Interest Interest [IRS] [IRS] Long Long / / Short Short Position Position Interest Interest Sensitivity Sensitivity Par Par / / Zero Zero / / IF IF Interest Interest BPV BPV / / Duration Duration KTB KTB Futures Futures & IRS IRS Strategy Strategy IRS IRS Duration Duration Management Management Interest Interest Risk Risk Management Management
4.50% 100 Position Payoff CD 4.00% -0.5000 0.5000 Interest Payoff 4.25% -0.2493 0.2493 4.50% 0.0000 0.0000 4.75% 0.2507-0.2507 5.00% 0.5000-0.5000 2000-02-05 2001-02-04 365 4.00% 4.0000 4.5000-0.5000 2002-02-03 364 4.25% 4.2384 4.4877-0.2493 2003-02-02 364 4.50% 4.4877 4.4877 0.0000 2004-02-03 366 4.75% 4.7630 4.5123 0.2507 2005-02-02 365 5.00% 5.0000 4.5000 0.5000 Long [Fixed Pay / Float Receive] Short [Fixed Receive / Float Pay] 4.0000 4.5000-0.5000 4.5000 4.0000 0.5000 4.2384 4.4877-0.2493 4.4877 4.2384 0.2493 4.4877 4.4877 0.0000 4.4877 4.4877 0.0000 4.7630 4.5123 0.2507 4.5123 4.7630-0.2507 5.0000 4.5000 0.5000 4.5000 5.0000-0.5000 5Y Long Profit 0.00137 5Y Short Profit -0.00137 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% -0.60% 0.6000 0.4000 0.2000 0.0000-0.2000-0.4000-0.6000 IRS Payoff [Long / Short ] Long Short Net Payoff 4.00% 4.25% 4.50% 4.75% 5.00% IRS Payoff [Long / Short ] Long Short Net Payoff 4.00% 4.25% 4.50% 4.75% 5.00% Bootstrapping Method [Zero-Coupon s : Payment of the Term Structure] Term Price Cash-Flow & Present Value 0.25 100.00 101.173 100.000 0.01173 4.6900% 1.1950 101.195 0.50 100.00 1.1812 1.0240 0.01195 4.7807% 1.2125 1.2125 101.213 0.75 100.00 1.1984 1.1840 1.0368 0.01213 4.8515% 1.2225 1.2225 1.2225 101.223 1.00 100.00 1.2083 1.1938 1.1791 1.0498 0.01223 4.8917% 1.2423 1.2423 1.2423 1.2423 101.242 1.25 100.00 1.2279 1.2132 1.1982 1.1834 1.0637 0.01243 4.9728% 1.2625 1.2625 1.2625 1.2625 1.2625 101.263 1.50 100.00 1.2479 1.2329 1.2177 1.2026 1.1869 1.0783 0.01264 5.0555% 1.2830 1.2830 1.2830 1.2830 1.2830 1.2830 101.283 1.75 100.00 1.2681 1.2529 1.2374 1.2221 1.2061 1.1899 1.0935 0.01285 5.1401% 1.3038 1.3038 1.3038 1.3038 1.3038 1.3038 1.3038 101.304 2.00 100.00 1.2887 1.2732 1.2575 1.2419 1.2257 1.2092 1.1923 1.1094 0.01307 5.2263%
3mCD 4.00% 100 6mCD 4.20% 4 1Y 4.40% Interpolation Exponential Est 2Y 4.80% Coupon 5.00% 3Y 5.00% PV 13.8491 Cash-Flow Term Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV 3M 4.0000% 4.0000% 0.9901 4.0000% 1.2500 1.2376 1.0000 0.9901 6M 4.1354% 4.1361% 0.9796 4.2723% 1.2500 1.2245 1.0681 1.0463 9M 4.2657% 4.2675% 0.9687 4.5305% 1.2500 1.2108 1.1326 1.0971 12M 4.4000% 4.4037% 0.9571 4.8124% 1.2500 1.1964 1.2031 1.1515 15M 4.4968% 4.5020% 0.9456 4.8954% 1.2500 1.1820 1.2238 1.1572 18M 4.5957% 4.6030% 0.9337 5.1084% 1.2500 1.1671 1.2771 1.1924 21M 4.6967% 4.7068% 0.9214 5.3301% 1.2500 1.1517 1.3325 1.2278 24M 4.8000% 4.8135% 0.9087 5.5611% 1.2500 1.1359 1.3903 1.2634 27M 4.8492% 4.8638% 0.8969 5.2667% 1.2500 1.1212 1.3167 1.1810 30M 4.8990% 4.9151% 0.8850 5.3768% 1.2500 1.1063 1.3442 1.1897 33M 4.9492% 4.9673% 0.8731 5.4895% 1.2500 1.0913 1.3724 1.1982 36M 5.0000% 5.0204% 0.8610 5.6050% 1.2500 1.0762 1.4012 1.2065 /coupon[1] 1.0000 11.1209 15.0000 13.9011 15.0621 13.9011 /coupon[2] 5.0000 /coupon[3] 5.0000 6.50% Par / Zero / IF 6.00% 5.50% 5.00% 4.50% 4.00% 3.50% 4.00% 4.00% 4.00% Par Zero IFR 4.27% 4.14% 4.14% 4.53% 4.27% 4.27% 4.81% 4.40% 4.40% 4.90% 4.50% 4.50% 5.11% 4.60% 4.60% 5.33% 4.71% 4.70% 5.56% 5.38% 5.27% 4.81% 4.86% 4.92% 4.80% 4.85% 4.90% 5.60% 5.49% 4.97% 5.02% 4.95% 5.00% 3.00% 2.50% 3M 6M 9M 12M 15M 18M 21M 24M 27M 30M 33M 36M
[+1bp] 3Y 5.01% Date Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV 3M 4.0000% 4.0000% 0.9901 4.0000% 1.2525 1.2401 1.0000 0.9901 6M 4.1354% 4.1361% 0.9796 4.2723% 1.2525 1.2270 1.0681 1.0463 9M 4.2657% 4.2675% 0.9687 4.5304% 1.2525 1.2133 1.1326 1.0971 12M 4.4000% 4.4037% 0.9571 4.8122% 1.2525 1.1988 1.2031 1.1515 15M 4.4968% 4.5020% 0.9456 4.8952% 1.2525 1.1843 1.2238 1.1572 18M 4.5957% 4.6030% 0.9337 5.1084% 1.2525 1.1694 1.2771 1.1924 21M 4.6967% 4.7068% 0.9214 5.3301% 1.2525 1.1540 1.3325 1.2278 24M 4.8000% 4.8135% 0.9087 5.5611% 1.2525 1.1382 1.3903 1.2634 27M 4.8492% 4.8638% 0.8969 5.2667% 1.2525 1.1234 1.3167 1.1810 30M 4.8990% 4.9151% 0.8850 5.3768% 1.2525 1.1085 1.3442 1.1897 33M 4.9492% 4.9673% 0.8731 5.4895% 1.2525 1.0935 1.3724 1.1982 36M 5.0100% 5.0311% 0.8607 5.7344% 1.2525 1.0780 1.4336 1.2339 /coupon[1] 1.0000 11.1206 15.0300 13.9286 15.0943 13.9285 /coupon[2] 5.0100 [-1bp] 3Y 4.99% Date Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV 3M 4.0000% 4.0000% 0.9901 4.0000% 1.2475 1.2351 1.0000 0.9901 6M 4.1354% 4.1361% 0.9796 4.2723% 1.2475 1.2221 1.0681 1.0463 9M 4.2657% 4.2675% 0.9687 4.5304% 1.2475 1.2084 1.1326 1.0971 12M 4.4000% 4.4037% 0.9571 4.8122% 1.2475 1.1940 1.2031 1.1515 15M 4.4968% 4.5020% 0.9456 4.8952% 1.2475 1.1796 1.2238 1.1572 18M 4.5957% 4.6030% 0.9337 5.1084% 1.2475 1.1647 1.2771 1.1924 21M 4.6967% 4.7068% 0.9214 5.3301% 1.2475 1.1494 1.3325 1.2278 24M 4.8000% 4.8135% 0.9087 5.5611% 1.2475 1.1337 1.3903 1.2634 27M 4.8492% 4.8638% 0.8969 5.2667% 1.2475 1.1189 1.3167 1.1810 30M 4.8990% 4.9151% 0.8850 5.3768% 1.2475 1.1041 1.3442 1.1897 33M 4.9492% 4.9673% 0.8731 5.4895% 1.2475 1.0891 1.3724 1.1982 36M 4.9900% 5.0096% 0.8613 5.4757% 1.2475 1.0744 1.3689 1.1790 /coupon[1] 1.0000 11.1212 14.9700 13.8737 15.0296 13.8736 /coupon[2] 4.9900 BPV[ 1bp] BPV Par Zero Discount / Fac IFR C/F C/F PV C/F C/F PV +0.01% 5.0100% 5.0311% 0.8607 5.7344% 1.2525 1.0780 1.4336 1.2339 0.00% 5.0000% 5.0204% 0.8610 5.6050% 1.2500 1.0762 1.4012 1.2065-0.01% 4.9900% 5.0096% 0.8613 5.4757% 1.2475 1.0744 1.3689 1.1790 Interest BPV 2.9268 0.0293 0.0018 0.0275 100 2 Term ZCR Discount / Fac Est ZCR ZCR Duration D/F*Duration 4.1361% 0.9797 0.041361 0.4899 0.4799 0.50 1.00 4.4037% 0.9574 0.044037 0.9785 0.9368 1.50 4.6030% 0.9340 0.046030 1.4663 1.3695 2.00 4.8135% 0.9093 0.048135 1.9530 1.7758 2.50 4.9151% 0.8857 0.049151 2.4400 2.1611 3.00 5.0204% 0.8618 0.050204 2.9265 2.5220 5.5279 10.2541 9.2451 3Y 5.0008% [ = Par ] 2.7532 Long Fixed Duration Du -2.2633 Float Duration 0.4899 Short Du 2.2633 100 4 Term ZCR Discount / Fac Est ZCR ZCR Duration D/F*Duration 4.0000% 0.9901 0.040000 0.2475 0.2451 0.25 0.50 4.1361% 0.9796 0.041361 0.4949 0.4848 0.75 4.2675% 0.9687 0.042675 0.7421 0.7188 1.00 4.4037% 0.9571 0.044037 0.9891 0.9467 1.25 4.5020% 0.9456 0.045020 1.2361 1.1688 1.50 4.6030% 0.9337 0.046030 1.4829 1.3845 1.75 4.7068% 0.9214 0.047068 1.7296 1.5937 2.00 4.8135% 0.9087 0.048135 1.9762 1.7959 2.25 4.8638% 0.8969 0.048638 2.2230 1.9939 2.50 4.9151% 0.8850 0.049151 2.4697 2.1857 2.75 4.9673% 0.8731 0.049673 2.7163 2.3714 3.00 5.0204% 0.8610 0.050204 2.9628 2.5509 11.1209 19.2702 17.4403 3Y 5.0000% [ = Par ] 2.7690 Long Fixed Duration Du -2.5214 Float Duration 0.2475 Short Du 2.5214
15.0 10.0 15.0 10.0 5.0 0.0-5.0-10.0 5.0 0.0-5.0-10.0-15.0-15.0 88.0 90.5 93.0 95.5 98.0 100.5 103.0 105.5 108.0 88.0 90.5 93.0 95.5 98.0 100.5 103.0 105.5 108.0 Floating Sensitivity [Duration / Convexity] Floating 5.00% Floating 5.00% 100.00 100.00 2 4 Price 100.00 Price 100.00 Duration 0.4878 Duration 0.4938 Dollar/Duration 48.7805 Dollar/Duration 49.3827 Convexity 0.4759 Convexity 0.4877 Dollar/Convexity 47.5907 Dollar/Convexity 48.7731 Engineering [Duration Reduce ; Using the Long Position ; ] Spot Portfolio 125.00 3Y Strategy Long Spot Duration 2.0000 Fixed Duration 2.7090 Target Duration 1.5000 Floating Duration 0.4850 IRS Position Long Target Duration 1.5000 Amount -28.10 Floating Receive 28.10 Fixed Pay -28.10 Engineering [Duration Increase ; Using the Short Position ; ] Spot Portfolio 125.00 3Y Strategy Short Spot Duration 1.5000 Fixed Duration 2.7090 Target Duration 2.0000 Floating Duration 0.4850 IRS Position Short Target Duration 2.0000 Amount 28.10 Floating Pay -28.10 Fixed Receive 28.10
Interest - Cash Flow & Valuation Notional Amount 250 M Fixed [ ] 5.579136 % Floating 4.5 %[t0 ] Cash Flow Payment t0 1 2 3 Fixed Side Payment 13.9478 13.9478 13.9478 Floating Side Payment 11.2500 Zero Coupon 4.50% 5.00% 5.50% Discount Factor 0.9560 0.9048 0.8479 Implied Forward 4.50% 5.50% 6.51% 0.9560 0.8958 0.8227 Interest Decomposition Value of Floating Note 249.7543 Value of Fixed Note 249.7543
Fixed Side t0 1 2 3 Cash Flows 13.9478 13.9478 263.9478 Discount Factor 0.9560 0.9048 0.8479 Present Value 13.3341 12.6205 223.7997 249.7543 Floating Side t0 1 2 3 Cash Flows 261.2500 0.0000 0.0000 Discount Factor 0.9560 0.0000 0.0000 Present Value 249.7543 0.0000 0.0000 249.7543 Fixed + Floating t0 1 2 3 Cash Flow 247.3022 13.9478 263.9478 Discount Factor 0.9560 0.9048 0.8479 Present Value 236.4202 12.6205 223.7997 Long Value [Fixed Pay/Floating Receive] Short Value[Fixed Receive/Floating Pay] 0.0000 [Floating PV - Fixed PV] 0.0000 [Fixed PV - Floating PV] Long Index 100.0000 0.000% Short Index 100.0000 0.000% Long Price 100.0000 Short Price 100.0000 Weighted Average Price 100.0000 Long Value 0.0000 Short Value 0.0000 Interest - Cash Flow & Valuation Notional Amount 100 M Fixed [ ] 5 % Floating 6 %[t0 ] Cash Flow Payment t0 1 2 3 Fixed Side Payment 5.0000 5.0000 5.0000 Floating Side Payment 6.0000 Zero Coupon 4.50% 5.00% 5.50% Discount Factor 0.9560 0.9048 0.8479 Implied Forward 4.50% 5.50% 6.51% 0.9560 0.8958 0.8227 Interest Decomposition Value of Floating Note 101.3357 Value of Fixed Note 98.3330
Fixed Side t0 1 2 3 Cash Flows 5.0000 5.0000 105.0000 Discount Factor 0.9560 0.9048 0.8479 Present Value 4.7800 4.5242 89.0288 98.3330 Floating Side t0 1 2 3 Cash Flows 106.0000 0.0000 0.0000 Discount Factor 0.9560 0.0000 0.0000 Present Value 101.3357 0.0000 0.0000 101.3357 Fixed + Floating t0 1 2 3 Cash Flow 101.0000 5.0000 105.0000 Discount Factor 0.9560 0.9048 0.8479 Present Value 96.5557 4.5242 89.0288 Long Value [Fixed Pay/Floating Receive] Short Value[Fixed Receive/Floating Pay] 3.0027 [Floating PV - Fixed PV] -3.0027 [Fixed PV - Floating PV] Long Index 103.0027 3.054% Short Index 96.9973-2.963% Long Price 103.0027 Short Price 96.9973 Weighted Average Price 100.0902 Long Value 3.0027 Short Value -3.0027 94.196.699.101.6104.106.6109.1111.6114.1 94.196.699.101.6104.106.6109.1111.6114.1 94.196.699.101.6104.106.6109.1111.6114.1 94.196.699.101.6104.106.6109.1111.6114.1
94.196.699.101.6104.106.6109.1111.6114.1 94.196.699.101.6104.106.6109.1111.6114.1 94.196.699.101.6104.106.6109.1111.6114.1 94.196.699.101.6104.1106.6109.111.6114.1 94.196.699.101.6104.1106.6109.111.6114.1
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90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0 90.0 94.0 98.0 102.0 106.0 110.0