|-----------------------------------------------------------------|
| 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 07:30:35 EST 2020
| Setup Time => Mon Jan 27 07:30:35 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| BUILT-IN GOVVIE BOND STATIC DETAILS ||
| -------- ------ ---- ------ ------- ||
| ||
| L -> R ||
| Treasury Code ||
| Currency ||
| Frequency ||
| Day Count ||
| Calendar ||
| ||
|-------------------------------------||
| AGB | AUD | 2 | DCAct_Act_UST | AUD ||
| BTPS | EUR | 2 | DCAct_Act_UST | EUR ||
| CAN | CAD | 2 | DCAct_Act_UST | CAD ||
| DBR | EUR | 2 | DCAct_Act_UST | EUR ||
| DGB | DKK | 2 | DCAct_Act_UST | DKK ||
| FRTR | EUR | 2 | DCAct_Act_UST | EUR ||
| GGB | EUR | 2 | DCAct_Act_UST | EUR ||
| GILT | GBP | 2 | DCAct_Act_UST | GBP ||
| GSWISS | CHF | 2 | DCAct_Act_UST | CHF ||
| JGB | JPY | 2 | DCAct_Act_UST | JPY ||
| MBONO | MXN | 2 | DCAct_364 | MXN ||
| NGB | NOK | 2 | DCAct_Act_UST | NOK ||
| NZGB | NZD | 2 | DCAct_Act_UST | NZD ||
| SGB | SEK | 2 | DCAct_Act_UST | SEK ||
| SPGB | EUR | 2 | DCAct_Act_UST | EUR ||
| UST | USD | 2 | DCAct_Act_UST | USD ||
|-------------------------------------||
|------------||
| ||
| GOVVIE ||
| BOND ||
| CURRENCY ||
| DEFAULTS ||
| ||
|------------||
| AUD => AGB ||
| CAD => CAN ||
| CHF => GSWISS ||
| EUR => DBR ||
| GBP => GILT ||
| JPY => JGB ||
| MXN => MBONO ||
| NOK => NGB ||
| SEK => SGB ||
| USD => UST ||
| AUD => AGB ||
|------------||
|-----------------------------------------------------------------|
| 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 07:30:35 EST 2020
| Setup Time => Mon Jan 27 07:30:35 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|-------------------------------------||
| DEPOSIT INPUT vs. CALC ||
|-------------------------------------||
| [14-MAR-2017] = 0.011196 | 0.011196 ||
|-------------------------------------||
|-------------------------------------||
| FUTURES INPUT vs. CALC ||
|-------------------------------------||
| [15-JUN-2017] = 0.011375 | 0.011375 ||
| [15-SEP-2017] = 0.013350 | 0.013350 ||
| [15-DEC-2017] = 0.014800 | 0.014800 ||
| [15-MAR-2018] = 0.016450 | 0.016450 ||
| [15-JUN-2018] = 0.017850 | 0.017850 ||
| [15-SEP-2018] = 0.019300 | 0.019300 ||
|-------------------------------------||
|------------------------------------------------||
| FIX-FLOAT INPUTS vs CALIB ||
|------------------------------------------------||
| [14-MAR-2019] = 0.017029 | 0.017029 | 0.017029 ||
| [14-MAR-2020] = 0.019354 | 0.019354 | 0.019354 ||
| [14-MAR-2021] = 0.021044 | 0.021044 | 0.021044 ||
| [14-MAR-2022] = 0.022291 | 0.022291 | 0.022291 ||
| [14-MAR-2023] = 0.023240 | 0.023240 | 0.023240 ||
| [14-MAR-2024] = 0.024025 | 0.024025 | 0.024025 ||
| [14-MAR-2025] = 0.024683 | 0.024683 | 0.024683 ||
| [14-MAR-2026] = 0.025243 | 0.025243 | 0.025243 ||
| [14-MAR-2027] = 0.025720 | 0.025720 | 0.025720 ||
| [14-MAR-2028] = 0.026130 | 0.026130 | 0.026130 ||
| [14-MAR-2029] = 0.026495 | 0.026495 | 0.026495 ||
| [14-MAR-2032] = 0.027230 | 0.027230 | 0.027230 ||
| [14-MAR-2037] = 0.027855 | 0.027855 | 0.027855 ||
| [14-MAR-2042] = 0.028025 | 0.028025 | 0.028025 ||
| [14-MAR-2047] = 0.028028 | 0.028028 | 0.028028 ||
| [14-MAR-2057] = 0.027902 | 0.027902 | 0.027902 ||
| [14-MAR-2067] = 0.027655 | 0.027655 | 0.027655 ||
|------------------------------------------------||
|-------------------------------------------||
| TREASURY INPUT vs CALIB YIELD ||
|-------------------------------------------||
| UST 1.00 10-MAR-2018 | 1.040% | 1.040% ||
| UST 1.00 10-MAR-2019 | 1.370% | 1.370% ||
| UST 1.25 10-MAR-2020 | 1.670% | 1.670% ||
| UST 1.50 10-MAR-2022 | 2.130% | 2.130% ||
| UST 2.00 10-MAR-2024 | 2.430% | 2.430% ||
| UST 2.25 10-MAR-2027 | 2.600% | 2.600% ||
| UST 2.50 10-MAR-2037 | 2.940% | 2.940% ||
| UST 3.00 10-MAR-2047 | 3.190% | 3.190% ||
|-------------------------------------------||
|--------------------------------||
| Trade Date : 10-MAR-2017 ||
| Cash Settle Date : 13-MAR-2017 ||
|--------------------------------||
Doing AGENCY 0.7500 30-JUN-2017 @ 13-MAR-2017
Doing AGENCY 2.5000 30-JUN-2017 @ 13-MAR-2017
Doing AGENCY 0.8750 15-JAN-2018 @ 13-MAR-2017
Doing AGENCY 1.3750 30-SEP-2018 @ 13-MAR-2017
Doing AGENCY 8.1250 15-AUG-2019 @ 13-MAR-2017
Doing AGENCY 2.8750 15-NOV-2046 @ 13-MAR-2017
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | EFFECTIVE | MATURITY | FIRST COUPON | PRICE | ACCRUED | YIELD | MAC DUR | MOD DUR | YIELD 01 | DV01 | CONV | WAL | BOND BASIS ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 0.7500 30-JUN-2017 | 02-JUL-2012 | 30-JUN-2017 | 30-JUN-2013 | 099.992 | 0.14794 | 0.78% | 00.31 | 00.31 | 00.31 | 0031 | 0.00 | 00.31 | -039 ||
| AGENCY 2.5000 30-JUN-2017 | 30-JUN-2011 | 30-JUN-2017 | 30-DEC-2011 | 100.531 | 0.49313 | 0.76% | 00.31 | 00.31 | 00.31 | 0031 | 0.00 | 00.31 | -041 ||
| AGENCY 0.8750 15-JAN-2018 | 15-JAN-2015 | 15-JAN-2018 | 15-JUL-2015 | 099.852 | 0.13664 | 1.05% | 00.85 | 00.84 | 00.84 | 0084 | 0.01 | 00.85 | -032 ||
| AGENCY 1.3750 30-SEP-2018 | 30-SEP-2011 | 30-SEP-2018 | 30-MAR-2012 | 100.188 | 0.61309 | 1.25% | 01.54 | 01.53 | 01.54 | 0154 | 0.03 | 01.54 | -036 ||
| AGENCY 8.1250 15-AUG-2019 | 15-AUG-1989 | 15-AUG-2019 | 15-FEB-1990 | 115.812 | 0.57877 | 1.47% | 02.26 | 02.24 | 02.61 | 0261 | 0.06 | 02.27 | -032 ||
| AGENCY 2.8750 15-NOV-2046 | 15-NOV-2016 | 15-NOV-2046 | 15-MAY-2017 | 094.328 | 0.92059 | 3.17% | 19.62 | 19.29 | 18.37 | 1837 | 4.93 | 22.91 | 036 ||
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|----------------------------------------------------------------------------------------------------------------------------------------||
| BOND | PRICE | YIELD | Z SPREAD | OAS | OAS DUR | OAS CONV | ASW | G SPREAD | I SPREAD | TSY SPREAD | TSY BMK ||
|----------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 0.7500 30-JUN-2017 | 099.992 | 0.78% | -039 |-026 | 00.31 | 00.00 |-094 | -026 | -093 | -026 | null ||
| AGENCY 2.5000 30-JUN-2017 | 100.531 | 0.76% | -041 |-028 | 00.31 | 00.00 |-027 | -028 | -094 | -028 | null ||
| AGENCY 0.8750 15-JAN-2018 | 099.852 | 1.05% | -032 | 001 | 00.84 | 00.01 |-068 | 001 | -065 | 001 | null ||
| AGENCY 1.3750 30-SEP-2018 | 100.188 | 1.25% | -036 | 003 | 01.54 | 00.03 |-042 | 003 | -045 | -012 | 02YON ||
| AGENCY 8.1250 15-AUG-2019 | 115.812 | 1.47% | -032 |-003 | 02.25 | 00.06 |-015 | -003 | -034 | 010 | 02YON ||
| AGENCY 2.8750 15-NOV-2046 | 094.328 | 3.17% | 036 |-002 | 19.55 | 05.01 | 035 | -001 | 037 | -002 | 30YON ||
|----------------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| BOND | tsy::10-mar-2018 | tsy::10-mar-2019 | tsy::10-mar-2020 | tsy::10-mar-2022 | tsy::10-mar-2024 | tsy::10-mar-2027 | tsy::10-mar-2037 | tsy::10-mar-2047 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| AGENCY 0.7500 30-JUN-2017 | 00.31 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| AGENCY 2.5000 30-JUN-2017 | 00.31 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| AGENCY 0.8750 15-JAN-2018 | 00.84 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| AGENCY 1.3750 30-SEP-2018 | 00.68 | 00.86 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 | 00.00 ||
| AGENCY 8.1250 15-AUG-2019 | -00.00 | 01.28 | 00.97 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 ||
| AGENCY 2.8750 15-NOV-2046 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | -00.00 | 00.62 | 18.91 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| 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 07:30:35 EST 2020
| Setup Time => Mon Jan 27 07:30:35 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 25-AUG-2013
Maturity : 01-MAR-2024
BTPS 4.50 01-MAR-2024
Price : 125.6200
Yield : 2.6475%
Settle : 05-MAY-2015
Modified Duration : 12.8460
Risk : 16.3435
Convexity : 2.0565
DV01 : 1634
Previous Coupon Date : 01-MAR-2015
Face : 1000000.00
Principal : 1256200.00
Accrued : 16071.43
Total : 1272271.43
Accrual Days : 65
Cashflow
--------
2013/08/25 | 2014/03/01 | 2014/03/01 | 1.0330 ||
2014/03/01 | 2014/09/01 | 2014/09/01 | 1.0110 ||
2014/09/01 | 2015/03/01 | 2015/03/01 | 0.9945 ||
2015/03/01 | 2015/09/01 | 2015/09/01 | 1.0110 ||
2015/09/01 | 2016/03/01 | 2016/03/01 | 1.0000 ||
2016/03/01 | 2016/09/01 | 2016/09/01 | 1.0110 ||
2016/09/01 | 2017/03/01 | 2017/03/01 | 0.9945 ||
2017/03/01 | 2017/09/01 | 2017/09/01 | 1.0110 ||
2017/09/01 | 2018/03/01 | 2018/03/01 | 0.9945 ||
2018/03/01 | 2018/09/01 | 2018/09/01 | 1.0110 ||
2018/09/01 | 2019/03/01 | 2019/03/01 | 0.9945 ||
2019/03/01 | 2019/09/01 | 2019/09/01 | 1.0110 ||
2019/09/01 | 2020/03/01 | 2020/03/01 | 1.0000 ||
2020/03/01 | 2020/09/01 | 2020/09/01 | 1.0110 ||
2020/09/01 | 2021/03/01 | 2021/03/01 | 0.9945 ||
2021/03/01 | 2021/09/01 | 2021/09/01 | 1.0110 ||
2021/09/01 | 2022/03/01 | 2022/03/01 | 0.9945 ||
2022/03/01 | 2022/09/01 | 2022/09/01 | 1.0110 ||
2022/09/01 | 2023/03/01 | 2023/03/01 | 0.9945 ||
2023/03/01 | 2023/09/01 | 2023/09/01 | 1.0110 ||
2023/09/01 | 2024/03/01 | 2024/03/01 | 1.0000 ||
|-----------------------------------------------------------------|
| 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 07:30:35 EST 2020
| Setup Time => Mon Jan 27 07:30:35 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Effective : 30-JUL-2012
Maturity : 01-JUN-2023
CAN 1.50 01-JUN-2023
Price : 100.2000
Yield : 1.4804%
Settle : 01-MAY-2015
Modified Duration : 14.2306
Risk : 14.4362
Convexity : 2.2725
DV01 : 1444
Previous Coupon Date : 01-DEC-2014
Face : 1000000.00
Principal : 1002000.00
Accrued : 12445.05
Total : 1014445.05
Accrual Days : 151
Cashflow
--------
2012/07/30 | 2013/06/01 | 2013/06/01 | 1.6813 ||
2013/06/01 | 2013/12/01 | 2013/12/01 | 1.0055 ||
2013/12/01 | 2014/06/01 | 2014/06/01 | 1.0000 ||
2014/06/01 | 2014/12/01 | 2014/12/01 | 1.0055 ||
2014/12/01 | 2015/06/01 | 2015/06/01 | 1.0000 ||
2015/06/01 | 2015/12/01 | 2015/12/01 | 1.0055 ||
2015/12/01 | 2016/06/01 | 2016/06/01 | 1.0055 ||
2016/06/01 | 2016/12/01 | 2016/12/01 | 1.0055 ||
2016/12/01 | 2017/06/01 | 2017/06/01 | 1.0000 ||
2017/06/01 | 2017/12/01 | 2017/12/01 | 1.0055 ||
2017/12/01 | 2018/06/01 | 2018/06/01 | 1.0000 ||
2018/06/01 | 2018/12/01 | 2018/12/01 | 1.0055 ||
2018/12/01 | 2019/06/01 | 2019/06/01 | 1.0000 ||
2019/06/01 | 2019/12/01 | 2019/12/01 | 1.0055 ||
2019/12/01 | 2020/06/01 | 2020/06/01 | 1.0055 ||
2020/06/01 | 2020/12/01 | 2020/12/01 | 1.0055 ||
2020/12/01 | 2021/06/01 | 2021/06/01 | 1.0000 ||
2021/06/01 | 2021/12/01 | 2021/12/01 | 1.0055 ||
2021/12/01 | 2022/06/01 | 2022/06/01 | 1.0000 ||
2022/06/01 | 2022/12/01 | 2022/12/01 | 1.0055 ||
2022/12/01 | 2023/06/01 | 2023/06/01 | 1.0000 ||
|-----------------------------------------------------------------|
| 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 07:30:36 EST 2020
| Setup Time => Mon Jan 27 07:30:36 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 15-FEB-2015
Maturity : 15-FEB-2024
Price : 113.0000
Yield : 0.2525%
Modified Duration : 8.2124
Risk : 9.3111
Convexity : 0.7854
DV01 : 931
Face : 1000000.00
Principal : 1130000.00
Accrued : 3787.67
Cashflow
--------
2015/02/15 | 2016/02/15 | 2016/02/15 | 1.0000 ||
2016/02/15 | 2017/02/15 | 2017/02/15 | 1.0027 ||
2017/02/15 | 2018/02/15 | 2018/02/15 | 1.0000 ||
2018/02/15 | 2019/02/15 | 2019/02/15 | 1.0000 ||
2019/02/15 | 2020/02/15 | 2020/02/15 | 1.0000 ||
2020/02/15 | 2021/02/15 | 2021/02/15 | 1.0027 ||
2021/02/15 | 2022/02/15 | 2022/02/15 | 1.0000 ||
2022/02/15 | 2023/02/15 | 2023/02/15 | 1.0000 ||
2023/02/15 | 2024/02/15 | 2024/02/15 | 1.0000 ||
|-----------------------------------------------------------------|
| 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 07:30:36 EST 2020
| Setup Time => Mon Jan 27 07:30:36 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Effective : 31-OCT-2013
Maturity : 25-MAY-2024
FRTR 2.25 25-MAY-2024
Price : 115.2000
Yield : 0.5303%
Settle : 01-MAY-2015
Modified Duration : 8.0794
Risk : 9.5799
Convexity : 0.7877
DV01 : 958
Previous Coupon Date : 31-OCT-2013
Face : 1000000.00
Principal : 1152000.00
Accrued : 33719.18
Total : 1185719.18
Accrual Days : 547
Cashflow
--------
2013/10/31 | 2015/05/25 | 2015/05/25 | 1.5644 ||
2015/05/25 | 2016/05/25 | 2016/05/25 | 1.0027 ||
2016/05/25 | 2017/05/25 | 2017/05/25 | 1.0000 ||
2017/05/25 | 2018/05/25 | 2018/05/25 | 1.0000 ||
2018/05/25 | 2019/05/25 | 2019/05/25 | 1.0000 ||
2019/05/25 | 2020/05/25 | 2020/05/25 | 1.0027 ||
2020/05/25 | 2021/05/25 | 2021/05/25 | 1.0000 ||
2021/05/25 | 2022/05/25 | 2022/05/25 | 1.0000 ||
2022/05/25 | 2023/05/25 | 2023/05/25 | 1.0000 ||
2023/05/25 | 2024/05/25 | 2024/05/25 | 1.0027 ||
|-----------------------------------------------------------------|
| 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 07:30:36 EST 2020
| Setup Time => Mon Jan 27 07:30:36 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 17-JUL-2014
Maturity : 17-JUL-2017
GGB 3.38 17-JUL-2017
Price : 75.7800
Yield : 17.5305%
Settle : 05-MAY-2015
Modified Duration : 1.7728
Risk : 1.3913
Convexity : 0.0479
DV01 : 139
Previous Coupon Date : 17-JUL-2014
Face : 1000000.00
Principal : 757800.00
Accrued : 27000.00
Total : 784800.00
Accrual Days : 292
Cashflow
--------
2014/07/17 | 2015/07/17 | 2015/07/17 | 1.0000 ||
2015/07/17 | 2016/07/17 | 2016/07/17 | 1.0027 ||
2016/07/17 | 2017/07/17 | 2017/07/17 | 1.0000 ||
|-----------------------------------------------------------------|
| 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 07:30:37 EST 2020
| Setup Time => Mon Jan 27 07:30:37 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 27-SEP-2001
Maturity : 07-MAR-2025
Price : 128.0000
Yield : 3.0191%
Modified Duration : 13.2958
Risk : 17.0223
Convexity : 2.2333
DV01 : 1702
Face : 1000000.00
Principal : 1280000.00
Accrued : 274.73
Total : 1280274.73
Cashflow
--------
2001/09/27 | 2002/09/07 | 2002/09/07 | 1.8956 ||
2002/09/07 | 2003/03/07 | 2003/03/07 | 0.9945 ||
2003/03/07 | 2003/09/07 | 2003/09/07 | 1.0110 ||
2003/09/07 | 2004/03/07 | 2004/03/07 | 1.0000 ||
2004/03/07 | 2004/09/07 | 2004/09/07 | 1.0110 ||
2004/09/07 | 2005/03/07 | 2005/03/07 | 0.9945 ||
2005/03/07 | 2005/09/07 | 2005/09/07 | 1.0110 ||
2005/09/07 | 2006/03/07 | 2006/03/07 | 0.9945 ||
2006/03/07 | 2006/09/07 | 2006/09/07 | 1.0110 ||
2006/09/07 | 2007/03/07 | 2007/03/07 | 0.9945 ||
2007/03/07 | 2007/09/07 | 2007/09/07 | 1.0110 ||
2007/09/07 | 2008/03/07 | 2008/03/07 | 1.0000 ||
2008/03/07 | 2008/09/07 | 2008/09/07 | 1.0110 ||
2008/09/07 | 2009/03/07 | 2009/03/07 | 0.9945 ||
2009/03/07 | 2009/09/07 | 2009/09/07 | 1.0110 ||
2009/09/07 | 2010/03/07 | 2010/03/07 | 0.9945 ||
2010/03/07 | 2010/09/07 | 2010/09/07 | 1.0110 ||
2010/09/07 | 2011/03/07 | 2011/03/07 | 0.9945 ||
2011/03/07 | 2011/09/07 | 2011/09/07 | 1.0110 ||
2011/09/07 | 2012/03/07 | 2012/03/07 | 1.0000 ||
2012/03/07 | 2012/09/07 | 2012/09/07 | 1.0110 ||
2012/09/07 | 2013/03/07 | 2013/03/07 | 0.9945 ||
2013/03/07 | 2013/09/07 | 2013/09/07 | 1.0110 ||
2013/09/07 | 2014/03/07 | 2014/03/07 | 0.9945 ||
2014/03/07 | 2014/09/07 | 2014/09/07 | 1.0110 ||
2014/09/07 | 2015/03/07 | 2015/03/07 | 0.9945 ||
2015/03/07 | 2015/09/07 | 2015/09/07 | 1.0110 ||
2015/09/07 | 2016/03/07 | 2016/03/07 | 1.0000 ||
2016/03/07 | 2016/09/07 | 2016/09/07 | 1.0110 ||
2016/09/07 | 2017/03/07 | 2017/03/07 | 0.9945 ||
2017/03/07 | 2017/09/07 | 2017/09/07 | 1.0110 ||
2017/09/07 | 2018/03/07 | 2018/03/07 | 0.9945 ||
2018/03/07 | 2018/09/07 | 2018/09/07 | 1.0110 ||
2018/09/07 | 2019/03/07 | 2019/03/07 | 0.9945 ||
2019/03/07 | 2019/09/07 | 2019/09/07 | 1.0110 ||
2019/09/07 | 2020/03/07 | 2020/03/07 | 1.0000 ||
2020/03/07 | 2020/09/07 | 2020/09/07 | 1.0110 ||
2020/09/07 | 2021/03/07 | 2021/03/07 | 0.9945 ||
2021/03/07 | 2021/09/07 | 2021/09/07 | 1.0110 ||
2021/09/07 | 2022/03/07 | 2022/03/07 | 0.9945 ||
2022/03/07 | 2022/09/07 | 2022/09/07 | 1.0110 ||
2022/09/07 | 2023/03/07 | 2023/03/07 | 0.9945 ||
2023/03/07 | 2023/09/07 | 2023/09/07 | 1.0110 ||
2023/09/07 | 2024/03/07 | 2024/03/07 | 1.0000 ||
2024/03/07 | 2024/09/07 | 2024/09/07 | 1.0110 ||
2024/09/07 | 2025/03/07 | 2025/03/07 | 0.9945 ||
|-----------------------------------------------------------------|
| 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 07:30:37 EST 2020
| Setup Time => Mon Jan 27 07:30:37 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 20-JUN-2012
Maturity : 20-JUN-2022
JGB 0.90 20-JUN-2022
Price : 105.2000
Yield : 0.1667%
Settle : 01-MAY-2015
Modified Duration : 6.9057
Risk : 7.2872
Convexity : 0.5220
DV01 : 729
Previous Coupon Date : 20-DEC-2014
Face : 1000000.00
Principal : 1052000.00
Accrued : 3254.79
Total : 1055254.79
Accrual Days : 132
Cashflow
--------
2012/06/20 | 2012/12/20 | 2012/12/20 | 0.5014 ||
2012/12/20 | 2013/06/20 | 2013/06/20 | 0.4986 ||
2013/06/20 | 2013/12/20 | 2013/12/20 | 0.5014 ||
2013/12/20 | 2014/06/20 | 2014/06/20 | 0.4986 ||
2014/06/20 | 2014/12/20 | 2014/12/20 | 0.5014 ||
2014/12/20 | 2015/06/20 | 2015/06/20 | 0.4986 ||
2015/06/20 | 2015/12/20 | 2015/12/20 | 0.5014 ||
2015/12/20 | 2016/06/20 | 2016/06/20 | 0.4986 ||
2016/06/20 | 2016/12/20 | 2016/12/20 | 0.5014 ||
2016/12/20 | 2017/06/20 | 2017/06/20 | 0.4986 ||
2017/06/20 | 2017/12/20 | 2017/12/20 | 0.5014 ||
2017/12/20 | 2018/06/20 | 2018/06/20 | 0.4986 ||
2018/06/20 | 2018/12/20 | 2018/12/20 | 0.5014 ||
2018/12/20 | 2019/06/20 | 2019/06/20 | 0.4986 ||
2019/06/20 | 2019/12/20 | 2019/12/20 | 0.5014 ||
2019/12/20 | 2020/06/20 | 2020/06/20 | 0.4986 ||
2020/06/20 | 2020/12/20 | 2020/12/20 | 0.5014 ||
2020/12/20 | 2021/06/20 | 2021/06/20 | 0.4986 ||
2021/06/20 | 2021/12/20 | 2021/12/20 | 0.5014 ||
2021/12/20 | 2022/06/20 | 2022/06/20 | 0.4986 ||
|-----------------------------------------------------------------|
| 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 07:30:37 EST 2020
| Setup Time => Mon Jan 27 07:30:37 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Effective : 20-NOV-2011
Maturity : 20-NOV-2036
MBONO 10.00 20-NOV-2036
Price : 135.2130
Yield : 6.8032%
Settle : 30-MAR-2016
Modified Duration : 9.9700
Risk : 13.8396
Convexity : 152.3848
DV01 : 138396
Previous Coupon Date : 20-NOV-2015
Face : 100000000.00
Principal : 135213000.00
AccruedDCF : 0.035989
Accrued : 3598901.10
Total : 138811901.10
Accrual Days : 131
Cashflow
--------
2011/11/20 | 2012/05/20 | 2012/05/20 | 0.5000 ||
2012/05/20 | 2012/11/20 | 2012/11/20 | 0.5055 ||
2012/11/20 | 2013/05/20 | 2013/05/20 | 0.4973 ||
2013/05/20 | 2013/11/20 | 2013/11/20 | 0.5055 ||
2013/11/20 | 2014/05/20 | 2014/05/20 | 0.4973 ||
2014/05/20 | 2014/11/20 | 2014/11/20 | 0.5055 ||
2014/11/20 | 2015/05/20 | 2015/05/20 | 0.4973 ||
2015/05/20 | 2015/11/20 | 2015/11/20 | 0.5055 ||
2015/11/20 | 2016/05/20 | 2016/05/20 | 0.5000 ||
2016/05/20 | 2016/11/20 | 2016/11/20 | 0.5055 ||
2016/11/20 | 2017/05/20 | 2017/05/20 | 0.4973 ||
2017/05/20 | 2017/11/20 | 2017/11/20 | 0.5055 ||
2017/11/20 | 2018/05/20 | 2018/05/20 | 0.4973 ||
2018/05/20 | 2018/11/20 | 2018/11/20 | 0.5055 ||
2018/11/20 | 2019/05/20 | 2019/05/20 | 0.4973 ||
2019/05/20 | 2019/11/20 | 2019/11/20 | 0.5055 ||
2019/11/20 | 2020/05/20 | 2020/05/20 | 0.5000 ||
2020/05/20 | 2020/11/20 | 2020/11/20 | 0.5055 ||
2020/11/20 | 2021/05/20 | 2021/05/20 | 0.4973 ||
2021/05/20 | 2021/11/20 | 2021/11/20 | 0.5055 ||
2021/11/20 | 2022/05/20 | 2022/05/20 | 0.4973 ||
2022/05/20 | 2022/11/20 | 2022/11/20 | 0.5055 ||
2022/11/20 | 2023/05/20 | 2023/05/20 | 0.4973 ||
2023/05/20 | 2023/11/20 | 2023/11/20 | 0.5055 ||
2023/11/20 | 2024/05/20 | 2024/05/20 | 0.5000 ||
2024/05/20 | 2024/11/20 | 2024/11/20 | 0.5055 ||
2024/11/20 | 2025/05/20 | 2025/05/20 | 0.4973 ||
2025/05/20 | 2025/11/20 | 2025/11/20 | 0.5055 ||
2025/11/20 | 2026/05/20 | 2026/05/20 | 0.4973 ||
2026/05/20 | 2026/11/20 | 2026/11/20 | 0.5055 ||
2026/11/20 | 2027/05/20 | 2027/05/20 | 0.4973 ||
2027/05/20 | 2027/11/20 | 2027/11/20 | 0.5055 ||
2027/11/20 | 2028/05/20 | 2028/05/20 | 0.5000 ||
2028/05/20 | 2028/11/20 | 2028/11/20 | 0.5055 ||
2028/11/20 | 2029/05/20 | 2029/05/20 | 0.4973 ||
2029/05/20 | 2029/11/20 | 2029/11/20 | 0.5055 ||
2029/11/20 | 2030/05/20 | 2030/05/20 | 0.4973 ||
2030/05/20 | 2030/11/20 | 2030/11/20 | 0.5055 ||
2030/11/20 | 2031/05/20 | 2031/05/20 | 0.4973 ||
2031/05/20 | 2031/11/20 | 2031/11/20 | 0.5055 ||
2031/11/20 | 2032/05/20 | 2032/05/20 | 0.5000 ||
2032/05/20 | 2032/11/20 | 2032/11/20 | 0.5055 ||
2032/11/20 | 2033/05/20 | 2033/05/20 | 0.4973 ||
2033/05/20 | 2033/11/20 | 2033/11/20 | 0.5055 ||
2033/11/20 | 2034/05/20 | 2034/05/20 | 0.4973 ||
2034/05/20 | 2034/11/20 | 2034/11/20 | 0.5055 ||
2034/11/20 | 2035/05/20 | 2035/05/20 | 0.4973 ||
2035/05/20 | 2035/11/20 | 2035/11/20 | 0.5055 ||
2035/11/20 | 2036/05/20 | 2036/05/20 | 0.5000 ||
2036/05/20 | 2036/11/20 | 2036/11/20 | 0.5055 ||
|-----------------------------------------------------------------|
| 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 07:30:38 EST 2020
| Setup Time => Mon Jan 27 07:30:38 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 31-JAN-2015
Maturity : 31-JAN-2020
GGB 1.40 31-JAN-2020
Price : 103.7750
Yield : 0.5907%
Settle : 05-MAY-2015
Modified Duration : 4.5836
Risk : 4.7732
Convexity : 0.2596
DV01 : 477
Previous Coupon Date : 31-JAN-2015
Face : 1000000.00
Principal : 1037750.00
Accrued : 3605.48
Total : 1041355.48
Accrual Days : 94
Cashflow
--------
2015/01/31 | 2016/01/31 | 2016/01/31 | 1.0000 ||
2016/01/31 | 2017/01/31 | 2017/01/31 | 1.0027 ||
2017/01/31 | 2018/01/31 | 2018/01/31 | 1.0000 ||
2018/01/31 | 2019/01/31 | 2019/01/31 | 1.0000 ||
2019/01/31 | 2020/01/31 | 2020/01/31 | 1.0000 ||
|-----------------------------------------------------------------|
| 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 07:30:38 EST 2020
| Setup Time => Mon Jan 27 07:30:38 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
Effective : 31-DEC-2014
Maturity : 31-DEC-2021
Yield : 1.940%
Modified Duration : 11.432
Risk : 11.662
Face : 1000000.00
Principal : 1020000.00
Accrued : 116.76
Cashflow
--------
2014/12/31 | 2015/06/30 | 2015/06/30 | 0.9945 ||
2015/06/30 | 2015/12/31 | 2015/12/31 | 1.0110 ||
2015/12/31 | 2016/06/30 | 2016/06/30 | 1.0000 ||
2016/06/30 | 2016/12/31 | 2016/12/31 | 1.0110 ||
2016/12/31 | 2017/06/30 | 2017/06/30 | 0.9945 ||
2017/06/30 | 2017/12/31 | 2017/12/31 | 1.0110 ||
2017/12/31 | 2018/06/30 | 2018/06/30 | 0.9945 ||
2018/06/30 | 2018/12/31 | 2018/12/31 | 1.0110 ||
2018/12/31 | 2019/06/30 | 2019/06/30 | 0.9945 ||
2019/06/30 | 2019/12/31 | 2019/12/31 | 1.0110 ||
2019/12/31 | 2020/06/30 | 2020/06/30 | 1.0000 ||
2020/06/30 | 2020/12/31 | 2020/12/31 | 1.0110 ||
2020/12/31 | 2021/06/30 | 2021/06/30 | 0.9945 ||
2021/06/30 | 2021/12/31 | 2021/12/31 | 1.0110 ||