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efta-efta00731266DOJ Data Set 9OtherSwap Spread Valuation
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DOJ Data Set 9
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Swap Spread Valuation
Treasury Tenor?
Long spread or short spread?
10
Long
Duration
Notional
DV01
Ca
Treasury Leg
GT10
8.824 $ 10,000,000 $ 8,824.41
2.8403
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%
SWIGV Spread
Gain/(Loss)
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,
(58.478)
12.0
26.473 $
19.394
11.0
17.649 $
10.570 $
(67.303)
10.0
8.824 $
1.745
(76.127t
(84.951)
9.0
-
$
(7.079)
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)
SW,GV Spread
15.123
EFTA00731266
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