Settlement 16-Mar-18

US Treasury Maturity Cupon YTM Dirty Price Duration ModDur

Bono 1 31-Aug-18 1.5000% 1.9465% 99.8661 0.4600 0.4512
Bono 2 28-Feb-19 1.5000% 2.1245% 99.4879 0.9530 0.9332
Bono 3 31-Aug-19 1.2500% 2.2225% 98.6820 1.4470 1.4155
Bono 4 29-Feb-20 1.3750% 2.3120% 98.2985 1.9360 1.8923

Inicio Fin FWD YTM

16-Mar-18 31-Aug-18 1.9465%
31-Aug-18 28-Feb-19 2.2900% 1.02 1.009 2.2900%
28-Feb-19 31-Aug-19 2.4086% 1.03 1.020 2.4086%
31-Aug-19 29-Feb-20 2.5746% 1.05 1.033 2.5746%

28-Feb-18
Fecha Discount Factor
31-Aug-18 0.99117 100.756 0.756 0.630
28-Feb-19 0.98009 100.744 0.620
31-Aug-19 0.96840 100.630
29-Feb-20 0.95616

Bono cupon 0
Fecha Precio YTM Duration
1.0089126 31-Aug-18 0.99117 1.9465% 0.460 0.460273972603
28-Feb-19 0.98009 2.1251% 0.956
31-Aug-19 0.96840 2.2235% 1.460
29-Feb-20 0.95616 2.3147% 1.959

29-Feb-20 Bono 4 29-Feb-20

Fecha Pago Discount Factor Precio (1) YTM + 1bp Discount Factor
31-Aug-18 0.6932 0.99117 0.6870 0.99117
28-Feb-19 0.6818 0.98009 0.6683 0.98009
31-Aug-19 0.6932 0.96840 0.6712 0.96840
29-Feb-20 100.6856 0.95616 96.2720 2.3247% 0.95598
98.2985

29-Feb-20 Bono 4
Fecha Pago Discount Factor Precio YTM + 1bp Discount Factor
31-Aug-18 0.6932 0.99117 0.6870 1.9565% 0.99112
28-Feb-19 0.6818 0.98009 0.6683 2.1351% 0.98000
31-Aug-19 0.6932 0.96840 0.6712 2.2335% 0.96826
29-Feb-20 100.6856 0.95616 96.2720 2.3247% 0.95598
98.2985

-0.0187 Bono 1 Bono 2 Bono 3 Bono 4

31-Aug-18
28-Feb-19
31-Aug-19
29-Feb-20
Total -0.0045 - - -

US Treasury DV01 (US$)

Bono 1 -0.0045
Bono 2 -0.0093
Bono 3 -0.0142
Bono 4 -0.0189
 0.693
0.682
0.693
100.686

Precio (2) DV01 (US$)

0.6870
0.6683
0.6712
96.2535 -0.0187
98.2801 -0.0187

DV01 (US$)
-0.0000
-0.0001
-0.0001
-0.0187
-0.0189
 Tasa Spot y Forward de US Treasury
2.6500%

2.6000%

2.5500%

2.5000%

2.4500%

2.4000%

2.3500%

2.3000%

2.2500%

2.2000%

2.1500%

2.1000%

2.0500%

2.0000%

1.9500%

1.9000%

1.8500%

1.8000%
16-Mar-18 24-Jun-18 2-Oct-18 10-Jan-19 20-Apr-19 29-Jul-19 6-Nov-19 14-Feb-20 24-May-20

Spot 168d Spot 349d Spot 533d Spot 715d FWD 168d FWD 181d FWD 184d FWD 182d
2.3400%
2.3200%
2.3000%
2.2800%
2.2600%
2.2400%
2.2200%
2.2000%
2.1800%
2.1600%
2.1400%
2.1200%
2.1000%
2.0800%
2.0600%
2.0400%
2.0200%
2.0000%
1.9800%
1.9600%
1.9400%
1.9200%
1.9000%
1.8800%
1.8600%
1.8400%
1.8200%
1.8000%
1.7800%
1.7600%
0.300 0.400 0.500 0.600 0.700 0.800 0.900 1.000 1.100 1.200 1.300 1.400 1.500 1.600 1.700 1.800 1.900 2.000 2.100

Bonos Cupon 0 US Treasury