | 3.33% | 117 | 131 | 04.17 | 00.19 | 116 | 131 | 116 | 120 | 05YON ||
| CORPORA 4.8750 15-NOV-2021 | 107.876 | 3.05% | 088 | 100 | 04.19 | 00.21 | 103 | 100 | 086 | 092 | 05YON ||
| CORPORA 5.9830 19-APR-2022 | 111.750 | 3.45% | 124 | 130 | 04.43 | 00.23 | 150 | 130 | 121 | 132 | 05YON ||
| CORPORA 6.8210 10-AUG-2022 | 114.723 | 3.78% | 154 | 159 | 04.59 | 00.25 | 172 | 159 | 151 | 165 | 05YON ||
| CORPORA 5.0000 19-SEP-2022 | 103.580 | 4.26% | 200 | 206 | 04.80 | 00.27 | 209 | 206 | 198 | 213 | 05YON ||
| CORPORA 6.7180 02-JAN-2023 | 112.505 | 4.26% | 198 | 201 | 04.86 | 00.28 | 220 | 201 | 195 | 213 | 05YON ||
| CORPORA 6.2510 15-JAN-2023 | 113.608 | 3.64% | 136 | 138 | 04.95 | 00.29 | 153 | 138 | 133 | 151 | 05YON ||
| CORPORA 4.9500 15-JAN-2023 | 106.526 | 3.70% | 141 | 144 | 05.07 | 00.31 | 148 | 144 | 139 | 157 | 05YON ||
| CORPORA 4.4000 22-SEP-2023 | 099.818 | 4.43% | 209 | 207 | 05.61 | 00.37 | 206 | 207 | 207 | 200 | 07YON ||
| CORPORA 6.1190 30-MAR-2024 | 110.230 | 4.42% | 206 | 199 | 05.78 | 00.39 | 224 | 199 | 202 | 199 | 07YON ||
| CORPORA 4.1500 11-APR-2024 | 103.925 | 3.52% | 114 | 109 | 06.13 | 00.43 | 118 | 109 | 111 | 109 | 07YON ||
| CORPORA 4.3000 15-AUG-2025 | 104.210 | 3.71% | 124 | 120 | 07.05 | 00.58 | 126 | 120 | 122 | 128 | 07YON ||
| CORPORA 3.7500 03-SEP-2026 | 101.114 | 3.61% | 108 | 104 | 07.92 | 00.73 | 107 | 104 | 106 | 101 | 10YON ||
| CORPORA 3.7000 01-OCT-2026 | 100.375 | 3.65% | 112 | 108 | 07.99 | 00.75 | 111 | 108 | 110 | 105 | 10YON ||
| CORPORA 3.7500 15-DEC-2027 | 100.944 | 3.64% | 106 | 102 | 08.80 | 00.91 | 105 | 102 | 104 | 104 | 10YON ||
| CORPORA 5.5000 20-DEC-2027 | 105.894 | 4.80% | 224 | 217 | 08.18 | 00.81 | 229 | 217 | 219 | 220 | 10YON ||
| CORPORA 4.1000 15-JAN-2028 | 101.993 | 3.87% | 129 | 124 | 08.71 | 00.90 | 129 | 124 | 127 | 127 | 10YON ||
| CORPORA 4.8750 10-MAY-2028 | 100.005 | 4.87% | 229 | 223 | 08.53 | 00.89 | 226 | 223 | 225 | 227 | 10YON ||
| CORPORA 3.2500 15-OCT-2028 | 096.294 | 3.64% | 102 | 099 | 09.53 | 01.06 | 097 | 099 | 101 | 104 | 10YON ||
| CORPORA 7.5070 10-JAN-2032 | 123.307 | 5.24% | 261 | 248 | 09.57 | 01.19 | 292 | 248 | 252 | 264 | 10YON ||
| CORPORA 5.9510 10-MAY-2037 | 108.870 | 5.23% | 250 | 229 | 12.04 | 01.99 | 261 | 229 | 245 | 204 | 30YON ||
| CORPORA 4.1250 31-MAR-2038 | 094.680 | 4.52% | 176 | 155 | 13.74 | 02.48 | 155 | 155 | 173 | 133 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 2.2500 05-JUN-2017 | 00.22 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 1.8000 25-SEP-2017 | 00.52 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.1250 15-FEB-2019 | 00.14 | 01.66 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.1250 01-JUN-2019 | -00.00 | 01.61 | 00.44 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.0400 01-NOV-2019 | -00.00 | 00.89 | 01.53 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.5000 15-MAY-2020 | -00.00 | -00.00 | 02.56 | 00.23 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.5350 01-OCT-2020 | -00.00 | -00.00 | 02.28 | 00.86 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.2500 30-JAN-2021 | -00.00 | -00.00 | 01.97 | 01.55 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.3600 20-SEP-2021 | -00.00 | -00.00 | 01.01 | 03.17 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.8750 15-NOV-2021 | -00.00 | -00.00 | 00.69 | 03.50 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.9830 19-APR-2022 | -00.00 | -00.00 | -00.00 | 04.22 | 00.21 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8210 10-AUG-2022 | -00.00 | -00.00 | -00.00 | 03.66 | 00.93 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 19-SEP-2022 | -00.00 | -00.00 | -00.00 | 03.56 | 01.23 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7180 02-JAN-2023 | -00.00 | -00.00 | -00.00 | 02.91 | 01.95 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2510 15-JAN-2023 | -00.00 | -00.00 | -00.00 | 02.88 | 02.07 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.9500 15-JAN-2023 | -00.00 | -00.00 | -00.00 | 02.95 | 02.12 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.4000 22-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.34 | 04.27 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1190 30-MAR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.70 | 00.08 | -00.00 | -00.00 ||
| CORPORA 4.1500 11-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.98 | 00.15 | -00.00 | -00.00 ||
| CORPORA 4.3000 15-AUG-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.71 | 03.34 | -00.00 | -00.00 ||
| CORPORA 3.7500 03-SEP-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.40 | 06.52 | -00.00 | -00.00 ||
| CORPORA 3.7000 01-OCT-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.20 | 06.78 | -00.00 | -00.00 ||
| CORPORA 3.7500 15-DEC-2027 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 08.13 | 00.66 | 00.00 ||
| CORPORA 5.5000 20-DEC-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.55 | 00.63 | -00.00 ||
| CORPORA 4.1000 15-JAN-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.98 | 00.73 | -00.00 ||
| CORPORA 4.8750 10-MAY-2028 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 07.54 | 00.99 | 00.00 ||
| CORPORA 3.2500 15-OCT-2028 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 08.01 | 01.51 | 00.00 ||
| CORPORA 7.5070 10-JAN-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.95 | 04.61 | -00.00 ||
| CORPORA 5.9510 10-MAY-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.85 | 00.18 ||
| CORPORA 4.1250 31-MAR-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 12.30 | 01.43 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:38 EST 2020
| Setup Time => Mon Jan 27 01:15:38 EST 2020
| Finish Time => Mon Jan 27 01:15:40 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 986 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 01:15:40 EST 2020
| Setup Time => Mon Jan 27 01:15:40 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 1.4500 17-JUL-2017
Doing CORPORA 2.9000 15-FEB-2018
Doing CORPORA 5.4900 15-MAR-2019
Doing CORPORA 9.2500 06-AUG-2019
Doing CORPORA 6.6250 15-AUG-2019
Doing CORPORA 6.7500 15-MAR-2020
Doing CORPORA 5.6250 15-SEP-2020
Doing CORPORA 6.2500 30-SEP-2020
Doing CORPORA 5.5000 15-NOV-2020
Doing CORPORA 4.4500 15-NOV-2021
Doing CORPORA 4.8750 11-JUL-2022
Doing CORPORA 5.5000 15-JUL-2022
Doing CORPORA 5.0000 15-AUG-2022
Doing CORPORA 4.7000 15-OCT-2022
Doing CORPORA 6.5000 08-AUG-2023
Doing CORPORA 3.8750 12-SEP-2023
Doing CORPORA 3.7000 20-NOV-2023
Doing CORPORA 5.7500 03-SEP-2024
Doing CORPORA 3.6250 09-SEP-2024
Doing CORPORA 4.6500 27-JAN-2026
Doing CORPORA 3.1000 07-OCT-2028
Doing CORPORA 7.3000 15-AUG-2031
Doing CORPORA 5.8750 14-JAN-2038
Doing CORPORA 8.2500 01-MAR-2038
Doing CORPORA 9.3750 15-AUG-2039
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.4500 17-JUL-2017 | 23-JUL-2015 | 17-JUL-2017 | 17-JUL-2016 | 100.150 | 0.23361 | 1.00% | 00.34 | 00.34 | 00.34 | 0034 | 0.00 | 00.34 | -005 ||
| CORPORA 2.9000 15-FEB-2018 | 08-AUG-2013 | 15-FEB-2018 | 15-FEB-2014 | 101.050 | 0.24167 | 1.74% | 00.91 | 00.90 | 00.91 | 0091 | 0.01 | 00.91 | 050 ||
| CORPORA 5.4900 15-MAR-2019 | 24-MAY-2007 | 15-MAR-2019 | 15-MAR-2008 | 106.119 | 2.74500 | 2.34% | 01.88 | 01.85 | 02.02 | 0202 | 0.05 | 01.93 | 065 ||
| CORPORA 9.2500 06-AUG-2019 | 06-FEB-2009 | 06-AUG-2019 | 06-AUG-2009 | 116.334 | 1.00208 | 2.20% | 02.20 | 02.17 | 02.55 | 0255 | 0.06 | 02.22 | 043 ||
| CORPORA 6.6250 15-AUG-2019 | 20-AUG-2009 | 15-AUG-2019 | 15-AUG-2010 | 110.078 | 0.55208 | 2.31% | 02.27 | 02.24 | 02.48 | 0248 | 0.06 | 02.28 | 053 ||
| CORPORA 6.7500 15-MAR-2020 | 01-APR-2010 | 15-MAR-2020 | 15-MAR-2011 | 111.353 | 3.37500 | 2.78% | 02.70 | 02.66 | 03.05 | 0305 | 0.09 | 02.79 | 087 ||
| CORPORA 5.6250 15-SEP-2020 | 15-SEP-2010 | 15-SEP-2020 | 15-MAR-2011 | 109.294 | 2.81250 | 2.82% | 03.16 | 03.11 | 03.49 | 0349 | 0.13 | 03.25 | 081 ||
| CORPORA 6.2500 30-SEP-2020 | 27-SEP-2010 | 30-SEP-2020 | 30-MAR-2011 | 111.336 | 2.86458 | 2.86% | 03.17 | 03.12 | 03.57 | 0357 | 0.13 | 03.27 | 085 ||
| CORPORA 5.5000 15-NOV-2020 | 15-NOV-2010 | 15-NOV-2020 | 15-MAY-2011 | 107.920 | 1.83333 | 3.19% | 03.33 | 03.28 | 03.60 | 0360 | 0.13 | 03.40 | 116 ||
| CORPORA 4.4500 15-NOV-2021 | 15-NOV-2011 | 15-NOV-2021 | 15-MAY-2012 | 103.417 | 1.48333 | 3.65% | 04.21 | 04.14 | 04.34 | 0434 | 0.20 | 04.31 | 147 ||
| CORPORA 4.8750 11-JUL-2022 | 13-JUL-2012 | 11-JUL-2022 | 11-JUL-2013 | 107.878 | 0.86667 | 3.25% | 04.74 | 04.66 | 05.07 | 0507 | 0.26 | 04.82 | 101 ||
| CORPORA 5.5000 15-JUL-2022 | 08-AUG-2013 | 15-JUL-2022 | 15-JUL-2014 | 109.440 | 0.91667 | 3.54% | 04.69 | 04.61 | 05.08 | 0508 | 0.25 | 04.78 | 130 ||
| CORPORA 5.0000 15-AUG-2022 | 10-AUG-2012 | 15-AUG-2022 | 15-FEB-2013 | 107.261 | 0.41667 | 3.52% | 04.82 | 04.73 | 05.10 | 0510 | 0.26 | 04.89 | 126 ||
| CORPORA 4.7000 15-OCT-2022 | 15-OCT-2012 | 15-OCT-2022 | 15-APR-2013 | 106.265 | 1.95833 | 3.46% | 04.91 | 04.82 | 05.22 | 0522 | 0.28 | 05.05 | 119 ||
| CORPORA 6.5000 08-AUG-2023 | 08-AUG-2013 | 08-AUG-2023 | 08-FEB-2014 | 109.292 | 0.66806 | 4.80% | 05.36 | 05.23 | 05.75 | 0575 | 0.33 | 05.53 | 247 ||
| CORPORA 3.8750 12-SEP-2023 | 12-SEP-2016 | 12-SEP-2023 | 12-MAR-2017 | 097.753 | 0.03229 | 4.27% | 05.79 | 05.67 | 05.54 | 0554 | 0.37 | 05.89 | 192 ||
| CORPORA 3.7000 20-NOV-2023 | 19-NOV-2013 | 20-NOV-2023 | 20-MAY-2014 | 103.530 | 1.18194 | 3.11% | 05.93 | 05.84 | 06.11 | 0611 | 0.40 | 06.07 | 074 ||
| CORPORA 5.7500 03-SEP-2024 | 29-AUG-2014 | 03-SEP-2024 | 03-MAR-2015 | 099.672 | 0.19167 | 5.80% | 06.16 | 05.98 | 05.98 | 0598 | 0.43 | 06.42 | 340 ||
| CORPORA 3.6250 09-SEP-2024 | 09-SEP-2014 | 09-SEP-2024 | 09-MAR-2015 | 100.065 | 0.06042 | 3.61% | 06.62 | 06.50 | 06.51 | 0651 | 0.49 | 06.74 | 119 ||
| CORPORA 4.6500 27-JAN-2026 | 27-JAN-2016 | 27-JAN-2026 | 27-JUL-2016 | 104.991 | 0.62000 | 3.98% | 07.37 | 07.22 | 07.63 | 0763 | 0.62 | 07.64 | 148 ||
| CORPORA 3.1000 07-OCT-2028 | 27-SEP-2016 | 07-OCT-2028 | 07-APR-2017 | 096.640 | 1.44667 | 3.45% | 09.62 | 09.45 | 09.27 | 0927 | 1.06 | 10.10 | 083 ||
| CORPORA 7.3000 15-AUG-2031 | 15-AUG-2001 | 15-AUG-2031 | 15-FEB-2002 | 115.188 | 0.60833 | 5.74% | 09.49 | 09.22 | 10.67 | 1067 | 1.14 | 10.85 | 307 ||
| CORPORA 5.8750 14-JAN-2038 | 14-JAN-2008 | 14-JAN-2038 | 14-JUL-2008 | 123.893 | 0.99549 | 4.15% | 13.09 | 12.81 | 16.00 | 1600 | 2.23 | 15.24 | 139 ||
| CORPORA 8.2500 01-MAR-2038 | 04-MAR-2008 | 01-MAR-2038 | 01-MAR-2009 | 140.982 | 0.32083 | 5.06% | 11.90 | 11.60 | 16.39 | 1639 | 1.91 | 14.48 | 231 ||
| CORPORA 9.3750 15-AUG-2039 | 10-AUG-2009 | 15-AUG-2039 | 15-FEB-2010 | 155.025 | 0.78125 | 5.19% | 11.97 | 11.66 | 18.16 | 1816 | 1.98 | 14.99 | 245 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.4500 17-JUL-2017 | 100.150 | 1.00% | -005 |-004 | 00.34 | 00.00 |-055 | -004 | -070 | -004 | null ||
| CORPORA 2.9000 15-FEB-2018 | 101.050 | 1.74% | 050 | 070 | 00.90 | 00.01 | 014 | 070 | 004 | 070 | null ||
| CORPORA 5.4900 15-MAR-2019 | 106.119 | 2.34% | 065 | 097 | 01.90 | 00.05 | 067 | 097 | 064 | 097 | 02YON ||
| CORPORA 9.2500 06-AUG-2019 | 116.334 | 2.20% | 043 | 071 | 02.19 | 00.06 | 078 | 071 | 040 | 083 | 02YON ||
| CORPORA 6.6250 15-AUG-2019 | 110.078 | 2.31% | 053 | 082 | 02.26 | 00.06 | 070 | 082 | 051 | 094 | 02YON ||
| CORPORA 6.7500 15-MAR-2020 | 111.353 | 2.78% | 087 | 111 | 02.74 | 00.09 | 092 | 111 | 085 | 111 | 03YON ||
| CORPORA 5.6250 15-SEP-2020 | 109.294 | 2.82% | 081 | 103 | 03.19 | 00.12 | 085 | 103 | 079 | 115 | 03YON ||
| CORPORA 6.2500 30-SEP-2020 | 111.336 | 2.86% | 085 | 107 | 03.21 | 00.12 | 129 | 107 | 083 | 119 | 03YON ||
| CORPORA 5.5000 15-NOV-2020 | 107.920 | 3.19% | 116 | 137 | 03.33 | 00.13 | 140 | 137 | 114 | 152 | 03YON ||
| CORPORA 4.4500 15-NOV-2021 | 103.417 | 3.65% | 147 | 159 | 04.20 | 00.21 | 154 | 159 | 145 | 152 | 05YON ||
| CORPORA 4.8750 11-JUL-2022 | 107.878 | 3.25% | 101 | 107 | 04.70 | 00.26 | 110 | 107 | 099 | 112 | 05YON ||
| CORPORA 5.5000 15-JUL-2022 | 109.440 | 3.54% | 130 | 136 | 04.65 | 00.26 | 142 | 136 | 128 | 141 | 05YON ||
| CORPORA 5.0000 15-AUG-2022 | 107.261 | 3.52% | 126 | 132 | 04.75 | 00.27 | 133 | 132 | 124 | 139 | 05YON ||
| CORPORA 4.7000 15-OCT-2022 | 106.265 | 3.46% | 119 | 124 | 04.91 | 00.28 | 131 | 124 | 117 | 133 | 05YON ||
| CORPORA 6.5000 08-AUG-2023 | 109.292 | 4.80% | 247 | 246 | 05.26 | 00.35 | 261 | 246 | 244 | 237 | 07YON ||
| CORPORA 3.8750 12-SEP-2023 | 097.753 | 4.27% | 193 | 192 | 05.67 | 00.37 | 188 | 192 | 191 | 184 | 07YON ||
| CORPORA 3.7000 20-NOV-2023 | 103.530 | 3.11% | 074 | 073 | 05.90 | 00.40 | 078 | 073 | 073 | 068 | 07YON ||
| CORPORA 5.7500 03-SEP-2024 | 099.672 | 5.80% | 340 | 335 | 06.00 | 00.43 | 336 | 335 | 337 | 337 | 07YON ||
| CORPORA 3.6250 09-SEP-2024 | 100.065 | 3.61% | 119 | 116 | 06.50 | 00.49 | 118 | 116 | 118 | 118 | 07YON ||
| CORPORA 4.6500 27-JAN-2026 | 104.991 | 3.98% | 148 | 144 | 07.27 | 00.63 | 152 | 144 | 146 | 138 | 10YON ||
| CORPORA 3.1000 07-OCT-2028 | 096.640 | 3.45% | 083 | 080 | 09.60 | 01.07 | 079 | 080 | 082 | 085 | 10YON ||
| CORPORA 7.3000 15-AUG-2031 | 115.188 | 5.74% | 310 | 299 | 09.27 | 01.14 | 334 | 299 | 303 | 314 | 10YON ||
| CORPORA 5.8750 14-JAN-2038 | 123.893 | 4.15% | 140 | 119 | 12.92 | 02.25 | 160 | 119 | 136 | 096 | 30YON ||
| CORPORA 8.2500 01-MAR-2038 | 140.982 | 5.06% | 234 | 209 | 11.64 | 01.92 | 290 | 209 | 226 | 187 | 30YON ||
| CORPORA 9.3750 15-AUG-2039 | 155.025 | 5.19% | 247 | 219 | 11.73 | 01.99 | 332 | 219 | 239 | 200 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.4500 17-JUL-2017 | 00.34 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.9000 15-FEB-2018 | 00.90 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.4900 15-MAR-2019 | -00.00 | 01.90 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.2500 06-AUG-2019 | -00.00 | 01.33 | 00.86 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.6250 15-AUG-2019 | -00.00 | 01.31 | 00.94 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7500 15-MAR-2020 | -00.00 | -00.00 | 02.74 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.6250 15-SEP-2020 | -00.00 | -00.00 | 02.39 | 00.81 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 30-SEP-2020 | -00.00 | -00.00 | 02.33 | 00.87 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.5000 15-NOV-2020 | -00.00 | -00.00 | 02.21 | 01.12 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.4500 15-NOV-2021 | 00.00 | 00.00 | 00.69 | 03.51 | 00.00 | 00.00 | 00.00 | 00.00 ||
| CORPORA 4.8750 11-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.94 | 00.76 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.5000 15-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.87 | 00.78 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 15-AUG-2022 | -00.00 | -00.00 | -00.00 | 03.76 | 00.99 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-OCT-2022 | -00.00 | -00.00 | -00.00 | 03.47 | 01.44 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.5000 08-AUG-2023 | -00.00 | -00.00 | -00.00 | 01.58 | 03.68 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.8750 12-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.44 | 04.23 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.7000 20-NOV-2023 | -00.00 | -00.00 | -00.00 | 00.94 | 04.97 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.7500 03-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.05 | 00.94 | -00.00 | -00.00 ||
| CORPORA 3.6250 09-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.44 | 01.06 | -00.00 | -00.00 ||
| CORPORA 4.6500 27-JAN-2026 | 00.00 | 00.00 | 00.00 | 00.00 | 02.73 | 04.53 | 00.00 | 00.00 ||
| CORPORA 3.1000 07-OCT-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.09 | 01.50 | -00.00 ||
| CORPORA 7.3000 15-AUG-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.17 | 04.09 | -00.00 ||
| CORPORA 5.8750 14-JAN-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.83 | 01.08 ||
| CORPORA 8.2500 01-MAR-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.51 | 01.12 ||
| CORPORA 9.3750 15-AUG-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.88 | 02.83 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:40 EST 2020
| Setup Time => Mon Jan 27 01:15:40 EST 2020
| Finish Time => Mon Jan 27 01:15:41 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 143 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 01:15:41 EST 2020
| Setup Time => Mon Jan 27 01:15:41 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 7.4500 15-JUL-2017
Doing CORPORA 6.4000 15-JAN-2018
Doing CORPORA 2.5000 09-MAR-2018
Doing CORPORA 5.0000 07-APR-2018
Doing CORPORA 7.7500 15-NOV-2018
Doing CORPORA 9.3750 15-MAR-2019
Doing CORPORA 9.8750 15-JUN-2019
Doing CORPORA 7.6250 13-AUG-2019
Doing CORPORA 7.3750 15-OCT-2019
Doing CORPORA 6.7500 02-DEC-2019
Doing CORPORA 7.8750 31-JAN-2020
Doing CORPORA 6.7000 04-MAR-2020
Doing CORPORA 5.3750 15-SEP-2020
Doing CORPORA 6.0000 15-DEC-2020
Doing CORPORA 6.2500 14-JAN-2021
Doing CORPORA 5.8000 01-MAY-2021
Doing CORPORA 4.7500 15-JUL-2022
Doing CORPORA 5.3750 15-AUG-2022
Doing CORPORA 4.2500 14-MAR-2024
Doing CORPORA 5.0000 01-JUL-2024
Doing CORPORA 4.0000 01-SEP-2024
Doing CORPORA 6.6250 18-MAR-2025
Doing CORPORA 6.5000 01-JUN-2025
Doing CORPORA 4.8750 10-JUN-2025
Doing CORPORA 4.0000 29-JUL-2025
Doing CORPORA 4.8000 18-APR-2026
Doing CORPORA 3.9000 25-MAY-2026
Doing CORPORA 6.6250 01-MAR-2029
Doing CORPORA 7.1250 03-MAR-2031
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 7.4500 15-JUL-2017 | 14-JUL-1997 | 15-JUL-2017 | 15-JAN-1998 | 101.820 | 1.24167 | 1.93% | 00.33 | 00.33 | 00.34 | 0034 | 0.00 | 00.33 | 088 ||
| CORPORA 6.4000 15-JAN-2018 | 11-DEC-2007 | 15-JAN-2018 | 15-JUL-2008 | 103.343 | 1.06667 | 2.32% | 00.82 | 00.81 | 00.84 | 0084 | 0.01 | 00.82 | 111 ||
| CORPORA 2.5000 09-MAR-2018 | 09-MAR-2016 | 09-MAR-2018 | 09-SEP-2016 | 100.781 | 0.04167 | 1.70% | 00.98 | 00.97 | 00.98 | 0098 | 0.02 | 00.98 | 044 ||
| CORPORA 5.0000 07-APR-2018 | 07-APR-2011 | 07-APR-2018 | 07-OCT-2011 | 102.363 | 2.19444 | 2.72% | 01.03 | 01.01 | 01.06 | 0106 | 0.02 | 01.05 | 144 ||
| CORPORA 7.7500 15-NOV-2018 | 14-NOV-2008 | 15-NOV-2018 | 15-MAY-2009 | 109.096 | 2.58333 | 2.16% | 01.56 | 01.55 | 01.73 | 0173 | 0.03 | 01.60 | 069 ||
| CORPORA 9.3750 15-MAR-2019 | 17-MAR-2009 | 15-MAR-2019 | 15-MAR-2010 | 113.903 | 4.68750 | 2.23% | 01.80 | 01.78 | 02.12 | 0212 | 0.04 | 01.88 | 055 ||
| CORPORA 9.8750 15-JUN-2019 | 17-JUN-2009 | 15-JUN-2019 | 15-JUN-2010 | 116.165 | 2.46875 | 2.44% | 02.05 | 02.02 | 02.40 | 0240 | 0.05 | 02.09 | 071 ||
| CORPORA 7.6250 13-AUG-2019 | 13-AUG-2009 | 13-AUG-2019 | 13-FEB-2010 | 111.288 | 0.67778 | 2.75% | 02.25 | 02.21 | 02.48 | 0248 | 0.06 | 02.26 | 097 ||
| CORPORA 7.3750 15-OCT-2019 | 09-OCT-2009 | 15-OCT-2019 | 15-APR-2010 | 112.226 | 3.07292 | 2.46% | 02.35 | 02.32 | 02.67 | 0267 | 0.07 | 02.42 | 064 ||
| CORPORA 6.7500 02-DEC-2019 | 04-NOV-2009 | 02-DEC-2019 | 02-JUN-2010 | 110.676 | 1.93125 | 2.65% | 02.49 | 02.46 | 02.77 | 0277 | 0.08 | 02.54 | 079 ||
| CORPORA 7.8750 31-JAN-2020 | 20-JAN-2010 | 31-JAN-2020 | 31-JUL-2010 | 112.888 | 0.96250 | 3.15% | 02.63 | 02.59 | 02.94 | 0294 | 0.08 | 02.66 | 127 ||
| CORPORA 6.7000 04-MAR-2020 | 04-MAR-2010 | 04-MAR-2020 | 04-SEP-2010 | 110.914 | 0.20472 | 2.84% | 02.75 | 02.71 | 03.01 | 0301 | 0.10 | 02.76 | 093 ||
| CORPORA 5.3750 15-SEP-2020 | 20-SEP-2010 | 15-SEP-2020 | 15-SEP-2011 | 107.916 | 2.68750 | 2.98% | 03.17 | 03.12 | 03.45 | 0345 | 0.12 | 03.26 | 096 ||
| CORPORA 6.0000 15-DEC-2020 | 10-DEC-2010 | 15-DEC-2020 | 15-JUN-2011 | 109.532 | 1.50000 | 3.28% | 03.39 | 03.33 | 03.70 | 0370 | 0.14 | 03.45 | 123 ||
| CORPORA 6.2500 14-JAN-2021 | 14-JAN-2011 | 14-JAN-2021 | 14-JUL-2011 | 110.536 | 1.05903 | 3.30% | 03.46 | 03.40 | 03.79 | 0379 | 0.14 | 03.51 | 124 ||
| CORPORA 5.8000 01-MAY-2021 | 06-APR-2011 | 01-MAY-2021 | 01-NOV-2011 | 110.355 | 2.15889 | 3.11% | 03.68 | 03.62 | 04.08 | 0408 | 0.16 | 03.78 | 101 ||
| CORPORA 4.7500 15-JUL-2022 | 16-JUL-2012 | 15-JUL-2022 | 15-JUL-2013 | 105.991 | 0.79167 | 3.51% | 04.76 | 04.68 | 04.99 | 0499 | 0.26 | 04.84 | 126 ||
| CORPORA 5.3750 15-AUG-2022 | 13-AUG-2012 | 15-AUG-2022 | 15-FEB-2013 | 110.729 | 0.44792 | 3.20% | 04.79 | 04.71 | 05.24 | 0524 | 0.26 | 04.86 | 095 ||
| CORPORA 4.2500 14-MAR-2024 | 12-MAR-2014 | 14-MAR-2024 | 14-SEP-2014 | 100.198 | 0.01181 | 4.22% | 06.13 | 06.00 | 06.01 | 0601 | 0.42 | 06.25 | 183 ||
| CORPORA 5.0000 01-JUL-2024 | 20-JUN-2014 | 01-JUL-2024 | 01-JAN-2015 | 107.000 | 1.02778 | 3.89% | 06.19 | 06.07 | 06.55 | 0655 | 0.44 | 06.39 | 149 ||
| CORPORA 4.0000 01-SEP-2024 | 19-AUG-2014 | 01-SEP-2024 | 01-MAR-2015 | 099.160 | 0.15556 | 4.13% | 06.51 | 06.38 | 06.33 | 0633 | 0.47 | 06.66 | 171 ||
| CORPORA 6.6250 18-MAR-2025 | 31-AUG-2005 | 18-MAR-2025 | 18-MAR-2006 | 114.750 | 3.25729 | 4.42% | 06.29 | 06.15 | 07.26 | 0726 | 0.47 | 06.71 | 199 ||
| CORPORA 6.5000 01-JUN-2025 | 09-JUN-1995 | 01-JUN-2025 | 01-JUN-1996 | 118.034 | 1.87778 | 3.91% | 06.55 | 06.42 | 07.70 | 0770 | 0.51 | 06.87 | 147 ||
| CORPORA 4.8750 10-JUN-2025 | 10-JUN-2015 | 10-JUN-2025 | 10-DEC-2015 | 101.907 | 1.28646 | 4.59% | 06.81 | 06.66 | 06.87 | 0687 | 0.53 | 07.13 | 213 ||
| CORPORA 4.0000 29-JUL-2025 | 29-JUL-2015 | 29-JUL-2025 | 29-JAN-2016 | 102.073 | 0.51111 | 3.71% | 07.18 | 07.04 | 07.22 | 0722 | 0.58 | 07.38 | 123 ||
| CORPORA 4.8000 18-APR-2026 | 18-APR-2016 | 18-APR-2026 | 18-OCT-2016 | 101.913 | 1.96000 | 4.54% | 07.35 | 07.18 | 07.46 | 0746 | 0.63 | 07.79 | 203 ||
| CORPORA 3.9000 25-MAY-2026 | 25-MAY-2016 | 25-MAY-2026 | 25-NOV-2016 | 099.104 | 1.19167 | 4.02% | 07.72 | 07.56 | 07.58 | 0758 | 0.68 | 08.05 | 150 ||
| CORPORA 6.6250 01-MAR-2029 | 01-MAR-1999 | 01-MAR-2029 | 01-SEP-1999 | 126.344 | 0.25764 | 3.85% | 08.86 | 08.69 | 11.00 | 1100 | 0.95 | 09.43 | 125 ||
| CORPORA 7.1250 03-MAR-2031 | 02-MAR-2001 | 03-MAR-2031 | 03-SEP-2001 | 135.300 | 0.23750 | 3.84% | 09.80 | 09.61 | 13.02 | 1302 | 1.19 | 10.61 | 118 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 7.4500 15-JUL-2017 | 101.820 | 1.93% | 088 | 089 | 00.33 | 00.00 | 210 | 089 | 023 | 089 | null ||
| CORPORA 6.4000 15-JAN-2018 | 103.343 | 2.32% | 111 | 128 | 00.82 | 00.01 | 133 | 128 | 062 | 128 | null ||
| CORPORA 2.5000 09-MAR-2018 | 100.781 | 1.70% | 044 | 066 | 00.97 | 00.01 | 001 | 066 | -001 | 066 | null ||
| CORPORA 5.0000 07-APR-2018 | 102.363 | 2.72% | 144 | 166 | 01.03 | 00.02 | 171 | 166 | 102 | 135 | 02YON ||
| CORPORA 7.7500 15-NOV-2018 | 109.096 | 2.16% | 069 | 090 | 01.58 | 00.03 | 144 | 090 | 046 | 079 | 02YON ||
| CORPORA 9.3750 15-MAR-2019 | 113.903 | 2.23% | 055 | 086 | 01.86 | 00.05 | 059 | 086 | 053 | 086 | 02YON ||
| CORPORA 9.8750 15-JUN-2019 | 116.165 | 2.44% | 071 | 100 | 02.06 | 00.05 | 152 | 100 | 068 | 107 | 02YON ||
| CORPORA 7.6250 13-AUG-2019 | 111.288 | 2.75% | 097 | 126 | 02.23 | 00.06 | 121 | 126 | 095 | 138 | 02YON ||
| CORPORA 7.3750 15-OCT-2019 | 112.226 | 2.46% | 064 | 091 | 02.38 | 00.07 | 137 | 091 | 062 | 079 | 03YON ||
| CORPORA 6.7500 02-DEC-2019 | 110.676 | 2.65% | 079 | 106 | 02.50 | 00.08 | 123 | 106 | 077 | 098 | 03YON ||
| CORPORA 7.8750 31-JAN-2020 | 112.888 | 3.15% | 127 | 152 | 02.61 | 00.09 | 155 | 152 | 124 | 148 | 03YON ||
| CORPORA 6.7000 04-MAR-2020 | 110.914 | 2.84% | 093 | 118 | 02.72 | 00.09 | 103 | 118 | 091 | 117 | 03YON ||
| CORPORA 5.3750 15-SEP-2020 | 107.916 | 2.98% | 096 | 119 | 03.20 | 00.12 | 101 | 119 | 095 | 131 | 03YON ||
| CORPORA 6.0000 15-DEC-2020 | 109.532 | 3.28% | 123 | 143 | 03.38 | 00.14 | 146 | 143 | 121 | 161 | 03YON ||
| CORPORA 6.2500 14-JAN-2021 | 110.536 | 3.30% | 124 | 144 | 03.43 | 00.14 | 144 | 144 | 122 | 163 | 03YON ||
| CORPORA 5.8000 01-MAY-2021 | 110.355 | 3.11% | 101 | 118 | 03.70 | 00.16 | 129 | 118 | 098 | 098 | 05YON ||
| CORPORA 4.7500 15-JUL-2022 | 105.991 | 3.51% | 126 | 133 | 04.71 | 00.26 | 134 | 133 | 124 | 138 | 05YON ||
| CORPORA 5.3750 15-AUG-2022 | 110.729 | 3.20% | 095 | 101 | 04.73 | 00.27 | 104 | 101 | 093 | 107 | 05YON ||
| CORPORA 4.2500 14-MAR-2024 | 100.198 | 4.22% | 183 | 179 | 06.00 | 00.42 | 182 | 179 | 182 | 179 | 07YON ||
| CORPORA 5.0000 01-JUL-2024 | 107.000 | 3.89% | 149 | 144 | 06.13 | 00.45 | 157 | 144 | 146 | 146 | 07YON ||
| CORPORA 4.0000 01-SEP-2024 | 099.160 | 4.13% | 171 | 168 | 06.39 | 00.48 | 169 | 168 | 170 | 170 | 07YON ||
| CORPORA 6.6250 18-MAR-2025 | 114.750 | 4.42% | 199 | 193 | 06.33 | 00.49 | 226 | 193 | 195 | 199 | 07YON ||
| CORPORA 6.5000 01-JUN-2025 | 118.034 | 3.91% | 147 | 141 | 06.52 | 00.52 | 169 | 141 | 143 | 148 | 07YON ||
| CORPORA 4.8750 10-JUN-2025 | 101.907 | 4.59% | 214 | 209 | 06.74 | 00.54 | 215 | 209 | 211 | 216 | 07YON ||
| CORPORA 4.0000 29-JUL-2025 | 102.073 | 3.71% | 124 | 120 | 07.08 | 00.59 | 124 | 120 | 122 | 128 | 07YON ||
| CORPORA 4.8000 18-APR-2026 | 101.913 | 4.54% | 204 | 199 | 07.33 | 00.64 | 205 | 199 | 201 | 194 | 10YON ||
| CORPORA 3.9000 25-MAY-2026 | 099.104 | 4.02% | 150 | 146 | 07.65 | 00.69 | 147 | 146 | 148 | 142 | 10YON ||
| CORPORA 6.6250 01-MAR-2029 | 126.344 | 3.85% | 126 | 119 | 08.71 | 00.95 | 144 | 119 | 121 | 125 | 10YON ||
| CORPORA 7.1250 03-MAR-2031 | 135.300 | 3.84% | 119 | 110 | 09.63 | 01.20 | 143 | 110 | 114 | 124 | 10YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 7.4500 15-JUL-2017 | 00.33 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.4000 15-JAN-2018 | 00.82 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.5000 09-MAR-2018 | 00.97 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 07-APR-2018 | 00.97 | 00.07 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.7500 15-NOV-2018 | 00.52 | 01.06 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.3750 15-MAR-2019 | -00.00 | 01.86 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.8750 15-JUN-2019 | -00.00 | 01.54 | 00.52 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.6250 13-AUG-2019 | -00.00 | 01.31 | 00.92 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.3750 15-OCT-2019 | -00.00 | 00.99 | 01.39 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7500 02-DEC-2019 | -00.00 | 00.71 | 01.79 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.8750 31-JAN-2020 | -00.00 | 00.31 | 02.29 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7000 04-MAR-2020 | -00.00 | 00.08 | 02.63 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3750 15-SEP-2020 | -00.00 | -00.00 | 02.39 | 00.81 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.0000 15-DEC-2020 | -00.00 | -00.00 | 02.11 | 01.27 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 14-JAN-2021 | -00.00 | -00.00 | 02.00 | 01.43 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.8000 01-MAY-2021 | -00.00 | -00.00 | 01.61 | 02.09 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7500 15-JUL-2022 | -00.00 | -00.00 | -00.00 | 03.92 | 00.79 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.3750 15-AUG-2022 | -00.00 | -00.00 | -00.00 | 03.74 | 00.99 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.2500 14-MAR-2024 | -00.00 | -00.00 | -00.00 | 00.01 | 05.99 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 01-JUL-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.52 | 00.60 | -00.00 | -00.00 ||
| CORPORA 4.0000 01-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.39 | 00.99 | -00.00 | -00.00 ||
| CORPORA 6.6250 18-MAR-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.20 | 02.13 | -00.00 | -00.00 ||
| CORPORA 6.5000 01-JUN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.88 | 02.64 | -00.00 | -00.00 ||
| CORPORA 4.8750 10-JUN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.96 | 02.78 | -00.00 | -00.00 ||
| CORPORA 4.0000 29-JUL-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.84 | 03.24 | -00.00 | -00.00 ||
| CORPORA 4.8000 18-APR-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.21 | 05.11 | -00.00 | -00.00 ||
| CORPORA 3.9000 25-MAY-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.05 | 05.60 | -00.00 | -00.00 ||
| CORPORA 6.6250 01-MAR-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.00 | 01.71 | -00.00 ||
| CORPORA 7.1250 03-MAR-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.81 | 03.82 | -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 01:15:41 EST 2020
| Setup Time => Mon Jan 27 01:15:41 EST 2020
| Finish Time => Mon Jan 27 01:15:42 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 64 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 01:15:42 EST 2020
| Setup Time => Mon Jan 27 01:15:42 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 1.1500 15-MAY-2017
Doing CORPORA 5.1500 01-MAR-2018
Doing CORPORA 7.1250 01-FEB-2019
Doing CORPORA 9.0000 15-APR-2019
Doing CORPORA 6.8500 15-FEB-2020
Doing CORPORA 6.7500 19-MAR-2020
Doing CORPORA 5.0000 21-JUL-2020
Doing CORPORA 6.1250 11-JUL-2021
Doing CORPORA 4.7000 15-MAR-2022
Doing CORPORA 4.3750 15-MAR-2023
Doing CORPORA 6.1250 15-AUG-2023
Doing CORPORA 4.0000 03-MAR-2024
Doing CORPORA 4.0000 13-MAR-2024
Doing CORPORA 4.8500 01-APR-2024
Doing CORPORA 3.8000 08-APR-2024
Doing CORPORA 8.6250 01-MAY-2024
Doing CORPORA 4.6000 15-NOV-2024
Doing CORPORA 4.5000 15-NOV-2024
Doing CORPORA 4.7500 15-SEP-2025
Doing CORPORA 4.1500 04-MAR-2026
Doing CORPORA 4.2700 25-NOV-2026
Doing CORPORA 7.0500 15-JUL-2028
Doing CORPORA 7.4500 01-OCT-2033
Doing CORPORA 7.7500 15-JUL-2037
Doing CORPORA 6.9500 15-OCT-2040
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.1500 15-MAY-2017 | 22-MAY-2014 | 15-MAY-2017 | 15-MAY-2015 | 100.025 | 0.38333 | 1.00% | 00.17 | 00.17 | 00.17 | 0017 | 0.00 | 00.17 | -003 ||
| CORPORA 5.1500 01-MAR-2018 | 14-NOV-2013 | 01-MAR-2018 | 01-SEP-2014 | 102.757 | 0.20028 | 2.23% | 00.95 | 00.94 | 00.97 | 0097 | 0.01 | 00.95 | 099 ||
| CORPORA 7.1250 01-FEB-2019 | 30-JAN-2009 | 01-FEB-2019 | 01-AUG-2009 | 109.056 | 0.87083 | 2.18% | 01.78 | 01.76 | 01.94 | 0194 | 0.04 | 01.80 | 051 ||
| CORPORA 9.0000 15-APR-2019 | 07-APR-2009 | 15-APR-2019 | 15-OCT-2009 | 112.773 | 3.75000 | 2.66% | 01.89 | 01.87 | 02.18 | 0218 | 0.05 | 01.96 | 096 ||
| CORPORA 6.8500 15-FEB-2020 | 14-MAY-2009 | 15-FEB-2020 | 15-FEB-2010 | 111.219 | 0.57083 | 2.82% | 02.69 | 02.66 | 02.97 | 0297 | 0.09 | 02.71 | 091 ||
| CORPORA 6.7500 19-MAR-2020 | 19-MAR-2010 | 19-MAR-2020 | 19-SEP-2010 | 111.922 | 3.30000 | 2.61% | 02.71 | 02.67 | 03.08 | 0308 | 0.09 | 02.80 | 069 ||
| CORPORA 5.0000 21-JUL-2020 | 21-JUL-2010 | 21-JUL-2020 | 21-JAN-2011 | 108.045 | 0.75000 | 2.48% | 03.12 | 03.08 | 03.35 | 0335 | 0.11 | 03.14 | 049 ||
| CORPORA 6.1250 11-JUL-2021 | 11-JUL-2011 | 11-JUL-2021 | 11-JAN-2012 | 112.608 | 1.08889 | 2.99% | 03.86 | 03.80 | 04.32 | 0432 | 0.17 | 03.92 | 087 ||
| CORPORA 4.7000 15-MAR-2022 | 12-MAR-2012 | 15-MAR-2022 | 15-SEP-2012 | 105.934 | 2.35000 | 3.40% | 04.43 | 04.36 | 04.72 | 0472 | 0.23 | 04.57 | 119 ||
| CORPORA 4.3750 15-MAR-2023 | 13-AUG-2013 | 15-MAR-2023 | 15-MAR-2014 | 099.091 | 2.18750 | 4.55% | 05.22 | 05.10 | 05.17 | 0517 | 0.31 | 05.43 | 224 ||
| CORPORA 6.1250 15-AUG-2023 | 15-AUG-2013 | 15-AUG-2023 | 15-FEB-2014 | 103.750 | 0.51042 | 5.42% | 05.40 | 05.25 | 05.48 | 0548 | 0.33 | 05.58 | 309 ||
| CORPORA 4.0000 03-MAR-2024 | 03-MAR-2014 | 03-MAR-2024 | 03-SEP-2014 | 102.749 | 0.13333 | 3.55% | 06.15 | 06.04 | 06.22 | 0622 | 0.43 | 06.26 | 117 ||
| CORPORA 4.0000 13-MAR-2024 | 13-MAR-2014 | 13-MAR-2024 | 13-SEP-2014 | 103.311 | 0.02222 | 3.46% | 06.18 | 06.08 | 06.28 | 0628 | 0.43 | 06.28 | 108 ||
| CORPORA 4.8500 01-APR-2024 | 10-JUN-2014 | 01-APR-2024 | 01-APR-2015 | 100.164 | 2.20944 | 4.82% | 05.92 | 05.78 | 05.92 | 0592 | 0.40 | 06.21 | 244 ||
| CORPORA 3.8000 08-APR-2024 | 08-APR-2014 | 08-APR-2024 | 08-OCT-2014 | 099.189 | 1.65722 | 3.93% | 06.16 | 06.03 | 06.09 | 0609 | 0.43 | 06.37 | 154 ||
| CORPORA 8.6250 01-MAY-2024 | 11-MAY-1994 | 01-MAY-2024 | 01-MAY-1995 | 120.356 | 3.21042 | 5.17% | 05.49 | 05.35 | 06.61 | 0661 | 0.36 | 05.86 | 281 ||
| CORPORA 4.6000 15-NOV-2024 | 10-NOV-2014 | 15-NOV-2024 | 15-MAY-2015 | 099.598 | 1.53333 | 4.66% | 06.45 | 06.30 | 06.37 | 0637 | 0.48 | 06.73 | 223 ||
| CORPORA 4.5000 15-NOV-2024 | 17-NOV-2014 | 15-NOV-2024 | 15-NOV-2015 | 098.174 | 1.50000 | 4.79% | 06.46 | 06.31 | 06.29 | 0629 | 0.48 | 06.75 | 236 ||
| CORPORA 4.7500 15-SEP-2025 | 15-SEP-2015 | 15-SEP-2025 | 15-MAR-2016 | 098.312 | 2.37500 | 5.00% | 06.91 | 06.74 | 06.79 | 0679 | 0.56 | 07.35 | 252 ||
| CORPORA 4.1500 04-MAR-2026 | 04-MAR-2016 | 04-MAR-2026 | 04-SEP-2016 | 103.593 | 0.12681 | 3.68% | 07.60 | 07.46 | 07.74 | 0774 | 0.65 | 07.82 | 117 ||
| CORPORA 4.2700 25-NOV-2026 | 25-NOV-2014 | 25-NOV-2026 | 25-MAY-2015 | 099.965 | 1.30472 | 4.27% | 07.94 | 07.77 | 07.87 | 0787 | 0.73 | 08.35 | 173 ||
| CORPORA 7.0500 15-JUL-2028 | 10-JUL-1998 | 15-JUL-2028 | 15-JAN-1999 | 120.033 | 1.17500 | 4.74% | 08.24 | 08.04 | 09.75 | 0975 | 0.83 | 08.93 | 216 ||
| CORPORA 7.4500 01-OCT-2033 | 01-OCT-2003 | 01-OCT-2033 | 01-APR-2004 | 120.548 | 3.39389 | 5.54% | 10.12 | 09.84 | 12.20 | 1220 | 1.35 | 12.12 | 284 ||
| CORPORA 7.7500 15-JUL-2037 | 26-SEP-1997 | 15-JUL-2037 | 15-JUL-1998 | 113.732 | 1.29167 | 6.52% | 11.02 | 10.67 | 12.27 | 1227 | 1.67 | 14.27 | 378 ||
| CORPORA 6.9500 15-OCT-2040 | 15-OCT-2010 | 15-OCT-2040 | 15-APR-2011 | 122.484 | 2.89583 | 5.27% | 12.71 | 12.38 | 15.52 | 1552 | 2.26 | 16.41 | 251 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.1500 15-MAY-2017 | 100.025 | 1.00% | -003 |-004 | 00.17 | 00.00 |-060 | -004 | -071 | -004 | null ||
| CORPORA 5.1500 01-MAR-2018 | 102.757 | 2.23% | 099 | 119 | 00.94 | 00.01 | 067 | 119 | 053 | 119 | null ||
| CORPORA 7.1250 01-FEB-2019 | 109.056 | 2.18% | 051 | 084 | 01.78 | 00.04 | 082 | 084 | 047 | 081 | 02YON ||
| CORPORA 9.0000 15-APR-2019 | 112.773 | 2.66% | 096 | 126 | 01.93 | 00.05 | 209 | 126 | 093 | 129 | 02YON ||
| CORPORA 6.8500 15-FEB-2020 | 111.219 | 2.82% | 092 | 117 | 02.67 | 00.09 | 109 | 117 | 090 | 115 | 03YON ||
| CORPORA 6.7500 19-MAR-2020 | 111.922 | 2.61% | 069 | 093 | 02.75 | 00.09 | 132 | 093 | 067 | 094 | 03YON ||
| CORPORA 5.0000 21-JUL-2020 | 108.045 | 2.48% | 050 | 073 | 03.10 | 00.12 | 063 | 073 | 048 | 081 | 03YON ||
| CORPORA 6.1250 11-JUL-2021 | 112.608 | 2.99% | 087 | 102 | 03.84 | 00.18 | 105 | 102 | 084 | 086 | 05YON ||
| CORPORA 4.7000 15-MAR-2022 | 105.934 | 3.40% | 119 | 127 | 04.45 | 00.23 | 122 | 127 | 117 | 127 | 05YON ||
| CORPORA 4.3750 15-MAR-2023 | 099.091 | 4.55% | 225 | 227 | 05.22 | 00.32 | 221 | 227 | 223 | 242 | 05YON ||
| CORPORA 6.1250 15-AUG-2023 | 103.750 | 5.42% | 310 | 308 | 05.28 | 00.33 | 315 | 308 | 307 | 299 | 07YON ||
| CORPORA 4.0000 03-MAR-2024 | 102.749 | 3.55% | 117 | 113 | 06.05 | 00.43 | 118 | 113 | 115 | 112 | 07YON ||
| CORPORA 4.0000 13-MAR-2024 | 103.311 | 3.46% | 108 | 103 | 06.08 | 00.44 | 109 | 103 | 106 | 103 | 07YON ||
| CORPORA 4.8500 01-APR-2024 | 100.164 | 4.82% | 244 | 239 | 05.91 | 00.41 | 242 | 239 | 242 | 239 | 07YON ||
| CORPORA 3.8000 08-APR-2024 | 099.189 | 3.93% | 154 | 150 | 06.14 | 00.44 | 151 | 150 | 153 | 150 | 07YON ||
| CORPORA 8.6250 01-MAY-2024 | 120.356 | 5.17% | 282 | 273 | 05.50 | 00.37 | 328 | 273 | 276 | 274 | 07YON ||
| CORPORA 4.6000 15-NOV-2024 | 099.598 | 4.66% | 224 | 219 | 06.40 | 00.48 | 221 | 219 | 221 | 223 | 07YON ||
| CORPORA 4.5000 15-NOV-2024 | 098.174 | 4.79% | 236 | 232 | 06.40 | 00.49 | 230 | 232 | 234 | 236 | 07YON ||
| CORPORA 4.7500 15-SEP-2025 | 098.312 | 5.00% | 253 | 248 | 06.90 | 00.57 | 247 | 248 | 250 | 240 | 10YON ||
| CORPORA 4.1500 04-MAR-2026 | 103.593 | 3.68% | 117 | 113 | 07.47 | 00.66 | 118 | 113 | 115 | 108 | 10YON ||
| CORPORA 4.2700 25-NOV-2026 | 099.965 | 4.27% | 174 | 169 | 07.87 | 00.73 | 172 | 169 | 172 | 167 | 10YON ||
| CORPORA 7.0500 15-JUL-2028 | 120.033 | 4.74% | 217 | 210 | 08.12 | 00.83 | 243 | 210 | 212 | 214 | 10YON ||
| CORPORA 7.4500 01-OCT-2033 | 120.548 | 5.54% | 286 | 271 | 10.12 | 01.39 | 322 | 271 | 279 | 235 | 30YON ||
| CORPORA 7.7500 15-JUL-2037 | 113.732 | 6.52% | 382 | 357 | 10.80 | 01.69 | 409 | 357 | 373 | 333 | 30YON ||
| CORPORA 6.9500 15-OCT-2040 | 122.484 | 5.27% | 254 | 224 | 12.68 | 02.31 | 289 | 224 | 247 | 208 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 1.1500 15-MAY-2017 | 00.17 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1500 01-MAR-2018 | 00.94 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 7.1250 01-FEB-2019 | 00.20 | 01.57 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.0000 15-APR-2019 | -00.00 | 01.77 | 00.16 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8500 15-FEB-2020 | -00.00 | 00.21 | 02.46 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.7500 19-MAR-2020 | -00.00 | -00.00 | 02.74 | 00.02 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 21-JUL-2020 | -00.00 | -00.00 | 02.56 | 00.54 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1250 11-JUL-2021 | -00.00 | -00.00 | 01.30 | 02.54 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-MAR-2022 | -00.00 | -00.00 | -00.00 | 04.45 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.3750 15-MAR-2023 | -00.00 | -00.00 | -00.00 | 02.61 | 02.61 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.1250 15-AUG-2023 | -00.00 | -00.00 | -00.00 | 01.54 | 03.74 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.0000 03-MAR-2024 | -00.00 | -00.00 | -00.00 | 00.10 | 05.95 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.0000 13-MAR-2024 | -00.00 | -00.00 | -00.00 | 00.02 | 06.06 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.8500 01-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.82 | 00.09 | -00.00 | -00.00 ||
| CORPORA 3.8000 08-APR-2024 | 00.00 | 00.00 | 00.00 | 00.00 | 06.00 | 00.13 | 00.00 | 00.00 ||
| CORPORA 8.6250 01-MAY-2024 | 00.00 | 00.00 | 00.00 | 00.00 | 05.26 | 00.24 | 00.00 | 00.00 ||
| CORPORA 4.6000 15-NOV-2024 | 00.00 | 00.00 | 00.00 | 00.00 | 04.96 | 01.43 | 00.00 | 00.00 ||
| CORPORA 4.5000 15-NOV-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 04.97 | 01.43 | -00.00 | -00.00 ||
| CORPORA 4.7500 15-SEP-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.44 | 03.46 | -00.00 | -00.00 ||
| CORPORA 4.1500 04-MAR-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.57 | 04.91 | -00.00 | -00.00 ||
| CORPORA 4.2700 25-NOV-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 00.79 | 07.08 | -00.00 | -00.00 ||
| CORPORA 7.0500 15-JUL-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.04 | 01.09 | -00.00 ||
| CORPORA 7.4500 01-OCT-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.49 | 06.63 | -00.00 ||
| CORPORA 7.7500 15-JUL-2037 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 10.43 | 00.36 ||
| CORPORA 6.9500 15-OCT-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.13 | 04.55 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:42 EST 2020
| Setup Time => Mon Jan 27 01:15:42 EST 2020
| Finish Time => Mon Jan 27 01:15:44 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 185 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:44 EST 2020
| Setup Time => Mon Jan 27 01:15:44 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 5.6250 01-MAY-2017
Doing CORPORA 1.2500 02-JUN-2017
Doing CORPORA 2.3500 12-MAR-2018
Doing CORPORA 8.6250 15-JAN-2019
Doing CORPORA 9.2500 15-JUN-2019
Doing CORPORA 8.5000 15-JUL-2019
Doing CORPORA 9.0000 12-AUG-2019
Doing CORPORA 6.2500 15-FEB-2020
Doing CORPORA 5.4500 15-JUL-2020
Doing CORPORA 5.2500 15-SEP-2020
Doing CORPORA 5.4620 16-FEB-2021
Doing CORPORA 5.0000 01-MAR-2021
Doing CORPORA 5.1250 15-APR-2022
Doing CORPORA 5.0000 02-OCT-2023
Doing CORPORA 3.8750 26-NOV-2023
Doing CORPORA 4.1500 15-JAN-2024
Doing CORPORA 4.5000 04-NOV-2024
Doing CORPORA 4.5000 09-DEC-2025
Doing CORPORA 4.5000 16-DEC-2025
Doing CORPORA 8.1500 15-MAR-2027
Doing CORPORA 7.5000 01-MAY-2031
Doing CORPORA 6.3750 15-DEC-2038
Doing CORPORA 8.8750 01-JUN-2039
Doing CORPORA 6.8500 16-DEC-2039
Doing CORPORA 4.9000 15-SEP-2044
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.6250 01-MAY-2017 | 27-APR-2005 | 01-MAY-2017 | 01-NOV-2005 | 100.524 | 2.09375 | 1.49% | 00.13 | 00.13 | 00.13 | 0013 | 0.00 | 00.13 | 047 ||
| CORPORA 1.2500 02-JUN-2017 | 05-JUN-2014 | 02-JUN-2017 | 02-JUN-2015 | 099.937 | 0.35764 | 1.54% | 00.21 | 00.21 | 00.21 | 0021 | 0.00 | 00.21 | 050 ||
| CORPORA 2.3500 12-MAR-2018 | 12-MAR-2015 | 12-MAR-2018 | 12-SEP-2015 | 100.620 | 0.01958 | 1.72% | 00.99 | 00.98 | 00.98 | 0098 | 0.02 | 00.99 | 046 ||
| CORPORA 8.6250 15-JAN-2019 | 16-JAN-2009 | 15-JAN-2019 | 15-JAN-2010 | 111.146 | 1.43750 | 2.37% | 01.72 | 01.70 | 01.91 | 0191 | 0.04 | 01.74 | 072 ||
| CORPORA 9.2500 15-JUN-2019 | 30-JUN-2009 | 15-JUN-2019 | 15-JUN-2010 | 115.215 | 2.31250 | 2.27% | 02.06 | 02.03 | 02.39 | 0239 | 0.05 | 02.10 | 054 ||
| CORPORA 8.5000 15-JUL-2019 | 30-JUN-2015 | 15-JUL-2019 | 15-JAN-2016 | 113.185 | 1.41667 | 2.63% | 02.15 | 02.12 | 02.43 | 0243 | 0.06 | 02.18 | 087 ||
| CORPORA 9.0000 12-AUG-2019 | 12-AUG-2009 | 12-AUG-2019 | 12-FEB-2010 | 115.194 | 0.82500 | 2.46% | 02.22 | 02.19 | 02.54 | 0254 | 0.07 | 02.24 | 068 ||
| CORPORA 6.2500 15-FEB-2020 | 11-DEC-2009 | 15-FEB-2020 | 15-AUG-2010 | 109.990 | 0.52083 | 2.67% | 02.71 | 02.67 | 02.96 | 0296 | 0.09 | 02.73 | 076 ||
| CORPORA 5.4500 15-JUL-2020 | 19-JUL-2010 | 15-JUL-2020 | 15-JUL-2011 | 107.014 | 0.90833 | 3.21% | 03.08 | 03.03 | 03.27 | 0327 | 0.11 | 03.11 | 123 ||
| CORPORA 5.2500 15-SEP-2020 | 13-SEP-2010 | 15-SEP-2020 | 15-MAR-2011 | 109.027 | 2.62500 | 2.54% | 03.18 | 03.14 | 03.50 | 0350 | 0.12 | 03.27 | 053 ||
| CORPORA 5.4620 16-FEB-2021 | 16-DEC-2011 | 16-FEB-2021 | 16-AUG-2012 | 108.944 | 0.43999 | 3.02% | 03.58 | 03.53 | 03.86 | 0386 | 0.15 | 03.62 | 095 ||
| CORPORA 5.0000 01-MAR-2021 | 17-MAR-2016 | 01-MAR-2021 | 01-MAR-2017 | 107.553 | 0.19444 | 2.96% | 03.65 | 03.60 | 03.87 | 0387 | 0.15 | 03.67 | 088 ||
| CORPORA 5.1250 15-APR-2022 | 05-APR-2012 | 15-APR-2022 | 15-OCT-2012 | 109.385 | 2.13542 | 3.11% | 04.48 | 04.41 | 04.92 | 0492 | 0.23 | 04.61 | 090 ||
| CORPORA 5.0000 02-OCT-2023 | 02-OCT-2013 | 02-OCT-2023 | 02-APR-2014 | 104.241 | 2.26389 | 4.25% | 05.57 | 05.45 | 05.80 | 0580 | 0.36 | 05.80 | 190 ||
| CORPORA 3.8750 26-NOV-2023 | 26-NOV-2013 | 26-NOV-2023 | 26-MAY-2014 | 102.388 | 1.17326 | 3.47% | 05.91 | 05.80 | 06.01 | 0601 | 0.39 | 06.06 | 111 ||
| CORPORA 4.1500 15-JAN-2024 | 11-DEC-2013 | 15-JAN-2024 | 15-JUL-2014 | 103.753 | 0.69167 | 3.53% | 06.00 | 05.89 | 06.15 | 0615 | 0.41 | 06.13 | 115 ||
| CORPORA 4.5000 04-NOV-2024 | 04-NOV-2014 | 04-NOV-2024 | 04-MAY-2015 | 101.390 | 1.63750 | 4.28% | 06.45 | 06.31 | 06.51 | 0651 | 0.48 | 06.72 | 186 ||
| CORPORA 4.5000 09-DEC-2025 | 09-DEC-2015 | 09-DEC-2025 | 09-JUN-2016 | 102.381 | 1.20000 | 4.17% | 07.25 | 07.10 | 07.36 | 0736 | 0.60 | 07.57 | 168 ||
| CORPORA 4.5000 16-DEC-2025 | 16-DEC-2015 | 16-DEC-2025 | 16-JUN-2016 | 102.910 | 1.11250 | 4.10% | 07.28 | 07.13 | 07.42 | 0742 | 0.61 | 07.59 | 161 ||
| CORPORA 8.1500 15-MAR-2027 | 18-MAR-1997 | 15-MAR-2027 | 15-MAR-1998 | 131.794 | 4.07500 | 4.22% | 07.23 | 07.07 | 09.61 | 0961 | 0.65 | 07.87 | 170 ||
| CORPORA 7.5000 01-MAY-2031 | 27-AUG-2001 | 01-MAY-2031 | 01-MAY-2002 | 124.826 | 2.79167 | 5.02% | 09.32 | 09.09 | 11.60 | 1160 | 1.12 | 10.62 | 237 ||
| CORPORA 6.3750 15-DEC-2038 | 11-DEC-2008 | 15-DEC-2038 | 15-JUN-2009 | 126.202 | 1.59375 | 4.48% | 12.98 | 12.68 | 16.21 | 1621 | 2.25 | 15.58 | 172 ||
| CORPORA 8.8750 01-JUN-2039 | 01-JUN-2009 | 01-JUN-2039 | 01-DEC-2009 | 158.121 | 2.56389 | 4.65% | 12.20 | 11.91 | 19.14 | 1914 | 2.05 | 15.01 | 190 ||
| CORPORA 6.8500 16-DEC-2039 | 16-DEC-2009 | 16-DEC-2039 | 16-JUN-2010 | 129.757 | 1.69347 | 4.70% | 12.99 | 12.68 | 16.67 | 1667 | 2.29 | 15.97 | 194 ||
| CORPORA 4.9000 15-SEP-2044 | 18-SEP-2014 | 15-SEP-2044 | 15-SEP-2015 | 106.701 | 2.45000 | 4.47% | 15.43 | 15.07 | 16.45 | 1645 | 3.29 | 19.75 | 169 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| 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 | 100.524 | 1.49% | 047 | 045 | 00.13 | 00.00 | 287 | 045 | -021 | 045 | null ||
| CORPORA 1.2500 02-JUN-2017 | 099.937 | 1.54% | 050 | 050 | 00.21 | 00.00 |-033 | 050 | -016 | 050 | null ||
| CORPORA 2.3500 12-MAR-2018 | 100.620 | 1.72% | 046 | 068 | 00.98 | 00.01 | 002 | 068 | 001 | 068 | null ||
| CORPORA 8.6250 15-JAN-2019 | 111.146 | 2.37% | 072 | 106 | 01.72 | 00.04 | 126 | 106 | 067 | 100 | 02YON ||
| CORPORA 9.2500 15-JUN-2019 | 115.215 | 2.27% | 054 | 083 | 02.07 | 00.06 | 129 | 083 | 051 | 090 | 02YON ||
| CORPORA 8.5000 15-JUL-2019 | 113.185 | 2.63% | 087 | 116 | 02.15 | 00.06 | 133 | 116 | 085 | 126 | 02YON ||
| CORPORA 9.0000 12-AUG-2019 | 115.194 | 2.46% | 068 | 097 | 02.21 | 00.06 | 099 | 097 | 066 | 109 | 02YON ||
| CORPORA 6.2500 15-FEB-2020 | 109.990 | 2.67% | 076 | 102 | 02.69 | 00.09 | 091 | 102 | 075 | 100 | 03YON ||
| CORPORA 5.4500 15-JUL-2020 | 107.014 | 3.21% | 123 | 147 | 03.05 | 00.11 | 138 | 147 | 121 | 154 | 03YON ||
| CORPORA 5.2500 15-SEP-2020 | 109.027 | 2.54% | 053 | 075 | 03.21 | 00.12 | 055 | 075 | 051 | 087 | 03YON ||
| CORPORA 5.4620 16-FEB-2021 | 108.944 | 3.02% | 095 | 114 | 03.55 | 00.15 | 104 | 114 | 093 | 135 | 03YON ||
| CORPORA 5.0000 01-MAR-2021 | 107.553 | 2.96% | 088 | 107 | 03.60 | 00.15 | 094 | 107 | 087 | 129 | 03YON ||
| CORPORA 5.1250 15-APR-2022 | 109.385 | 3.11% | 090 | 097 | 04.50 | 00.25 | 109 | 097 | 088 | 098 | 05YON ||
| CORPORA 5.0000 02-OCT-2023 | 104.241 | 4.25% | 191 | 189 | 05.57 | 00.37 | 198 | 189 | 188 | 182 | 07YON ||
| CORPORA 3.8750 26-NOV-2023 | 102.388 | 3.47% | 111 | 109 | 05.87 | 00.40 | 113 | 109 | 109 | 104 | 07YON ||
| CORPORA 4.1500 15-JAN-2024 | 103.753 | 3.53% | 115 | 112 | 05.93 | 00.41 | 118 | 112 | 114 | 110 | 07YON ||
| CORPORA 4.5000 04-NOV-2024 | 101.390 | 4.28% | 186 | 182 | 06.42 | 00.48 | 187 | 182 | 184 | 185 | 07YON ||
| CORPORA 4.5000 09-DEC-2025 | 102.381 | 4.17% | 169 | 164 | 07.19 | 00.61 | 170 | 164 | 166 | 157 | 10YON ||
| CORPORA 4.5000 16-DEC-2025 | 102.910 | 4.10% | 161 | 157 | 07.21 | 00.61 | 163 | 157 | 159 | 150 | 10YON ||
| CORPORA 8.1500 15-MAR-2027 | 131.794 | 4.22% | 171 | 162 | 07.30 | 00.67 | 199 | 162 | 165 | 162 | 10YON ||
| CORPORA 7.5000 01-MAY-2031 | 124.826 | 5.02% | 239 | 228 | 09.30 | 01.14 | 277 | 228 | 232 | 242 | 10YON ||
| CORPORA 6.3750 15-DEC-2038 | 126.202 | 4.48% | 173 | 149 | 12.85 | 02.27 | 201 | 149 | 168 | 129 | 30YON ||
| CORPORA 8.8750 01-JUN-2039 | 158.121 | 4.65% | 192 | 165 | 12.12 | 02.09 | 265 | 165 | 185 | 146 | 30YON ||
| CORPORA 6.8500 16-DEC-2039 | 129.757 | 4.70% | 196 | 170 | 12.86 | 02.32 | 232 | 170 | 191 | 151 | 30YON ||
| CORPORA 4.9000 15-SEP-2044 | 106.701 | 4.47% | 171 | 135 | 15.44 | 03.37 | 175 | 135 | 167 | 128 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.6250 01-MAY-2017 | 00.13 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 1.2500 02-JUN-2017 | 00.21 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 2.3500 12-MAR-2018 | 00.98 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.6250 15-JAN-2019 | 00.28 | 01.44 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.2500 15-JUN-2019 | -00.00 | 01.55 | 00.52 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.5000 15-JUL-2019 | -00.00 | 01.43 | 00.72 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 9.0000 12-AUG-2019 | -00.00 | 01.30 | 00.90 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.2500 15-FEB-2020 | -00.00 | 00.21 | 02.47 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.4500 15-JUL-2020 | -00.00 | -00.00 | 02.54 | 00.51 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.2500 15-SEP-2020 | -00.00 | -00.00 | 02.40 | 00.81 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.4620 16-FEB-2021 | -00.00 | -00.00 | 01.90 | 01.64 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 01-MAR-2021 | -00.00 | -00.00 | 01.87 | 01.73 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.1250 15-APR-2022 | -00.00 | -00.00 | -00.00 | 04.31 | 00.19 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 02-OCT-2023 | -00.00 | -00.00 | -00.00 | 01.26 | 04.31 | -00.00 | -00.00 | -00.00 ||
| CORPORA 3.8750 26-NOV-2023 | -00.00 | -00.00 | -00.00 | 00.88 | 04.99 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.1500 15-JAN-2024 | -00.00 | -00.00 | -00.00 | 00.49 | 05.45 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.5000 04-NOV-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.05 | 01.37 | -00.00 | -00.00 ||
| CORPORA 4.5000 09-DEC-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.03 | 04.16 | -00.00 | -00.00 ||
| CORPORA 4.5000 16-DEC-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 02.99 | 04.22 | -00.00 | -00.00 ||
| CORPORA 8.1500 15-MAR-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.29 | -00.00 | -00.00 ||
| CORPORA 7.5000 01-MAY-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.46 | 03.84 | -00.00 ||
| CORPORA 6.3750 15-DEC-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.59 | 02.25 ||
| CORPORA 8.8750 01-JUN-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.43 | 02.68 ||
| CORPORA 6.8500 16-DEC-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.31 | 03.54 ||
| CORPORA 4.9000 15-SEP-2044 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.85 | 11.58 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:44 EST 2020
| Setup Time => Mon Jan 27 01:15:44 EST 2020
| Finish Time => Mon Jan 27 01:15:45 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 229 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:45 EST 2020
| Setup Time => Mon Jan 27 01:15:45 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPORA 5.1250 05-SEP-2017
Doing CORPORA 8.2500 15-JAN-2019
Doing CORPORA 6.3750 30-APR-2020
Doing CORPORA 5.8750 01-JUN-2020
Doing CORPORA 6.3750 29-SEP-2020
Doing CORPORA 5.0000 30-SEP-2020
Doing CORPORA 6.8750 15-APR-2021
Doing CORPORA 4.4500 15-SEP-2022
Doing CORPORA 4.7000 15-SEP-2023
Doing CORPORA 5.7500 15-OCT-2023
Doing CORPORA 4.6250 01-DEC-2023
Doing CORPORA 4.2500 30-SEP-2024
Doing CORPORA 4.7500 24-NOV-2025
Doing CORPORA 5.2000 12-MAY-2026
Doing CORPORA 7.5000 20-AUG-2026
Doing CORPORA 6.9270 01-MAR-2029
Doing CORPORA 8.6000 15-DEC-2030
Doing CORPORA 6.6250 01-MAY-2031
Doing CORPORA 5.9000 15-OCT-2032
Doing CORPORA 6.5500 15-MAR-2033
Doing CORPORA 6.7500 01-APR-2038
Doing CORPORA 5.9000 08-MAY-2038
Doing CORPORA 6.5000 01-FEB-2039
Doing CORPORA 10.5000 15-SEP-2039
Doing CORPORA 7.6250 15-JUN-2040
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.1250 05-SEP-2017 | 05-MAR-2012 | 05-SEP-2017 | 05-SEP-2012 | 101.341 | 0.14236 | 2.25% | 00.47 | 00.47 | 00.47 | 0047 | 0.00 | 00.47 | 116 ||
| CORPORA 8.2500 15-JAN-2019 | 11-DEC-2008 | 15-JAN-2019 | 15-JUL-2009 | 110.915 | 1.37500 | 2.14% | 01.72 | 01.71 | 01.92 | 0192 | 0.04 | 01.74 | 049 ||
| CORPORA 6.3750 30-APR-2020 | 26-APR-2010 | 30-APR-2020 | 30-OCT-2010 | 109.896 | 2.39063 | 3.03% | 02.84 | 02.79 | 03.14 | 0314 | 0.10 | 02.91 | 109 ||
| CORPORA 5.8750 01-JUN-2020 | 23-MAR-2010 | 01-JUN-2020 | 01-DEC-2010 | 109.653 | 1.69722 | 2.71% | 02.94 | 02.90 | 03.23 | 0323 | 0.10 | 02.99 | 076 ||
| CORPORA 6.3750 29-SEP-2020 | 29-SEP-2010 | 29-SEP-2020 | 29-MAR-2011 | 112.228 | 2.93958 | 2.73% | 03.16 | 03.12 | 03.59 | 0359 | 0.12 | 03.26 | 071 ||
| CORPORA 5.0000 30-SEP-2020 | 10-SEP-2010 | 30-SEP-2020 | 30-MAR-2011 | 107.523 | 2.29167 | 2.76% | 03.23 | 03.19 | 03.50 | 0350 | 0.13 | 03.31 | 074 ||
| CORPORA 6.8750 15-APR-2021 | 28-JUN-2010 | 15-APR-2021 | 15-APR-2011 | 113.365 | 2.86458 | 3.35% | 03.57 | 03.51 | 04.08 | 0408 | 0.15 | 03.69 | 126 ||
| CORPORA 4.4500 15-SEP-2022 | 18-SEP-2012 | 15-SEP-2022 | 15-SEP-2013 | 104.596 | 2.22500 | 3.52% | 04.85 | 04.77 | 05.09 | 0509 | 0.27 | 05.01 | 126 ||
| CORPORA 4.7000 15-SEP-2023 | 14-SEP-2013 | 15-SEP-2023 | 15-MAR-2014 | 106.675 | 2.35000 | 3.54% | 05.58 | 05.49 | 05.98 | 0598 | 0.36 | 05.80 | 120 ||
| CORPORA 5.7500 15-OCT-2023 | 04-OCT-2013 | 15-OCT-2023 | 15-APR-2014 | 106.026 | 2.39583 | 4.68% | 05.48 | 05.36 | 05.81 | 0581 | 0.36 | 05.75 | 233 ||
| CORPORA 4.6250 01-DEC-2023 | 29-NOV-2013 | 01-DEC-2023 | 01-JUN-2014 | 104.293 | 1.33611 | 3.89% | 05.79 | 05.68 | 06.00 | 0600 | 0.38 | 05.97 | 153 ||
| CORPORA 4.2500 30-SEP-2024 | 16-SEP-2014 | 30-SEP-2024 | 30-MAR-2015 | 104.204 | 1.94792 | 3.61% | 06.44 | 06.32 | 06.71 | 0671 | 0.48 | 06.69 | 119 ||
| CORPORA 4.7500 24-NOV-2025 | 24-NOV-2015 | 24-NOV-2025 | 24-MAY-2016 | 098.893 | 1.46458 | 4.91% | 07.11 | 06.93 | 06.96 | 0696 | 0.58 | 07.49 | 242 ||
| CORPORA 5.2000 12-MAY-2026 | 12-MAY-2016 | 12-MAY-2026 | 12-NOV-2016 | 101.346 | 1.77667 | 5.01% | 07.29 | 07.11 | 07.33 | 0733 | 0.62 | 07.76 | 251 ||
| CORPORA 7.5000 20-AUG-2026 | 23-AUG-1996 | 20-AUG-2026 | 20-AUG-1997 | 124.401 | 0.52083 | 4.32% | 07.19 | 07.03 | 08.79 | 0879 | 0.62 | 07.58 | 182 ||
| CORPORA 6.9270 01-MAR-2029 | 06-MAR-2000 | 01-MAR-2029 | 01-MAR-2001 | 129.885 | 0.26938 | 3.80% | 08.80 | 08.63 | 11.23 | 1123 | 0.94 | 09.36 | 119 ||
| CORPORA 8.6000 15-DEC-2030 | 15-DEC-2000 | 15-DEC-2030 | 15-JUN-2001 | 138.638 | 2.15000 | 4.74% | 09.04 | 08.83 | 12.43 | 1243 | 1.04 | 10.16 | 210 ||
| CORPORA 6.6250 01-MAY-2031 | 25-APR-2011 | 01-MAY-2031 | 01-NOV-2011 | 112.759 | 2.46597 | 5.33% | 09.48 | 09.23 | 10.64 | 1064 | 1.14 | 10.83 | 267 ||
| CORPORA 5.9000 15-OCT-2032 | 04-MAR-2003 | 15-OCT-2032 | 15-OCT-2003 | 115.385 | 2.45833 | 4.51% | 10.57 | 10.33 | 12.17 | 1217 | 1.41 | 11.97 | 182 ||
| CORPORA 6.5500 15-MAR-2033 | 25-SEP-2003 | 15-MAR-2033 | 15-SEP-2004 | 120.000 | 3.27500 | 4.75% | 10.41 | 10.16 | 12.53 | 1253 | 1.40 | 12.03 | 205 ||
| CORPORA 6.7500 01-APR-2038 | 01-APR-2008 | 01-APR-2038 | 01-OCT-2008 | 134.360 | 3.07500 | 4.26% | 12.57 | 12.30 | 16.90 | 1690 | 2.12 | 15.02 | 151 ||
| CORPORA 5.9000 08-MAY-2038 | 08-MAY-2008 | 08-MAY-2038 | 08-NOV-2008 | 113.979 | 2.08139 | 4.84% | 12.70 | 12.39 | 14.38 | 1438 | 2.15 | 15.42 | 208 ||
| CORPORA 6.5000 01-FEB-2039 | 03-FEB-2009 | 01-FEB-2039 | 01-FEB-2010 | 122.506 | 0.79444 | 4.82% | 12.85 | 12.54 | 15.46 | 1546 | 2.22 | 15.60 | 206 ||
| CORPORA 10.5000 15-SEP-2039 | 03-SEP-2009 | 15-SEP-2039 | 15-MAR-2010 | 149.441 | 5.25000 | 6.34% | 10.79 | 10.45 | 16.17 | 1617 | 1.70 | 14.77 | 360 ||
| CORPORA 7.6250 15-JUN-2040 | 01-JUL-2010 | 15-JUN-2040 | 15-JUN-2011 | 120.325 | 1.90625 | 5.99% | 12.05 | 11.69 | 14.28 | 1428 | 2.06 | 15.98 | 323 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.1250 05-SEP-2017 | 101.341 | 2.25% | 116 | 121 | 00.47 | 00.02 | 073 | 121 | 055 | 121 | null ||
| CORPORA 8.2500 15-JAN-2019 | 110.915 | 2.14% | 049 | 083 | 01.73 | 00.04 | 100 | 083 | 044 | 077 | 02YON ||
| CORPORA 6.3750 30-APR-2020 | 109.896 | 3.03% | 109 | 133 | 02.85 | 00.10 | 151 | 133 | 107 | 136 | 03YON ||
| CORPORA 5.8750 01-JUN-2020 | 109.653 | 2.71% | 076 | 099 | 02.95 | 00.11 | 106 | 099 | 074 | 104 | 03YON ||
| CORPORA 6.3750 29-SEP-2020 | 112.228 | 2.73% | 071 | 093 | 03.20 | 00.13 | 119 | 093 | 069 | 106 | 03YON ||
| CORPORA 5.0000 30-SEP-2020 | 107.523 | 2.76% | 074 | 096 | 03.26 | 00.13 | 103 | 096 | 072 | 109 | 03YON ||
| CORPORA 6.8750 15-APR-2021 | 113.365 | 3.35% | 126 | 143 | 03.60 | 00.16 | 167 | 143 | 123 | 122 | 05YON ||
| CORPORA 4.4500 15-SEP-2022 | 104.596 | 3.52% | 126 | 132 | 04.87 | 00.28 | 128 | 132 | 124 | 139 | 05YON ||
| CORPORA 4.7000 15-SEP-2023 | 106.675 | 3.54% | 120 | 119 | 05.61 | 00.37 | 123 | 119 | 118 | 111 | 07YON ||
| CORPORA 5.7500 15-OCT-2023 | 106.026 | 4.68% | 234 | 231 | 05.48 | 00.36 | 246 | 231 | 230 | 225 | 07YON ||
| CORPORA 4.6250 01-DEC-2023 | 104.293 | 3.89% | 153 | 150 | 05.76 | 00.39 | 158 | 150 | 151 | 146 | 07YON ||
| CORPORA 4.2500 30-SEP-2024 | 104.204 | 3.61% | 119 | 115 | 06.44 | 00.48 | 124 | 115 | 117 | 118 | 07YON ||
| CORPORA 4.7500 24-NOV-2025 | 098.893 | 4.91% | 243 | 238 | 07.04 | 00.59 | 238 | 238 | 240 | 231 | 10YON ||
| CORPORA 5.2000 12-MAY-2026 | 101.346 | 5.01% | 252 | 246 | 07.24 | 00.63 | 251 | 246 | 248 | 241 | 10YON ||
| CORPORA 7.5000 20-AUG-2026 | 124.401 | 4.32% | 183 | 175 | 07.07 | 00.62 | 208 | 175 | 178 | 172 | 10YON ||
| CORPORA 6.9270 01-MAR-2029 | 129.885 | 3.80% | 120 | 113 | 08.65 | 00.94 | 140 | 113 | 115 | 120 | 10YON ||
| CORPORA 8.6000 15-DEC-2030 | 138.638 | 4.74% | 212 | 201 | 08.97 | 01.06 | 265 | 201 | 205 | 214 | 10YON ||
| CORPORA 6.6250 01-MAY-2031 | 112.759 | 5.33% | 268 | 259 | 09.44 | 01.17 | 288 | 259 | 263 | 273 | 10YON ||
| CORPORA 5.9000 15-OCT-2032 | 115.385 | 4.51% | 183 | 172 | 10.56 | 01.44 | 200 | 172 | 178 | 132 | 30YON ||
| CORPORA 6.5500 15-MAR-2033 | 120.000 | 4.75% | 207 | 195 | 10.45 | 01.44 | 228 | 195 | 201 | 156 | 30YON ||
| CORPORA 6.7500 01-APR-2038 | 134.360 | 4.26% | 152 | 129 | 12.59 | 02.17 | 188 | 129 | 147 | 107 | 30YON ||
| CORPORA 5.9000 08-MAY-2038 | 113.979 | 4.84% | 210 | 187 | 12.63 | 02.19 | 226 | 187 | 204 | 165 | 30YON ||
| CORPORA 6.5000 01-FEB-2039 | 122.506 | 4.82% | 208 | 184 | 12.63 | 02.22 | 235 | 184 | 203 | 163 | 30YON ||
| CORPORA 10.5000 15-SEP-2039 | 149.441 | 6.34% | 365 | 334 | 10.83 | 01.76 | 476 | 334 | 355 | 315 | 30YON ||
| CORPORA 7.6250 15-JUN-2040 | 120.325 | 5.99% | 327 | 297 | 11.88 | 02.08 | 366 | 297 | 319 | 280 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPORA 5.1250 05-SEP-2017 | 00.47 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 8.2500 15-JAN-2019 | 00.28 | 01.45 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.3750 30-APR-2020 | -00.00 | -00.00 | 02.67 | 00.18 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.8750 01-JUN-2020 | -00.00 | -00.00 | 02.63 | 00.31 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.3750 29-SEP-2020 | -00.00 | -00.00 | 02.33 | 00.87 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.0000 30-SEP-2020 | -00.00 | -00.00 | 02.37 | 00.89 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 6.8750 15-APR-2021 | -00.00 | -00.00 | 01.65 | 01.95 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.4500 15-SEP-2022 | -00.00 | -00.00 | -00.00 | 03.64 | 01.23 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.7000 15-SEP-2023 | -00.00 | -00.00 | -00.00 | 01.40 | 04.21 | -00.00 | -00.00 | -00.00 ||
| CORPORA 5.7500 15-OCT-2023 | -00.00 | -00.00 | -00.00 | 01.14 | 04.34 | -00.00 | -00.00 | -00.00 ||
| CORPORA 4.6250 01-DEC-2023 | 00.00 | 00.00 | 00.00 | 00.83 | 04.93 | 00.00 | 00.00 | 00.00 ||
| CORPORA 4.2500 30-SEP-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.27 | 01.17 | -00.00 | -00.00 ||
| CORPORA 4.7500 24-NOV-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.06 | 03.98 | -00.00 | -00.00 ||
| CORPORA 5.2000 12-MAY-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.03 | 05.21 | -00.00 | -00.00 ||
| CORPORA 7.5000 20-AUG-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 01.34 | 05.73 | -00.00 | -00.00 ||
| CORPORA 6.9270 01-MAR-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.95 | 01.70 | -00.00 ||
| CORPORA 8.6000 15-DEC-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.60 | 03.37 | -00.00 ||
| CORPORA 6.6250 01-MAY-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.54 | 03.90 | -00.00 ||
| CORPORA 5.9000 15-OCT-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.66 | 05.90 | -00.00 ||
| CORPORA 6.5500 15-MAR-2033 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.18 | 06.27 | -00.00 ||
| CORPORA 6.7500 01-APR-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.26 | 01.32 ||
| CORPORA 5.9000 08-MAY-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.17 | 01.45 ||
| CORPORA 6.5000 01-FEB-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.25 | 02.38 ||
| CORPORA 10.5000 15-SEP-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.11 | 02.71 ||
| CORPORA 7.6250 15-JUN-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.01 | 03.86 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:45 EST 2020
| Setup Time => Mon Jan 27 01:15:45 EST 2020
| Finish Time => Mon Jan 27 01:15:46 EST 2020
| Setup Duration => 0 ms
| Run Duration => 1 s 504 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 01:15:46 EST 2020
| Setup Time => Mon Jan 27 01:15:46 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [17-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-SEP-2017] = 0.011375 | 0.011375 ||
| [15-DEC-2017] = 0.013350 | 0.013350 ||
| [15-MAR-2018] = 0.014800 | 0.014800 ||
| [15-JUN-2018] = 0.016450 | 0.016450 ||
| [15-SEP-2018] = 0.017850 | 0.017850 ||
| [15-DEC-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [17-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [17-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [17-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [17-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [17-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [17-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [17-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [17-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [17-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [17-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [17-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [17-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [17-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [17-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [17-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [17-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [17-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 15-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 15-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 15-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 15-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 15-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 15-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 15-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 15-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 15-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Doing CORPOR 3.7500 11-MAY-2017
Doing CORPOR 2.1250 02-OCT-2017
Doing CORPOR 6.8750 15-AUG-2019
Doing CORPOR 7.3750 15-SEP-2019
Doing CORPOR 7.2500 15-DEC-2019
Doing CORPOR 5.3750 15-SEP-2020
Doing CORPOR 5.7500 16-NOV-2020
Doing CORPOR 5.5000 21-JAN-2021
Doing CORPOR 4.3750 10-APR-2024
Doing CORPOR 4.2500 15-JAN-2025
Doing CORPOR 4.3750 14-OCT-2025
Doing CORPOR 4.3750 09-NOV-2027
Doing CORPOR 7.3340 15-FEB-2028
Doing CORPOR 4.9500 29-JUL-2035
Doing CORPOR 6.2500 01-NOV-2035
Doing CORPOR 7.0000 01-JAN-2038
Doing CORPOR 6.9500 26-JAN-2039
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPOR 3.7500 11-MAY-2017 | 11-MAY-2012 | 11-MAY-2017 | 11-NOV-2012 | 100.374 | 1.29167 | 1.33% | 00.16 | 00.15 | 00.16 | 0016 | 0.00 | 00.16 | 030 ||
| CORPOR 2.1250 02-OCT-2017 | 01-OCT-2012 | 02-OCT-2017 | 02-APR-2013 | 100.241 | 0.96215 | 1.68% | 00.54 | 00.54 | 00.54 | 0054 | 0.01 | 00.55 | 056 ||
| CORPOR 6.8750 15-AUG-2019 | 04-AUG-2009 | 15-AUG-2019 | 15-FEB-2010 | 110.298 | 0.57292 | 2.46% | 02.27 | 02.24 | 02.48 | 0248 | 0.06 | 02.28 | 067 ||
| CORPOR 7.3750 15-SEP-2019 | 14-SEP-2009 | 15-SEP-2019 | 15-MAR-2010 | 111.255 | 3.68750 | 2.69% | 02.26 | 02.23 | 02.57 | 0257 | 0.06 | 02.34 | 089 ||
| CORPOR 7.2500 15-DEC-2019 | 11-MAY-2009 | 15-DEC-2019 | 15-DEC-2009 | 112.486 | 1.81250 | 2.52% | 02.52 | 02.49 | 02.84 | 0284 | 0.08 | 02.56 | 066 ||
| CORPOR 5.3750 15-SEP-2020 | 16-SEP-2010 | 15-SEP-2020 | 15-SEP-2011 | 108.165 | 2.68750 | 2.90% | 03.17 | 03.12 | 03.46 | 0346 | 0.14 | 03.26 | 089 ||
| CORPOR 5.7500 16-NOV-2020 | 16-NOV-2010 | 16-NOV-2020 | 16-MAY-2011 | 109.590 | 1.90069 | 2.97% | 03.32 | 03.27 | 03.65 | 0365 | 0.13 | 03.39 | 093 ||
| CORPOR 5.5000 21-JAN-2021 | 30-SEP-2010 | 21-JAN-2021 | 21-JUL-2011 | 104.900 | 0.82500 | 4.11% | 03.51 | 03.43 | 03.63 | 0363 | 0.14 | 03.56 | 204 ||
| CORPOR 4.3750 10-APR-2024 | 10-APR-2014 | 10-APR-2024 | 10-OCT-2014 | 101.836 | 1.88368 | 4.07% | 06.06 | 05.93 | 06.15 | 0615 | 0.42 | 06.29 | 168 ||
| CORPOR 4.2500 15-JAN-2025 | 22-MAR-2016 | 15-JAN-2025 | 15-JAN-2017 | 093.770 | 0.70833 | 5.23% | 06.65 | 06.48 | 06.12 | 0612 | 0.50 | 06.92 | 279 ||
| CORPOR 4.3750 14-OCT-2025 | 14-OCT-2015 | 14-OCT-2025 | 14-APR-2016 | 100.626 | 1.83507 | 4.29% | 07.12 | 06.97 | 07.14 | 0714 | 0.58 | 07.48 | 180 ||
| CORPOR 4.3750 09-NOV-2027 | 09-NOV-2012 | 09-NOV-2027 | 09-MAY-2013 | 103.963 | 1.53125 | 3.92% | 08.55 | 08.38 | 08.84 | 0884 | 0.85 | 09.04 | 134 ||
| CORPOR 7.3340 15-FEB-2028 | 21-DEC-2010 | 15-FEB-2028 | 15-AUG-2011 | 127.842 | 0.61117 | 4.14% | 08.07 | 07.91 | 10.16 | 1016 | 0.79 | 08.60 | 157 ||
| CORPOR 4.9500 29-JUL-2035 | 01-OCT-2015 | 29-JUL-2035 | 29-JUL-2016 | 105.826 | 0.63250 | 4.48% | 12.39 | 12.11 | 12.89 | 1289 | 1.93 | 14.12 | 174 ||
| CORPOR 6.2500 01-NOV-2035 | 19-MAY-2015 | 01-NOV-2035 | 01-MAY-2016 | 110.875 | 2.32639 | 5.32% | 11.41 | 11.11 | 12.57 | 1257 | 1.72 | 13.75 | 259 ||
| CORPOR 7.0000 01-JAN-2038 | 13-AUG-2013 | 01-JAN-2038 | 01-JUL-2014 | 121.619 | 1.43889 | 5.27% | 12.01 | 11.69 | 14.38 | 1438 | 1.94 | 14.78 | 253 ||
| CORPOR 6.9500 26-JAN-2039 | 26-JAN-2009 | 26-JAN-2039 | 26-JUL-2009 | 124.875 | 0.94597 | 5.06% | 12.53 | 12.21 | 15.37 | 1537 | 2.12 | 15.42 | 230 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| CORPOR 3.7500 11-MAY-2017 | 100.374 | 1.33% | 030 | 029 | 00.16 | 00.01 | 130 | 029 | -038 | 029 | null ||
| CORPOR 2.1250 02-OCT-2017 | 100.241 | 1.68% | 056 | 064 | 00.54 | 00.01 | 018 | 064 | -002 | 064 | null ||
| CORPOR 6.8750 15-AUG-2019 | 110.298 | 2.46% | 067 | 096 | 02.25 | 00.06 | 086 | 096 | 065 | 109 | 02YON ||
| CORPOR 7.3750 15-SEP-2019 | 111.255 | 2.69% | 089 | 117 | 02.31 | 00.07 | 094 | 117 | 087 | 102 | 03YON ||
| CORPOR 7.2500 15-DEC-2019 | 112.486 | 2.52% | 066 | 092 | 02.53 | 00.08 | 111 | 092 | 064 | 085 | 03YON ||
| CORPOR 5.3750 15-SEP-2020 | 108.165 | 2.90% | 089 | 112 | 03.20 | 00.12 | 093 | 112 | 088 | 123 | 03YON ||
| CORPOR 5.7500 16-NOV-2020 | 109.590 | 2.97% | 093 | 115 | 03.33 | 00.13 | 121 | 115 | 092 | 130 | 03YON ||
| CORPOR 5.5000 21-JAN-2021 | 104.900 | 4.11% | 204 | 224 | 03.46 | 00.14 | 215 | 224 | 203 | 244 | 03YON ||
| CORPOR 4.3750 10-APR-2024 | 101.836 | 4.07% | 169 | 164 | 06.04 | 00.43 | 170 | 164 | 167 | 164 | 07YON ||
| CORPOR 4.2500 15-JAN-2025 | 093.770 | 5.23% | 279 | 275 | 06.53 | 00.50 | 264 | 275 | 277 | 280 | 07YON ||
| CORPOR 4.3750 14-OCT-2025 | 100.626 | 4.29% | 181 | 177 | 07.10 | 00.59 | 180 | 177 | 178 | 169 | 10YON ||
| CORPOR 4.3750 09-NOV-2027 | 103.963 | 3.92% | 134 | 129 | 08.51 | 00.86 | 137 | 129 | 132 | 132 | 10YON ||
| CORPOR 7.3340 15-FEB-2028 | 127.842 | 4.14% | 158 | 151 | 07.95 | 00.79 | 184 | 151 | 153 | 154 | 10YON ||
| CORPOR 4.9500 29-JUL-2035 | 105.826 | 4.48% | 175 | 160 | 12.19 | 01.94 | 178 | 160 | 171 | 129 | 30YON ||
| CORPOR 6.2500 01-NOV-2035 | 110.875 | 5.32% | 261 | 243 | 11.35 | 01.75 | 275 | 243 | 255 | 213 | 30YON ||
| CORPOR 7.0000 01-JAN-2038 | 121.619 | 5.27% | 255 | 231 | 11.84 | 01.97 | 287 | 231 | 248 | 208 | 30YON ||
| CORPOR 6.9500 26-JAN-2039 | 124.875 | 5.06% | 232 | 207 | 12.32 | 02.14 | 266 | 207 | 226 | 187 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::15-mar-2018 | tsy::15-mar-2019 | tsy::15-mar-2020 | tsy::15-mar-2022 | tsy::15-mar-2024 | tsy::15-mar-2027 | tsy::15-mar-2037 | tsy::15-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| CORPOR 3.7500 11-MAY-2017 | 00.16 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 2.1250 02-OCT-2017 | 00.54 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 6.8750 15-AUG-2019 | -00.00 | 01.31 | 00.94 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 7.3750 15-SEP-2019 | -00.00 | 01.15 | 01.16 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 7.2500 15-DEC-2019 | -00.00 | 00.63 | 01.90 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 5.3750 15-SEP-2020 | -00.00 | -00.00 | 02.39 | 00.81 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 5.7500 16-NOV-2020 | -00.00 | -00.00 | 02.21 | 01.12 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 5.5000 21-JAN-2021 | -00.00 | -00.00 | 01.98 | 01.48 | -00.00 | -00.00 | -00.00 | -00.00 ||
| CORPOR 4.3750 10-APR-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.90 | 00.14 | -00.00 | -00.00 ||
| CORPOR 4.2500 15-JAN-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 04.71 | 01.83 | -00.00 | -00.00 ||
| CORPOR 4.3750 14-OCT-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.35 | 03.75 | -00.00 | -00.00 ||
| CORPOR 4.3750 09-NOV-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.95 | 00.56 | -00.00 ||
| CORPOR 7.3340 15-FEB-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.21 | 00.73 | -00.00 ||
| CORPOR 4.9500 29-JUL-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.99 | 10.20 | -00.00 ||
| CORPOR 6.2500 01-NOV-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.55 | 09.79 | -00.00 ||
| CORPOR 7.0000 01-JAN-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.88 | 00.95 ||
| CORPOR 6.9500 26-JAN-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.01 | 02.30 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:46 EST 2020
| Setup Time => Mon Jan 27 01:15:46 EST 2020
| Finish Time => Mon Jan 27 01:15:47 EST 2020
| Setup Duration => 0 ms
| Run Duration => 923 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 01:15:47 EST 2020
| Setup Time => Mon Jan 27 01:15:47 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011296 | 0.011296 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011475 | 0.011475 ||
| [15-SEP-2017] = 0.013450 | 0.013450 ||
| [15-DEC-2017] = 0.014900 | 0.014900 ||
| [15-MAR-2018] = 0.016550 | 0.016550 ||
| [15-JUN-2018] = 0.017950 | 0.017950 ||
| [15-SEP-2018] = 0.019400 | 0.019400 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017129 | 0.017129 | 0.017129 ||
| [14-MAR-2020] = 0.019454 | 0.019454 | 0.019454 ||
| [14-MAR-2021] = 0.021144 | 0.021144 | 0.021144 ||
| [14-MAR-2022] = 0.022391 | 0.022391 | 0.022391 ||
| [14-MAR-2023] = 0.023340 | 0.023340 | 0.023340 ||
| [14-MAR-2024] = 0.024125 | 0.024125 | 0.024125 ||
| [14-MAR-2025] = 0.024783 | 0.024783 | 0.024783 ||
| [14-MAR-2026] = 0.025343 | 0.025343 | 0.025343 ||
| [14-MAR-2027] = 0.025820 | 0.025820 | 0.025820 ||
| [14-MAR-2028] = 0.026230 | 0.026230 | 0.026230 ||
| [14-MAR-2029] = 0.026595 | 0.026595 | 0.026595 ||
| [14-MAR-2032] = 0.027330 | 0.027330 | 0.027330 ||
| [14-MAR-2037] = 0.027955 | 0.027955 | 0.027955 ||
| [14-MAR-2042] = 0.028125 | 0.028125 | 0.028125 ||
| [14-MAR-2047] = 0.028128 | 0.028128 | 0.028128 ||
| [14-MAR-2057] = 0.028002 | 0.028002 | 0.028002 ||
| [14-MAR-2067] = 0.027755 | 0.027755 | 0.027755 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 0.830% | 0.830% ||
| UST 1.00 10-MAR-2019 | 1.220% | 1.220% ||
| UST 1.25 10-MAR-2020 | 1.490% | 1.490% ||
| UST 1.50 10-MAR-2022 | 1.930% | 1.930% ||
| UST 2.00 10-MAR-2024 | 2.270% | 2.270% ||
| UST 2.25 10-MAR-2027 | 2.480% | 2.480% ||
| UST 2.50 10-MAR-2037 | 2.800% | 2.800% ||
| UST 3.00 10-MAR-2047 | 3.080% | 3.080% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 15-MAR-2017 ||
|--------------------------------||
Bond, Issue, Maturity, Floater Index, Spread, First Coupon, Clean Price, Accrued, Yield TW, Yield TM, Bond Equivalent Yield TM, WAL TW, WAL TM, Duration TW, Discount Margin TW, OAS TW
55608PAF1,24-MAR-2014,24-MAR-2017,USD-LIBOR-3M, 079.0,24-JUN-2014, 100.019, 0.4021, 1.282%, 1.282%, 1.284%, 0.039, 0.039, 0.0001, 28.522, 45.228
233851BX1,03-AUG-2015,03-AUG-2017,USD-LIBOR-3M, 071.0,03-NOV-2015, 100.246, 0.1938, 1.263%, 1.263%, 1.265%, 0.405, 0.405, 0.0010, 22.844, 30.535
00817YAR9,09-JUN-2016,08-DEC-2017,USD-LIBOR-3M, 065.0,08-DEC-2016, 100.397, 0.0341, 1.422%, 1.422%, 1.424%, 0.755, 0.755, 0.0024, 31.570, 39.978
38141GVK7,30-APR-2013,30-APR-2018,USD-LIBOR-3M, 120.0,30-JUL-2013, 100.976, 0.2737, 1.768%, 1.768%, 1.772%, 1.143, 1.143, 0.0098, 72.940, 50.139
865622CD4,19-OCT-2016,19-OCT-2018,USD-LIBOR-3M, 067.0,19-JAN-2017, 100.331, 0.2574, 2.051%, 2.051%, 2.056%, 1.611, 1.611, 0.0102, 103.585, 41.091
63307A2B0,14-DEC-2015,14-DEC-2018,USD-LIBOR-3M, 084.0,14-MAR-2016, 100.587, 0.0055, 2.126%, 2.126%, 2.132%, 1.759, 1.759, 0.0150, 100.491, 49.970
6325C0DE8,14-JAN-2016,14-JAN-2019,USD-LIBOR-3M, 078.0,14-APR-2016, 100.797, 0.3005, 1.980%, 1.980%, 1.985%, 1.843, 1.843, 0.0152, 95.717, 21.051
55608PAU8,15-JAN-2016,15-JAN-2019,USD-LIBOR-3M, 118.0,15-APR-2016, 101.145, 0.3611, 2.190%, 2.190%, 2.196%, 1.840, 1.840, 0.0230, 116.690, 42.032
61746BDY9,27-JAN-2016,01-FEB-2019,USD-LIBOR-3M, 137.5,01-MAY-2016, 101.728, 0.2811, 2.099%, 2.099%, 2.105%, 1.882, 1.882, 0.0281, 106.548, 31.599
80283LAL7,14-MAR-2016,14-MAR-2019,USD-LIBOR-3M, 148.0,14-JUN-2016, 101.644, 0.0073, 2.324%, 2.324%, 2.330%, 1.988, 1.988, 0.0335, 120.238, 55.534
961214CU5,13-MAY-2016,13-MAY-2019,USD-LIBOR-3M, 071.0,13-AUG-2016, 100.739, 0.1453, 2.069%, 2.069%, 2.075%, 2.161, 2.161, 0.0186, 103.572, 13.554
94988J5E3,02-JUN-2016,24-MAY-2019,USD-LIBOR-3M, 060.0,24-NOV-2016, 100.554, 0.0873, 2.056%, 2.056%, 2.062%, 2.192, 2.192, 0.0161, 100.226, 12.651
064159HU3,14-JUN-2016,14-JUN-2019,USD-LIBOR-3M, 066.0,14-SEP-2016, 100.638, 0.0050, 2.104%, 2.104%, 2.110%, 2.246, 2.246, 0.0186, 98.306, 20.712
23636AAG6,08-SEP-2016,06-SEP-2019,USD-LIBOR-3M, 058.0,06-MAR-2017, 100.326, 0.0420, 2.228%, 2.228%, 2.234%, 2.470, 2.470, 0.0195, 112.798, 19.543
65557CAU7,30-SEP-2016,30-SEP-2019,USD-LIBOR-3M, 062.0,30-DEC-2016, 100.428, 0.3371, 2.246%, 2.246%, 2.253%, 2.532, 2.532, 0.0219, 124.824, 7.904
86563VAF6,18-OCT-2016,18-OCT-2019,USD-LIBOR-3M, 091.0,18-JAN-2017, 100.528, 0.3008, 2.509%, 2.509%, 2.517%, 2.571, 2.571, 0.0334, 148.566, 34.510
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:15:47 EST 2020
| Setup Time => Mon Jan 27 01:15:47 EST 2020
| Finish Time => Mon Jan 27 01:15:48 EST 2020
| Setup Duration => 0 ms
| Run Duration => 361 ms
|-----------------------------------------------------------------|