Treasury & Fund Management

ASSIGNMENT
ON
PKRV YIELD CURVE





SUBMITTED BY
MANZOOR AHMED
(53175)


SUBMITTED TO
RASHID IQBAL
Pkkv Yie/d curve
1he yleld curve ls Lhe relaLlon beLween Lhe lnLeresL raLe and Lhe Llme Lo maLurlLy 1hls yleld curve ls
used as a benchmark for oLher debL ln Lhe markeL such as morLgage raLes or bank lendlng raLes 1he
curve ls also used Lo predlcL changes ln economlc ouLpuL and growLh
Pkkv kotes
As per llnanclal MarkeL AssoclaLlon (lMA) clrculars banks are requlred Lo revalue Lhelr securlLles on
k8v lnLerpolaLed 8aLes 1he Lenor buckeLs on k8v 8euLers page are as follows
0 7 815 16J0 J160 619091120121180 181270 271J66 Joys 2J4567891015 ooJ 20 yeots
1be pooel of slx Mooey Motket 8tokets pootloq tbe uoyeoJ Motket kotes fot tbe JeslqooteJ teoots ote
1 8
2 8M copltol Moooqemeot
3 Ok
4 lobol ecotltles
3 ovest copltol ecotltles
6 obooqlt lJJlpol copltol Motket
1belt closloq totes ote ovetoqeJ oo keotet loqe fot kevolootloo beocb motk

12
122
124
126
128
13
132
134
136
0

7
8

1
3
1
6

3
0
3
1

6
0
6
1

9
0
9
1

1
2
0
1
2
1

1
8
0
1
8
1

2
7
0
2
7
1

3
6
3
2

?
L
A
8
S
3

?
L
A
8
S
4

?
L
A
8
S
3

?
L
A
8
S
3
6

?
L
A
8
S
7

?
L
A
8
S
8

?
L
A
8
S
9

?
L
A
8
S
1
0

?
L
A
8
S
1
3

?
L
A
8
S
2
0

?
L
A
8
S
3
0

?
L
A
8
S
kkV |e|d Curve
1enor Avg kates
07 1340
813 1337
1630 1297
3160 1273
6190 1233
91120 1238
121180 1239
181270 1281
271363 1280
2 ?LA8S 1262
3 ?LA8S 1260
4 ?LA8S 1260
3 ?LA8S3 1261
6 ?LA8S 1262
7 ?LA8S 1266
8 ?LA8S 1263
9 ?LA8S 1263
10 ?LA8S 1261
13 ?LA8S 1314
20 ?LA8S 1332
30 ?LA8S 1343
1be lkv totes obove plotteJ ote oppllcoble fot Oct 8 2011