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Bonds-T (2) Sol
Bonds-T (2) Sol
Time Liability
(in '000 of Rs)
0 3,260.00
1 3,260.00
2 3,260.00
3 3,260.00
4 3,260.00
5 3,260.00
6 3,260.00
7 3,260.00
8 3,260.00
9 3,260.00
10 3,260.00
11 3,260.00
12 3,260.00
13 3,260.00
14 3,260.00
15
Liabilities
NPV of #NAME?
# of
#NAME?
Total
Portfolio
Payout Excess Bank
(in '000 of Rs) (Deficit) Balance
0.00 (3,260.00) (3,260.00)
2,727.54 (532.46) (4,118.46)
2,727.54 (532.46) #NAME?
16,340.52 13,080.52 #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
1,366.24 (1,893.76) #NAME?
7,884.85 4,624.85 #NAME?
714.38 (2,545.62) #NAME?
7,858.19 4,598.19 #NAME?
Assets
#NAME?
NEW MUMBAI ASSURANCE
Current Interest Rate 10.00%
Time Liability
(in '000 of Rs)
0 3,260.00
1 3,260.00
2 3,260.00
3 3,260.00
4 3,260.00
5 3,260.00
6 3,260.00
7 3,260.00
8 3,260.00
9 3,260.00
10 3,260.00
11 3,260.00
12 3,260.00
13 3,260.00
14 3,260.00
15
Liabilities
NPV of 27,275.40
# of
Total Value of
Duration of
Convexity of
Bond 1 Bond 2 Bond 3
Payout Payout Payout
Per Unit Per Unit Per Unit Current Discount
(in '000 of Rs) (in '000 of Rs) (in '000 of Rs) Int. Rate Factor
0.00 0.00 0.00 10.00% 1.00
1.00 1.00 1.00 10.00% 0.91
1.00 1.00 1.00 10.00% 0.83
11.00 1.00 1.00 10.00% 0.75
1.00 1.00 10.00% 0.68
1.00 1.00 10.00% 0.62
1.00 1.00 10.00% 0.56
1.00 1.00 10.00% 0.51
1.00 1.00 10.00% 0.47
1.00 1.00 10.00% 0.42
1.00 1.00 10.00% 0.39
1.00 1.00 10.00% 0.35
11.00 1.00 10.00% 0.32
1.00 10.00% 0.29
11.00 10.00% 0.26
Target
27,275.40
5.28
50.04
Convexity of Convexity of Convexity of Convexity of
Liabilities Bond 1 Bond 2 Bond 3
0.00 0.00 0.00 0.00
0.22 0.18 0.18 0.18
0.59 0.50 0.50 0.50
1.08 9.92 0.90 0.90
1.63 0.00 1.37 1.37
2.23 0.00 1.86 1.86
2.83 0.00 2.37 2.37
3.43 0.00 2.87 2.87
4.01 0.00 3.36 3.36
4.56 0.00 3.82 3.82
5.07 0.00 4.24 4.24
5.53 0.00 4.63 4.63
5.94 0.00 54.68 4.97
6.30 0.00 0.00 5.27
6.61 0.00 0.00 60.83
Liabilities
NPV of #NAME?
#NAME?
Bank
Balance
(3,260.00)
(4,118.46)
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
NEW MUMBAI ASSURANCE
Current Interest Rate 9.00%
# of Bond 3 units purch. initially 2727.54
BOND 3:
Face Value ('000 of Rs)= 10.00 Year Liability
Coupon Rate = 10% (in '000 of Rs)
Maturity = 15 Jan 1, Yr1 3,260.00
Price of Bond 3 ('000 Rs.) 10.81 Jan 1, Yr2 3,260.00
Jan 1, Yr3 3,260.00
Jan 1, Yr4 3,260.00
Jan 1, Yr5 3,260.00
Jan 1, Yr6 3,260.00
Jan 1, Yr7 3,260.00
Jan 1, Yr8 3,260.00
Jan 1, Yr9 3,260.00
Jan 1, Yr10 3,260.00
Jan 1, Yr11 3,260.00
Jan 1, Yr12 3,260.00
Jan 1, Yr13 3,260.00
Jan 1, Yr14 3,260.00
Jan 1, Yr15 3,260.00
Liabilities
NPV of 28,642.85
831.14
831.135944417
#
Asset of Bond 3
Position Purchased
(in #s) (Sold)
2727.54 (301.68)
2,425.86 (77.39)
2,348.47 (84.80)
2,263.67 (92.98)
2,170.69 (101.99)
2,068.70 (111.95)
1,956.75 (122.95)
1,833.80 (135.14)
1,698.66 (148.65)
1,550.01 (163.66)
1,386.35 (180.35)
1,206.00 (198.95)
1,007.05 (219.73)
787.31 (242.99)
544.32 (269.10)
275.22
NEW MUMBAI ASSURANCE
Current Interest Rate 10.00%
Average Ch. in Int. Rate= 0.00%
Std. Dev. of Int. Rate Ch. 3.00%
# of Bond 1 units purch. initially 2727.54
BOND 1:
Face Value ('000 of Rs)= 10.00 Year Liability
Coupon Rate = 10% (in '000 of Rs)
Maturity = 3 Jan 1, Yr1 3,260.00
Price of Bond 1 ('000 Rs.) 10.00 Jan 1, Yr2 3,260.00
Jan 1, Yr3 3,260.00
Jan 1, Yr4 3,260.00
Jan 1, Yr5 3,260.00
Jan 1, Yr6 3,260.00
Jan 1, Yr7 3,260.00
Jan 1, Yr8 3,260.00
Jan 1, Yr9 3,260.00
Jan 1, Yr10 3,260.00
Jan 1, Yr11 3,260.00
Jan 1, Yr12 3,260.00
Jan 1, Yr13 3,260.00
Jan 1, Yr14 3,260.00
Jan 1, Yr15 3,260.00
Liabilities
NPV of #NAME?
858.46
Bank
Balance
(3,260.00)
(4,118.46)
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
NEW MUMBAI ASSURANCE
Current Interest Rate 11.00%
# of Bond 1 units purch. initially
BOND 1:
Face Value ('000 of Rs)= 10.00 Year
Coupon Rate = 10%
Maturity = 3 Jan 1, Yr1
Price of Bond 1 ('000 Rs.) 9.76 Jan 1, Yr2
Jan 1, Yr3
Jan 1, Yr4
Jan 1, Yr5
Jan 1, Yr6
Jan 1, Yr7
Jan 1, Yr8
Jan 1, Yr9
Jan 1, Yr10
Jan 1, Yr11
Jan 1, Yr12
Jan 1, Yr13
Jan 1, Yr14
Jan 1, Yr15
Jan 1, Yr16
NPV of
587.99 587.99
#
Asset of Bond 1
Position Purchased
(in #s) (Sold)
2727.54 (334.17)
2,393.37 (88.17)
2,305.20 (96.35)
2,208.85 2,156.44
2,156.44 (112.28)
2,044.16 (122.69)
1,921.47 1,832.39
1,832.39 (145.25)
1,687.14 (158.72)
1,528.43 1,389.22
1,389.22 (190.34)
1,198.88 (207.99)
990.90 783.12
783.12 (252.00)
531.12 (275.37)
255.75
2534.48529375