CHEAPEST DELIVERABLE TREASURY BOND ANALYSIS
Settlement Mar-87 Final
Date Futures Delivery
Date
02/17/87 99.34 03/31/87
Coupon Maturity Price Accrued YTM/YTC PVBP Modified Conver.
(Flat) Interest $ per Duration Factor
Million in years
par
11.625% 11/15/02 133.750 3.0186 7.850% 1108 8.10 1.3188
10.750% 02/15/03 126.156 0.0594 7.850% 1069 8.47 1.2436
10.750% 5/15/2003 126.313 2.7914 7.853% 1079 8.36 1.2457
11.125% 8/15/2003 130.000 0.0615 7.850% 1112 8.55 1.2811
11.875% ######## 136.938 3.0836 7.866% 1166 8.33 1.3516
12.375% 5/15/2004 142.000 3.2134 7.877% 1218 8.39 1.4027
13.750% 8/15/2004 155.531 0.0760 7.856% 1320 8.48 1.5326
11.625% ######## 135.438 3.0186 7.880% 1191 8.60 1.3383
12.000% 5/15/2005 139.333 3.1160 7.893% 1234 8.66 1.3781
10.750% 8/15/2005 127.375 0.0594 7.908% 1156 9.07 1.2613
9.375% 2/15/2006 115.625 0.0518 7.786% 1096 9.47 1.1321
Callable 7.875% ######## 101.813 2.0449 7.697% 1042 10.03 0.9890
Callable 8.375% 8/15/2008 105.688 0.0463 7.824% 1076 10.18 1.0336
Callable 8.750% ######## 108.719 2.2721 7.902% 1099 9.90 1.0680
Callable 9.125% 5/15/2009 112.000 2.3695 7.963% 1130 9.88 1.1035
Callable 10.375% ######## 123.281 2.6941 8.113% 1217 9.66 1.2216
Callable 11.750% 2/15/2010 135.938 0.0649 8.240% 1312 9.65 1.3520
Callable 10.000% 5/15/2010 120.688 2.5967 8.021% 1215 9.86 1.1891
Callable 12.750% ######## 145.656 3.3108 8.311% 1402 9.41 1.4546
Callable 13.875% 5/15/2011 156.938 3.6029 8.356% 1502 9.36 1.5689
Callable 14.000% ######## 158.625 3.6354 8.354% 1529 9.42 1.5875
Callable 10.375% ######## 124.781 2.6941 8.072% 1292 10.13 1.2374
Callable 12.000% 8/15/2015 140.938 0.0663 8.248% 1462 10.37 1.4053
Callable 13.250% 5/15/2014 153.813 3.4406 8.254% 1554 9.88 1.5394
Callable 12.500% 8/15/2014 146.500 0.0691 8.212% 1499 10.22 1.4640
Callable 11.750% ######## 140.125 3.0511 8.095% 1461 10.20 1.3885
11.250% 2/15/2015 138.625 0.0622 7.828% 1484 10.70 1.3599
10.625% 8/15/2015 131.719 0.0587 7.828% 1428 10.84 1.2921
9.875% ######## 123.250 2.5642 7.828% 1354 10.76 1.2093
9.250% 2/15/2016 117.000 0.0511 7.767% 1305 11.15 1.1396
7.250% 5/15/2016 95.000 1.8826 7.680% 1110 11.46 0.9159
7.500% ######## 98.625 1.9475 7.616% 1157 11.50 0.9437
ND ANALYSIS
Basis Repo Basis Accrued Implied
in tics Rate After at Repo
(32 nds) Carry date T Rate
(32 nds)
1413.38 6.05% 75.56 4.367403 -8.75%
1333.84 6.05% 72.48 1.30663 -9.33%
1334.11 6.05% 71.21 4.038674 -8.72%
1375.15 6.05% 75.48 1.35221 -9.50%
1444.04 6.05% 73.04 4.461326 -7.92%
1494.89 6.05% 71.82 4.649171 -7.20%
1645.49 6.05% 89.07 1.671271 -9.28%
1424.97 6.05% 67.93 4.367403 -7.09%
1462.98 6.05% 65.37 4.508287 -6.24%
1334.20 6.05% 55.24 1.30663 -5.56%
1239.01 6.05% 92.36 1.139503 -15.34%
1108.17 6.05% 108.30 2.958564 -21.88%
1135.31 6.05% 89.21 1.017956 -16.55%
1157.36 6.05% 76.40 3.287293 -12.39%
1185.18 6.05% 67.90 3.428177 -9.85%
1289.53 6.05% 51.55 3.89779 -4.91%
1411.21 6.05% 39.39 1.428177 -1.71%
1277.29 6.05% 72.83 3.756906 -9.77%
1499.09 6.05% 23.31 4.790055 1.86%
1611.66 6.05% 19.44 5.212707 2.81%
1625.22 6.05% 14.23 5.259669 3.70%
1303.23 6.05% 49.73 3.89779 -4.40%
1455.33 6.05% 30.12 1.458564 0.33%
1575.81 6.05% 14.84 4.977901 3.52%
1505.73 6.05% 20.92 1.519337 2.23%
1465.82 6.05% 58.91 4.414365 -4.97%
1479.96 6.05% 102.62 1.367403 -13.77%
1406.38 6.05% 97.96 1.291436 -13.86%
1315.30 6.05% 91.53 3.709945 -13.44%
1266.74 6.05% 113.33 1.124309 -19.88%
1049.11 6.05% 123.47 2.723757 -28.09%
1104.70 6.05% 151.04 2.81768 -34.18%