|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:43 EST 2020
| Setup Time => Mon Jan 27 01:16:43 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|--------------------------------||
| Trade Date : 24-MAR-2017 ||
| Cash Settle Date : 24-MAR-2017 ||
|--------------------------------||
Bond Name => Davanagere
Effective Date => 03-DEC-2009
Maturity Date => 01-DEC-2039
Exercise Date => 01-DEC-2019
Price => 108.64100
Bond Accrued => 2.0585
Bond YTM => 5.86%
Bond YTW => 3.17%
Bond WAL TM => 16.1
Bond WAL TW => 02.5
Bond Modified Duration TM => 11.9423
Bond Modified Duration TW => 02.4308
Bond OAS Duration => 02.4769
Bond Z Spread TM => 314
Bond Z Spread TW => 133
Bond OAS TM => 446
Bond OAS TW => 177
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:43 EST 2020
| Setup Time => Mon Jan 27 01:16:43 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|--------------------------------||
| Trade Date : 24-MAR-2017 ||
| Cash Settle Date : 24-MAR-2017 ||
|--------------------------------||
Bond Name => Kozhikode
Effective Date => 23-MAY-2016
Maturity Date => 23-MAY-2036
Exercise Date => 23-MAY-2036
Price => 93.89800
Bond Accrued => 1.0184
Bond YTM => 3.47%
Bond YTW => 3.47%
Bond WAL TM => 15.7
Bond WAL TW => 15.7
Bond Modified Duration TM => 14.0937
Bond Modified Duration TW => 14.0937
Bond OAS Duration => 14.2465
Bond Z Spread TM => 070
Bond Z Spread TW => 070
Bond OAS TM => 070
Bond OAS TW => 070
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:43 EST 2020
| Setup Time => Mon Jan 27 01:16:43 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|--------------------------------||
| Trade Date : 24-MAR-2017 ||
| Cash Settle Date : 24-MAR-2017 ||
|--------------------------------||
Bond Name => Kurnool
Effective Date => 11-APR-2014
Maturity Date => 11-APR-2029
Exercise Date => 11-APR-2029
Price => 100.08500
Bond Accrued => 1.8111
Bond YTM => 3.99%
Bond YTW => 3.99%
Bond WAL TM => 10.2
Bond WAL TW => 10.2
Bond Modified Duration TM => 09.3143
Bond Modified Duration TW => 09.3143
Bond OAS Duration => 09.4828
Bond Z Spread TM => 136
Bond Z Spread TW => 136
Bond OAS TM => 145
Bond OAS TW => 145
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:44 EST 2020
| Setup Time => Mon Jan 27 01:16:44 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 MUNICI 4.4000 01-FEB-2021
Doing MUNICI 5.2100 01-DEC-2022
Doing MUNICI 1.1800 01-FEB-2025
Doing MUNICI 4.6760 15-DEC-2025
Doing MUNICI 5.4000 01-FEB-2026
Doing MUNICI 6.8170 15-MAR-2028
Doing MUNICI 5.6170 30-JUN-2028
Doing MUNICI 6.6450 01-MAY-2029
Doing MUNICI 6.8500 01-SEP-2029
Doing MUNICI 4.5000 01-AUG-2031
Doing MUNICI 6.5480 15-NOV-2031
Doing MUNICI 7.0990 01-APR-2032
Doing MUNICI 5.9000 01-APR-2034
Doing MUNICI 6.6300 01-FEB-2035
Doing MUNICI 7.3500 01-JUL-2035
Doing MUNICI 6.3520 01-JUL-2037
Doing MUNICI 7.3360 15-NOV-2039
Doing MUNICI 5.6000 15-MAR-2040
Doing MUNICI 5.3890 15-MAR-2040
Doing MUNICI 7.0000 01-JUN-2040
Doing MUNICI 6.7900 01-JUL-2040
Doing MUNICI 7.3280 01-JUL-2040
Doing MUNICI 7.1020 01-JAN-2041
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 4.4000 01-FEB-2021 | 20-DEC-2011 | 01-FEB-2021 | 01-AUG-2012 | 106.913 | 0.53778 | 2.52% | 03.60 | 03.56 | 03.82 | 0382 | 0.15 | 03.63 | 044 ||
| MUNICI 5.2100 01-DEC-2022 | 11-MAY-2011 | 01-DEC-2022 | 01-DEC-2011 | 111.329 | 1.50511 | 3.03% | 04.99 | 04.91 | 05.55 | 0555 | 0.29 | 05.11 | 076 ||
| MUNICI 1.1800 01-FEB-2025 | 10-DEC-2009 | 01-FEB-2025 | 01-AUG-2010 | 089.042 | 0.14422 | 2.74% | 07.51 | 07.40 | 06.60 | 0660 | 0.60 | 07.56 | 026 ||
| MUNICI 4.6760 15-DEC-2025 | 30-JUL-2012 | 15-DEC-2025 | 15-JUN-2013 | 103.080 | 1.16900 | 4.25% | 07.23 | 07.07 | 07.37 | 0737 | 0.60 | 07.55 | 176 ||
| MUNICI 5.4000 01-FEB-2026 | 12-APR-2011 | 01-FEB-2026 | 01-FEB-2012 | 113.013 | 0.66000 | 3.67% | 07.25 | 07.11 | 08.09 | 0809 | 0.61 | 07.52 | 118 ||
| MUNICI 6.8170 15-MAR-2028 | 16-DEC-2010 | 15-MAR-2028 | 15-SEP-2011 | 125.890 | 3.40850 | 3.90% | 08.07 | 07.91 | 10.23 | 1023 | 0.80 | 08.75 | 133 ||
| MUNICI 5.6170 30-JUN-2028 | 30-JUN-2007 | 30-JUN-2028 | 30-DEC-2007 | 113.644 | 1.17021 | 4.10% | 08.62 | 08.45 | 09.70 | 0970 | 0.89 | 09.20 | 150 ||
| MUNICI 6.6450 01-MAY-2029 | 28-OCT-2010 | 01-MAY-2029 | 01-MAY-2011 | 110.663 | 2.47342 | 5.43% | 08.52 | 08.29 | 09.38 | 0938 | 0.90 | 09.53 | 282 ||
| MUNICI 6.8500 01-SEP-2029 | 07-DEC-2010 | 01-SEP-2029 | 01-SEP-2011 | 119.263 | 0.26639 | 4.78% | 08.92 | 08.71 | 10.41 | 1041 | 0.98 | 09.71 | 216 ||
| MUNICI 4.5000 01-AUG-2031 | 26-AUG-2010 | 01-AUG-2031 | 01-AUG-2011 | 110.931 | 0.55000 | 3.52% | 10.90 | 10.70 | 11.93 | 1193 | 1.43 | 11.65 | 084 ||
| MUNICI 6.5480 15-NOV-2031 | 11-FEB-2010 | 15-NOV-2031 | 15-NOV-2010 | 126.225 | 2.18267 | 4.14% | 10.07 | 09.86 | 12.66 | 1266 | 1.27 | 11.20 | 147 ||
| MUNICI 7.0990 01-APR-2032 | 22-DEC-2010 | 01-APR-2032 | 01-OCT-2011 | 131.765 | 3.23399 | 4.22% | 10.00 | 09.79 | 13.22 | 1322 | 1.28 | 11.29 | 155 ||
| MUNICI 5.9000 01-APR-2034 | 03-MAY-2012 | 01-APR-2034 | 01-APR-2013 | 105.400 | 2.68778 | 5.41% | 10.87 | 10.57 | 11.43 | 1143 | 1.53 | 12.90 | 269 ||
| MUNICI 6.6300 01-FEB-2035 | 04-FEB-2010 | 01-FEB-2035 | 01-FEB-2011 | 099.375 | 0.81033 | 6.69% | 10.62 | 10.27 | 10.29 | 1029 | 1.49 | 13.16 | 397 ||
| MUNICI 7.3500 01-JUL-2035 | 21-JUL-2010 | 01-JUL-2035 | 01-JUL-2011 | 108.384 | 1.51083 | 6.56% | 10.52 | 10.18 | 11.18 | 1118 | 1.49 | 13.19 | 383 ||
| MUNICI 6.3520 01-JUL-2037 | 15-JUN-2011 | 01-JUL-2037 | 01-JAN-2012 | 118.312 | 1.30569 | 4.92% | 12.26 | 11.96 | 14.31 | 1431 | 1.99 | 14.72 | 216 ||
| MUNICI 7.3360 15-NOV-2039 | 30-APR-2009 | 15-NOV-2039 | 15-NOV-2009 | 142.599 | 2.44533 | 4.36% | 12.95 | 12.66 | 18.37 | 1837 | 2.28 | 15.74 | 160 ||
| MUNICI 5.6000 15-MAR-2040 | 30-JUN-2010 | 15-MAR-2040 | 15-MAR-2011 | 120.792 | 2.80000 | 4.18% | 13.80 | 13.50 | 16.69 | 1669 | 2.55 | 16.67 | 141 ||
| MUNICI 5.3890 15-MAR-2040 | 14-OCT-2010 | 15-MAR-2040 | 15-SEP-2011 | 118.519 | 2.69450 | 4.13% | 13.95 | 13.65 | 16.55 | 1655 | 2.60 | 16.77 | 136 ||
| MUNICI 7.0000 01-JUN-2040 | 11-FEB-2010 | 01-JUN-2040 | 01-DEC-2010 | 125.833 | 2.02222 | 5.09% | 12.80 | 12.47 | 15.95 | 1595 | 2.26 | 16.18 | 233 ||
| MUNICI 6.7900 01-JUL-2040 | 30-NOV-2010 | 01-JUL-2040 | 01-JUL-2011 | 126.796 | 1.39572 | 4.86% | 13.12 | 12.80 | 16.40 | 1640 | 2.35 | 16.31 | 209 ||
| MUNICI 7.3280 01-JUL-2040 | 17-NOV-2010 | 01-JUL-2040 | 01-JUL-2011 | 121.845 | 1.50631 | 5.63% | 12.42 | 12.07 | 14.89 | 1489 | 2.15 | 16.11 | 287 ||
| MUNICI 7.1020 01-JAN-2041 | 15-DEC-2010 | 01-JAN-2041 | 01-JUL-2011 | 137.706 | 1.45986 | 4.50% | 13.40 | 13.09 | 18.22 | 1822 | 2.45 | 16.48 | 174 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 4.4000 01-FEB-2021 | 106.913 | 2.52% | 044 | 064 | 03.57 | 00.15 | 052 | 064 | 043 | 085 | 03YON ||
| MUNICI 5.2100 01-DEC-2022 | 111.329 | 3.03% | 076 | 080 | 04.98 | 00.29 | 091 | 080 | 073 | 090 | 05YON ||
| MUNICI 1.1800 01-FEB-2025 | 089.042 | 2.74% | 026 | 026 | 07.42 | 00.60 | 022 | 026 | 027 | 031 | 07YON ||
| MUNICI 4.6760 15-DEC-2025 | 103.080 | 4.25% | 177 | 172 | 07.16 | 00.61 | 179 | 172 | 174 | 165 | 10YON ||
| MUNICI 5.4000 01-FEB-2026 | 113.013 | 3.67% | 118 | 113 | 07.16 | 00.61 | 128 | 113 | 115 | 107 | 10YON ||
| MUNICI 6.8170 15-MAR-2028 | 125.890 | 3.90% | 134 | 127 | 08.13 | 00.82 | 151 | 127 | 129 | 130 | 10YON ||
| MUNICI 5.6170 30-JUN-2028 | 113.644 | 4.10% | 151 | 145 | 08.54 | 00.90 | 164 | 145 | 147 | 150 | 10YON ||
| MUNICI 6.6450 01-MAY-2029 | 110.663 | 5.43% | 284 | 276 | 08.48 | 00.92 | 301 | 276 | 278 | 283 | 10YON ||
| MUNICI 6.8500 01-SEP-2029 | 119.263 | 4.78% | 217 | 210 | 08.73 | 00.97 | 240 | 210 | 212 | 218 | 10YON ||
| MUNICI 4.5000 01-AUG-2031 | 110.931 | 3.52% | 084 | 078 | 10.76 | 01.42 | 089 | 078 | 082 | 092 | 10YON ||
| MUNICI 6.5480 15-NOV-2031 | 126.225 | 4.14% | 148 | 138 | 10.04 | 01.30 | 174 | 138 | 143 | 154 | 10YON ||
| MUNICI 7.0990 01-APR-2032 | 131.765 | 4.22% | 156 | 145 | 10.04 | 01.31 | 191 | 145 | 150 | 103 | 30YON ||
| MUNICI 5.9000 01-APR-2034 | 105.400 | 5.41% | 271 | 257 | 10.85 | 01.58 | 277 | 257 | 266 | 222 | 30YON ||
| MUNICI 6.6300 01-FEB-2035 | 099.375 | 6.69% | 400 | 382 | 10.36 | 01.51 | 391 | 382 | 393 | 350 | 30YON ||
| MUNICI 7.3500 01-JUL-2035 | 108.384 | 6.56% | 387 | 367 | 10.33 | 01.52 | 401 | 367 | 379 | 337 | 30YON ||
| MUNICI 6.3520 01-JUL-2037 | 118.312 | 4.92% | 219 | 197 | 12.10 | 02.01 | 241 | 197 | 213 | 173 | 30YON ||
| MUNICI 7.3360 15-NOV-2039 | 142.599 | 4.36% | 162 | 135 | 12.89 | 02.32 | 207 | 135 | 156 | 117 | 30YON ||
| MUNICI 5.6000 15-MAR-2040 | 120.792 | 4.18% | 143 | 117 | 13.83 | 02.61 | 158 | 117 | 138 | 099 | 30YON ||
| MUNICI 5.3890 15-MAR-2040 | 118.519 | 4.13% | 137 | 112 | 13.97 | 02.65 | 151 | 112 | 133 | 094 | 30YON ||
| MUNICI 7.0000 01-JUN-2040 | 125.833 | 5.09% | 235 | 207 | 12.69 | 02.30 | 272 | 207 | 229 | 190 | 30YON ||
| MUNICI 6.7900 01-JUL-2040 | 126.796 | 4.86% | 211 | 183 | 12.95 | 02.37 | 245 | 183 | 206 | 167 | 30YON ||
| MUNICI 7.3280 01-JUL-2040 | 121.845 | 5.63% | 290 | 261 | 12.23 | 02.18 | 328 | 261 | 283 | 244 | 30YON ||
| MUNICI 7.1020 01-JAN-2041 | 137.706 | 4.50% | 176 | 147 | 13.24 | 02.48 | 217 | 147 | 170 | 131 | 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 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 4.4000 01-FEB-2021 | -00.00 | -00.00 | 01.99 | 01.58 | -00.00 | -00.00 | -00.00 | -00.00 ||
| MUNICI 5.2100 01-DEC-2022 | -00.00 | -00.00 | -00.00 | 03.20 | 01.78 | -00.00 | -00.00 | -00.00 ||
| MUNICI 1.1800 01-FEB-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 05.23 | 02.19 | -00.00 | -00.00 ||
| MUNICI 4.6760 15-DEC-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 02.97 | 04.18 | -00.00 | -00.00 ||
| MUNICI 5.4000 01-FEB-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.66 | 04.50 | -00.00 | -00.00 ||
| MUNICI 6.8170 15-MAR-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.31 | 00.81 | -00.00 ||
| MUNICI 5.6170 30-JUN-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.43 | 01.11 | -00.00 ||
| MUNICI 6.6450 01-MAY-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.67 | 01.81 | -00.00 ||
| MUNICI 6.8500 01-SEP-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.58 | 02.15 | -00.00 ||
| MUNICI 4.5000 01-AUG-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.05 | 04.71 | -00.00 ||
| MUNICI 6.5480 15-NOV-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.35 | 04.69 | -00.00 ||
| MUNICI 7.0990 01-APR-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.97 | 05.07 | -00.00 ||
| MUNICI 5.9000 01-APR-2034 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.20 | 07.64 | -00.00 ||
| MUNICI 6.6300 01-FEB-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.19 | 08.16 | -00.00 ||
| MUNICI 7.3500 01-JUL-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 01.76 | 08.56 | -00.00 ||
| MUNICI 6.3520 01-JUL-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.74 | 00.36 ||
| MUNICI 7.3360 15-NOV-2039 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 09.44 | 03.44 ||
| MUNICI 5.6000 15-MAR-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.67 | 04.15 ||
| MUNICI 5.3890 15-MAR-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.77 | 04.19 ||
| MUNICI 7.0000 01-JUN-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.60 | 04.08 ||
| MUNICI 6.7900 01-JUL-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.67 | 04.27 ||
| MUNICI 7.3280 01-JUL-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.19 | 04.03 ||
| MUNICI 7.1020 01-JAN-2041 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.20 | 05.03 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:45 EST 2020
| Setup Time => Mon Jan 27 01:16:45 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 MUNICI 8.0000 01-NOV-2020
Doing MUNICI 6.0500 01-AUG-2021
Doing MUNICI 5.9140 01-AUG-2025
Doing MUNICI 6.6500 01-AUG-2025
Doing MUNICI 6.2000 15-NOV-2026
Doing MUNICI 7.3340 15-FEB-2028
Doing MUNICI 7.2500 01-AUG-2028
Doing MUNICI 6.2500 01-JUL-2029
Doing MUNICI 6.5000 01-MAY-2030
Doing MUNICI 6.2020 01-JUL-2031
Doing MUNICI 6.7250 01-APR-2035
Doing MUNICI 7.0890 01-DEC-2038
Doing MUNICI 5.6500 01-DEC-2038
Doing MUNICI 7.7470 01-MAY-2039
Doing MUNICI 6.1380 01-DEC-2039
Doing MUNICI 6.2570 01-JAN-2040
Doing MUNICI 6.9000 01-JAN-2040
Doing MUNICI 8.2230 15-FEB-2040
Doing MUNICI 8.5720 01-NOV-2040
Doing MUNICI 6.7420 01-NOV-2040
Doing MUNICI 6.8140 15-NOV-2040
Doing MUNICI 6.5190 01-DEC-2040
Doing MUNICI 6.8990 01-DEC-2040
Doing MUNICI 7.0880 01-JAN-2042
Doing MUNICI 5.4320 01-JAN-2042
Doing MUNICI 6.8200 01-JUL-2045
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 8.0000 01-NOV-2020 | 04-MAR-2011 | 01-NOV-2020 | 01-NOV-2011 | 104.967 | 2.97778 | 6.44% | 03.14 | 03.05 | 03.29 | 0329 | 0.12 | 03.27 | 442 ||
| MUNICI 6.0500 01-AUG-2021 | 21-APR-2011 | 01-AUG-2021 | 01-FEB-2012 | 110.128 | 0.73944 | 3.53% | 03.91 | 03.84 | 04.26 | 0426 | 0.18 | 03.97 | 140 ||
| MUNICI 5.9140 01-AUG-2025 | 03-MAY-2011 | 01-AUG-2025 | 01-FEB-2012 | 116.735 | 0.72282 | 3.58% | 06.83 | 06.71 | 07.88 | 0788 | 0.54 | 07.07 | 112 ||
| MUNICI 6.6500 01-AUG-2025 | 21-APR-2011 | 01-AUG-2025 | 01-FEB-2012 | 118.555 | 0.81278 | 4.02% | 06.68 | 06.55 | 07.82 | 0782 | 0.53 | 06.97 | 156 ||
| MUNICI 6.2000 15-NOV-2026 | 07-JUL-2010 | 15-NOV-2026 | 15-MAY-2011 | 118.253 | 2.06667 | 3.91% | 07.49 | 07.35 | 08.84 | 0884 | 0.67 | 07.95 | 139 ||
| MUNICI 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 ||
| MUNICI 7.2500 01-AUG-2028 | 21-DEC-2010 | 01-AUG-2028 | 01-AUG-2011 | 121.417 | 0.88611 | 4.79% | 08.23 | 08.04 | 09.83 | 0983 | 0.83 | 08.92 | 221 ||
| MUNICI 6.2500 01-JUL-2029 | 02-JUN-2004 | 01-JUL-2029 | 01-JAN-2005 | 114.421 | 1.28472 | 4.69% | 08.92 | 08.71 | 10.08 | 1008 | 0.97 | 09.73 | 207 ||
| MUNICI 6.5000 01-MAY-2030 | 17-NOV-2010 | 01-MAY-2030 | 01-NOV-2011 | 117.378 | 2.41944 | 4.71% | 09.19 | 08.97 | 10.75 | 1075 | 1.05 | 10.22 | 207 ||
| MUNICI 6.2020 01-JUL-2031 | 15-JUN-2011 | 01-JUL-2031 | 01-JAN-2012 | 114.053 | 1.27486 | 4.83% | 09.90 | 09.66 | 11.14 | 1114 | 1.22 | 11.05 | 216 ||
| MUNICI 6.7250 01-APR-2035 | 26-APR-2010 | 01-APR-2035 | 01-APR-2011 | 099.015 | 3.06361 | 6.82% | 10.35 | 10.00 | 10.21 | 1021 | 1.45 | 13.23 | 410 ||
| MUNICI 7.0890 01-DEC-2038 | 17-SEP-2009 | 01-DEC-2038 | 01-JUN-2010 | 118.250 | 2.04793 | 5.62% | 12.01 | 11.67 | 14.03 | 1403 | 1.98 | 15.28 | 287 ||
| MUNICI 5.6500 01-DEC-2038 | 19-DEC-2013 | 01-DEC-2038 | 01-DEC-2014 | 104.378 | 1.63222 | 5.31% | 12.77 | 12.43 | 13.18 | 1318 | 2.19 | 15.87 | 254 ||
| MUNICI 7.7470 01-MAY-2039 | 30-DEC-2009 | 01-MAY-2039 | 01-NOV-2010 | 124.000 | 2.88361 | 5.81% | 11.74 | 11.40 | 14.47 | 1447 | 1.94 | 15.30 | 305 ||
| MUNICI 6.1380 01-DEC-2039 | 24-SEP-2009 | 01-DEC-2039 | 01-JUN-2010 | 073.475 | 1.77320 | 8.87% | 10.62 | 10.16 | 07.64 | 0764 | 1.66 | 16.24 | 610 ||
| MUNICI 6.2570 01-JAN-2040 | 27-JAN-2010 | 01-JAN-2040 | 01-JAN-2011 | 087.618 | 1.28616 | 7.39% | 11.57 | 11.15 | 09.91 | 0991 | 1.90 | 16.24 | 462 ||
| MUNICI 6.9000 01-JAN-2040 | 16-NOV-2010 | 01-JAN-2040 | 01-JUL-2011 | 123.382 | 1.41833 | 5.15% | 12.74 | 12.41 | 15.48 | 1548 | 2.22 | 15.98 | 238 ||
| MUNICI 8.2230 15-FEB-2040 | 28-JAN-2010 | 15-FEB-2040 | 15-AUG-2010 | 115.202 | 0.68525 | 6.89% | 11.37 | 10.99 | 12.73 | 1273 | 1.84 | 15.59 | 414 ||
| MUNICI 8.5720 01-NOV-2040 | 21-DEC-2010 | 01-NOV-2040 | 01-NOV-2011 | 129.960 | 3.19069 | 6.15% | 11.68 | 11.32 | 15.08 | 1508 | 1.97 | 15.89 | 339 ||
| MUNICI 6.7420 01-NOV-2040 | 10-NOV-2010 | 01-NOV-2040 | 01-NOV-2011 | 123.190 | 2.50952 | 5.05% | 12.99 | 12.66 | 15.91 | 1591 | 2.34 | 16.52 | 228 ||
| MUNICI 6.8140 15-NOV-2040 | 29-DEC-2010 | 15-NOV-2040 | 15-NOV-2011 | 131.862 | 2.27133 | 4.59% | 13.32 | 13.00 | 17.44 | 1744 | 2.43 | 16.52 | 183 ||
| MUNICI 6.5190 01-DEC-2040 | 02-NOV-2010 | 01-DEC-2040 | 01-JUN-2011 | 075.000 | 1.88327 | 9.11% | 10.46 | 09.99 | 07.68 | 0768 | 1.65 | 16.66 | 634 ||
| MUNICI 6.8990 01-DEC-2040 | 06-AUG-2008 | 01-DEC-2040 | 01-JUN-2009 | 124.043 | 1.99304 | 5.13% | 12.96 | 12.62 | 15.91 | 1591 | 2.32 | 16.51 | 237 ||
| MUNICI 7.0880 01-JAN-2042 | 01-SEP-2009 | 01-JAN-2042 | 01-JUL-2010 | 128.430 | 1.45698 | 5.06% | 13.30 | 12.96 | 16.84 | 1684 | 2.46 | 17.05 | 229 ||
| MUNICI 5.4320 01-JAN-2042 | 03-MAY-2012 | 01-JAN-2042 | 01-JAN-2013 | 079.824 | 1.11658 | 7.19% | 12.43 | 11.98 | 09.70 | 0970 | 2.22 | 17.82 | 441 ||
| MUNICI 6.8200 01-JUL-2045 | 23-DEC-2010 | 01-JUL-2045 | 01-JUL-2011 | 138.490 | 1.40189 | 4.42% | 14.91 | 14.57 | 20.39 | 2039 | 3.12 | 19.14 | 165 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 8.0000 01-NOV-2020 | 104.967 | 6.44% | 442 | 462 | 03.13 | 00.12 | 467 | 462 | 439 | 477 | 03YON ||
| MUNICI 6.0500 01-AUG-2021 | 110.128 | 3.53% | 140 | 154 | 03.87 | 00.19 | 154 | 154 | 138 | 140 | 05YON ||
| MUNICI 5.9140 01-AUG-2025 | 116.735 | 3.58% | 113 | 107 | 06.75 | 00.55 | 126 | 107 | 109 | 115 | 07YON ||
| MUNICI 6.6500 01-AUG-2025 | 118.555 | 4.02% | 157 | 151 | 06.60 | 00.53 | 176 | 151 | 153 | 159 | 07YON ||
| MUNICI 6.2000 15-NOV-2026 | 118.253 | 3.91% | 140 | 133 | 07.48 | 00.68 | 160 | 133 | 136 | 131 | 10YON ||
| MUNICI 7.3340 15-FEB-2028 | 127.842 | 4.14% | 158 | 151 | 07.95 | 00.79 | 184 | 151 | 153 | 154 | 10YON ||
| MUNICI 7.2500 01-AUG-2028 | 121.417 | 4.79% | 222 | 214 | 08.10 | 00.83 | 249 | 214 | 216 | 219 | 10YON ||
| MUNICI 6.2500 01-JUL-2029 | 114.421 | 4.69% | 208 | 201 | 08.81 | 00.98 | 226 | 201 | 204 | 209 | 10YON ||
| MUNICI 6.5000 01-MAY-2030 | 117.378 | 4.71% | 208 | 200 | 09.16 | 01.07 | 232 | 200 | 204 | 211 | 10YON ||
| MUNICI 6.2020 01-JUL-2031 | 114.053 | 4.83% | 217 | 208 | 09.77 | 01.23 | 234 | 208 | 212 | 223 | 10YON ||
| MUNICI 6.7250 01-APR-2035 | 099.015 | 6.82% | 413 | 395 | 10.32 | 01.50 | 403 | 395 | 405 | 363 | 30YON ||
| MUNICI 7.0890 01-DEC-2038 | 118.250 | 5.62% | 290 | 264 | 11.88 | 02.02 | 320 | 264 | 283 | 243 | 30YON ||
| MUNICI 5.6500 01-DEC-2038 | 104.378 | 5.31% | 257 | 232 | 12.64 | 02.22 | 259 | 232 | 251 | 212 | 30YON ||
| MUNICI 7.7470 01-MAY-2039 | 124.000 | 5.81% | 309 | 281 | 11.68 | 01.98 | 354 | 281 | 301 | 262 | 30YON ||
| MUNICI 6.1380 01-DEC-2039 | 073.475 | 8.87% | 618 | 586 | 10.41 | 01.70 | 488 | 586 | 607 | 568 | 30YON ||
| MUNICI 6.2570 01-JAN-2040 | 087.618 | 7.39% | 467 | 438 | 11.32 | 01.93 | 418 | 438 | 459 | 420 | 30YON ||
| MUNICI 6.9000 01-JAN-2040 | 123.382 | 5.15% | 241 | 214 | 12.56 | 02.24 | 274 | 214 | 235 | 196 | 30YON ||
| MUNICI 8.2230 15-FEB-2040 | 115.202 | 6.89% | 419 | 388 | 11.06 | 01.86 | 454 | 388 | 409 | 370 | 30YON ||
| MUNICI 8.5720 01-NOV-2040 | 129.960 | 6.15% | 343 | 312 | 11.61 | 02.02 | 409 | 312 | 335 | 296 | 30YON ||
| MUNICI 6.7420 01-NOV-2040 | 123.190 | 5.05% | 231 | 202 | 12.93 | 02.39 | 264 | 202 | 225 | 186 | 30YON ||
| MUNICI 6.8140 15-NOV-2040 | 131.862 | 4.59% | 185 | 156 | 13.24 | 02.47 | 222 | 156 | 179 | 140 | 30YON ||
| MUNICI 6.5190 01-DEC-2040 | 075.000 | 9.11% | 642 | 607 | 10.25 | 01.70 | 513 | 607 | 631 | 592 | 30YON ||
| MUNICI 6.8990 01-DEC-2040 | 124.043 | 5.13% | 239 | 210 | 12.84 | 02.36 | 274 | 210 | 233 | 194 | 30YON ||
| MUNICI 7.0880 01-JAN-2042 | 128.430 | 5.06% | 232 | 200 | 13.12 | 02.49 | 272 | 200 | 226 | 187 | 30YON ||
| MUNICI 5.4320 01-JAN-2042 | 079.824 | 7.19% | 446 | 413 | 12.16 | 02.25 | 374 | 413 | 438 | 400 | 30YON ||
| MUNICI 6.8200 01-JUL-2045 | 138.490 | 4.42% | 166 | 127 | 14.74 | 03.16 | 208 | 127 | 162 | 123 | 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 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 8.0000 01-NOV-2020 | -00.00 | -00.00 | 02.14 | 00.99 | -00.00 | -00.00 | -00.00 | -00.00 ||
| MUNICI 6.0500 01-AUG-2021 | -00.00 | -00.00 | 01.20 | 02.67 | -00.00 | -00.00 | -00.00 | -00.00 ||
| MUNICI 5.9140 01-AUG-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.64 | 03.11 | -00.00 | -00.00 ||
| MUNICI 6.6500 01-AUG-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.56 | 03.04 | -00.00 | -00.00 ||
| MUNICI 6.2000 15-NOV-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 00.82 | 06.66 | -00.00 | -00.00 ||
| MUNICI 7.3340 15-FEB-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.21 | 00.73 | -00.00 ||
| MUNICI 7.2500 01-AUG-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.98 | 01.12 | -00.00 ||
| MUNICI 6.2500 01-JUL-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.79 | 02.02 | -00.00 ||
| MUNICI 6.5000 01-MAY-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.29 | 02.87 | -00.00 ||
| MUNICI 6.2020 01-JUL-2031 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 05.57 | 04.20 | -00.00 ||
| MUNICI 6.7250 01-APR-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.02 | 08.30 | -00.00 ||
| MUNICI 7.0890 01-DEC-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.84 | 02.04 ||
| MUNICI 5.6500 01-DEC-2038 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 10.46 | 02.17 ||
| MUNICI 7.7470 01-MAY-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.19 | 02.48 ||
| MUNICI 6.1380 01-DEC-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.58 | 02.82 ||
| MUNICI 6.2570 01-JAN-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.15 | 03.17 ||
| MUNICI 6.9000 01-JAN-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.04 | 03.51 ||
| MUNICI 8.2230 15-FEB-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.82 | 03.23 ||
| MUNICI 8.5720 01-NOV-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.39 | 04.22 ||
| MUNICI 6.7420 01-NOV-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.23 | 04.70 ||
| MUNICI 6.8140 15-NOV-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.37 | 04.86 ||
| MUNICI 6.5190 01-DEC-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.44 | 03.81 ||
| MUNICI 6.8990 01-DEC-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.06 | 04.77 ||
| MUNICI 7.0880 01-JAN-2042 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.82 | 06.30 ||
| MUNICI 5.4320 01-JAN-2042 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.32 | 05.84 ||
| MUNICI 6.8200 01-JUL-2045 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.51 | 12.22 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 01:16:48 EST 2020
| Setup Time => Mon Jan 27 01:16:48 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [22-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 ||
|------------------------------------------------||
| [22-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [22-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [22-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [22-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [22-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [22-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [22-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [22-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [22-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [22-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [22-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [22-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [22-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [22-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [22-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [22-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [22-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 20-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 20-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 20-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 20-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 20-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 20-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 20-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 20-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 20-MAR-2017 ||
| Cash Settle Date : 20-MAR-2017 ||
|--------------------------------||
Doing MUNICI 3.1600 01-AUG-2024
Doing MUNICI 7.5000 15-SEP-2025
Doing MUNICI 6.7000 01-FEB-2026
Doing MUNICI 6.4850 15-JUN-2027
Doing MUNICI 6.4500 01-AUG-2028
Doing MUNICI 5.5450 01-MAY-2029
Doing MUNICI 7.0830 01-OCT-2029
Doing MUNICI 6.8000 01-AUG-2030
Doing MUNICI 5.9950 01-SEP-2030
Doing MUNICI 5.2500 01-JUL-2032
Doing MUNICI 7.5000 01-APR-2034
Doing MUNICI 5.2500 01-JUL-2035
Doing MUNICI 6.2710 01-DEC-2037
Doing MUNICI 7.4300 01-AUG-2039
Doing MUNICI 7.6500 01-APR-2040
Doing MUNICI 7.1000 01-AUG-2040
Doing MUNICI 7.6000 01-NOV-2040
Doing MUNICI 7.3990 01-APR-2041
Doing MUNICI 5.0600 01-SEP-2042
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 3.1600 01-AUG-2024 | 01-AUG-2014 | 01-AUG-2024 | 01-FEB-2015 | 100.800 | 0.43011 | 3.04% | 06.60 | 06.50 | 06.58 | 0658 | 0.49 | 06.72 | 062 ||
| MUNICI 7.5000 15-SEP-2025 | 15-OCT-2009 | 15-SEP-2025 | 15-MAR-2010 | 105.805 | 0.10417 | 6.60% | 06.42 | 06.31 | 06.68 | 0668 | 0.49 | 06.88 | 416 ||
| MUNICI 6.7000 01-FEB-2026 | 23-FEB-2011 | 01-FEB-2026 | 01-FEB-2012 | 118.981 | 0.91194 | 4.12% | 06.97 | 06.82 | 08.18 | 0818 | 0.57 | 07.30 | 164 ||
| MUNICI 6.4850 15-JUN-2027 | 24-JUN-2010 | 15-JUN-2027 | 15-JUN-2011 | 118.562 | 1.71132 | 4.23% | 07.77 | 07.60 | 09.15 | 0915 | 0.72 | 08.29 | 169 ||
| MUNICI 6.4500 01-AUG-2028 | 13-DEC-2010 | 01-AUG-2028 | 01-AUG-2011 | 123.542 | 0.87792 | 3.87% | 08.52 | 08.36 | 10.40 | 1040 | 0.87 | 09.07 | 128 ||
| MUNICI 5.5450 01-MAY-2029 | 19-NOV-2010 | 01-MAY-2029 | 01-NOV-2011 | 113.273 | 2.14099 | 4.14% | 09.03 | 08.84 | 10.20 | 1020 | 0.99 | 09.78 | 152 ||
| MUNICI 7.0830 01-OCT-2029 | 14-JUL-2004 | 01-OCT-2029 | 01-APR-2005 | 121.400 | 3.32507 | 4.79% | 08.68 | 08.47 | 10.57 | 1057 | 0.95 | 09.70 | 217 ||
| MUNICI 6.8000 01-AUG-2030 | 13-DEC-2010 | 01-AUG-2030 | 01-AUG-2011 | 126.565 | 0.92556 | 4.18% | 09.45 | 09.25 | 11.80 | 1180 | 1.10 | 10.30 | 154 ||
| MUNICI 5.9950 01-SEP-2030 | 20-DEC-2011 | 01-SEP-2030 | 01-SEP-2012 | 104.850 | 0.31640 | 5.48% | 09.50 | 09.24 | 09.71 | 0971 | 1.10 | 10.56 | 283 ||
| MUNICI 5.2500 01-JUL-2032 | 30-MAY-2007 | 01-JUL-2032 | 01-JAN-2008 | 103.136 | 1.15208 | 4.95% | 10.66 | 10.39 | 10.84 | 1084 | 1.40 | 11.99 | 226 ||
| MUNICI 7.5000 01-APR-2034 | 28-APR-2009 | 01-APR-2034 | 01-APR-2010 | 138.251 | 3.52083 | 4.31% | 10.72 | 10.49 | 14.87 | 1487 | 1.51 | 12.39 | 160 ||
| MUNICI 5.2500 01-JUL-2035 | 04-OCT-2005 | 01-JUL-2035 | 01-JUL-2006 | 102.939 | 1.15208 | 5.00% | 11.94 | 11.64 | 12.11 | 1211 | 1.82 | 13.93 | 226 ||
| MUNICI 6.2710 01-DEC-2037 | 21-DEC-2010 | 01-DEC-2037 | 01-DEC-2011 | 129.110 | 1.89872 | 4.16% | 12.78 | 12.51 | 16.38 | 1638 | 2.15 | 14.99 | 141 ||
| MUNICI 7.4300 01-AUG-2039 | 18-JUN-2009 | 01-AUG-2039 | 01-FEB-2010 | 135.789 | 1.01131 | 4.80% | 12.68 | 12.37 | 16.92 | 1692 | 2.18 | 15.54 | 205 ||
| MUNICI 7.6500 01-APR-2040 | 23-DEC-2010 | 01-APR-2040 | 01-OCT-2011 | 134.095 | 3.59125 | 5.11% | 12.39 | 12.07 | 16.61 | 1661 | 2.15 | 15.84 | 236 ||
| MUNICI 7.1000 01-AUG-2040 | 13-DEC-2010 | 01-AUG-2040 | 01-AUG-2011 | 128.433 | 0.96639 | 5.02% | 12.97 | 12.64 | 16.35 | 1635 | 2.30 | 16.23 | 226 ||
| MUNICI 7.6000 01-NOV-2040 | 01-DEC-2010 | 01-NOV-2040 | 01-NOV-2011 | 147.599 | 2.93444 | 4.35% | 13.14 | 12.85 | 19.35 | 1935 | 2.38 | 16.19 | 159 ||
| MUNICI 7.3990 01-APR-2041 | 22-DEC-2010 | 01-APR-2041 | 01-OCT-2011 | 142.294 | 3.47342 | 4.50% | 13.19 | 12.88 | 18.78 | 1878 | 2.42 | 16.50 | 174 ||
| MUNICI 5.0600 01-SEP-2042 | 16-NOV-2016 | 01-SEP-2042 | 01-SEP-2017 | 101.380 | 1.74289 | 4.96% | 14.42 | 14.06 | 14.50 | 1450 | 2.85 | 18.43 | 218 ||
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| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 3.1600 01-AUG-2024 | 100.800 | 3.04% | 062 | 059 | 06.53 | 00.49 | 062 | 059 | 061 | 061 | 07YON ||
| MUNICI 7.5000 15-SEP-2025 | 105.805 | 6.60% | 417 | 409 | 06.32 | 00.49 | 425 | 409 | 410 | 417 | 07YON ||
| MUNICI 6.7000 01-FEB-2026 | 118.981 | 4.12% | 165 | 159 | 06.88 | 00.58 | 185 | 159 | 160 | 152 | 10YON ||
| MUNICI 6.4850 15-JUN-2027 | 118.562 | 4.23% | 170 | 162 | 07.72 | 00.74 | 191 | 162 | 165 | 163 | 10YON ||
| MUNICI 6.4500 01-AUG-2028 | 123.542 | 3.87% | 129 | 122 | 08.42 | 00.88 | 148 | 122 | 125 | 127 | 10YON ||
| MUNICI 5.5450 01-MAY-2029 | 113.273 | 4.14% | 153 | 147 | 09.01 | 01.00 | 167 | 147 | 149 | 154 | 10YON ||
| MUNICI 7.0830 01-OCT-2029 | 121.400 | 4.79% | 218 | 211 | 08.71 | 00.97 | 251 | 211 | 213 | 219 | 10YON ||
| MUNICI 6.8000 01-AUG-2030 | 126.565 | 4.18% | 155 | 147 | 09.33 | 01.11 | 180 | 147 | 150 | 158 | 10YON ||
| MUNICI 5.9950 01-SEP-2030 | 104.850 | 5.48% | 284 | 276 | 09.27 | 01.10 | 289 | 276 | 280 | 288 | 10YON ||
| MUNICI 5.2500 01-JUL-2032 | 103.136 | 4.95% | 227 | 217 | 10.51 | 01.42 | 228 | 217 | 223 | 176 | 30YON ||
| MUNICI 7.5000 01-APR-2034 | 138.251 | 4.31% | 161 | 147 | 10.76 | 01.55 | 205 | 147 | 155 | 112 | 30YON ||
| MUNICI 5.2500 01-JUL-2035 | 102.939 | 5.00% | 228 | 212 | 11.78 | 01.84 | 228 | 212 | 223 | 181 | 30YON ||
| MUNICI 6.2710 01-DEC-2037 | 129.110 | 4.16% | 142 | 120 | 12.70 | 02.18 | 168 | 120 | 137 | 097 | 30YON ||
| MUNICI 7.4300 01-AUG-2039 | 135.789 | 4.80% | 207 | 180 | 12.47 | 02.20 | 251 | 180 | 200 | 161 | 30YON ||
| MUNICI 7.6500 01-APR-2040 | 134.095 | 5.11% | 238 | 210 | 12.40 | 02.21 | 291 | 210 | 231 | 192 | 30YON ||
| MUNICI 7.1000 01-AUG-2040 | 128.433 | 5.02% | 228 | 199 | 12.74 | 02.32 | 267 | 199 | 222 | 183 | 30YON ||
| MUNICI 7.6000 01-NOV-2040 | 147.599 | 4.35% | 161 | 132 | 13.12 | 02.43 | 212 | 132 | 155 | 116 | 30YON ||
| MUNICI 7.3990 01-APR-2041 | 142.294 | 4.50% | 176 | 146 | 13.21 | 02.48 | 226 | 146 | 170 | 131 | 30YON ||
| MUNICI 5.0600 01-SEP-2042 | 101.380 | 4.96% | 220 | 189 | 14.32 | 02.90 | 218 | 189 | 216 | 177 | 30YON ||
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|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::20-mar-2018 | tsy::20-mar-2019 | tsy::20-mar-2020 | tsy::20-mar-2022 | tsy::20-mar-2024 | tsy::20-mar-2027 | tsy::20-mar-2037 | tsy::20-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| MUNICI 3.1600 01-AUG-2024 | -00.00 | -00.00 | -00.00 | -00.00 | 05.73 | 00.80 | -00.00 | -00.00 ||
| MUNICI 7.5000 15-SEP-2025 | -00.00 | -00.00 | -00.00 | -00.00 | 03.18 | 03.14 | -00.00 | -00.00 ||
| MUNICI 6.7000 01-FEB-2026 | -00.00 | -00.00 | -00.00 | -00.00 | 02.59 | 04.29 | -00.00 | -00.00 ||
| MUNICI 6.4850 15-JUN-2027 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.53 | 00.18 | -00.00 ||
| MUNICI 6.4500 01-AUG-2028 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.26 | 01.15 | -00.00 ||
| MUNICI 5.5450 01-MAY-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.10 | 01.91 | -00.00 ||
| MUNICI 7.0830 01-OCT-2029 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.50 | 02.21 | -00.00 ||
| MUNICI 6.8000 01-AUG-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.18 | 03.14 | -00.00 ||
| MUNICI 5.9950 01-SEP-2030 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.07 | 03.20 | -00.00 ||
| MUNICI 5.2500 01-JUL-2032 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 04.96 | 05.55 | -00.00 ||
| MUNICI 7.5000 01-APR-2034 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 03.19 | 07.57 | -00.00 ||
| MUNICI 5.2500 01-JUL-2035 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 02.02 | 09.75 | -00.00 ||
| MUNICI 6.2710 01-DEC-2037 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 11.80 | 00.89 ||
| MUNICI 7.4300 01-AUG-2039 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 09.52 | 02.95 ||
| MUNICI 7.6500 01-APR-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.63 | 03.76 ||
| MUNICI 7.1000 01-AUG-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.45 | 04.29 ||
| MUNICI 7.6000 01-NOV-2040 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 08.37 | 04.75 ||
| MUNICI 7.3990 01-APR-2041 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 07.88 | 05.33 ||
| MUNICI 5.0600 01-SEP-2042 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 06.51 | 07.80 ||
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