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Generic Yield Interpolation Chart

4.0% Column B Polynomial Degree 3


Degree Polynomial:
3 3 3.5%

3.0%
Time Yield Interpolation
1.00 1.200% #VALUE! 2.5%
1.50 2.300% #VALUE!

Yield
2.0%
3.60 1.688% #VALUE!
4.70 2.500% #VALUE! 1.5%
6.80 1.900% #VALUE!
1.0%
7.50 1.700% #VALUE!
8.20 3.600% #VALUE! 0.5%
8.30 2.800% #VALUE!
9.60 2.600% #VALUE! 0.0%
0 2 4 6 8 10 12
10.30 3.800% #VALUE!
11.00 3.200% #VALUE! Years to Maturity

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!

Prepared by Kurt Hess 12/02/2009 Generic Chart 25891219.xls


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

Portfolio:
###
Valuation date 22/1/99 - 17:10 h Years 1 2 3 4 5 7 10 15
Degree Polynomial: BM-Yield 1.56 1.62 1.68 1.76 1.85 2.04 2.38 2.98
3

VALOR ISSUER PRICES / SIZE (in 1000 CHF) YIELD TO WORST SPREADS to Theoretical Price ACTION Issued/ Trading Years to Rating
N Bid Bid Ask Ask Hist. Bmrk
M: to Mat, C: to Call ; Mid: average Bid/Ask; Tr(ading), Hist(torical) 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 1.59 M Mid 1.64 M Bid 1.55 M 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 1.53 M Mid 1.55 M Bid 1.52 M 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 1.69 M Mid 1.71 M Bid 1.67 M 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 1.71 M Mid 1.72 M Bid 1.70 M 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 1.93 M Mid 1.94 M Bid 1.92 M 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 1.95 M Mid 1.96 M Bid 1.94 M 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 2.11 M Mid 2.12 M Bid 2.11 M 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 2.15 M Mid 2.15 M Bid 2.14 M 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 2.22 M Mid 2.22 M Bid 2.21 M 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 2.36 M Mid 2.36 M Bid 2.36 M 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 2.55 M Mid 2.55 M Bid 2.54 M 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 3.04 M Mid 3.05 M Bid 3.02 M 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 3.39 M Mid 3.40 M Bid 3.38 M 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 3.71 M Mid 3.72 M Bid 3.71 M 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 3.81 M Mid 3.82 M Bid 3.80 M 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 4.03 M Mid 4.04 M Bid 4.01 M Ask 403 403 299.82 299.82 189 / 189 250 49.96

Prepared 12/02/2009 18:49:39 by Kurt Hess ph + 411 333 24 15


Page 2 25891219.xls DATASHEET
Sector Chart Confbenchmark (Simplified Feb 15 04).xls
4.00
3.81
3.71
3.67

3.50
3.39

3.17
3.04
3.00

2.73
Yield

2.55
2.50
2.39 2.36

2.20 2.22
2.15
2.11
2.00 2.00 1.95
1.93

1.75 1.71
1.69
1.59
1.53
1.50 1.48 Column B
Column C
1.31 Column CK
1.26
Column B
Column D
1.00
Column F
0 5 10 15 20 25 30

Years to Maturity

Prepared 12/02/2009 18:49:39 by Kurt Hess ph +411 333 2415 25891219.xls CHART
BMInterpolation

Benchmark Yield Tables


Source: ###
Date - Time: 22/1/99 - 17:10 h

Year Paid Year Bid Year Ask


1 ### 1 ### 1 ###
1.5 ### 1.5 ### 1.5 ###
2 ### 2 ### 2 ###
2.5 ### 2.5 ### 2.5 ###
3 ### 3 ### 3 ###
3.5 ### 3.5 ### 3.5 ###
4 ### 4 ### 4 ###
4.5 ### 4.5 ### 4.5 ###
5 ### 5 ### 5 ###
5.5 ### 5.5 ### 5.5 ###
6 ### 6 ### 6 ###
6.5 ### 6.5 ### 6.5 ###
7 ### 7 ### 7 ###
7.5 ### 7.5 ### 7.5 ###
8 ### 8 ### 8 ###
8.5 ### 8.5 ### 8.5 ###
9 ### 9 ### 9 ###
9.5 ### 9.5 ### 9.5 ###
10 ### 10 ### 10 ###
10.5 ### 10.5 ### 10.5 ###
11 ###
12 ###
13 ###
14 ###
15 ###
16 ###
17 ###
18 ###
19 ###
20 ###

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BMInterpolation

21 ###
22 ###
23 ###
24 ###
25 ###
26 ###
27 ###
28 ###
29 ###
30 ###
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50

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BMInterpolation

Range for dynamic picture in DATASHEET

Years 1 2 3 4 5 7 10 15
BM-Yield ### ### ### ### ### ### ### ###

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BMInterpolation

Page 7
SWAPRATES

LIBOR LINKS

YEARS LIBOR
LICHF6MD= 0.5 1.31 1.3050
LICHF3MD= 0.25 1.26 1.2617

SWAPRATES LINKS
1520 INTERCAPITAL TEL 0171 256 9292 D-MARK SWAPS ICAR
DEM/DEM NLG/NLG CHF/CHF EUL/EUL
1Y A/3 3.10-3.07 3.10-3.07 1.48-1.44 3.10-3.07
2 YRS 3.19-3.15 3.18-3.14 1.75-1.67 3.18-3.14
3 YRS 3.34-3.30 3.34-3.30 2.00-1.92 3.34-3.30
4 YRS 3.50-3.46 3.50-3.46 2.20-2.12 3.50-3.46
5 YRS 3.66-3.62 3.66-3.62 2.39-2.31 3.66-3.62
6 YRS 3.81-3.77 3.81-3.77 2.56-2.48 3.81-3.77
7 YRS 3.95-3.91 3.95-3.91 2.73-2.65 3.95-3.91
8 YRS 4.08-4.04 4.08-4.04 2.88-2.80 4.08-4.04
9 YRS 4.18-4.14 4.18-4.14 3.03-2.95 4.18-4.14
10 YRS 4.26-4.22 4.26-4.22 3.17-3.09 4.26-4.22
15 YRS 4.61-4.57 4.61-4.57 3.67 3.57 4.61-4.57

Data Range for Chart and Interpolation Degree


0 2
Year OFFER Approximation
1 1.48 #VALUE!
2 1.75 #VALUE!
3 2.00 #VALUE!
4 2.20 #VALUE!
5 2.39 #VALUE!
7 2.73 #VALUE!
10 3.17 #VALUE!
15 3.67 #VALUE!

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SWAPRATES

The yellow shaded area needs to be


linked to the online swap/libor rate rate
data.

MID-FORMULAS to extract data


K SWAPS ICAR
EUL/EUL YEARS
3.10-3.07 1
3.18-3.14 2
3.34-3.30 3
3.50-3.46 4
3.66-3.62 5
3.81-3.77 6
3.95-3.91 7
4.08-4.04 8
4.18-4.14 9
4.26-4.22 10
4.61-4.57 15

4.0
3.5
RECEIVE 3.0
1.44
2.5
1.67
OF
1.92 2.0
2.12
Ap
1.5
2.31
1.0
2.65
3.09 0.5
3.57 0.0
0 2 4 6 8 10

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SWAPRATES

-FORMULAS to extract data items from string

OFFER RECEIVE
1.48 1.44
1.75 1.67
2.00 1.92
2.20 2.12
2.39 2.31
2.56 2.48
2.73 2.65
2.88 2.80
3.03 2.95
3.17 3.09
3.67 3.57

OFFER
Approximation

6 8 10 12 14 16

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