BOOT STRAPPING

Maturity Date Coupon Rate (%) Semi Annual Coupon Current Price Spot Rate
2/15/2004 3 1.5 101.0544 1 0.8819%
8/15/2004 2.125 1.0625 100.9254 2 1.1930%
2/15/2005 1.5 0.75 99.8942 3 1.5753%
8/15/2005 6.5 3.25 109.0934 4 1.8727%
2/15/2006 5.625 2.8125 108.438 5 2.1742%
8/15/2006 2.375 1.1875 99.7848 6 2.4711%
2/15/2007 6.25 3.125 111.7184 7 2.7905%
8/15/2007 3.25 1.625 101.0841 8 3.0084%
2/15/2008 3 1.5 99.1692 9 3.2544%
8/15/2008 3.25 1.625 99.271 10 3.4799%
2/15/2009 5.5 2.75 109.7707 11 3.6549%
8/15/2009 6 3 112.145 12 3.8817%
2/15/2010 6.5 3.25 114.9084 13 4.0751%
8/15/2010 5.75 2.875 110.3894 14 4.2203%
2/15/2011 5 2.5 105.2934 15 4.3517%
8/15/2011 5 2.5 104.7607 16 4.4865%
2/15/2012 4.875 2.4375 103.4391 17 4.5878%
8/15/2012 4.375 2.1875 99.2806 18 4.6640%
2/15/2013 3.875 1.9375 95.0288 19 4.6965%
8/15/2013 4.25 2.125 97.7693 20 4.7107%
2/15/2014 13.25 6.625 174.3251 21 4.7357%
8/15/2014 12.5 6.25 168.9389 22 4.9285%
2/15/2015 11.25 5.625 157.0552 23 5.3289%
8/15/2015 10.625 5.3125 152.4222 24 5.3826%
2/15/2016 9.25 4.625 140.0135 25 5.4624%
8/15/2016 7.5 3.75 123.3044 26 5.5197%
2/15/2017 8.75 4.375 136.0598 27 5.5743%
8/15/2017 8.875 4.4375 137.504 28 5.6635%
2/15/2018 9.125 4.5625 140.792 29 5.6736%
8/15/2018 9 4.5 139.9079 30 5.7167%
2/15/2019 8.875 4.4375 138.7431 31 5.7897%
8/15/2019 8.125 4.0625 130.7162 32 5.8298%
2/15/2020 8.5 4.25 135.2938 33 5.8503%
8/15/2020 8.75 4.375 138.3466 34 5.9023%
2/15/2021 7.875 3.9375 128.4995 35 5.9162%
8/15/2021 8.125 4.0625 131.7341 36 5.9299%
2/15/2022 8 4 130.4736 37 5.9492%
8/15/2022 7.25 3.625 121.58 38 5.9563%
2/15/2023 7.125 3.5625 120.1744 39 5.9660%
8/15/2023 6.25 3.125 109.4538 40 5.9513%
2/15/2024 7.5 3.75 125.46 41 5.9397%
8/15/2024 7.5 3.75 125.4466 42 5.9789%
2/15/2025 7.625 3.8125 127.1477 43 6.0015%
8/15/2025 6.875 3.4375 117.5509 44 5.9962%
2/15/2026 6 3 106.3626 45 5.9456%
8/15/2026 6.75 3.375 116.1986 46 5.9823%
2/15/2027 6.625 3.3125 114.7086 47 5.9647%
8/15/2027 6.375 3.1875 111.4036 48 5.9603%
2/15/2028 6.125 3.0625 108.0391 49 5.9557%
8/15/2028 5.5 2.75 99.633 50 5.9128%
2/15/2029 5.25 2.625 96.2876 51 5.8783%
8/15/2029 6.125 3.0625 108.4062 52 5.9049%
 1 2 3 4 5 6 7 8 9

1.0578355
0.7467074 0.7411322
3.235732 3.2115729 3.1743987
2.8001527 2.7792458 2.7470758 2.7095801
1.1822867 1.1734593 1.1598765 1.1440449 1.1250073
3.1112808 3.0880509 3.0523065 3.0106446 2.9605455 2.9030304
1.617866 1.6057864 1.5871994 1.5655352 1.5394836 1.5095758 1.4747916
1.4934148 1.4822644 1.4651071 1.4451094 1.4210618 1.3934546 1.3613461 1.3311271
1.617866 1.6057864 1.5871994 1.5655352 1.5394836 1.5095758 1.4747916 1.4420544 1.4052858
2.7379271 2.7174847 2.6860297 2.6493672 2.60528 2.5546668 2.4958011 2.4403997 2.378176
2.9868296 2.9645288 2.9302142 2.8902188 2.8421236 2.7869092 2.7226921 2.6622542 2.5943738
3.235732 3.2115729 3.1743987 3.1310703 3.0789673 3.0191516 2.9495831 2.8841087 2.8105717
2.8623783 2.8410068 2.8081219 2.769793 2.7237018 2.670788 2.6092466 2.551327 2.4862749
2.4890246 2.4704407 2.4418452 2.4085157 2.3684364 2.3224243 2.2689101 2.2185452 2.1619782
2.4890246 2.4704407 2.4418452 2.4085157 2.3684364 2.3224243 2.2689101 2.2185452 2.1619782
2.426799 2.4086797 2.380799 2.3483028 2.3092255 2.2643637 2.2121873 2.1630816 2.1079287
2.1778966 2.1616356 2.1366145 2.1074512 2.0723818 2.0321213 1.9852963 1.941227 1.8917309
1.9289941 1.9145915 1.89243 1.8665996 1.8355382 1.7998789 1.7584053 1.7193725 1.6755331
2.1156709 2.0998746 2.0755684 2.0472383 2.0131709 1.9740607 1.9285736 1.8857634 1.8376815
6.5959153 6.5466678 6.4708897 6.3825665 6.2763564 6.1544245 6.0126118 5.8791448 5.7292422
6.2225616 6.1761017 6.1046129 6.0212891 5.9210909 5.8060609 5.6722752 5.546363 5.4049455
5.6003054 5.5584915 5.4941516 5.4191602 5.3289818 5.2254548 5.1050477 4.9917267 4.8644509
5.2891773 5.2496864 5.188921 5.1180958 5.0329273 4.9351517 4.821434 4.7144085 4.5942037
4.6046956 4.5703153 4.5174136 4.455754 4.3816073 4.296485 4.1974837 4.1043086 3.9996597
3.7335369 3.705661 3.6627678 3.6127735 3.5526546 3.4836365 3.4033651 3.3278178 3.2429673
4.3557931 4.3232712 4.273229 4.2149024 4.1447636 4.0642426 3.9705927 3.8824541 3.7834618
4.4180187 4.3850322 4.3342752 4.2751153 4.2039746 4.1223032 4.0273154 3.9379177 3.8375113
4.54247 4.5085542 4.4563674 4.3955411 4.3223964 4.2384244 4.1407609 4.048845 3.9456102
4.4802443 4.4467932 4.3953213 4.3353282 4.2631855 4.1803638 4.0840382 3.9933813 3.8915608
4.4180187 4.3850322 4.3342752 4.2751153 4.2039746 4.1223032 4.0273154 3.9379177 3.8375113
4.044665 4.0144661 3.9679984 3.9138379 3.8487091 3.7739396 3.6869789 3.6051359 3.5132146
4.2313419 4.1997492 4.1511368 4.0944766 4.0263418 3.9481214 3.8571472 3.7715268 3.6753629
4.3557931 4.3232712 4.273229 4.2149024 4.1447636 4.0642426 3.9705927 3.8824541 3.7834618
3.9202138 3.8909441 3.8459061 3.7934121 3.7302873 3.6578183 3.5735334 3.4942087 3.4051157
4.044665 4.0144661 3.9679984 3.9138379 3.8487091 3.7739396 3.6869789 3.6051359 3.5132146
3.9824394 3.9527051 3.9069523 3.853625 3.7894982 3.7158789 3.6302562 3.5496723 3.4591651
3.6090857 3.582139 3.5406755 3.4923477 3.4342327 3.3675153 3.2899196 3.2168905 3.1348684
3.5468601 3.520378 3.4796294 3.4321348 3.3750218 3.3094547 3.2331969 3.1614269 3.0808189
3.1112808 3.0880509 3.0523065 3.0106446 2.9605455 2.9030304 2.8361376 2.7731815 2.7024727
3.7335369 3.705661 3.6627678 3.6127735 3.5526546 3.4836365 3.4033651 3.3278178 3.2429673
3.7335369 3.705661 3.6627678 3.6127735 3.5526546 3.4836365 3.4033651 3.3278178 3.2429673
3.7957626 3.767422 3.7238139 3.6729864 3.6118655 3.5416971 3.4600879 3.3832814 3.2970167
3.4224089 3.3968559 3.3575371 3.311709 3.2566 3.1933335 3.1197514 3.0504996 2.97272
2.9868296 2.9645288 2.9302142 2.8902188 2.8421236 2.7869092 2.7226921 2.6622542 2.5943738
3.3601833 3.3350949 3.296491 3.2514961 3.1973891 3.1352729 3.0630286 2.995036 2.9186706
3.2979576 3.2733339 3.2354449 3.1912832 3.1381782 3.0772123 3.0063059 2.9395724 2.8646211
3.1735064 3.1498119 3.1133526 3.0708575 3.0197564 2.961091 2.8928604 2.8286451 2.7565222
3.0490552 3.0262898 2.9912603 2.9504317 2.9013345 2.8449698 2.7794149 2.7177179 2.6484233
2.7379271 2.7174847 2.6860297 2.6493672 2.60528 2.5546668 2.4958011 2.4403997 2.378176
2.6134759 2.5939627 2.5639374 2.5289414 2.4868582 2.4385456 2.3823556 2.3294724 2.2700771
3.0490552 3.0262898 2.9912603 2.9504317 2.9013345 2.8449698 2.7794149 2.7177179 2.6484233
 10 11 12 13 14 15 16 17 18

2.3142869
2.5246767 2.4581396
2.7350664 2.6629845 2.5805012
2.4194818 2.3557171 2.2827511 2.2118619
2.1038972 2.0484497 1.985001 1.9233581 1.8662685
2.1038972 2.0484497 1.985001 1.9233581 1.8662685 1.8101538
2.0512998 1.9972384 1.9353759 1.8752742 1.8196118 1.7648999 1.7091857
1.8409101 1.7923934 1.7368758 1.6829384 1.632985 1.5838846 1.5338846 1.4876569
1.6305203 1.5875485 1.5383757 1.4906026 1.4463581 1.4028692 1.3585835 1.317639 1.2794888
1.7883126 1.7411822 1.6872508 1.6348544 1.5863282 1.5386307 1.4900594 1.4451524 1.4033103
5.5753276 5.4283916 5.2602525 5.0968991 4.9456116 4.7969075 4.6454792 4.5054751 4.3750262
5.259743 5.1211241 4.9625024 4.8083954 4.6656713 4.5253845 4.3825275 4.2504483 4.1273832
4.7337687 4.6090117 4.4662521 4.3275558 4.1991042 4.072846 3.9442748 3.8254034 3.7146449
4.4707816 4.3529555 4.218127 4.0871361 3.9658206 3.8465768 3.7251484 3.612881 3.5082758
3.8922098 3.7896319 3.6722518 3.5582126 3.4525968 3.3487845 3.2430704 3.1453317 3.0542636
3.1558458 3.0726745 2.9775014 2.8850372 2.7994028 2.7152307 2.6295165 2.550269 2.4764299
3.6818201 3.5847869 3.4737517 3.3658768 3.2659699 3.1677691 3.0677693 2.9753138 2.8891683
3.7344176 3.6359981 3.5233767 3.4139607 3.3126266 3.213023 3.1115945 3.0178183 2.9304421
3.8396124 3.7384206 3.6226267 3.5101286 3.4059401 3.3035307 3.1992451 3.1028272 3.0129898
3.787015 3.6872094 3.5730017 3.4620447 3.3592833 3.2582768 3.1554198 3.0603227 2.9717159
3.7344176 3.6359981 3.5233767 3.4139607 3.3126266 3.213023 3.1115945 3.0178183 2.9304421
3.418833 3.3287307 3.2256266 3.125457 3.0326864 2.9414999 2.8486429 2.7627914 2.6827991
3.5766253 3.4823644 3.3745016 3.2697088 3.1726565 3.0772614 2.9801187 2.8903048 2.8066206
3.6818201 3.5847869 3.4737517 3.3658768 3.2659699 3.1677691 3.0677693 2.9753138 2.8891683
3.3136381 3.2263082 3.1263765 3.0292891 2.9393729 2.8509922 2.7609923 2.6777824 2.6002514
3.418833 3.3287307 3.2256266 3.125457 3.0326864 2.9414999 2.8486429 2.7627914 2.6827991
3.3662355 3.2775194 3.1760015 3.077373 2.9860296 2.8962461 2.8048176 2.7202869 2.6415253
3.050651 2.970252 2.8782514 2.7888693 2.7060894 2.624723 2.541866 2.46526 2.3938823
2.9980535 2.9190408 2.8286264 2.7407854 2.6594326 2.5794691 2.4980407 2.4227555 2.3526084
2.6298715 2.5605621 2.4812512 2.4041977 2.3328357 2.2626922 2.1912638 2.1252241 2.0636916
3.1558458 3.0726745 2.9775014 2.8850372 2.7994028 2.7152307 2.6295165 2.550269 2.4764299
3.1558458 3.0726745 2.9775014 2.8850372 2.7994028 2.7152307 2.6295165 2.550269 2.4764299
3.2084433 3.1238857 3.0271265 2.9331212 2.8460595 2.7604845 2.6733418 2.5927734 2.5177038
2.8928587 2.8166183 2.7293763 2.6446174 2.5661192 2.4889615 2.4103901 2.3377465 2.2700608
2.5246767 2.4581396 2.3820011 2.3080298 2.2395222 2.1721845 2.1036132 2.0402152 1.981144
2.8402612 2.765407 2.6797513 2.5965335 2.5194625 2.4437076 2.3665649 2.2952421 2.2287869
2.7876638 2.7141958 2.6301263 2.5484495 2.4728058 2.3984538 2.3227396 2.2527376 2.1875131
2.6824689 2.6117733 2.5308762 2.4522816 2.3794924 2.3079461 2.235089 2.1677286 2.1049655
2.5772741 2.5093508 2.4316262 2.3561137 2.2861789 2.2174384 2.1474385 2.0827196 2.0224178
2.3142869 2.2532946 2.1835011 2.115694 2.0528954 1.9911692 1.9283121 1.8701972 1.8160486
2.2090921 2.1508721 2.084251 2.0195261 1.959582 1.9006615 1.8406616 1.7851883 1.733501
2.5772741 2.5093508 2.4316262 2.3561137 2.2861789 2.2174384 2.1474385 2.0827196 2.0224178
 19 20 21 22 23 24 25 26 27

1.3672017
4.2624524 4.1588727
4.0211815 3.9234648 3.8233637
3.6190634 3.5311183 3.4410274 3.2925393
3.4180043 3.3349451 3.2498592 3.1096205 2.9016092
2.9756743 2.903364 2.8292892 2.707199 2.5261069 2.445138
2.4127089 2.3540789 2.2940182 2.1950262 2.0481948 1.9825443 1.911923
2.8148271 2.7464254 2.6763546 2.5608639 2.3895606 2.3129684 2.2305769 2.1556128
2.8550389 2.78566 2.7145883 2.5974477 2.4236971 2.3460108 2.2624423 2.1864072 2.11247
2.9354625 2.8641293 2.7910555 2.6706152 2.4919703 2.4120956 2.326173 2.2479962 2.1719762
2.8952507 2.8248947 2.7528219 2.6340315 2.4578337 2.3790532 2.2943077 2.2172017 2.1422231
2.8550389 2.78566 2.7145883 2.5974477 2.4236971 2.3460108 2.2624423 2.1864072 2.11247
2.613768 2.5502521 2.4851864 2.3779451 2.2188777 2.1477564 2.07125 2.0016404 1.9339514
2.7344035 2.6679561 2.5998873 2.4876964 2.3212874 2.2468836 2.1668461 2.0940238 2.0232107
2.8148271 2.7464254 2.6763546 2.5608639 2.3895606 2.3129684 2.2305769 2.1556128 2.0827169
2.5333444 2.4717828 2.4087192 2.3047775 2.1506045 2.0816715 2.0075192 1.9400515 1.8744452
2.613768 2.5502521 2.4851864 2.3779451 2.2188777 2.1477564 2.07125 2.0016404 1.9339514
2.5735562 2.5110175 2.4469528 2.3413613 2.1847411 2.114714 2.0393846 1.970846 1.9041983
2.3322853 2.2756096 2.217551 2.1218587 1.9799216 1.9164595 1.8481923 1.7860792 1.7256797
2.2920735 2.2363749 2.1793173 2.0852749 1.945785 1.8834171 1.8163269 1.7552847 1.6959266
2.0105908 1.9617324 1.9116819 1.8291885 1.706829 1.6521203 1.5932692 1.5397234 1.4876549
2.4127089 2.3540789 2.2940182 2.1950262 2.0481948 1.9825443 1.911923 1.8476681 1.7851859
2.4127089 2.3540789 2.2940182 2.1950262 2.0481948 1.9825443 1.911923 1.8476681 1.7851859
2.4529207 2.3933135 2.3322519 2.23161 2.0823313 2.0155867 1.9437884 1.8784626 1.814939
2.2116499 2.1579056 2.1028501 2.0121074 1.8775119 1.8173323 1.7525961 1.6936958 1.6364204
1.9301671 1.8832631 1.8352146 1.756021 1.6385558 1.5860355 1.5295384 1.4781345 1.4281487
2.171438 2.118671 2.0646164 1.9755236 1.8433753 1.7842899 1.7207307 1.6629013 1.6066673
2.1312262 2.0794363 2.0263828 1.9389398 1.8092387 1.7512475 1.6888654 1.6321068 1.5769142
2.0508026 2.000967 1.9499155 1.8657723 1.7409655 1.6851627 1.6251346 1.5705179 1.517408
1.970379 1.9224978 1.8734482 1.7926047 1.6726924 1.6190779 1.5614038 1.5089289 1.4579018
1.7693199 1.7263245 1.68228 1.6096859 1.5020095 1.4538658 1.4020769 1.3549566 1.3091363
1.6888962 1.6478552 1.6058128 1.5365183 1.4337363 1.387781 1.3383461 1.2933677 1.2496301
1.970379 1.9224978 1.8734482 1.7926047 1.6726924 1.6190779 1.5614038 1.5089289 1.4579018
 28 29 30 31 32 33 34 35 36

2.0875779
2.058981 1.9994162
2.030384 1.9716465 1.9052535
1.8588023 1.8050285 1.7442462 1.6772152
1.9445931 1.8883375 1.8247499 1.7546251 1.6946608
2.001787 1.9438769 1.878419 1.8062318 1.7445038 1.6895378
1.8016083 1.7494892 1.6905771 1.6256086 1.5700534 1.520584 1.4647463
1.8588023 1.8050285 1.7442462 1.6772152 1.6198964 1.5688565 1.5112461 1.4644533
1.8302053 1.7772589 1.7174116 1.6514119 1.5949749 1.5447203 1.4879962 1.4419233 1.3971494
1.6586236 1.6106408 1.5564043 1.496592 1.445446 1.3999027 1.3484966 1.306743 1.2661667
1.6300266 1.5828712 1.5295697 1.4707887 1.4205245 1.3757665 1.3252466 1.2842129 1.2443362
1.4298479 1.3884835 1.3417278 1.2901655 1.2460741 1.2068127 1.162497 1.1265025 1.091523
1.7158175 1.6661802 1.6100734 1.5481987 1.4952889 1.4481752 1.3949964 1.3518031 1.3098276
1.7158175 1.6661802 1.6100734 1.5481987 1.4952889 1.4481752 1.3949964 1.3518031 1.3098276
1.7444144 1.6939499 1.636908 1.574002 1.5202104 1.4723115 1.4182464 1.3743331 1.3316581
1.5728327 1.5273318 1.4759006 1.4191821 1.3706815 1.327494 1.2787467 1.2391528 1.2006753
1.372654 1.3329441 1.2880587 1.2385589 1.1962312 1.1585402 1.1159972 1.0814424 1.0478621
1.5442357 1.4995622 1.4490661 1.3933788 1.34576 1.3033577 1.2554968 1.2166227 1.1788448
1.5156388 1.4717925 1.4222315 1.3675755 1.3208386 1.2792215 1.2322469 1.1940927 1.1570144
1.4584448 1.4162532 1.3685624 1.3159689 1.2709956 1.230949 1.185747 1.1490326 1.1133535
1.4012509 1.3607138 1.3148933 1.2643622 1.2211526 1.1826765 1.1392471 1.1039725 1.0696925
1.2582661 1.2218655 1.1807205 1.1353457 1.0965452 1.0619952 1.0229974 0.9913222 0.9605402
1.2010722 1.1663261 1.1270514 1.0837391 1.0467023 1.0137227 0.9764975 0.9462621 0.9168793
1.4012509 1.3607138 1.3148933 1.2643622 1.2211526 1.1826765 1.1392471 1.1039725 1.0696925
 37 38 39 40 41 42 43 44 45

1.2254434
1.2043151 1.1679976
1.0564167 1.0245593 0.9930968
1.2677001 1.2294711 1.1917162 1.1605114
1.2677001 1.2294711 1.1917162 1.1605114 1.1295833
1.2888284 1.2499623 1.2115782 1.1798532 1.1484096 1.1064085
1.1620584 1.1270152 1.0924065 1.0638021 1.0354513 0.9975814 0.9640579
1.0141601 0.9835769 0.953373 0.9284091 0.9036666 0.8706165 0.8413596 0.8177778
1.1409301 1.106524 1.0725446 1.0444602 1.0166249 0.9794436 0.9465296 0.92 0.9031442
1.1198017 1.0860328 1.0526827 1.0251184 0.9977985 0.9613057 0.9290013 0.902963 0.8864193
1.0775451 1.0450505 1.0129588 0.9864347 0.9601458 0.92503 0.8939446 0.8688889 0.8529695
1.0352884 1.0040681 0.9732349 0.9477509 0.922493 0.8887543 0.858888 0.8348148 0.8195197
0.9296467 0.9016122 0.8739252 0.8510417 0.8283611 0.7980651 0.7712463 0.7496296 0.7358953
0.8873901 0.8606298 0.8342014 0.812358 0.7907083 0.7617894 0.7361897 0.7155555 0.7024455
1.0352884 1.0040681 0.9732349 0.9477509 0.922493 0.8887543 0.858888 0.8348148 0.8195197
 46 47 48 49 50 51
0
0
1.0578355
1.4878396
9.6217036
11.036054
5.7846747
18.125859
10.900238
11.392885
13.747578
25.579419
30.362961
35.473709
33.59245
31.077095
32.887249
33.774253
31.797884
29.443329
33.659885
109.09851
106.74649
99.364381
96.745747
86.670847
72.185583
86.372126
89.718483
94.333343
95.040521
95.625768
89.221932
95.034528
99.519199
91.032025
95.386384
95.316051
87.605615
87.26317
77.539738
94.208196
95.33778
98.033151
89.354604
78.799978
89.553119
0.8538153 88.748543
0.8215958 0.8009455 86.200487
0.7893764 0.7695359 0.7480027 83.568079
0.7088278 0.6910118 0.6716759 0.6529563 75.69368
0.6766083 0.6596022 0.6411452 0.6232765 0.6115885 72.864647
0.7893764 0.7695359 0.7480027 0.7271559 0.7135199 0.6989797 85.707734
 COMPARISON OF DB AND BOOT STRAPPING MODEL IN ANSWER 1
MATURITY MODEL PREDICTION (BEY) SPOT RATE
1 1.2443% 1.1930%
2 1.8727% 1.8727%
3 2.4110% 2.4711%
4 2.9665% 3.0084%
5 3.4454% 3.4799%
6 3.8557% 3.8817%
7 4.1996% 4.2203%
8 4.4677% 4.4865%
9 4.6528% 4.6640%
10 4.7107% 4.7107%
15 5.7160% 5.7167%
20 5.9517% 5.9513%
25 5.9315% 5.9128%
RAPPING MODEL IN ANSWER 1
COMPARISON WITH DB MODEL
OVERPRICED LONG
EQUAL FAIR
UNDERPRICED SHORT
UNDERPRICED SHORT
UNDERPRICED SHORT
UNDERPRICED SHORT
UNDERPRICED SHORT
UNDERPRICED SHORT
UNDERPRICED SHORT
EQUAL FAIR
UNDERPRICED SHORT
OVERPRICED LONG
OVERPRICED LONG