EFTA00731266.pdf

Swap Spread Valuation Treasury Tenor? 10 Long spread or short spread? Long Duration Notional DV01 Ca SW,GV Spread Treasury Leg GT10 8.824 $ 10,000,000 $ 8,824.41 2.8403 15.123 Swap Leg usswap10 8.922 $ 9.890.619 $ 8,824.41 2.9915 3 month LIBOR us0003m $ 9.890.619 0.2844 Borrowing cost (LIBOR +75)' 0.9827 'on 95% ol notional -0.850% Gain/(Loss) SWIGV Spread DV01 Impact 1 month (carry) 1 year (carry) 27.0 $ 158.839 $ 151.760 73.888 26.0 $ 150.015 $ 142.936 65.064 25.0 141,191 $ 134,111 $ 56.239 24.0 $ 132.366 $ 125.287 $ 47.415 23.0 123.542 $ 116.462 38.590 22.0 114.717 $ 107.638 29.766 21.0 $ 105.893 $ 98.814 $ 20.941 20.0 $ 97.069 $ 89.989 12.117 19.0 $ 88.244 $ 81.165 3.293 18.0 $ 79.420 $ 72.340 $ (5.532) 17.0 70.595 $ 63.516 $ (14,356) 16.0 61.771 $ 54.692 (23.181) 15.0 52.946 $ 45.867 $ (32.005) 14.0 44.122 $ 37.043 $ (40.829) 13.0 35.298 $ 28.218 (49.6541, 12.0 26.473 $ 19.394 (58.478) 11.0 17.649 $ 10.570 $ (67.303) 10.0 8.824 $ 1.745 (76.127t 9.0 - $ (7.079) (84.951) 8.0 $ (8.824) $ (15.904) $ (93.776) 7.0 (17.649) $ (24.728) (102.600) 6.0 (26.473) $ (33.553) (111.425) 5.0 (35.298) $ (42.377) (120249) 4.0 (44.122) $ (51.201) (129.073) 3.0 (52.946) $ (60.026) (137.898) 2.0 (61.771) $ (68.850) (146.722) 1.0 (70.595) $ (77.675) (155,547) 0.0 (79.420) $ (86.499) (164.371) -1.0 (88.244) $ (95.323) (173.196) -2.0 (97.069) $ (104.148) (182.020) ao (105.893) $ (112.972) (190.844) -4.0 (114.717) $ (121.797) (199.669) EFTA00731266