FIS project

8/7/2019 FIS project

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FIXED INCOME SECURITIES PROJE

Professor HK.Pradhan

Submitted by

Dhivya Partheeban 0

Rama Kumari 23

XLRI Singapore



T

5



Report

We have selected our bonds as per the maturity year, We have take bonds with 2015 maturity as bulletshort term and long term. Our bonds are Indian Goverment bonds .

We have Caculated

Neilson Seigel and got the predicted price

Price change due to the increase in spread thats is beta1 and the change in beta0beta0 in long term there is large price difference that is the price decreases and tWhen beta1 is changed there is price increase for the long term bonds and not m

The price and duration changes due to the increase in the basis points of yield

Duration and Convexity of the bullet and barbell portfolio. We have found the Dollar duration as same

Parallel and Non Parallel shift and have got the flattening and steepening of the yield curve

Interest Rate risks and we noticed that the longer the duration of the bonds the larger is the interest rate



nd 2010 and 2022 maturity and Barbell

. We noticed when we increased thee short term bonds not much change.ch difference for the short term bonds.

and dollar conveity as different.

risk.



Bond Details

ISIN Nomenclature of Security Coupon Maturity DtIN0019900045 90010 11.50% 2010 6/11/1990 11.5 6/11/2010

IN0019820128 82013 8.75% 2010 12/13/1982 8.75 12/13/2010

IN0020020064 2010 7.55% G.S. 2010 5/14/2002 7.55 5/14/2010

IN0020000082 14 11.30% G. S. 2010 7/28/2000 11.3 7/28/2010

IN0019980120 98015 12.25% G. S. 2010 7/2/1998 12.25 7/2/2010

IN0020000033 9 10.79% G. S. 2015 5/19/2000 10.79 5/19/2015

IN0020000132 1001 10.47% G. S. 2015 2/12/2001 10.47 2/12/2015

IN0019850034 85007 11.50% 2015 5/21/1985 11.5 5/21/2015

IN0020000090 15 11.43% G. S. 2015 8/7/2000 11.43 8/7/2015IN0020010099 1011 9.85% G. S. 2015 10/16/2001 9.85 10/16/2015

IN0020020072 2011 8.35% G.S. 2022 5/14/2002 8.35 5/14/2022

IN0020060037 8.20% GOVT.STOCK 2022 2/15/2007 8.2 2/15/2022

IN0020070028 8.08% GOVT.STOCK 2022 8/2/2007 8.08 8/2/2022

IN0020070051 8.13% GOVT.STOCK 2022 9/21/2007 8.13 9/21/2022

RBI Loan

code Issue Dt



Issue Size70 109.23 4.56 1/15/2009 7152.81 822.57

0.05 101.3 7.99 1/15/2009 500.22 43.77

0.5 103.45 4.83 1/15/2009 42000 3,171.00

25 109.55 4.79 1/15/2009 34000 3,842.00

35 110.35 4.85 1/15/2009 15515 1,900.59

1/15/2009

0.4 122.45 6.41 1/15/2009 2683.45 289.54

0.25 120.1 6.41 1/15/2009 6430 673.22

0.04 126.5 6.35 1/15/2009 3560.5 409.46

5 130.96 5.73 1/15/2009 12000 1,371.6010 116.45 6.8 1/15/2009 10000 985

1/15/2009

5 115.1 6.62 1/15/2009 41000 3,423.50

10 113.95 6.59 1/15/2009 15632.33 1,281.85

25 101.52 7.9 1/15/2009 2969.41 239.93

25 101.96 7.9 1/15/2009 2495.28 202.87

Amount (Facevalue in

Rs.Crore)

Price per Rs.100

nominal

Indicative

YTM

Settlement

date

Coupon

Size



Price Chang

Barbell 10 y

118.030

Parameters 119.103beta 0 2.17 111.761

beta 1 -3.56 119.376

beta 2 1.38 18.3219

decay t 15.69 111.6459

114.1857

Barbell 2010 106.92

issue date start date Basis Maturity Coupon Yield Settlement

6/11/1990 20.01.2009 0 6/11/2010 11.50% 4.56% 1/15/2009

12/13/1982 15.01.2009 0 12/13/2010 8.75% 7.99% 1/15/2009

5/14/2002 14.01.2009 0 5/14/2010 7.55% 4.83% 1/15/2009

7/28/2000 13.01.2009 0 7/28/2010 11.30% 4.79% 1/15/2009

7/2/1998 13.01.2009 0 7/2/2010 12.25% 4.85% 1/15/2009

5/12/1980 07.01.2009 0 5/12/2010 7.50% 5.19% 1/15/2009

1/29/1999 16.09.2008 0 1/29/2010 12.29% 8.61% 1/15/2008

1/2/2003 20.01.2009 0 1/2/2010 5.87% 4.57% 1/15/2009

Settlement Date

11-Jun-10 15-Jan-09 Date 12/11/2008 6/11/2009 12/11/2009 6/11/2010

Cash flow 5.75 5.75 105.75YearFrac 0.41 0.91 1.41

Nelson -1.33 -1.25 -1.18

Discount 1.01 1.01 1.02

PV 5.78 5.82 107.52

CP 118.030 AI 1.09

13-Dec-10 15-Jan-09 Date 12/13/2008 6/13/2009 12/13/2009 6/13/2010

Cash flow 4.38 4.38 4.38

YearFrac 0.41 0.91 1.41

Nelson -1.33 -1.25 -1.18

Discount 1.01 1.01 1.02

PV 4.4 4.43 4.45

CP 119.103 AI 0.78

14-May-10 15-Jan-09 Date 11/14/2008 5/14/2009 11/14/2009 5/14/2010

Cash flow 3.7750 3.7750 103.7750

YearFrac 0.33 0.83 1.33

Nelson Spot -1.34 -1.26 -1.19

Discount 1 1.01 1.02



PV 3.79 3.81 105.43

AI 1.28

CP 111.761

28-Jul-10 15-Jan-09 Date 7/28/2008 1/28/2009 7/28/2009 1/28/2010

Cash flow 5.6500 5.6500 5.6500

YearFrac 0.04 0.54 1.04Nelson Spot -1.38 -1.31 -1.23


PV 5.65 5.69 5.72

AI 5.24

CP 119.376

2-Jul-10 15-Jan-09 Date 1/2/2009 7/2/2009 1/2/2010 7/2/2010

Cash flow 6.1250 6.1250 6.1250

YearFrac 0.46 0.96 1.46

Nelson Spot -1.32 -1.24 -1.17

Discount 1.01 1.01 1.02

PV 6.16 6.2 6.23AI 0.27

CP 18.322

12-May-10 15-Jan-09 Date 11/12/2008 5/12/2009 11/12/2009 5/12/2010

Cash flow 3.7500 3.7500 103.7500

YearFrac 0.33 0.83 1.33

Nelson Spot -1.34 -1.26 -1.19


PV 3.77 3.79 105.4

AI 1.31

CP 111.646

29-Jan-10 15-Jan-08 Date 7/29/2007 1/29/2008 7/29/2008 1/29/2009

Cash flow 6.1450 6.1450 106.1450

YearFrac 0.04 0.54 1.04

Nelson Spot -1.38 -1.31 -1.23


PV 6.15 6.19 107.52

AI 5.67

CP 114.186

2-Jan-10 15-Jan-09 Date 1/2/2009 7/2/2009 1/2/2010

Cash flow 2.9350 102.9350

YearFrac 0.46 0.96

Nelson Spot -1.32 -1.24Discount 1.01 1.01

PV 2.95 104.18

AI 0.21

CP 106.920

Barbell 2022




5/14/2002 16.01.2009 0 5/14/2022 8.35% 6.62% 1/15/2009

2/15/2007 16.01.2009 0 2/15/2022 8.20% 6.59% 1/15/2009

8/2/2007 13.03.2008 0 8/2/2022 8.08% 7.90% 1/15/2009

9/21/2007 13.03.2008 0 9/21/2022 8.13% 7.90% 1/15/2009

Settlement Date

14-May-22 15-Jan-09 Date 11/14/2008 5/14/2009 11/14/2009 5/14/2010

Cash flow 4.18 4.18 4.18

YearFrac 0.33 0.83 1.33

Nelson -1.34 -1.26 -1.19


PV 4.19 4.22 4.24

CP 212.096 AI 1.41

15-Feb-22 15-Jan-09 Date 8/15/2008 2/15/2009 8/15/2009 2/15/2010

Cash flow 4.1 4.1 4.1

YearFrac 0.08 0.58 1.08

Nelson -1.38 -1.3 -1.22


PV 4.1 4.13 4.15

CP 208.337 AI 3.42

2-Aug-22 15-Jan-09 Date 8/2/2008 2/2/2009 8/2/2009 2/2/2010

Cash flow 4.0400 4.0400 4.0400

YearFrac 0.05 0.55 1.05

Nelson Spot -1.38 -1.31 -1.23


PV 4.04 4.07 4.09

AI 3.66

CP 209.892

21-Sep-22 15-Jan-09 Date 9/21/2008 3/21/2009 9/21/2009 3/21/2010

Cash flow 4.0650 4.0650 4.0650

YearFrac 0.18 0.68 1.18

Nelson Spot -1.36 -1.28 -1.21


PV 4.08 4.1 4.12

AI 2.57

CP 211.511



Bullet 2015


5/19/2000 20.01.2009 0 5/19/2015 10.79% 6.41% 1/15/2009

2/12/2001 20.01.2009 0 2/12/2015 10.47% 6.41% 1/15/2009

5/21/1985 20.01.2009 0 5/21/2015 11.50% 6.35% 1/15/2009

8/7/2000 30.12.2008 0 8/7/2015 11.43% 5.73% 1/15/2009

10/16/2001 11.12.2008 0 10/16/2015 9.85% 6.80% 1/15/2009

Settlement Date

19-May-15 15-Jan-09 Date 11/19/2008 5/19/2009 11/19/2009 5/19/2010

Cash flow 5.4 5.4 5.4

YearFrac 0.34 0.84 1.34

Nelson -1.34 -1.26 -1.19


PV 5.42 5.45 5.48

CP 173.843 AI 1.68

12-Feb-15 15-Jan-09 Date 8/12/2008 2/12/2009 8/12/2009 2/12/2010

Cash flow 5.24 5.24 5.24

YearFrac 0.08 0.58 1.08

Nelson -1.38 -1.3 -1.23


PV 5.24 5.27 5.3

CP 168.875 AI 4.45

21-May-15 15-Jan-09 Date 11/21/2008 5/21/2009 11/21/2009 5/21/2010

Cash flow 5.7500 5.7500 5.7500

YearFrac 0.35 0.85 1.35

Nelson Spot -1.34 -1.26 -1.19


PV 5.78 5.81 5.84

AI 1.73

CP 178.535

7-Aug-15 15-Jan-09 Date 8/7/2008 2/7/2009 8/7/2009 2/7/2010

Cash flow 5.7150 5.7150 5.7150

YearFrac 0.06 0.56 1.06

Nelson Spot -1.38 -1.3 -1.23


PV 5.72 5.76 5.79

AI 5.02



CP 180.531

16-Oct-15 15-Jan-09 Date 10/16/2008 4/16/2009 10/16/2009 4/16/2010

Cash flow 4.9250 4.9250 4.9250

YearFrac 0.25 0.75 1.25

Nelson Spot -1.35 -1.27 -1.2

Discount 1 1.01 1.02PV 4.94 4.97 5

AI 2.44

CP 171.789



Beta 0 increases to 5.171378349 Increaing the sp

Bullet 15 yr Barbell 22 yr Barbell 10 year Bullet 15 yr Barbell 22 yr Barbell 10 year

173.84 212.1 113.37 149.2 159.34 121.14

168.88 208.34 112.82 145.63 157.01 123.29

178.54 209.89 107.51 153.42 156.89 114.60

180.53 211.51 114.27 154.48 157.8 122.787%

171.79 17.79 145.95 18.68

107.42 114.48

110.78 116.47

103.91 108.94

Year Frac Price Predicted Price error Actual Yield Predicted yield

1.41 109.23 118.030 77.45 0.05 -0.01

1.91 101.3 119.103 316.94 0.08 -0.01

1.33 103.45 111.761 69.08 0.05 -0.01

1.54 109.55 119.376 96.55 0.05 -0.01

1.46 110.35 18.3219 8469.17 0.05 2

1.33 102.95 111.6459 75.62 0.05 -0.01

2.04 104.62 114.1857 91.5 0.1 0.048922

0.96 101.19 106.92 32.84 0.05 -0.012436

3 5 6

coupon intere 15-Apr-09 14-Jun-09 14-Jul-09

117.25 108.02 2.88% 4.79% 5.75%0.24 0.39 0.46

0.07 106.82 price discounted byyield

12/13/2010

104.38

1.91

-1.1

1.02

106.61



7/28/2010

105.6500

1.54-1.16

1.02

107.55




13.33 115.1 212.096 9408.21 0.07 0

13.08 113.95 208.337 8908.98 0.07 0

13.55 101.52 209.8920 11744.48 0.08 0

13.68 101.96 211.5107 12001.36 0.08 0

11/14/2010 5/14/2011 11/14/2011 5/14/2012 11/14/2012 5/14/2013

4.18 4.18 4.18 4.18 4.18 4.18

1.83 2.33 2.83 3.33 3.83 4.33

-1.12 -1.05 -0.98 -0.91 -0.85 -0.78

1.02 1.02 1.03 1.03 1.03 1.03

4.26 4.28 4.29 4.3 4.31 4.32

8/15/2010 2/15/2011 8/15/2011 2/15/2012 8/15/2012 2/15/2013

4.1 4.1 4.1 4.1 4.1 4.1

1.58 2.08 2.58 3.08 3.58 4.08

-1.15 -1.08 -1.01 -0.94 -0.88 -0.81

1.02 1.02 1.03 1.03 1.03 1.03

4.18 4.19 4.21 4.22 4.23 4.24

8/2/2010 2/2/2011 8/2/2011 2/2/2012 8/2/2012 2/2/2013

4.0400 4.0400 4.0400 4.0400 4.0400 4.0400

1.55 2.05 2.55 3.05 3.55 4.05

-1.16 -1.09 -1.02 -0.95 -0.88 -0.82

1.02 1.02 1.03 1.03 1.03 1.03

4.11 4.13 4.15 4.16 4.17 4.18

9/21/2010 3/21/2011 9/21/2011 3/21/2012 9/21/2012 3/21/2013

4.0650 4.0650 4.0650 4.0650 4.0650 4.0650

1.68 2.18 2.68 3.18 3.68 4.18

-1.14 -1.07 -1 -0.93 -0.86 -0.8

1.02 1.02 1.03 1.03 1.03 1.03

4.14 4.16 4.18 4.19 4.2 4.2

3 5 6

15-Apr-09 14-Jun-09 14-Jul-09

2.09% 3.48% 4.18%



0.24 0.4 0.47


6.34 122.45 173.843 2641.19 0.06 -0.01

6.08 120.1 168.875 2379.04 0.06 -0.01

6.35 126.5 178.5351 2707.65 0.06 -0.01

6.56 130.96 180.5314 2457.32 0.06 -0.01

6.75 116.45 171.7894 3062.45 0.07 -0.01

11/19/2010 5/19/2011 11/19/2011 5/19/2012 11/19/2012 5/19/2013

5.4 5.4 5.4 5.4 5.4 5.4

1.84 2.34 2.84 3.34 3.84 4.34

-1.11 -1.04 -0.98 -0.91 -0.84 -0.78

1.02 1.02 1.03 1.03 1.03 1.03

5.51 5.53 5.55 5.56 5.57 5.58

8/12/2010 2/12/2011 8/12/2011 2/12/2012 8/12/2012 2/12/2013

5.24 5.24 5.24 5.24 5.24 5.24

1.58 2.08 2.58 3.08 3.58 4.08

-1.15 -1.08 -1.01 -0.94 -0.88 -0.81

1.02 1.02 1.03 1.03 1.03 1.03

5.33 5.35 5.37 5.39 5.4 5.41

11/21/2010 5/21/2011 11/21/2011 5/21/2012 11/21/2012 5/21/2013

5.7500 5.7500 5.7500 5.7500 5.7500 5.7500

1.85 2.35 2.85 3.35 3.85 4.35

-1.11 -1.04 -0.97 -0.91 -0.84 -0.78

1.02 1.02 1.03 1.03 1.03 1.03

5.87 5.89 5.91 5.93 5.94 5.95

8/7/2010 2/7/2011 8/7/2011 2/7/2012 8/7/2012 2/7/2013

5.7150 5.7150 5.7150 5.7150 5.7150 5.7150

1.56 2.06 2.56 3.06 3.56 4.06

-1.15 -1.08 -1.01 -0.95 -0.88 -0.82

1.02 1.02 1.03 1.03 1.03 1.03

5.82 5.84 5.87 5.88 5.9 5.91



10/16/2010 4/16/2011 10/16/2011 4/16/2012 10/16/2012 4/16/2013

4.9250 4.9250 4.9250 4.9250 4.9250 4.9250

1.75 2.25 2.75 3.25 3.75 4.25

-1.13 -1.06 -0.99 -0.92 -0.86 -0.79

1.02 1.02 1.03 1.03 1.03 1.035.02 5.04 5.06 5.08 5.09 5.09



ead

Bullet 15 yr Barbell 22 yr

189.74 244.41

183.9 239.83194.74 242.30

197.31 244.32

188.4

Yield Error Issue Size

0 70 7152.81

0.01 0.05 500.22

0 0.5 42000

0 25 34000

3.81 35 15515

0 0.7 1456.22

0 65 11500

0 70 29000

5 0

3.84 10 100

Amount(Face valuein Rs.Crore)




0 5 41000

0 10 15632.33

0.01 25 2969.41

0.01 25 2495.28

0.02

11/14/2013 5/14/2014 11/14/2014 5/14/2015 11/14/2015 5/14/2016 11/14/2016 5/14/2017

4.18 4.18 4.18 4.18 4.18 4.18 4.18 4.18

4.83 5.33 5.83 6.33 6.83 7.33 7.83 8.33

-0.72 -0.66 -0.6 -0.55 -0.49 -0.44 -0.38 -0.33

1.04 1.04 1.04 1.04 1.03 1.03 1.03 1.03

4.32 4.32 4.32 4.32 4.32 4.31 4.3 4.29

8/15/2013 2/15/2014 8/15/2014 2/15/2015 8/15/2015 2/15/2016 8/15/2016 2/15/2017

4.1 4.1 4.1 4.1 4.1 4.1 4.1 4.1

4.58 5.08 5.58 6.08 6.58 7.08 7.58 8.08

-0.75 -0.69 -0.63 -0.57 -0.52 -0.46 -0.41 -0.36

1.04 1.04 1.04 1.04 1.03 1.03 1.03 1.03

4.24 4.25 4.25 4.25 4.24 4.24 4.23 4.22

8/2/2013 2/2/2014 8/2/2014 2/2/2015 8/2/2015 2/2/2016 8/2/2016 2/2/2017

4.0400 4.0400 4.0400 4.0400 4.0400 4.0400 4.0400 4.0400

4.55 5.05 5.55 6.05 6.55 7.05 7.55 8.05

-0.76 -0.69 -0.64 -0.58 -0.52 -0.47 -0.41 -0.36

1.04 1.04 1.04 1.04 1.03 1.03 1.03 1.03

4.18 4.18 4.19 4.18 4.18 4.18 4.17 4.16

9/21/2013 3/21/2014 9/21/2014 3/21/2015 9/21/2015 3/21/2016 9/21/2016 3/21/2017

4.0650 4.0650 4.0650 4.0650 4.0650 4.0650 4.0650 4.0650

4.68 5.18 5.68 6.18 6.68 7.18 7.68 8.18

-0.74 -0.68 -0.62 -0.56 -0.51 -0.45 -0.4 -0.35

1.04 1.04 1.04 1.04 1.03 1.03 1.03 1.03

4.21 4.21 4.21 4.21 4.21 4.2 4.19 4.18

Amount(Face valuein Rs.Crore)




0 0.4 2683.45

0 0.25 6430

0 0.04 3560.5

0 5 12000

0.01 10 10000

0.02

11/19/2013 5/19/2014 11/19/2014 5/19/2015

5.4 5.4 5.4 105.4

4.84 5.34 5.84 6.34

-0.72 -0.66 -0.6 -0.54

1.04 1.04 1.04 1.04

5.59 5.59 5.59 109.1

8/12/2013 2/12/2014 8/12/2014 2/12/2015

5.24 5.24 5.24 105.24

4.58 5.08 5.58 6.08

-0.75 -0.69 -0.63 -0.57

1.04 1.04 1.04 1.04

5.42 5.42 5.42 108.98

11/21/2013 5/21/2014 11/21/2014 5/21/2015

5.7500 5.7500 5.7500 105.7500

4.85 5.35 5.85 6.35

-0.72 -0.66 -0.6 -0.54

1.04 1.04 1.04 1.04

5.95 5.96 5.96 109.47

8/7/2013 2/7/2014 8/7/2014 2/7/2015 8/7/2015

5.7150 5.7150 5.7150 5.7150 105.7150

4.56 5.06 5.56 6.06 6.56

-0.75 -0.69 -0.63 -0.58 -0.52

1.04 1.04 1.04 1.04 1.03

5.92 5.92 5.92 5.92 109.39

Amount

(Face valuein Rs.Crore)



10/16/2013 4/16/2014 10/16/2014 4/16/2015 10/16/2015

4.9250 4.9250 4.9250 4.9250 104.9250

4.75 5.25 5.75 6.25 6.75

-0.73 -0.67 -0.61 -0.55 -0.5

1.04 1.04 1.04 1.04 1.035.1 5.1 5.1 5.1 108.52



11/14/2017 5/14/2018 11/14/2018 5/14/2019 11/14/2019 5/14/2020 11/14/2020 5/14/2021 11/14/2021

4.18 4.18 4.18 4.18 4.18 4.18 4.18 4.18 4.18

8.83 9.33 9.83 10.33 10.83 11.33 11.83 12.33 12.83

-0.28 -0.23 -0.19 -0.14 -0.1 -0.05 -0.01 0.03 0.07

1.03 1.02 1.02 1.01 1.01 1.01 1 1 0.99

4.28 4.27 4.25 4.24 4.22 4.2 4.18 4.16 4.14

8/15/2017 2/15/2018 8/15/2018 2/15/2019 8/15/2019 2/15/2020 8/15/2020 2/15/2021 8/15/2021

4.1 4.1 4.1 4.1 4.1 4.1 4.1 4.1 4.1

8.58 9.08 9.58 10.08 10.58 11.08 11.58 12.08 12.58

-0.31 -0.26 -0.21 -0.16 -0.12 -0.07 -0.03 0.01 0.05

1.03 1.02 1.02 1.02 1.01 1.01 1 1 0.99

4.21 4.2 4.18 4.17 4.15 4.13 4.11 4.09 4.07

8/2/2017 2/2/2018 8/2/2018 2/2/2019 8/2/2019 2/2/2020 8/2/2020 2/2/2021 8/2/2021

4.0400 4.0400 4.0400 4.0400 4.0400 4.0400 4.0400 4.0400 4.0400

8.55 9.05 9.55 10.05 10.55 11.05 11.55 12.05 12.55

-0.31 -0.26 -0.21 -0.17 -0.12 -0.08 -0.03 0.01 0.05

1.03 1.02 1.02 1.02 1.01 1.01 1 1 0.99

4.15 4.14 4.12 4.11 4.09 4.07 4.06 4.04 4.02

9/21/2017 3/21/2018 9/21/2018 3/21/2019 9/21/2019 3/21/2020 9/21/2020 3/21/2021 9/21/2021

4.0650 4.0650 4.0650 4.0650 4.0650 4.0650 4.0650 4.0650 4.0650

8.68 9.18 9.68 10.18 10.68 11.18 11.68 12.18 12.68

-0.3 -0.25 -0.2 -0.15 -0.11 -0.07 -0.02 0.02 0.06

1.03 1.02 1.02 1.02 1.01 1.01 1 1 0.99

4.17 4.16 4.14 4.13 4.11 4.09 4.08 4.06 4.03



5/14/2022

104.18

13.33

0.11

0.99

102.64

2/15/2022

104.1

13.08

0.09

0.99

102.85

2/2/2022 8/2/2022

4.0400 104.0400

13.05 13.55

0.09 0.13

0.99 0.98

3.99 102.25

3/21/2022 9/21/2022

4.0650 104.0650

13.18 13.68

0.1 0.14

0.99 0.98

4.01 102.11



Particulars Bullet Barbell

Dollar Duration 5.01 5.01

31.42 52.25

Barbell 2010

Bond A Bond B Bond C Bond D Bond E

Date of Settlement 1/15/2009 1/15/2009 1/15/2009 1/15/2009 1/15/2009

Date of Maturity 6/11/2010 12/13/2010 5/14/2010 7/28/2010 7/2/2010

Coupon 11.50% 8.75% 7.55% 11.30% 12.25%

Yield 4.56% 7.99% 4.83% 4.79% 4.85%

Redemption value 100 100 100 100 100

Coupon frequency 2 2 2 2 2Basis (Actual/365) 0 0 0 0 0

Price per 100 118.03 119.1 111.76 119.38 18.32

Face 700,000,000 500000 5000000 250000000 350000000

Price 826,213,473 595,514 5,588,059 298,439,460 64,126,674

Macauley Duration 1.33 1.79 1.28 1.39 1.38

Modified Duration 1.30 1.72 1.25 1.36 1.35

Weights 0.69 0 0 0.25 0.05

Portfolio Contribution 0.9 0 0.01 0.35 0.07

wt *actual yeild 0.03 0 0 0.01 0Coupon weighted 0.08 0 0 0.03 0.01

price weighted 81.61 0.06 0.52 29.81 0.98

Price - V0 109.34 101.3 103.45 109.53 110.33

Price - V(-) 109.48 101.48 103.58 109.69 110.48

Price - V+ 109.20 101.13 103.32 109.38 110.18

Approximated convexity 2.4 3.94 2.23 2.78 2.55

1.66 0 0.01 0.69 0.14

Barbell 2022

Bond A Bond B Bond C Bond D

Date of Settlement 1/15/2009 1/15/2009 1/15/2009 1/15/2009

Date of Maturity 5/14/2022 2/15/2022 8/2/2022 9/21/2022

Coupon 8.35% 8.20% 8.08% 8.13%

Yield 6.62% 6.59% 7.90% 7.90%

Redemption value 100 100 100 100

Coupon frequency 2 2 2 2

Dollarconvexity



Basis (Actual/365) 0 0 0 0

Price per 100 212.1 208.34 209.89 211.51

Face 50,000,000 100000000 250000000 250000000

Price 106,047,972 208,337,392 524,729,934 528,776,769

Macauley Duration 8.55 8.34 8.22 8.34

Modified Duration 8.27 8.07 7.91 8.03

Weights 0.08 0.15 0.38 0.39

Portfolio Contribution 0.64 1.23 3.03 3.1

wt *actual yeild 0.01 0.01 0.03 0.03

Price - V0 115.11 113.96 101.48 101.88

Price - V(-) 116.08 114.91 102.31 102.72

Price - V+ 114.15 113.01 100.65 101.05

Approximated convexity 94.39 92.56 92.13 93.19weighted convexity 7.32 14.1 35.34 36.02 92.78Bullet 2015

Bond A Bond B Bond C Bond D Bond E

Date of Settlement 1/15/2009 1/15/2009 1/15/2009 1/15/2009 1/15/2009

Date of Maturity 5/19/2015 2/12/2015 5/21/2015 8/7/2015 10/16/2015

Coupon 10.79% 10.47% 11.50% 11.43% 9.85%

Yield 6.41% 6.41% 6.35% 5.73% 6.80%

Redemption value 100 100 100 100 100Coupon frequency 2 2 2 2 2

Basis (Actual/365) 0 0 0 0 0

Price per 100 173.84 168.88 178.54 180.53 171.79

Face 4,000,000 2500000 400000 50000000 100000000

Price 6,953,701 4,221,885 714,140 90,265,678 171,789,390

Macauley Duration 4.86 4.62 4.82 4.85 5.12

Modified Duration 4.71 4.47 4.67 4.72 4.95

Weights 0.03 0.02 0 0.33 0.63

Portfolio Contribution 0.12 0.07 0.01 1.6 3.21

wt *actual yeild 0 0 0 0.02 0.04

weighted coupon 0 0 0 0.04 0.06

Price - V0 122.5 120.14 126.56 130.8 116.27

Price - V(-) 123.09 120.70 127.16 131.45 116.86

Price - V+ 121.92 119.59 125.96 130.16 115.69



Approximated convexity 28.78 27.03 28.44 30.38 32.2

weighted convexity 0.73 0.42 0.07 10.01 20.19



PVBP

Bond A Bond A

10/19/2005 10/19/2005

10/19/2012 10/19/2012

4.51% 4.51%

6.00% 5.01%

100 100

2 20 0

91.58 97.08

1,305,500,000 2,300,000 2,300,000

1,194,963,179 2,106,340 2,232,840

Portfolio

6.03 6.06

6.98 5.85 5.92

1

1.33

Portfolio Duration wtd of portfolio contri

0.05 5.010.11 11.47

112.99

port folio of yield

0.06

2.51

PVBP

Bond A Bond A

10/19/2005 10/19/2005

10/19/2012 10/19/2012

4.51% 4.51%

6.00% 5.01%

100 100

2 2

Pricechangedue toduration

Pricechange

due toduration



0 0

91.58 97.08

650,000,000 2,300,000 2,300,000

1,367,892,066 2,106,340 2,232,840

Portfolio

6.03 6.06

32.27 5.85 5.92

1

8.01

Portfolio Duration

0.08

Barbell convexity 52.25

PVBP

Bond A Bond A

10/19/2005 10/19/2005

10/19/2012 10/19/2012

4.51% 4.51%

6.00% 5.01%

100 1002 2

0 0

91.58 97.08

156,900,000 2,300,000 2,300,000

273,944,794 2,106,340 2,232,840

Portfolio

6.03 6.06

23.52 5.85 5.92

1

5.01

Portfolio Duration0.06

diff of barbel n bullet

0.1 10.41 0

Pricechangedue toduration



31.42 Bullet convexity



Price and Duration changeBond yield Settlement Maturity Coupon Price Redemptio

bullet 6.41 1/15/2009 6/16/2015 10.51 121.63 100

barbel 10 4.68 1/14/2009 6/3/2009 11.65 109.62 100

barbel 22 7.57 1/1/2009 6/29/2022 8.14 104.87 100

Bullet Barbel 10 Barbell 22

Bond Price 121.889 136.169 104.880

Bond price with 200 bp change 78.295 86.958 82.205Actual Duration 0.14 0.06 0.13

Duration 0.10 0.05 0.10

Change in duration 0.03 0.01 0.03

Change in Price (0.56) (0.57) (0.28)



Basis Freq

0 2

0 2

0 2



Bond yield Settlement Maturity Coupon Price Redemptio

bullet 6.41 1/15/2009 6/16/2015 10.51 121.63 100

barbel 10 4.68 1/14/2009 6/3/2009 11.65 109.62 100

barbel 22 7.57 1/1/2009 6/29/2022 8.14 104.87 100

Parallel Yield cu

Bullet barbel-10

yield chan Yield Bullet TR Price +Couprice Change y price Price +Cou

6 12.41 -0.45 36.98 31.72 5.73 107.52 113.34

5.75 12.16 -0.43 39.04 33.78 5.48 113.69 119.51

5.5 11.91 -0.42 41.17 35.92 5.23 120.24 126.07

5.25 11.66 -0.4 43.4 38.14 5.21 120.92 126.74

5 11.41 -0.39 45.72 40.46 5.18 121.6 127.42

4.75 11.16 -0.37 48.13 42.88 5.16 122.28 128.11

4.5 10.91 -0.35 50.65 45.4 5.13 122.97 128.80

4.25 10.66 -0.34 53.28 48.03 5.11 123.67 129.494 10.41 -0.32 56.03 50.78 5.08 124.37 130.19

3.75 10.16 -0.3 58.91 53.65 5.06 125.07 130.89

3.5 9.91 -0.29 61.93 56.67 5.03 125.78 131.60

3.25 9.66 -0.27 65.09 59.83 5.01 126.49 132.31

3 9.41 -0.25 68.41 63.15 4.98 127.21 133.03

2.75 9.16 -0.23 71.9 66.64 4.96 127.93 133.75

2.5 8.91 -0.21 75.58 70.32 4.93 128.65 134.48

2.25 8.66 -0.19 79.46 74.2 4.91 129.38 135.21

2 8.41 -0.17 83.55 78.29 4.88 130.12 135.94

1.75 8.16 -0.15 87.89 82.63 4.86 130.86 136.68

1.5 7.91 -0.13 92.48 87.22 4.83 131.6 137.42

1.25 7.66 -0.11 97.36 92.1 4.81 132.35 138.171 7.41 -0.08 102.55 97.29 4.78 133.1 138.93

0.75 7.16 -0.06 108.08 102.83 4.76 133.86 139.69

0.5 6.91 -0.03 114 108.74 4.73 134.63 140.45

0.25 6.66 -0.01 120.34 115.08 4.71 135.39 141.22

0 6.41 0.02 127.15 121.89 4.68 136.17 141.99

-0.25 6.16 0.05 134.48 129.22 4.43 144.2 150.03

-0.5 5.91 0.08 142.41 137.15 4.18 152.81 158.63

-0.75 5.66 0.11 151 145.75 3.93 162.05 167.88

-1 5.41 0.15 160.36 155.1 3.68 172.02 177.84

-1.25 5.16 0.18 170.58 165.32 3.43 182.79 188.61

-1.5 4.91 0.22 181.8 176.54 3.18 194.48 200.30

-1.75 4.66 0.26 194.17 188.91 2.93 207.21 213.03-2 4.41 0.31 207.89 202.63 2.68 221.14 226.96

-2.25 4.16 0.35 223.19 217.93 2.43 236.45 242.28

-2.5 3.91 0.41 240.37 235.12 2.18 253.38 259.20

-2.75 3.66 0.46 259.82 254.56 1.93 272.19 278.02

-3 3.41 0.52 282.02 276.76 1.68 293.26 299.08

-3.25 3.16 0.59 307.61 302.35 1.43 317.02 322.84

-3.5 2.91 0.67 337.46 332.2 1.18 344.06 349.89-1

-0.5

0

0.5

1

1.5

2



-3.75 2.66 0.75 372.74 367.49 0.93 375.15 380.97

-4 2.41 0.85 415.14 409.88 0.68 411.32 417.15

-4.25 2.16 0.96 467.07 461.82 0.43 454.01 459.83

-4.5 1.91 1.09 532.24 526.99 0.18 505.26 511.08

Flattening of yie

0.25 -0.25

Bullet barbel-10yield chan Yield Bullet TR Price +Couprice Change y price Price +Cou

6 12.41 -0.45 36.98 31.72 10.68 31.24 37.07

5.75 12.16 -0.43 39.04 33.78 10.43 33.78 39.61

5.5 11.91 -0.42 41.17 35.92 10.18 36.41 42.24

5.25 11.66 -0.4 43.4 38.14 9.93 39.14 44.97

5 11.41 -0.39 45.72 40.46 9.68 41.98 47.80

4.75 11.16 -0.37 48.13 42.88 9.43 44.92 50.74

4.5 10.91 -0.35 50.65 45.4 9.18 47.98 53.80

4.25 10.66 -0.34 53.28 48.03 8.93 51.16 56.98

4 10.41 -0.32 56.03 50.78 8.68 54.47 60.293.75 10.16 -0.3 58.91 53.65 8.43 57.92 63.75

3.5 9.91 -0.29 61.93 56.67 8.18 61.53 67.35

3.25 9.66 -0.27 65.09 59.83 7.93 65.29 71.12

3 9.41 -0.25 68.41 63.15 7.68 69.23 75.05

2.75 9.16 -0.23 71.9 66.64 7.43 73.35 79.17

2.5 8.91 -0.21 75.58 70.32 7.18 77.66 83.49

2.25 8.66 -0.19 79.46 74.2 6.93 82.2 88.02

2 8.41 -0.17 83.55 78.29 6.68 86.96 92.78

1.75 8.16 -0.15 87.89 82.63 6.43 91.97 97.79

1.5 7.91 -0.13 92.48 87.22 6.18 97.25 103.08

1.25 7.66 -0.11 97.36 92.1 5.93 102.83 108.65

1 7.41 -0.08 102.55 97.29 5.68 108.72 114.550.75 7.16 -0.06 108.08 102.83 5.43 114.97 120.79

0.5 6.91 -0.03 114 108.74 5.18 121.6 127.42

0.25 6.66 -0.01 120.34 115.08 4.93 128.65 134.48

0 6.41 0.02 127.15 121.89 4.68 136.17 141.99

-0.25 6.16 0.05 134.48 129.22 4.43 144.2 150.03

-0.5 5.91 0.08 142.41 137.15 4.18 152.81 158.63

-0.75 5.66 0.11 151 145.75 3.93 162.05 167.88

-1 5.41 0.15 160.36 155.1 3.68 172.02 177.84

-1.25 5.16 0.18 170.58 165.32 3.43 182.79 188.61

-1.5 4.91 0.22 181.8 176.54 3.18 194.48 200.30

-1.75 4.66 0.26 194.17 188.91 2.93 207.21 213.03

-2 4.41 0.31 207.89 202.63 2.68 221.14 226.96-2.25 4.16 0.35 223.19 217.93 2.43 236.45 242.28

-2.5 3.91 0.41 240.37 235.12 2.18 253.38 259.20

-2.75 3.66 0.46 259.82 254.56 1.93 272.19 278.02

-3 3.41 0.52 282.02 276.76 1.68 293.26 299.08

-3.25 3.16 0.59 307.61 302.35 1.43 317.02 322.84

-3.5 2.91 0.67 337.46 332.2 1.18 344.06 349.89

-3.75 2.66 0.75 372.74 367.49 0.93 375.15 380.97

1 3 5 7 9 11 13 15 17 19 21 23 25 27 2

12

34

56

7

-0.5

0

0.5

1

1.5

2

2.5



-4 2.41 0.85 415.14 409.88 0.68 411.32 417.15

-4.25 2.16 0.96 467.07 461.82 0.43 454.01 459.83

-4.5 1.91 1.09 532.24 526.99 0.18 505.26 511.08

steepening of yBullet barbel-10

yield chan Yield Bullet TR Price +Couprice Change y price Price +Cou6 12.41 -0.45 36.98 31.72 -1.32 Err:502 Err:502

5.75 12.16 -0.43 39.04 33.78 -1.07 Err:502 Err:502

5.5 11.91 -0.42 41.17 35.92 -0.82 Err:502 Err:502

5.25 11.66 -0.4 43.4 38.14 -0.57 Err:502 Err:502

5 11.41 -0.39 45.72 40.46 -0.32 Err:502 Err:502

4.75 11.16 -0.37 48.13 42.88 -0.07 Err:502 Err:502

4.5 10.91 -0.35 50.65 45.4 0.18 505.26 511.08

4.25 10.66 -0.34 53.28 48.03 0.43 454.01 459.83

4 10.41 -0.32 56.03 50.78 0.68 411.32 417.15

3.75 10.16 -0.3 58.91 53.65 0.93 375.15 380.97

3.5 9.91 -0.29 61.93 56.67 1.18 344.06 349.89

3.25 9.66 -0.27 65.09 59.83 1.43 317.02 322.843 9.41 -0.25 68.41 63.15 1.68 293.26 299.08

2.75 9.16 -0.23 71.9 66.64 1.93 272.19 278.02

2.5 8.91 -0.21 75.58 70.32 2.18 253.38 259.20

2.25 8.66 -0.19 79.46 74.2 2.43 236.45 242.28

2 8.41 -0.17 83.55 78.29 2.68 221.14 226.96

1.75 8.16 -0.15 87.89 82.63 2.93 207.21 213.03

1.5 7.91 -0.13 92.48 87.22 3.18 194.48 200.30

1.25 7.66 -0.11 97.36 92.1 3.43 182.79 188.61

1 7.41 -0.08 102.55 97.29 3.68 172.02 177.84

0.75 7.16 -0.06 108.08 102.83 3.93 162.05 167.88

0.5 6.91 -0.03 114 108.74 4.18 152.81 158.63

0.25 6.66 -0.01 120.34 115.08 4.43 144.2 150.030 6.41 0.02 127.15 121.89 4.68 136.17 141.99

-0.25 6.16 0.05 134.48 129.22 4.93 128.65 134.48

-0.5 5.91 0.08 142.41 137.15 5.18 121.6 127.42

-0.75 5.66 0.11 151 145.75 5.43 114.97 120.79

-1 5.41 0.15 160.36 155.1 5.68 108.72 114.55

-1.25 5.16 0.18 170.58 165.32 5.93 102.83 108.65

-1.5 4.91 0.22 181.8 176.54 6.18 97.25 103.08

-1.75 4.66 0.26 194.17 188.91 6.43 91.97 97.79

-2 4.41 0.31 207.89 202.63 6.68 86.96 92.78

-2.25 4.16 0.35 223.19 217.93 6.93 82.2 88.02

-2.5 3.91 0.41 240.37 235.12 7.18 77.66 83.49

-2.75 3.66 0.46 259.82 254.56 7.43 73.35 79.17-3 3.41 0.52 282.02 276.76 7.68 69.23 75.05

-3.25 3.16 0.59 307.61 302.35 7.93 65.29 71.12

-3.5 2.91 0.67 337.46 332.2 8.18 61.53 67.35

-3.75 2.66 0.75 372.74 367.49 8.43 57.92 63.75

-4 2.41 0.85 415.14 409.88 8.68 54.47 60.29

-4.25 2.16 0.96 467.07 461.82 8.93 51.16 56.98

-4.5 1.91 1.09 532.24 526.99 9.18 47.98 53.800.4

0.6

0.8

1



12

34

56

78

910

1112

1

-0.4

-0.2

0

0.2



Basis Freq

0 2

0 2

0 2

ve shift

barbel-22 Total return %

Total Ret Change y price Price+Cou Total Ret barbel bullet difference

0.02 13.57 56.85 60.92 -0.24 -0.12 -0.9 -0.77

0.04 13.32 57.99 62.06 -0.23 -0.11 -0.87 -0.76

0.07 13.07 59.17 63.24 -0.22 -0.09 -0.84 -0.75

0.08 12.82 60.4 64.47 -0.22 -0.09 -0.81 -0.72

0.08 12.57 61.68 65.75 -0.21 -0.08 -0.77 -0.69

0.08 12.32 63.01 67.08 -0.2 -0.07 -0.74 -0.67

0.08 12.07 64.39 68.47 -0.19 -0.07 -0.71 -0.64

0.09 11.82 65.84 69.91 -0.18 -0.06 -0.68 -0.610.09 11.57 67.34 71.41 -0.17 -0.06 -0.64 -0.59

0.09 11.32 68.92 72.99 -0.17 -0.05 -0.61 -0.56

0.1 11.07 70.56 74.63 -0.16 -0.04 -0.57 -0.53

0.1 10.82 72.28 76.35 -0.15 -0.04 -0.54 -0.5

0.1 10.57 74.07 78.14 -0.14 -0.03 -0.5 -0.47

0.1 10.32 75.96 80.03 -0.13 -0.02 -0.46 -0.44

0.11 10.07 77.94 82.01 -0.12 -0.02 -0.42 -0.41

0.11 9.82 80.02 84.09 -0.1 -0.01 -0.38 -0.38

0.11 9.57 82.2 86.28 -0.09 0 -0.34 -0.34

0.12 9.32 84.51 88.58 -0.08 0.01 -0.3 -0.31

0.12 9.07 86.94 91.01 -0.07 0.02 -0.26 -0.27

0.12 8.82 89.51 93.58 -0.06 0.02 -0.21 -0.240.13 8.57 92.22 96.30 -0.04 0.03 -0.16 -0.2

0.13 8.32 95.1 99.18 -0.03 0.04 -0.11 -0.16

0.13 8.07 98.16 102.23 -0.01 0.05 -0.06 -0.12

0.14 7.82 101.41 105.48 0 0.06 -0.01 -0.07

0.14 7.57 104.88 108.95 0.02 0.07 0.04 -0.03

0.17 7.32 108.58 112.65 0.04 0.1 0.1 0.01

0.2 7.07 112.54 116.62 0.05 0.12 0.16 0.04

0.24 6.82 116.8 120.87 0.07 0.15 0.23 0.08

0.27 6.57 121.37 125.44 0.09 0.17 0.3 0.12

0.31 6.32 126.31 130.38 0.11 0.2 0.37 0.17

0.35 6.07 131.65 135.72 0.14 0.23 0.45 0.21

0.39 5.82 137.44 141.51 0.16 0.27 0.53 0.260.44 5.57 143.76 147.83 0.19 0.3 0.61 0.31

0.49 5.32 150.67 154.74 0.21 0.34 0.71 0.37

0.54 5.07 158.25 162.32 0.24 0.38 0.81 0.44

0.59 4.82 166.62 170.69 0.28 0.42 0.92 0.51

0.65 4.57 175.9 179.97 0.31 0.46 1.05 0.58

0.72 4.32 186.26 190.33 0.35 0.51 1.18 0.67

0.79 4.07 197.88 201.95 0.39 0.57 1.33 0.76

barbelbullet



0.86 3.82 211.01 215.08 0.43 0.63 1.5 0.88

0.95 3.57 225.98 230.05 0.48 0.69 1.69 1

1.05 3.32 243.2 247.27 0.54 0.77 1.92 1.15

1.16 3.07 263.21 267.29 0.6 0.85 2.18 1.33

ld curve

barbel-22 Total return %Total Ret Change y price Price+Cou Total Ret barbel bullet difference

-0.42 1.57 516.57 520.64 1.23 0.49 -0.9 -1.39

-0.4 1.82 445.43 449.50 1.07 0.41 -0.87 -1.28

-0.38 2.07 391.43 395.50 0.94 0.35 -0.84 -1.19

-0.36 2.32 349.04 353.12 0.83 0.3 -0.81 -1.1

-0.34 2.57 314.88 318.96 0.74 0.26 -0.77 -1.03

-0.32 2.82 286.77 290.84 0.67 0.22 -0.74 -0.96

-0.3 3.07 263.21 267.29 0.6 0.19 -0.71 -0.9

-0.28 3.32 243.2 247.27 0.54 0.17 -0.68 -0.85

-0.26 3.57 225.98 230.05 0.48 0.15 -0.64 -0.79-0.24 3.82 211.01 215.08 0.43 0.13 -0.61 -0.74

-0.22 4.07 197.88 201.95 0.39 0.12 -0.57 -0.69

-0.19 4.32 186.26 190.33 0.35 0.1 -0.54 -0.64

-0.17 4.57 175.9 179.97 0.31 0.09 -0.5 -0.59

-0.15 4.82 166.62 170.69 0.28 0.08 -0.46 -0.55

-0.13 5.07 158.25 162.32 0.24 0.08 -0.42 -0.5

-0.1 5.32 150.67 154.74 0.21 0.07 -0.38 -0.46

-0.08 5.57 143.76 147.83 0.19 0.07 -0.34 -0.41

-0.06 5.82 137.44 141.51 0.16 0.06 -0.3 -0.36

-0.03 6.07 131.65 135.72 0.14 0.06 -0.26 -0.32

0 6.32 126.31 130.38 0.11 0.06 -0.21 -0.27

0.02 6.57 121.37 125.44 0.09 0.06 -0.16 -0.230.05 6.82 116.8 120.87 0.07 0.06 -0.11 -0.18

0.08 7.07 112.54 116.62 0.05 0.07 -0.06 -0.13

0.11 7.32 108.58 112.65 0.04 0.07 -0.01 -0.08

0.14 7.57 104.88 108.95 0.02 0.07 0.04 -0.03

0.17 7.82 101.41 105.48 0 0.08 0.1 0.03

0.2 8.07 98.16 102.23 -0.01 0.08 0.16 0.08

0.24 8.32 95.1 99.18 -0.03 0.09 0.23 0.14

0.27 8.57 92.22 96.30 -0.04 0.1 0.3 0.2

0.31 8.82 89.51 93.58 -0.06 0.11 0.37 0.26

0.35 9.07 86.94 91.01 -0.07 0.12 0.45 0.32

0.39 9.32 84.51 88.58 -0.08 0.13 0.53 0.39

0.44 9.57 82.2 86.28 -0.09 0.15 0.61 0.470.49 9.82 80.02 84.09 -0.1 0.16 0.71 0.55

0.54 10.07 77.94 82.01 -0.12 0.18 0.81 0.63

0.59 10.32 75.96 80.03 -0.13 0.2 0.92 0.73

0.65 10.57 74.07 78.14 -0.14 0.22 1.05 0.83

0.72 10.82 72.28 76.35 -0.15 0.24 1.18 0.94

0.79 11.07 70.56 74.63 -0.16 0.27 1.33 1.06

0.86 11.32 68.92 72.99 -0.17 0.3 1.5 1.2

9 31 33 35 37 39 41 43

8910

1112

1314

1516

1718

1920

2122

2324

2526

2728

2930

3132

3334

3536

3738

3940

4142

43

barbel

bullet



0.95 11.57 67.34 71.41 -0.17 0.33 1.69 1.36

1.05 11.82 65.84 69.91 -0.18 0.37 1.92 1.55

1.16 12.07 64.39 68.47 -0.19 0.41 2.18 1.77

eld curvebarbel-22 Total return %

Total Ret Change y price Price+Cou Total Ret barbel bullet differenceErr:502 13.57 56.85 60.92 -0.24 Err:502 -0.45 Err:502

Err:502 13.32 57.99 62.06 -0.23 Err:502 -0.43 Err:502

Err:502 13.07 59.17 63.24 -0.22 Err:502 -0.42 Err:502

Err:502 12.82 60.4 64.47 -0.22 Err:502 -0.4 Err:502

Err:502 12.57 61.68 65.75 -0.21 Err:502 -0.39 Err:502

Err:502 12.32 63.01 67.08 -0.2 Err:502 -0.37 Err:502

1.16 12.07 64.39 68.47 -0.19 0.41 -0.35 -0.77

1.05 11.82 65.84 69.91 -0.18 0.37 -0.34 -0.71

0.95 11.57 67.34 71.41 -0.17 0.33 -0.32 -0.65

0.86 11.32 68.92 72.99 -0.17 0.3 -0.3 -0.6

0.79 11.07 70.56 74.63 -0.16 0.27 -0.29 -0.55

0.72 10.82 72.28 76.35 -0.15 0.24 -0.27 -0.510.65 10.57 74.07 78.14 -0.14 0.22 -0.25 -0.47

0.59 10.32 75.96 80.03 -0.13 0.2 -0.23 -0.43

0.54 10.07 77.94 82.01 -0.12 0.18 -0.21 -0.39

0.49 9.82 80.02 84.09 -0.1 0.16 -0.19 -0.35

0.44 9.57 82.2 86.28 -0.09 0.15 -0.17 -0.32

0.39 9.32 84.51 88.58 -0.08 0.13 -0.15 -0.28

0.35 9.07 86.94 91.01 -0.07 0.12 -0.13 -0.25

0.31 8.82 89.51 93.58 -0.06 0.11 -0.11 -0.21

0.27 8.57 92.22 96.30 -0.04 0.1 -0.08 -0.18

0.24 8.32 95.1 99.18 -0.03 0.09 -0.06 -0.15

0.2 8.07 98.16 102.23 -0.01 0.08 -0.03 -0.12

0.17 7.82 101.41 105.48 0 0.08 -0.01 -0.080.14 7.57 104.88 108.95 0.02 0.07 0.02 -0.05

0.11 7.32 108.58 112.65 0.04 0.07 0.05 -0.02

0.08 7.07 112.54 116.62 0.05 0.07 0.08 0.02

0.05 6.82 116.8 120.87 0.07 0.06 0.11 0.05

0.02 6.57 121.37 125.44 0.09 0.06 0.15 0.09

0 6.32 126.31 130.38 0.11 0.06 0.18 0.12

-0.03 6.07 131.65 135.72 0.14 0.06 0.22 0.16

-0.06 5.82 137.44 141.51 0.16 0.06 0.26 0.2

-0.08 5.57 143.76 147.83 0.19 0.07 0.31 0.24

-0.1 5.32 150.67 154.74 0.21 0.07 0.35 0.28

-0.13 5.07 158.25 162.32 0.24 0.08 0.41 0.33

-0.15 4.82 166.62 170.69 0.28 0.08 0.46 0.38-0.17 4.57 175.9 179.97 0.31 0.09 0.52 0.43

-0.19 4.32 186.26 190.33 0.35 0.1 0.59 0.49

-0.22 4.07 197.88 201.95 0.39 0.12 0.67 0.55

-0.24 3.82 211.01 215.08 0.43 0.13 0.75 0.62

-0.26 3.57 225.98 230.05 0.48 0.15 0.85 0.7

-0.28 3.32 243.2 247.27 0.54 0.17 0.96 0.79

-0.3 3.07 263.21 267.29 0.6 0.19 1.09 0.9



1415

1617

1819

2021

2223

2425

2627

2829

3031

3233

3435

3637

3839

4041

4243

bullet



Yield chg Parallel Flattening Steepening

6 -0.71 -1.23 #NUM!

5.75 -0.7 -1.14 #NUM!

5.5 -0.69 -1.05 #NUM!

5.25 -0.67 -0.98 #NUM!5 -0.64 -0.91 #NUM!

4.75 -0.61 -0.85 #NUM!

4.5 -0.59 -0.8 -0.77

4.25 -0.56 -0.74 -0.71

4 -0.53 -0.69 -0.65

3.75 -0.51 -0.65 -0.59

3.5 -0.48 -0.6 -0.54

3.25 -0.45 -0.55 -0.5

3 -0.42 -0.51 -0.45

2.75 -0.39 -0.47 -0.41

2.5 -0.36 -0.42 -0.37

2.25 -0.32 -0.38 -0.332 -0.29 -0.34 -0.29

1.75 -0.26 -0.3 -0.25

1.5 -0.22 -0.25 -0.22

1.25 -0.19 -0.21 -0.18

1 -0.15 -0.17 -0.14

0.75 -0.11 -0.12 -0.11

0.5 -0.07 -0.07 -0.07

0.25 -0.02 -0.03 -0.04

0 0.02 0.02 0

-0.25 0.05 0.07 0.03

-0.5 0.09 0.12 0.07

-0.75 0.12 0.18 0.11-1 0.16 0.23 0.15

-1.25 0.2 0.29 0.19

-1.5 0.24 0.36 0.23

-1.75 0.29 0.42 0.27

-2 0.34 0.5 0.31

-2.25 0.4 0.57 0.36

-2.5 0.46 0.66 0.41

-2.75 0.52 0.75 0.46

-3 0.6 0.84 0.51

-3.25 0.68 0.95 0.57

-3.5 0.77 1.07 0.64

-3.75 0.88 1.21 0.71-4 1.01 1.37 0.8

-4.25 1.16 1.55 0.89

-4.5 1.34 1.77 1.01



Interest Change

Interest rate risk increases as the duration increases

Maturity(yrs) 5.5

Price: 100Coupon Rate(BEY) 11.47%

Face Value 1,305,500,000

Purchase Price 1,194,963,179

YTM 4.70%

Interest rate Interest Interest on Price at

Interest end of 5 yrs

16.00% 823,574,675 422,680,046 1,305,500,000

15.00% 823,574,675 389,934,087 1,305,500,000

14.00% 823,574,675 358,150,114 1,305,500,000

13.00% 823,574,675 327,300,556 1,305,500,000

12.00% 823,574,675 297,358,572 1,305,500,000

11.47% 823,574,675 281,848,336 1,305,500,00011.00% 823,574,675 268,298,037 1,305,500,000

10.00% 823,574,675 240,093,518 1,305,500,000

9.00% 823,574,675 212,720,264 1,305,500,000

8.00% 823,574,675 186,154,187 1,305,500,000

7.00% 823,574,675 160,371,845 1,305,500,000

6.00% 823,574,675 135,350,432 1,305,500,000

Maturity (yrs) 15

Price: 100

Coupon Rate= 10.48

Face Value= 156,900,000

Purchase Price 273,944,794YTM 0.06

Yield Interest Interest on Price at

(BEY) Interest end of 5yrs

16.00% 24,664,680,000 68,471,791,716 39,960,228,602

15.00% 24,664,680,000 60,345,759,178 38,386,804,006

14.00% 24,664,680,000 52,996,822,241 36,917,031,772

13.00% 24,664,680,000 46,348,932,725 35,545,599,380

12.50% 24,664,680,000 43,266,170,124 34,895,195,093

12.00% 24,664,680,000 40,333,482,146 34,267,538,871

11.00% 24,664,680,000 34,888,582,827 33,078,212,007

10.00% 24,664,680,000 29,958,417,108 31,973,296,7069.00% 24,664,680,000 25,492,648,360 30,948,774,779

8.00% 24,664,680,000 21,445,888,081 30,000,920,968

7.00% 24,664,680,000 17,777,213,860 29,126,293,364

6.00% 24,664,680,000 14,449,733,475 28,321,725,239

Maturity (yrs) 22

Price: 1,367,892,066

Coupon Rate= 8.140%



YTM 7.50%

Face Value= 650,000,000

Yield Interest Interest on Price at

(BEY) Interest end of 5.5yrs

16.00% 291,005,000 9,152,097,878 341,491,154

15.00% 291,005,000 7,856,261,742 365,069,317

14.00% 291,005,000 6,749,222,120 391,789,64013.00% 291,005,000 5,802,949,872 422,213,304

12.50% 291,005,000 5,382,502,417 439,020,428

12.00% 291,005,000 4,993,593,733 457,017,982

11.00% 291,005,000 4,300,859,945 497,024,278

10.00% 291,005,000 3,707,483,213 543,228,535

9.00% 291,005,000 3,198,775,695 596,843,619

8.00% 291,005,000 2,762,242,660 659,349,723

7.00% 291,005,000 2,387,255,055 732,557,741

6.00% 291,005,000 2,064,770,663 818,688,475



Duration 1.34

Accumulated Total

Value Return

2,551,754,721 14.28%

2,519,008,762 14.03%

2,487,224,789 13.78%

2,456,375,231 13.54%

2,426,433,247 13.30%

2,410,923,011 13.18%2,397,372,712 13.07%

2,369,168,193 12.84%

2,341,794,939 12.61%

2,315,228,862 12.39%

2,289,446,520 12.18%

2,264,425,107 11.97%

Duration 4.92

Accumulated Total

Value Return

133,096,700,318 34.02%

123,397,243,184 33.43%

114,578,534,013 32.86%

106,559,212,106 32.29%

102,826,045,217 32.02%

99,265,701,017 31.75%

92,631,474,833 31.21%

86,596,393,814 30.69%81,106,103,139 30.19%

76,111,489,050 29.70%

71,568,187,224 29.23%

67,436,138,714 28.78%

Duration 8.01



Accumulated Total

Value Return

9,784,594,032 42.13%

8,512,336,059 39.08%

7,432,016,760 36.15%6,516,168,176 33.34%

6,112,527,845 31.99%

5,741,616,715 30.68%

5,088,889,224 28.16%

4,541,716,748 25.81%

4,086,624,315 23.65%

3,712,597,383 21.71%

3,410,817,795 20.01%

3,174,464,138 18.58%

FIS project

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