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Copy of ConfBenchmark (Feb04)

Copy of ConfBenchmark (Feb04)

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03/18/2014

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Prepared by Kurt Hess 12/02/2009
Generic Chart 25891219.xls
Generic Yield Interpolation Chart
Degree Polynomial:
3
3
Time Yield
Interpolation
1.00
1.200%
#VALUE!
1.50
2.300%
#VALUE!
3.60
1.688%
#VALUE!
4.70
2.500%
#VALUE!
6.80
1.900%
#VALUE!
7.50
1.700%
#VALUE!
8.20
3.600%
#VALUE!
8.30
2.800%
#VALUE!
9.60
2.600%
#VALUE!
10.30
3.800%
#VALUE!
11.00
3.200%
#VALUE!
Polynomial coefficients as determined with:
LINEST
User defined COEFFARRAY function
3
0
#VALUE!
2
0
#VALUE!
1
0
#VALUE!
0
0.01
#VALUE!
-1
#N/A
#VALUE!
-2
#N/A
#VALUE!
-3
#N/A
#VALUE!
-4
#N/A
#VALUE!
-5
#N/A
#VALUE!
-6
#N/A
#VALUE!
-7
#N/A
#VALUE!
-8
#N/A
#VALUE!
0
2
4
6
8
10
12
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Column B
Polynomial Degree 3
Years to Maturity
Yield
Pre
p
ared 12
/
02
/
2009 18:49:39 b
y
Kurt Hess
p
h + 411 333 24 15
Page 2
25891219.xls DATASHEET
Portfolio:
#
# #
Valuation date
22/1/99 - 17:10 h
Degree Polynomial:
3
VALOR ISSUER
PRICES / SIZE (in 1000 CHF)
YIELD TO WORST
Theoretical Price
ACTION
Issued/
Trading
Years to
Rating
N
Bid
Bid
Ask
Ask
Hist.
M: to Mat, C: to Call ; Mid: average Bid/Ask; Tr(ading), Hist(torica
l)
Bmrk
SWAP
Outst. Amt. Volume
Maturity/ MDY S&P
#
Size (m)
Size (m) Price
Last Price
Bid Price
Ask Price
Curve
(offer)
BID
ASK
*** Data missing
(SFr Mil) (SFr 000) Next Call
1
46984 5
% Swiss Govt 1993-11.3.00
103.75
0.90 103.85
1.00 103.78
1.59M Mid
1.64M Bid
1.55M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!1948 / 1948
100
1.14
Aaa
AAA
2
83157 4 1/2 % Swiss Govt 1993-10.6.00
104.00
1.00 104.04
2.00 104.00
1.53M Mid
1.55M Bid
1.52M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!2321 / 2321
3050
1.38
Aaa
AAA
3
282211 5 1/2 % Swiss Govt 1994-7.10.01
109.95
1.00 110.05
1.00 109.95
1.69M Mid
1.71M Bid
1.67M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!1140 / 1140
0
2.71
Aaa
AAA
4
91762 4 1/2 % Swiss Govt 1993-8.7.02
109.25
1.00 109.34
0.95 109.25
1.71M Mid
1.72M Bid
1.70M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!780 / 780
1050
3.46
Aaa
AAA
5
117433 4 1/2 % Swiss Govt 1993-7.10.04
113.70
1.00 113.80
1.00 113.67
1.93M Mid
1.94M Bid
1.92M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!3416 / 3416
4740
5.71
Aaa
AAA
6
322523 5 1/2 % Swiss Govt 1995-6.1.05
119.70
1.00 119.85
1.00 119.75
1.95M Mid
1.96M Bid
1.94M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!1259 / 1259
2000
5.96
Aaa
7
61893 4 1/2 % Swiss Govt 1993-8.4.06
115.75
2.00 115.85
1.00 115.85
2.11M Mid
2.12M Bid
2.11M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!3405 / 3405
17500
7.21
Aaa
AAA
8
470458 4 1/2 % Swiss Govt 1996-10.6.07
117.80
1.00 117.90
1.00 117.92
2.15M Mid
2.15M Bid
2.14M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!2731 / 2731
74100
8.38
Aaa
9
108546 4 1/4 % Swiss Govt 1996-8.1.08
116.30
1.00 116.40
1.00 116.40
2.22M Mid
2.22M Bid
2.21M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!4926 / 4926
40900
8.96
Aaa
10 843555 3 1/4 % Swiss Govt 1998-11.2.09
107.85
1.00 107.90
1.00 107.90
2.36M Mid
2.36M Bid
2.36M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!938 / 938
26900
10.05
Aaa
AAA
11 680990 3 1/2 % Swiss Govt 1997-7.8.10
109.40
1.00 109.45
1.00 109.50
2.55M Mid
2.55M Bid
2.54M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!1564 / 1564
33600
11.54
Aaa
AAA
12 148008 4 1/4 % Swiss Govt 1994-6.1.14
114.20
1.00 114.60
1.00 113.90
3.04M Mid
3.05M Bid
3.02M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!1486 / 1486
1500
14.96
Aaa
AAA
13 644842 4 1/4 % Swiss Govt 1997-5.6.17
111.50
1.00 111.75
1.00 111.60
3.39M Mid
3.40M Bid
3.38M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!635 / 635
2000
18.37
AAA
14 843556 4
% Swiss Govt 1998-11.2.23
104.40
1.00 104.60
0.99 104.30
3.71M Mid
3.72M Bid
3.71M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!231 / 231
2010
24.05
Aaa
AAA
15 868037 4
% Swiss Govt 1998-8.4.28
103.10
0.90 103.50
0.50 103.40
3.81M Mid
3.82M Bid
3.80M Ask #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE!637 / 637
1100
29.21
Aaa
AAA
16 975519 4
% Swiss Govt 1999-06.1.49
99.05
0.10
99.85
0.06
99.65
4.03M Mid
4.04M Bid
4.01M Ask
403
403
299.82
299.82
189 / 189
250
49.96
SPREADSto

Developed by Kurt Hess, University of Waikato
Management School, kurthess@waikato.ac.nz, revised
February 2004

Years
1
2
3
4
5
7
10
15
BM-Yield 1.56 1.62 1.68 1.76 1.85 2.04 2.38 2.98
Prepared 12/02/2009 18:49:39 by Kurt Hess ph +411 333 2415
25891219.xls CHART
0
5
10
15
20
25
30
1.00
1.50
2.00
2.50
3.00
3.50
4.00
1.59
1.53
1.691.71
1.93
1.95
2.112.15
2.22
2.36
2.55
3.04
3.39
3.71
3.81
1.31
1.26
1.481.752.002.202.39
2.73
3.17
3.67
Sector Chart Confbenchmark (Simplified Feb 15 04).xls

Column B
Column C
Column CK
Column B
Column D
Column F

Years to Maturity
Yield

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