Asset & Liability Management Author: Jamila Awad Date: April 2014.

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Presentation transcript:

Asset & Liability Management Author: Jamila Awad Date: April 2014

BOND ISSUANCE CHARACTERISTICS Principal Coupon rate3,00% YTM3,00% Maturity Date01/05/2024 Settlement Date01/05/2014 Previous Coupon Date01/05/2014 Next Coupon Date01/05/2015 Payment per year1,00 Expected Δ YTM-0,25% BOND ISSUANCE OUTPUTS Quoted Price (% of par)100 Quoted (Clean) Price ($) Invoice (Dirty) Price Accrued Interest (Clean)0 DURATION & CONVEXITY MEASURES FOR IMMUNIZATION Duration (Calculation)8,78611 Duration (Excel) 8,78611 Modified Duration (Calculation)8,5302 Modified Duration (Excel)8,5302 Convexity 87,0660 Δ P Duration Approx.2,1326%

Bond # Date CouponYTMFreq.PriceDurationWeights Initial SymbolSettlementMaturityInvestmentPar Value 1 FFCD /05/ /11/202 01,700%2,551% 294,89416,168722,21% , ,0 3 2 FFCD /05/ /11/203 23,120%3,959% 289,060613,66758,85%885109, ,83 3 FFCD /05/ /10/ ,800%3,645%291,589610,503714,97% , ,8 6 4 FFCD /05/ /06/ ,590%3,035%296,82507,263720,38% , ,0 2 5 FFCD.CR A 01/05/ /08/ ,840%4,195%2109,980715,18450,00%00 6SO.LB 01/05/ /05/ ,125%4,522%2123,34713,685910,00%00 7 BRK /05/ /01/ ,750%4,594%2117,326414,441910,00%00 8DOV.GH 01/05/ /03/ ,600%4,483%2130,828613,681170,00%00 9OLDE.GF 01/05/ /12/ ,210%4,909%2113,43159, ,98% , ,9 10SRE.HN 01/05/ /06/ ,000%3,778%2121,3938, ,60% , ,7 3