Beruflich Dokumente
Kultur Dokumente
Market
Delivery
Cheapest
Gross
Net
Implied
Invoice
Delivery
Deliv Date
Price
Current
Z-Score
Option
PV01
Duration
to Deliver
Yield
Basis
Basis
Repo
Spread
Prob
WNU2
09/28/12
170-160
(1.3)
1.2
1.1
289.9
17.01
4.375 02/15/38
2.495
21.2
(0.1)
0.24
(14.3)
50.0%
USU2
09/28/12
150-010
(0.7)
0.3
0.0
167.6
11.17
6.125 11/15/27
2.077
29.4
(0.7)
0.31
2.5
100.0%
TYU2
09/28/12
134-040
0.8
1.1
0.0
83.4
6.22
3.125 05/15/19
0.974
15.6
0.7
0.11
22.5
100.0%
FVU2
10/03/12
124-152
(0.1)
0.7
0.0
53.0
4.26
0.875 11/30/16
0.554
3.6
(0.1)
0.24
17.1
100.0%
TUU2
10/03/12
110-080
(0.4)
0.8
0.0
20.8
1.89
2.625 06/30/14
0.239
13.1
(0.4)
0.28
20.8
100.0%
WNZ2
12/31/12
169-010
(2.2)
1.8
0.9
289.8
17.15
4.375 02/15/38
2.495
53.4
(1.0)
0.28
(15.1)
50.0%
USZ2
12/31/12
151-020
(1.2)
(0.8)
0.0
179.8
11.91
5.500 08/15/28
2.127
68.1
(1.1)
0.28
(0.0)
99.9%
TYZ2
12/31/12
133-04+
(0.1)
0.0
0.0
85.2
6.40
3.625 08/15/19
1.011
44.9
(0.1)
0.23
23.6
100.0%
FVZ2
01/04/13
124-056
(1.0)
(0.5)
0.0
56.0
4.51
0.875 02/28/17
0.593
8.1
(0.8)
0.28
18.7
100.0%
TUZ2
01/04/13
110-080
(0.6)
0.8
0.0
23.7
2.15
2.375 09/30/14
0.244
29.0
(0.6)
0.27
22.7
100.0%
OTR Shift
(100)
(80)
(60)
(40)
(30)
(20)
(10)
10
20
30
40
60
80
100
WNU2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
USU2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
TYU2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
FVU2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
TUU2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
WNZ2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
USZ2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
TYZ2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
FVZ2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
TUZ2
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
OTR Shift
(100)
(80)
(60)
(40)
(30)
(20)
(10)
10
20
30
40
60
80
100
WNU2
02/38
USU2
11/27
TYU2
05/19
FVU2
11/16
TUU2
06/14
WNZ2
02/38
USZ2
08/28
TYZ2
08/19
FVZ2
02/17
TUZ2
09/14
Source: Nomura
See Disclosure Appendix A1 for the Analyst Certification and Other Important Disclosures
WNU2 First Delivery Date 09/04/2012 Last Trade Date 09/19/2012 Last Delivery Date 09/28/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
170-160
170-146
(1.3)
(2.2)
1.2
1.1
289.9
288.8
(18.4)
17.008
3.736
9.2
(0.1)
86.9
4.375 02/15/38
(0.1)
(14.3)
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Gross
Basis
Net
Basis
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
Maturity
Price
Yield
Conv
Factor
4.375
02/15/38
135-113
2.495
0.7900
50.0%
134-221
2.517
170-157
289.8
(14.3)
21.2
(0.1)
0.9
0.22
0.24
0.996
7.894
7.901
4.500
05/15/38
138-001
2.493
0.8054
50.0%
137-102
2.515
170-160
290.2
(13.9)
21.9
0.0
1.1
0.22
0.21
0.995
8.059
8.053
3.500
02/15/39
118-107
2.545
0.6715
117-260
2.566
175-142
318.7
(18.0)
123.2
106.3
107.1
0.22
(16.57)
1.003
7.379
7.438
4.250
05/15/39
133-137
2.525
0.7692
132-252
2.547
172-202
304.3
(15.8)
73.1
52.5
53.4
0.22
(7.10)
0.995
8.071
8.066
4.500
08/15/39
138-186
2.523
0.8013
137-286
2.545
172-031
302.0
(15.2)
62.8
40.9
41.9
0.22
(5.30)
0.993
8.343
8.317
4.375
11/15/39
136-035
2.534
0.7841
135-143
2.555
172-237
306.5
(16.0)
77.5
56.3
57.3
0.22
(7.49)
0.994
8.285
8.268
4.625
02/15/40
141-106
2.532
0.8165
140-202
2.553
172-075
304.2
(15.5)
67.9
45.4
46.4
0.22
(5.79)
0.991
8.563
8.527
4.375
05/15/40
136-083
2.546
0.7825
135-192
2.568
173-092
310.9
(16.8)
91.1
69.9
70.9
0.22
(9.33)
0.993
8.389
8.363
3.875
08/15/40
125-306
2.570
0.7144
125-117
2.591
175-156
323.9
(18.8)
133.0
114.2
115.1
0.22
(16.73)
0.996
7.978
7.982
4.250
11/15/40
133-260
2.562
0.7641
133-053
2.584
174-090
317.9
(17.8)
113.0
92.4
93.4
0.22
(12.65)
0.992
8.376
8.349
4.750
02/15/41
144-127
2.551
0.8308
143-215
2.572
172-300
310.8
(16.4)
88.0
64.8
65.9
0.22
(8.17)
0.988
8.902
8.836
4.375
05/15/41
136-182
2.570
0.7794
135-290
2.591
174-120
319.8
(18.1)
117.8
96.6
97.6
0.22
(12.96)
0.991
8.595
8.551
3.750
08/15/41
123-13+
2.597
0.6935
122-273
2.617
177-047
336.2
(20.5)
165.8
147.6
148.5
0.22
(22.14)
0.995
8.040
8.034
3.125
11/15/41
110-040
2.627
0.6071
109-210
2.647
180-200
356.7
(23.3)
211.7
196.7
197.5
0.22
(33.07)
1.000
7.468
7.502
3.125
02/15/42
110-020
2.633
0.6058
109-190
2.653
180-290
359.2
(23.6)
216.8
201.7
202.5
0.22
(34.06)
1.000
7.502
7.537
3.000
05/15/42
107-120
2.641
0.5874
106-295
2.661
182-010
366.2
(24.3)
231.1
216.8
217.5
0.22
(37.41)
1.000
7.416
7.448
WI
08/15/42
98-120
2.691
185-156
(27.1)
253.9
251.6
0.22
(49.01)
1.003
Source: Nomura
Net Basis for WNU2 on Model Delivery Date (09/28/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
0.0
Cpn
Maturity
4.375
02/15/38
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
4.500
05/15/38
0.3
0.2
0.2
0.1
0.1
0.1
0.1
0.1
0.2
0.2
0.2
0.2
0.3
0.3
0.4
0.5
0.6
3.500
02/15/39
186.1
167.8
150.8
142.7
134.9
127.4
120.1
113.1
106.4
99.8
93.5
87.4
81.6
75.9
70.5
60.1
50.5
4.250
05/15/39
94.9
85.0
75.9
71.6
67.5
63.5
59.7
56.1
52.6
49.2
46.0
42.9
39.9
37.1
34.3
29.2
24.5
4.500
08/15/39
76.3
68.0
60.3
56.7
53.3
50.0
46.9
43.9
41.0
38.3
35.7
33.2
30.8
28.6
26.4
22.4
18.7
4.375
11/15/39
105.5
93.9
83.3
78.4
73.6
69.0
64.6
60.4
56.4
52.6
48.9
45.4
42.0
38.8
35.8
30.0
24.8
4.625
02/15/40
88.0
77.8
68.6
64.3
60.2
56.2
52.5
48.9
45.5
42.3
39.2
36.2
33.4
30.8
28.2
23.6
19.3
4.375
05/15/40
132.0
117.4
104.0
97.7
91.6
85.9
80.3
75.1
70.0
65.2
60.5
56.1
51.9
47.8
44.0
36.8
30.2
3.875
08/15/40
209.2
187.1
166.6
157.0
147.8
138.9
130.3
122.1
114.3
106.7
99.5
92.5
85.8
79.4
73.3
61.7
51.1
4.250
11/15/40
173.8
154.7
137.1
128.9
121.0
113.4
106.1
99.2
92.5
86.2
80.1
74.2
68.7
63.3
58.2
48.7
40.0
4.750
02/15/41
127.2
112.3
98.7
92.4
86.4
80.6
75.1
69.9
64.9
60.2
55.7
51.4
47.3
43.5
39.8
33.0
26.9
4.375
05/15/41
184.3
163.6
144.6
135.7
127.2
119.1
111.3
103.9
96.7
89.9
83.4
77.2
71.3
65.6
60.2
50.1
41.0
3.750
08/15/41
272.8
243.6
216.6
203.9
191.7
180.0
168.8
158.0
147.7
137.8
128.3
119.2
110.4
102.1
94.1
79.0
65.2
3.125
11/15/41
358.3
320.7
286.0
269.6
253.9
238.8
224.2
210.2
196.8
183.9
171.5
159.6
148.1
137.1
126.6
106.7
88.5
3.125
02/15/42
369.1
330.2
294.2
277.2
260.9
245.2
230.2
215.7
201.8
188.5
175.6
163.3
151.5
140.2
129.3
108.8
90.0
3.000
05/15/42
394.9
353.4
315.1
297.1
279.7
263.1
247.0
231.6
216.8
202.6
189.0
175.9
163.3
151.2
139.7
117.9
97.8
WI
08/15/42
458.7
411.2
367.2
346.4
326.5
307.2
288.8
271.0
254.0
237.5
221.8
206.6
192.1
178.1
164.6
139.4
116.0
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
02/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
10
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
USU2 First Delivery Date 09/04/2012 Last Trade Date 09/19/2012 Last Delivery Date 09/28/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
150-010
150-002
(0.7)
(0.9)
0.3
0.0
167.6
164.1
10.4
11.175
1.546
8.1
(0.0)
86.9
6.125 11/15/27
(0.7)
2.5
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Model
Basis
Repo
100.0%
Maturity
Price
Yield
Conv
Factor
6.125
11/15/27
152-25+
2.077
1.0123
151-273
2.105
150-002
167.6
2.4
29.4
(0.7)
0.0
5.500
08/15/28
145-203
2.127
0.9494
144-253
2.154
152-162
179.8
0.8
102.4
75.3
76.0
5.250
11/15/28
142-131
2.150
0.9235
141-193
2.177
153-106
184.3
(0.4)
123.4
97.7
5.250
02/15/29
142-252
2.160
0.9227
141-31+
2.187
153-281
187.0
(0.4)
139.4
6.125
08/15/29
156-102
2.158
1.0130
155-121
2.185
153-122
185.6
1.5
6.250
05/15/30
159-233
2.181
1.0269
158-245
2.208
154-19+
192.4
1.6
5.375
02/15/31
147-201
2.226
0.9311
146-256
2.251
157-213
207.5
4.500
02/15/36
136-287
2.432
0.8132
136-067
2.455
167-162
4.750
02/15/37
142-057
2.452
0.8413
141-145
2.475
5.000
05/15/37
147-03+
2.452
0.8725
146-112
2.475
Source: Nomura
Gross
Basis
Net
Basis
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
0.22
0.31
0.967
10.119
10.119
0.22
(9.44)
0.982
10.179
10.330
98.3
0.22
(12.55)
0.986
10.148
10.337
113.6
114.2
0.22
(14.65)
0.988
10.290
10.506
138.9
108.7
109.4
0.22
(12.77)
0.980
11.213
11.361
181.2
150.5
151.2
0.22
(17.30)
0.982
11.782
11.962
(0.5)
253.9
227.5
228.2
0.22
(28.58)
0.993
11.521
11.829
268.5
(10.8)
476.7
454.8
455.3
0.22
(61.88)
0.999
13.019
13.434
168-04+
274.3
(11.4)
510.8
487.6
488.2
0.22
(63.89)
0.995
13.763
14.152
167-235
272.9
(11.1)
518.7
494.3
494.9
0.22
(62.35)
0.992
14.200
14.562
Net Basis for USU2 on Model Delivery Date (09/28/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
6.125
11/15/27
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
5.500
08/15/28
125.0
114.2
104.0
99.0
94.2
89.5
84.9
80.4
76.0
71.7
67.5
63.4
59.4
55.5
51.7
44.4
37.5
5.250
11/15/28
162.9
148.7
135.2
128.7
122.3
116.1
110.1
104.1
98.3
92.7
87.2
81.8
76.6
71.5
66.5
56.9
47.7
5.250
02/15/29
189.3
172.8
157.0
149.5
142.1
134.9
127.8
120.9
114.2
107.7
101.3
95.1
89.0
83.1
77.3
66.2
55.6
6.125
08/15/29
182.4
166.3
150.9
143.5
136.3
129.3
122.5
115.9
109.4
103.1
97.0
91.0
85.2
79.5
74.0
63.5
53.5
6.250
05/15/30
251.9
229.5
208.3
198.2
188.3
178.6
169.2
160.1
151.2
142.6
134.1
126.0
118.0
110.3
102.8
88.3
74.7
5.375
02/15/31
377.6
344.4
313.0
297.9
283.2
268.9
254.9
241.4
228.2
215.3
202.8
190.6
178.8
167.3
156.0
134.5
114.2
4.500
02/15/36
776.2
704.0
636.1
603.6
572.1
541.6
511.9
483.2
455.3
428.3
402.1
376.7
352.1
328.3
305.2
261.1
219.8
4.750
02/15/37
837.0
758.3
684.3
649.0
614.8
581.6
549.5
518.3
488.2
458.9
430.6
403.2
376.6
350.9
326.0
278.6
234.2
5.000
05/15/37
850.2
770.0
694.6
658.6
623.8
590.0
557.3
525.6
494.9
465.2
436.4
408.6
381.6
355.5
330.2
282.0
237.0
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
11/27
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
TYU2 First Delivery Date 09/04/2012 Last Trade Date 09/19/2012 Last Delivery Date 09/28/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
134-040
134-046
0.8
0.5
1.1
0.0
83.4
63.7
20.9
6.220
0.438
7.2
(0.0)
75.3
3.125 05/15/19
0.7
22.5
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Gross
Basis
Net
Basis
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
7.891
Maturity
Price
Yield
Conv
Factor
1.500
03/31/19
103-093
0.989
0.7607
103-025
1.009
135-163
86.2
19.1
40.4
33.7
33.1
0.22
(5.88)
0.787
7.856
1.250
04/30/19
101-202
0.999
0.7474
101-147
1.019
135-242
88.0
19.5
44.4
39.1
38.5
0.22
(6.97)
0.797
7.877
8.020
3.125
05/15/19
114-033
0.974
0.8471
113-203
0.994
134-046
83.4
22.8
15.6
0.7
0.0
0.22
0.11
0.783
8.468
8.468
1.125
05/31/19
100-223
1.019
0.7408
100-175
1.039
135-23+
89.3
19.1
42.9
38.1
37.6
0.22
(6.87)
0.807
7.925
8.162
1.000
06/30/19
99-24+
1.035
0.7258
99-20+
1.055
137-090
91.7
19.0
77.4
73.3
72.7
0.22
(13.55)
0.816
7.971
8.305
WI
07/31/19
99-167
1.072
137-046
18.7
69.6
69.5
0.22
(12.88)
0.823
3.625
08/15/19
117-232
1.011
0.8697
117-055
1.032
134-23+
85.6
23.5
34.5
16.9
16.2
0.22
(2.47)
0.801
8.917
9.114
100.0%
-
WI
08/31/19
99-181
1.093
136-305
18.0
65.0
65.1
0.22
(12.01)
0.831
3.375
11/15/19
116-070
1.058
0.8517
115-226
1.080
135-27+
89.5
23.2
63.5
47.3
46.6
0.22
(7.36)
0.823
9.136
9.603
3.625
02/15/20
118-065
1.103
0.8620
117-210
1.125
136-156
92.1
23.1
82.9
65.3
64.7
0.22
(10.12)
0.845
9.514
10.264
3.500
05/15/20
117-141
1.153
0.8508
116-292
1.176
137-133
95.7
21.8
106.5
89.6
88.9
0.22
(14.00)
0.862
9.759
10.736
2.625
08/15/20
110-237
1.218
0.7932
110-11+
1.241
139-041
102.0
19.3
139.5
127.0
126.4
0.22
(21.24)
0.890
9.695
11.020
2.625
11/15/20
110-217
1.264
0.7880
110-09+
1.287
139-311
105.5
18.5
159.8
147.4
146.8
0.22
(24.64)
0.901
9.959
11.457
3.625
02/15/21
118-263
1.291
0.8472
118-087
1.315
139-19+
105.1
19.4
166.2
148.6
148.0
0.22
(23.17)
0.908
10.662
12.360
3.125
05/15/21
114-201
1.355
0.8107
114-051
1.379
140-261
110.2
16.3
188.6
173.6
173.0
0.22
(28.02)
0.928
10.699
12.680
2.125
08/15/21
105-316
1.417
0.7391
105-217
1.441
142-316
118.3
13.5
219.6
209.7
209.1
0.22
(36.81)
0.953
10.473
12.737
2.000
11/15/21
104-197
1.466
0.7249
104-105
1.491
143-295
122.5
11.9
236.6
227.4
226.8
0.22
(40.37)
0.970
10.641
13.173
2.000
02/15/22
104-112
1.508
0.7191
104-021
1.533
144-227
126.2
10.9
252.9
243.7
243.1
0.22
(43.49)
0.986
10.870
13.687
1.750
05/15/22
101-24+
1.555
0.6956
101-165
1.579
145-301
131.5
9.3
271.0
263.1
262.5
0.22
(48.08)
1.000
10.954
13.982
WI
08/15/22
99-086
1.628
147-055
7.4
281.0
280.4
0.22
(52.91)
1.012
Source: Nomura
Net Basis for TYU2 on Model Delivery Date (09/28/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
1.500
03/31/19
39.2
38.0
36.8
36.1
35.5
34.9
34.3
33.7
33.1
32.5
32.0
31.4
30.8
30.2
29.6
28.5
27.4
1.250
04/30/19
50.3
47.9
45.5
44.3
43.1
42.0
40.8
39.6
38.5
37.4
36.2
35.1
34.0
32.9
31.8
29.7
27.5
3.125
05/15/19
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
1.125
05/31/19
53.9
50.5
47.2
45.6
43.9
42.3
40.7
39.1
37.6
36.0
34.4
32.9
31.4
29.9
28.4
25.4
22.5
1.000
06/30/19
95.5
90.8
86.1
83.8
81.6
79.3
77.1
74.9
72.7
70.6
68.4
66.3
64.2
62.1
60.0
55.9
51.9
WI
07/31/19
95.2
89.8
84.5
81.8
79.2
76.7
74.1
71.6
69.1
66.6
64.1
61.7
59.3
56.9
54.5
49.8
45.2
3.625
08/15/19
25.4
23.5
21.6
20.7
19.8
18.9
18.0
17.1
16.2
15.4
14.5
13.7
12.8
12.0
11.2
9.6
8.1
WI
08/31/19
94.3
88.1
82.0
79.0
76.1
73.1
70.2
67.3
64.5
61.6
58.8
56.0
53.3
50.6
47.9
42.5
37.3
3.375
11/15/19
70.3
65.4
60.5
58.1
55.8
53.4
51.1
48.8
46.6
44.4
42.1
40.0
37.8
35.6
33.5
29.4
25.3
3.625
02/15/20
100.6
93.1
85.8
82.1
78.6
75.0
71.5
68.1
64.7
61.3
57.9
54.6
51.4
48.1
45.0
38.7
32.6
3.500
05/15/20
137.8
127.6
117.6
112.7
107.8
103.0
98.3
93.6
88.9
84.4
79.8
75.4
70.9
66.6
62.2
53.8
45.5
2.625
08/15/20
194.2
180.0
166.1
159.3
152.6
145.9
139.3
132.8
126.4
120.1
113.8
107.6
101.4
95.4
89.4
77.6
66.1
2.625
11/15/20
225.5
209.0
192.9
185.0
177.2
169.4
161.8
154.3
146.8
139.5
132.2
125.0
117.9
110.9
104.0
90.4
77.1
3.625
02/15/21
233.6
215.6
198.1
189.5
181.0
172.6
164.3
156.1
148.0
140.0
132.1
124.3
116.6
109.0
101.5
86.8
72.4
3.125
05/15/21
273.9
252.7
232.0
221.8
211.8
201.9
192.2
182.5
173.0
163.6
154.3
145.1
136.1
127.1
118.3
101.0
84.2
2.125
08/15/21
327.3
302.4
278.2
266.3
254.6
243.0
231.5
220.2
209.1
198.1
187.2
176.5
165.9
155.5
145.2
125.0
105.3
2.000
11/15/21
358.0
330.4
303.4
290.2
277.2
264.4
251.7
239.1
226.8
214.6
202.6
190.7
179.0
167.4
156.0
133.7
112.0
2.000
02/15/22
387.3
356.9
327.3
312.8
298.5
284.3
270.4
256.7
243.1
229.8
216.6
203.6
190.7
178.1
165.6
141.2
117.4
1.750
05/15/22
418.8
385.8
353.6
337.9
322.4
307.1
292.0
277.2
262.5
248.0
233.8
219.7
205.9
192.2
178.7
152.3
126.7
WI
08/15/22
448.2
412.7
378.2
361.3
344.7
328.3
312.1
296.2
280.5
265.0
249.7
234.7
219.8
205.2
190.8
162.6
135.2
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
05/19
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
FVU2 First Delivery Date 09/04/2012 Last Trade Date 09/28/2012 Last Delivery Date 10/03/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
124-152
124-151
(0.1)
(0.6)
0.7
0.0
53.0
44.7
22.9
4.260
0.204
6.0
(0.0)
49.9
0.875 11/30/16
(0.1)
17.1
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Model
Basis
Repo
100.0%
Maturity
Price
Yield
Conv
Factor
0.875
11/30/16
101-120
0.554
0.8135
101-082
0.568
124-151
53.0
17.0
3.6
(0.1)
0.0
0.875
12/31/16
101-092
0.579
0.8102
101-055
0.594
124-280
54.2
16.3
14.0
10.3
10.5
0.875
01/31/17
101-081
0.592
0.8069
101-04+
0.608
125-110
55.4
16.5
26.1
22.4
0.875
02/28/17
101-086
0.593
0.8037
101-051
0.608
125-276
56.6
18.0
39.5
1.000
03/31/17
101-23+
0.622
0.8053
101-191
0.638
126-052
57.6
16.9
0.875
04/30/17
101-045
0.630
0.7973
101-010
0.646
126-227
59.0
17.4
0.625
05/31/17
99-302
0.637
0.7840
99-280
0.653
127-12+
60.7
0.750
06/30/17
100-152
0.651
0.7858
100-122
0.668
127-237
WI
07/31/17
99-183
0.684
128-100
WI
08/31/17
99-20+
0.699
WI
09/30/17
99-222
0.716
Source: Nomura
Gross
Basis
Net
Basis
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
0.22
0.24
0.860
8.132
8.132
0.22
(1.55)
0.886
8.275
8.522
22.5
0.22
(3.61)
0.904
8.426
8.852
35.8
35.9
0.22
(5.88)
0.920
8.583
9.183
47.8
43.5
43.6
0.22
(7.15)
0.940
8.751
9.563
60.8
57.1
57.2
0.22
(9.53)
0.962
8.874
9.921
18.6
75.4
73.1
73.2
0.22
(12.42)
0.983
8.965
10.241
61.7
18.9
85.2
82.2
82.4
0.22
(13.94)
1.000
9.139
10.625
18.7
96.2
95.3
0.22
(16.56)
1.020
128-235
18.9
105.5
105.6
0.22
(18.07)
1.039
129-052
19.1
115.4
115.7
0.22
(19.79)
1.058
Net Basis for FVU2 on Model Delivery Date (10/03/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
0.0
Cpn
Maturity
0.875
11/30/16
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.875
12/31/16
16.7
15.5
14.2
13.5
12.9
12.3
11.7
11.1
10.5
9.9
9.3
8.7
8.1
7.5
6.9
5.8
4.6
0.875
01/31/17
34.2
31.8
29.4
28.2
27.1
25.9
24.8
23.6
22.5
21.4
20.3
19.2
18.1
17.0
15.9
13.8
11.7
0.875
02/28/17
52.9
49.4
45.9
44.2
42.5
40.8
39.2
37.5
35.9
34.2
32.6
31.0
29.4
27.8
26.3
23.2
20.1
1.000
03/31/17
66.0
61.4
56.8
54.6
52.3
50.1
47.9
45.7
43.6
41.4
39.3
37.2
35.1
33.0
30.9
26.9
22.9
0.875
04/30/17
86.3
80.3
74.4
71.4
68.6
65.7
62.8
60.0
57.2
54.5
51.7
49.0
46.3
43.6
40.9
35.7
30.5
0.625
05/31/17
109.0
101.6
94.3
90.7
87.2
83.6
80.1
76.6
73.2
69.8
66.4
63.0
59.7
56.4
53.1
46.7
40.3
0.750
06/30/17
123.7
115.1
106.7
102.6
98.5
94.4
90.3
86.3
82.4
78.4
74.5
70.6
66.8
63.0
59.2
51.8
44.5
WI
07/31/17
144.4
134.4
124.6
119.8
115.0
110.3
105.6
100.9
96.3
91.7
87.2
82.7
78.2
73.8
69.4
60.7
52.2
WI
08/31/17
159.5
148.3
137.4
131.9
126.6
121.3
116.0
110.8
105.6
100.5
95.4
90.3
85.3
80.4
75.5
65.8
56.3
WI
09/30/17
175.7
163.3
151.0
144.9
138.9
133.0
127.1
121.3
115.5
109.8
104.1
98.5
92.9
87.4
81.9
71.1
60.5
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
11/16
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
TUU2 First Delivery Date 09/04/2012 Last Trade Date 09/28/2012 Last Delivery Date 10/03/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
110-080
110-075
(0.4)
(1.0)
0.8
0.0
20.8
20.7
16.5
1.891
0.045
6.4
(0.0)
30.3
2.625 06/30/14
(0.4)
20.8
Yield
Conv
Factor
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Model
Basis
Repo
Implied
Repo
Parallel
Hedge
2-Factor
Hedge
Maturity
Price
0.750
06/15/14
100-295
0.255
0.9140
2.625
06/30/14
104-180
0.239
0.9447
0.250
06/30/14
99-317
0.252
0.9058
0.625
07/15/14
100-226
0.261
0.9080
2.625
07/31/14
104-213
0.285
WI
07/31/14
0.500
08/15/14
100-155
2.375
08/31/14
WI
08/31/14
0.250
Delivery
Prob
Fwd
ASW
Gross
Basis
Net
Basis
Implied
Beta
100-265
0.258
110-102
20.6
17.8
5.1
2.1
2.4
0.22
(0.14)
0.965
9.031
8.801
104-04+
0.241
110-075
20.8
20.2
13.1
(0.4)
0.0
0.22
0.28
0.990
9.443
9.443
99-316
0.255
110-12+
21.1
18.8
4.2
4.1
4.4
0.22
(0.49)
1.000
9.175
9.266
100-20+
0.265
110-266
21.6
17.7
19.3
17.0
17.4
0.22
(2.71)
1.036
9.411
9.842
0.9422
104-077
0.291
110-205
21.8
15.0
25.4
11.8
12.2
0.22
(1.74)
1.066
9.853
10.611
99-29+
0.263
110-285
17.8
18.9
18.9
0.22
(3.06)
1.077
0.260
0.9018
100-141
0.263
111-121
22.7
17.9
34.1
32.5
32.9
0.22
(5.38)
1.116
9.803
11.044
104-120
0.271
0.9353
103-317
0.275
111-060
22.9
17.0
40.3
28.1
28.5
0.22
(4.42)
1.157
10.250
11.977
99-292
0.272
111-127
17.3
33.1
33.4
0.22
(5.53)
1.168
09/15/14
99-306
0.268
0.8931
99-305
0.272
111-29+
23.7
17.9
47.9
47.8
48.1
0.22
(8.05)
1.200
10.169
12.325
2.375
09/30/14
104-193
0.244
0.9326
104-072
0.246
111-242
23.9
21.2
57.2
45.0
45.4
0.22
(7.18)
1.227
10.671
13.222
WI
09/30/14
99-296
0.279
111-287
17.9
47.5
47.6
0.22
(8.02)
1.240
Source: Nomura
Fwd
Price
100.0%
Net Basis for TUU2 on Model Delivery Date (10/03/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
0.750
06/15/14
0.3
0.8
1.2
1.4
1.6
1.8
2.0
2.2
2.4
2.7
2.9
3.1
3.3
3.5
3.7
4.1
4.5
2.625
06/30/14
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.250
06/30/14
5.8
5.5
5.3
5.1
5.0
4.8
4.7
4.6
4.4
4.3
4.2
4.0
3.9
3.8
3.6
3.4
3.1
0.625
07/15/14
22.3
21.3
20.3
19.8
19.3
18.9
18.4
17.9
17.4
16.9
16.4
16.0
15.5
15.0
14.6
13.6
12.7
2.625
07/31/14
19.8
18.2
16.7
16.0
15.2
14.4
13.7
13.0
12.2
11.5
10.7
10.0
9.3
8.5
7.8
6.4
5.0
WI
07/31/14
28.3
26.4
24.6
23.7
22.8
21.9
21.0
20.1
19.2
18.4
17.5
16.6
15.8
14.9
14.0
12.3
10.6
0.500
08/15/14
45.8
43.2
40.6
39.3
38.0
36.7
35.4
34.2
32.9
31.6
30.4
29.1
27.9
26.6
25.4
22.9
20.5
2.375
08/31/14
45.1
41.7
38.4
36.7
35.0
33.4
31.7
30.1
28.5
26.8
25.2
23.6
22.0
20.4
18.8
15.7
12.6
WI
08/31/14
51.3
47.7
44.1
42.3
40.5
38.7
37.0
35.2
33.5
31.7
30.0
28.3
26.6
24.8
23.2
19.8
16.4
0.250
09/15/14
69.8
65.4
61.0
58.8
56.7
54.5
52.4
50.2
48.1
46.0
43.9
41.8
39.7
37.7
35.6
31.5
27.4
2.375
09/30/14
70.2
65.2
60.2
57.7
55.2
52.7
50.3
47.8
45.4
43.0
40.6
38.2
35.8
33.4
31.1
26.4
21.8
WI
09/30/14
73.7
68.4
63.2
60.6
58.0
55.5
52.9
50.4
47.8
45.3
42.8
40.3
37.8
35.3
32.9
28.0
23.2
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
06/14
06/14
06/14
06/14
06/14
06/14
(9)
06/14
06/14
06/14
06/14
06/14
(8)
06/14
06/14
06/14
06/14
(7)
06/14
06/14
06/14
(6)
06/14
06/14
06/14
(5)
06/14
06/14
(4)
06/14
(3)
(2)
(1)
06/14
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
WNZ2 First Delivery Date 12/03/2012 Last Trade Date 12/19/2012 Last Delivery Date 12/31/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
169-010
168-307
(2.2)
(4.7)
1.8
0.9
289.8
288.7
(18.4)
17.152
3.736
23.4
(0.2)
87.5
4.375 02/15/38
(1.0)
(15.1)
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Gross
Basis
Net
Basis
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
Maturity
Price
Yield
Conv
Factor
4.375
02/15/38
135-113
2.495
0.7909
50.0%
133-210
2.552
168-316
289.7
(15.2)
53.4
(1.0)
0.7
0.23
0.28
0.996
7.897
7.904
4.500
05/15/38
138-001
2.493
0.8061
50.0%
136-077
2.551
169-005
290.1
(14.9)
56.0
(0.3)
1.4
0.23
0.24
0.995
8.063
8.056
3.500
02/15/39
118-107
2.545
0.6729
116-315
2.600
173-27+
318.2
(18.8)
147.2
103.9
105.4
0.23
(6.19)
1.003
7.382
7.441
4.250
05/15/39
133-137
2.525
0.7700
131-246
2.581
171-043
304.2
(16.8)
104.9
51.8
53.5
0.23
(2.61)
0.995
8.075
8.070
4.500
08/15/39
138-186
2.523
0.8022
136-266
2.579
170-183
301.8
(16.2)
95.6
39.6
41.3
0.23
(1.86)
0.993
8.346
8.321
4.375
11/15/39
136-035
2.534
0.7848
134-130
2.590
171-082
306.4
(17.0)
110.6
56.0
57.6
0.23
(2.77)
0.994
8.289
8.272
4.625
02/15/40
141-106
2.532
0.8173
139-171
2.587
170-232
304.1
(16.5)
102.0
44.4
46.1
0.23
(2.07)
0.991
8.567
8.531
4.375
05/15/40
136-083
2.546
0.7832
134-176
2.602
171-255
310.8
(17.8)
124.1
69.4
71.1
0.23
(3.49)
0.993
8.393
8.367
3.875
08/15/40
125-306
2.570
0.7155
124-146
2.625
173-302
323.6
(19.7)
160.6
112.5
114.1
0.23
(6.30)
0.996
7.982
7.986
4.250
11/15/40
133-260
2.562
0.7648
132-047
2.618
172-25+
317.8
(18.8)
145.2
92.1
93.7
0.23
(4.79)
0.992
8.379
8.352
4.750
02/15/41
144-127
2.551
0.8315
142-175
2.606
171-140
310.7
(17.4)
123.2
64.0
65.8
0.23
(3.01)
0.988
8.905
8.840
4.375
05/15/41
136-182
2.570
0.7801
134-275
2.625
172-281
319.7
(19.1)
150.7
96.1
97.7
0.23
(4.90)
0.991
8.598
8.555
3.750
08/15/41
123-13+
2.597
0.6946
121-311
2.650
175-191
335.9
(21.4)
192.4
146.0
147.5
0.23
(8.41)
0.995
8.043
8.038
3.125
11/15/41
110-040
2.627
0.6083
108-293
2.679
179-016
356.2
(24.1)
233.7
195.1
196.4
0.23
(12.70)
1.000
7.471
7.505
3.125
02/15/42
110-020
2.633
0.6071
108-27+
2.684
179-100
358.6
(24.4)
238.2
199.7
201.0
0.23
(13.03)
1.000
7.505
7.540
3.000
05/15/42
107-120
2.641
0.5887
106-070
2.692
180-135
365.6
(25.1)
251.7
214.7
215.9
0.23
(14.36)
1.000
7.419
7.451
WI
08/15/42
98-015
2.715
183-237
(27.2)
243.4
248.3
0.23
(17.70)
1.003
WI
11/15/42
98-140
2.721
185-013
(27.6)
247.3
255.3
0.23
(17.98)
1.003
Source: Nomura
Net Basis for WNZ2 on Model Delivery Date (12/31/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
0.0
Cpn
Maturity
4.375
02/15/38
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
4.500
05/15/38
0.9
0.8
0.8
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.7
0.8
0.8
0.8
0.9
0.9
1.0
3.500
02/15/39
183.3
165.3
148.6
140.6
132.9
125.5
118.4
111.5
104.8
98.3
92.1
86.1
80.3
74.7
69.4
59.1
49.6
4.250
05/15/39
94.8
85.0
76.0
71.7
67.6
63.7
59.9
56.3
52.8
49.5
46.3
43.2
40.2
37.4
34.7
29.6
24.9
4.500
08/15/39
75.6
67.3
59.8
56.2
52.8
49.6
46.4
43.5
40.6
37.9
35.3
32.8
30.5
28.2
26.1
22.1
18.4
4.375
11/15/39
105.7
94.2
83.7
78.8
74.0
69.5
65.1
60.9
57.0
53.1
49.5
46.0
42.6
39.4
36.3
30.6
25.4
4.625
02/15/40
87.6
77.6
68.4
64.1
60.0
56.1
52.4
48.8
45.4
42.2
39.1
36.2
33.4
30.7
28.2
23.5
19.3
4.375
05/15/40
132.0
117.5
104.2
98.0
92.0
86.2
80.7
75.5
70.4
65.6
61.0
56.6
52.4
48.4
44.5
37.3
30.8
3.875
08/15/40
207.4
185.5
165.3
155.8
146.6
137.8
129.4
121.3
113.5
106.0
98.8
91.9
85.2
78.9
72.8
61.3
50.8
4.250
11/15/40
173.7
154.8
137.4
129.2
121.3
113.8
106.6
99.7
93.1
86.8
80.7
74.9
69.3
64.0
58.9
49.4
40.7
4.750
02/15/41
127.1
112.3
98.8
92.5
86.5
80.7
75.3
70.1
65.1
60.4
55.9
51.6
47.5
43.7
40.0
33.2
27.1
4.375
05/15/41
184.0
163.5
144.6
135.8
127.4
119.3
111.5
104.1
97.0
90.3
83.8
77.6
71.7
66.1
60.7
50.6
41.5
3.750
08/15/41
270.7
241.8
215.1
202.5
190.5
178.9
167.8
157.1
146.9
137.0
127.6
118.6
109.9
101.6
93.6
78.7
65.0
3.125
11/15/41
355.6
318.5
284.2
268.0
252.4
237.4
223.0
209.2
195.9
183.1
170.8
159.0
147.6
136.7
126.3
106.6
88.4
3.125
02/15/42
366.0
327.5
291.9
275.2
259.0
243.5
228.6
214.3
200.5
187.3
174.6
162.4
150.7
139.4
128.6
108.3
89.6
3.000
05/15/42
391.4
350.5
312.7
294.8
277.7
261.2
245.3
230.1
215.4
201.4
187.8
174.9
162.4
150.4
138.9
117.3
97.4
WI
08/15/42
442.0
396.1
353.5
333.5
314.2
295.6
277.8
260.6
244.1
228.2
213.0
198.3
184.3
170.7
157.8
133.3
110.8
WI
11/15/42
450.5
403.4
359.9
339.3
319.6
300.6
282.4
264.8
248.0
231.8
216.2
201.3
186.9
173.1
159.9
135.0
112.0
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
02/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
05/38
05/38
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
10
05/38
05/38
05/38
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
USZ2 First Delivery Date 12/03/2012 Last Trade Date 12/19/2012 Last Delivery Date 12/31/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
151-020
151-007
(1.2)
(0.5)
(0.8)
0.0
179.8
178.4
8.3
11.905
1.730
21.0
(0.0)
87.5
5.500 08/15/28
(1.1)
(0.0)
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Gross
Basis
Model
Basis
Repo
99.9%
Maturity
Price
Yield
Conv
Factor
5.500
08/15/28
145-203
2.127
0.9500
143-152
2.197
151-007
179.8
(0.2)
68.1
(1.1)
0.0
5.250
11/15/28
142-131
2.150
0.9242
140-107
2.220
151-272
184.2
(1.5)
89.6
23.3
24.4
5.250
02/15/29
142-252
2.160
0.9235
140-232
2.229
152-123
187.0
(1.4)
105.1
39.1
6.125
08/15/29
156-102
2.158
1.0130
153-290
2.227
151-297
185.7
0.5
105.5
28.2
6.250
05/15/30
159-233
2.181
1.0265
157-082
2.250
153-062
192.6
0.5
149.2
5.375
02/15/31
147-201
2.226
0.9318
145-165
2.292
156-05+
207.5
(1.5)
219.8
4.500
02/15/36
136-287
2.432
0.8142
135-046
2.491
165-316
268.3
(11.7)
445.0
4.750
02/15/37
142-057
2.452
0.8421
140-105
2.511
166-205
274.2
(12.4)
5.000
05/15/37
147-03+
2.452
0.8730
145-047
2.512
166-08+
272.9
(12.2)
Source: Nomura
0.1%
Net
Basis
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
0.23
0.28
0.982
9.491
9.491
0.23
(0.97)
0.986
9.461
9.497
40.2
0.23
(1.77)
0.988
9.594
9.652
29.4
0.23
(1.09)
0.980
10.455
10.438
70.1
71.3
0.23
(2.97)
0.982
10.985
10.990
152.3
153.4
0.23
(7.31)
0.993
10.742
10.868
388.9
389.9
0.23
(20.52)
0.999
12.138
12.342
479.1
419.9
420.8
0.23
(21.34)
0.995
12.832
13.002
487.5
424.8
425.7
0.23
(20.83)
0.992
13.240
13.379
Net Basis for USZ2 on Model Delivery Date (12/31/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
5.500
08/15/28
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
5.250
11/15/28
40.9
37.3
33.8
32.2
30.5
28.9
27.4
25.9
24.4
22.9
21.5
20.1
18.8
17.5
16.2
13.8
11.4
5.250
02/15/29
67.2
61.2
55.6
52.8
50.2
47.6
45.0
42.6
40.2
37.8
35.5
33.3
31.1
29.0
26.9
23.0
19.2
6.125
08/15/29
50.3
45.6
41.1
39.0
36.9
34.9
33.0
31.2
29.4
27.6
25.9
24.3
22.7
21.2
19.7
16.9
14.3
6.250
05/15/30
119.0
108.3
98.2
93.4
88.7
84.1
79.7
75.4
71.3
67.3
63.3
59.6
55.9
52.4
48.9
42.4
36.2
5.375
02/15/31
253.7
231.4
210.2
200.1
190.2
180.6
171.3
162.2
153.4
144.8
136.4
128.3
120.5
112.8
105.4
91.1
77.7
4.500
02/15/36
666.1
603.8
545.3
517.3
490.2
463.9
438.5
413.8
389.9
366.7
344.3
322.5
301.5
281.1
261.4
223.8
188.5
4.750
02/15/37
723.4
655.0
590.7
560.1
530.4
501.7
473.8
446.9
420.8
395.6
371.1
347.5
324.6
302.4
281.0
240.3
202.2
5.000
05/15/37
733.2
663.6
598.3
567.1
537.0
507.8
479.6
452.2
425.8
400.1
375.4
351.4
328.2
305.8
284.1
242.8
204.3
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
08/28
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
TYZ2 First Delivery Date 12/03/2012 Last Trade Date 12/19/2012 Last Delivery Date 12/31/2012
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
133-04+
133-043
(0.1)
(0.2)
0.0
0.0
85.2
66.6
21.3
6.403
0.463
18.4
(0.0)
77.5
3.625 08/15/19
(0.1)
23.6
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Model
Basis
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
7.954
Price
Yield
Conv
Factor
Fwd
ASW
Gross
Basis
1.000
06/30/19
99-24+
1.035
0.7341
99-142
1.089
135-147
WI
07/31/19
99-103
1.106
135-103
90.7
19.1
64.9
54.6
54.6
0.23
(3.77)
0.816
7.803
18.9
50.9
51.3
0.23
(3.50)
0.823
3.625
08/15/19
117-232
1.011
0.8737
116-102
1.067
133-043
85.2
23.5
44.9
(0.1)
0.0
0.23
0.23
0.801
8.729
8.729
WI
08/31/19
99-063
1.128
135-047
18.0
46.1
47.2
0.23
(3.16)
0.831
WI
09/30/19
WI
10/31/19
99-087
1.142
136-163
18.4
78.3
78.3
0.23
(5.53)
0.836
99-187
1.160
136-086
17.9
74.2
72.9
0.23
(5.23)
0.843
3.375
11/15/19
116-070
1.058
0.8560
114-292
1.115
134-076
89.1
23.1
72.0
30.2
30.3
0.23
(1.67)
0.823
8.943
9.198
WI
11/30/19
WI
12/31/19
99-200
1.179
136-03+
17.4
69.8
68.9
0.23
(4.91)
0.852
99-185
1.193
137-142
17.6
97.9
98.7
0.23
(6.93)
0.859
3.625
02/15/20
118-065
1.103
0.8659
116-256
1.161
134-28+
91.8
23.0
93.5
48.5
48.6
0.23
(2.77)
0.845
9.313
9.830
3.500
05/15/20
2.625
08/15/20
117-141
1.153
0.8547
116-025
1.213
135-261
95.4
21.7
116.7
73.2
73.3
0.23
(4.32)
0.862
9.553
10.282
110-237
1.218
0.7985
109-241
1.278
137-143
101.4
19.2
141.9
110.1
110.2
0.23
(7.04)
0.890
9.490
2.625
10.554
11/15/20
110-217
1.264
0.7932
109-220
1.325
138-091
104.9
18.3
162.5
130.6
130.7
0.23
(8.38)
0.901
9.749
10.973
3.625
02/15/21
118-263
1.291
0.8508
117-13+
1.353
138-003
104.7
19.2
177.6
132.6
132.7
0.23
(7.93)
0.908
10.436
11.838
3.125
05/15/21
114-201
1.355
0.8150
113-135
1.419
139-05+
109.6
16.0
195.8
157.3
157.4
0.23
(9.78)
0.928
10.472
12.144
2.125
08/15/21
105-316
1.417
0.7449
105-065
1.480
141-07+
117.4
13.3
218.1
192.9
193.0
0.23
(13.07)
0.953
10.252
12.198
2.000
11/15/21
104-197
1.466
0.7307
103-281
1.531
142-052
121.6
11.6
234.7
211.0
211.1
0.23
(14.49)
0.970
10.416
12.616
2.000
02/15/22
104-112
1.508
0.7249
103-196
1.573
142-300
125.2
10.6
250.9
227.3
227.4
0.23
(15.68)
0.986
10.640
13.109
1.750
05/15/22
101-24+
1.555
0.7016
101-041
1.620
144-04+
130.4
8.9
267.3
246.9
247.0
0.23
(17.48)
1.000
10.722
13.392
WI
08/15/22
99-021
1.668
145-101
7.1
265.0
264.6
0.23
(19.31)
1.012
WI
11/15/22
99-11+
1.707
146-010
6.2
277.1
276.9
0.23
(20.03)
1.027
Cpn
Source: Nomura
Delivery
Prob
100.0%
Fwd
Price
Net
Basis
Implied
Repo
Net Basis for TYZ2 on Model Delivery Date (12/31/2012) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
1.000
06/30/19
68.4
65.6
62.8
61.4
60.0
58.7
57.3
56.0
54.6
53.3
52.0
50.7
49.4
48.1
46.8
44.3
41.8
WI
07/31/19
68.1
64.6
61.1
59.4
57.7
56.0
54.3
52.6
51.0
49.3
47.7
46.1
44.5
42.9
41.3
38.2
35.2
3.625
08/15/19
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
WI
08/31/19
66.9
62.6
58.4
56.4
54.3
52.2
50.2
48.2
46.2
44.2
42.3
40.4
38.4
36.5
34.6
30.9
27.2
WI
09/30/19
103.9
98.6
93.4
90.9
88.3
85.8
83.3
80.8
78.4
76.0
73.6
71.2
68.8
66.5
64.1
59.5
55.0
WI
10/31/19
103.3
97.3
91.4
88.5
85.6
82.7
79.9
77.1
74.3
71.5
68.8
66.1
63.4
60.8
58.1
52.9
47.8
3.375
11/15/19
44.6
41.6
38.7
37.3
35.8
34.4
33.0
31.7
30.3
28.9
27.6
26.3
25.0
23.7
22.4
19.9
17.4
WI
11/30/19
102.8
96.0
89.3
86.0
82.7
79.4
76.2
73.0
69.9
66.8
63.7
60.6
57.6
54.6
51.6
45.7
40.0
WI
12/31/19
135.8
127.9
120.2
116.4
112.7
108.9
105.3
101.6
98.0
94.4
90.9
87.4
83.9
80.4
77.0
70.3
63.7
3.625
02/15/20
74.9
69.4
64.1
61.4
58.8
56.2
53.7
51.1
48.6
46.1
43.7
41.3
38.9
36.5
34.2
29.6
25.1
3.500
05/15/20
112.3
104.1
96.2
92.2
88.4
84.5
80.8
77.0
73.3
69.7
66.0
62.5
58.9
55.4
52.0
45.2
38.5
2.625
08/15/20
168.1
156.0
144.2
138.3
132.6
126.9
121.3
115.7
110.2
104.8
99.4
94.1
88.8
83.7
78.5
68.4
58.6
2.625
11/15/20
199.3
184.9
170.9
164.0
157.2
150.4
143.8
137.2
130.7
124.3
117.9
111.6
105.4
99.3
93.2
81.3
69.7
3.625
02/15/21
208.0
192.2
176.8
169.2
161.7
154.4
147.1
139.9
132.7
125.7
118.8
111.9
105.1
98.4
91.8
78.8
66.2
3.125
05/15/21
247.8
228.8
210.3
201.2
192.2
183.3
174.6
165.9
157.4
148.9
140.6
132.4
124.3
116.2
108.3
92.8
77.6
2.125
08/15/21
300.9
278.2
256.1
245.2
234.5
224.0
213.5
203.2
193.0
182.9
173.0
163.2
153.5
144.0
134.6
116.0
98.0
2.000
11/15/21
331.9
306.5
281.7
269.5
257.5
245.7
234.0
222.5
211.1
199.9
188.8
177.8
167.0
156.4
145.8
125.2
105.1
2.000
02/15/22
361.1
332.9
305.4
292.0
278.7
265.6
252.7
239.9
227.4
215.0
202.7
190.6
178.7
167.0
155.4
132.7
110.6
1.750
05/15/22
392.7
362.0
332.0
317.4
302.9
288.7
274.6
260.7
247.0
233.5
220.2
207.1
194.1
181.3
168.7
144.1
120.1
WI
08/15/22
422.3
389.1
356.7
340.9
325.3
309.9
294.8
279.8
265.0
250.5
236.2
222.0
208.1
194.3
180.8
154.3
128.5
WI
11/15/22
446.5
410.7
375.9
358.8
342.0
325.4
309.1
293.0
277.2
261.5
246.1
230.9
216.0
201.2
186.7
158.3
130.7
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
08/19
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
FVZ2 First Delivery Date 12/03/2012 Last Trade Date 12/31/2012 Last Delivery Date 01/04/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
124-056
124-046
(1.0)
0.1
(0.5)
0.0
56.0
50.9
24.9
4.511
0.227
16.1
(0.0)
50.0
0.875 02/28/17
(0.8)
18.7
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
100.0%
Maturity
Price
Yield
Conv
Factor
0.875
02/28/17
101-086
0.593
0.8135
100-317
0.632
124-046
56.0
1.000
03/31/17
101-23+
0.622
0.8148
101-127
0.663
124-14+
57.0
0.875
04/30/17
101-045
0.630
0.8069
100-276
0.671
125-001
0.625
05/31/17
99-302
0.637
0.7941
99-246
0.677
0.750
06/30/17
100-152
0.651
0.7956
100-081
WI
07/31/17
99-153
WI
08/31/17
99-172
WI
09/30/17
WI
10/31/17
WI
11/30/17
WI
12/31/17
Source: Nomura
Gross
Basis
Net
Basis
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
18.1
8.1
(0.8)
0.0
16.8
17.7
7.1
7.9
0.23
0.28
0.920
8.127
8.127
0.23
(0.27)
0.940
8.286
58.4
17.4
30.2
21.3
8.463
22.1
0.23
(1.27)
0.962
8.402
125-205
59.9
18.6
42.7
37.2
8.779
38.0
0.23
(2.42)
0.983
8.489
9.063
0.692
126-003
61.0
19.0
53.7
46.6
47.4
0.23
0.709
126-176
18.8
60.8
60.5
0.23
(3.08)
1.000
8.653
9.403
(4.14)
1.020
0.726
126-311
19.0
69.9
70.8
0.23
(4.76)
1.039
99-145
0.743
127-131
19.2
80.2
81.4
0.23
(5.50)
1.058
99-196
0.757
127-261
19.3
91.2
91.3
0.23
(6.29)
1.074
99-210
0.773
128-075
19.5
101.5
101.4
0.23
(7.04)
1.092
99-227
0.792
128-205
19.4
111.0
111.1
0.23
(7.72)
1.114
Net Basis for FVZ2 on Model Delivery Date (01/04/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
0.0
Cpn
Maturity
0.875
02/28/17
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
1.000
03/31/17
13.2
12.1
11.0
10.5
10.0
9.5
9.0
8.4
7.9
7.4
6.9
6.4
5.9
5.4
5.0
4.0
3.1
0.875
04/30/17
33.9
31.5
29.1
27.9
26.7
25.5
24.4
23.3
22.1
21.0
19.9
18.8
17.7
16.6
15.5
13.4
11.3
0.625
05/31/17
56.5
52.7
48.9
47.1
45.2
43.4
41.6
39.8
38.0
36.2
34.5
32.8
31.0
29.3
27.6
24.3
21.0
0.750
06/30/17
71.3
66.4
61.5
59.1
56.7
54.4
52.0
49.7
47.4
45.1
42.9
40.6
38.4
36.2
34.0
29.7
25.5
WI
07/31/17
92.3
85.9
79.7
76.6
73.6
70.5
67.5
64.6
61.6
58.7
55.8
52.9
50.1
47.2
44.4
38.9
33.5
WI
08/31/17
106.8
99.3
92.0
88.3
84.7
81.2
77.6
74.1
70.6
67.2
63.8
60.4
57.1
53.7
50.4
43.9
37.6
WI
09/30/17
123.4
114.6
105.9
101.7
97.5
93.3
89.1
85.0
80.9
76.9
72.9
68.9
65.0
61.1
57.3
49.7
42.2
WI
10/31/17
140.2
130.2
120.4
115.5
110.7
106.0
101.3
96.6
92.0
87.4
82.8
78.3
73.9
69.4
65.1
56.4
47.9
WI
11/30/17
156.8
145.5
134.4
128.9
123.5
118.1
112.8
107.5
102.3
97.1
92.0
86.9
81.9
76.9
72.0
62.3
52.8
WI
12/31/17
173.1
160.3
147.8
141.7
135.6
129.5
123.5
117.6
111.7
105.9
100.2
94.5
88.8
83.2
77.7
66.7
56.0
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
02/17
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
TUZ2 First Delivery Date 12/03/2012 Last Trade Date 12/31/2012 Last Delivery Date 01/04/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
110-080
110-073
(0.6)
(1.6)
0.8
0.0
23.7
29.2
23.1
2.148
0.057
15.4
(0.0)
31.2
2.375 09/30/14
(0.6)
22.7
Yield
Conv
Factor
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Model
Basis
Repo
Parallel
Hedge
2-Factor
Hedge
Maturity
Price
0.250
09/15/14
99-306
0.268
0.9058
2.375
09/30/14
104-193
0.244
0.9406
WI
09/30/14
0.500
10/15/14
100-157
0.275
0.9058
2.375
10/31/14
104-221
0.285
WI
10/31/14
0.375
11/15/14
100-067
2.125
11/30/14
WI
11/30/14
0.250
Delivery
Prob
Fwd
ASW
Gross
Basis
Net
Basis
Implied
Repo
Implied
Beta
99-30+
0.278
110-111
23.4
18.0
3.1
2.8
3.4
0.23
0.03
1.200
8.955
8.759
103-217
0.248
110-073
23.7
21.6
29.0
(0.6)
0.0
0.23
0.27
1.227
9.397
9.397
99-300
0.285
110-10+
17.9
2.4
2.8
0.23
0.06
1.240
100-121
0.286
110-261
24.4
18.0
20.2
16.5
17.0
0.23
(0.94)
1.278
9.332
9.721
0.9379
103-24+
0.298
110-203
24.6
16.8
41.2
11.6
12.2
0.23
(0.56)
1.309
9.754
10.407
99-306
0.295
110-26+
17.1
16.5
17.2
0.23
(0.95)
1.323
0.281
0.8996
100-047
0.293
111-10+
25.5
17.5
33.1
31.1
31.6
0.23
(1.98)
1.369
9.664
10.784
104-086
0.288
0.9308
103-145
0.302
111-046
25.7
16.9
52.9
26.8
27.4
0.23
(1.60)
1.390
10.086
11.427
99-31+
0.305
111-103
16.6
31.0
31.4
0.23
(1.98)
1.403
12/15/14
99-293
0.284
0.8931
99-291
0.296
111-277
26.5
18.0
46.6
46.3
46.9
0.23
(3.07)
1.438
9.996
11.713
2.625
12/31/14
105-211
0.276
0.9373
104-203
0.286
111-203
26.6
19.7
74.3
41.6
42.2
0.23
(2.57)
1.462
10.526
12.540
WI
12/31/14
100-002
0.314
111-262
16.9
45.1
45.4
0.23
(2.99)
1.480
Source: Nomura
Fwd
Price
100.0%
Net Basis for TUZ2 on Model Delivery Date (01/04/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
0.250
09/15/14
1.1
1.6
2.0
2.3
2.5
2.7
3.0
3.2
3.4
3.6
3.9
4.1
4.3
4.5
4.7
5.2
5.6
2.375
09/30/14
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
WI
09/30/14
4.6
4.2
3.9
3.7
3.6
3.4
3.3
3.1
2.9
2.8
2.6
2.5
2.3
2.2
2.0
1.7
1.4
0.500
10/15/14
22.8
21.6
20.4
19.9
19.3
18.7
18.2
17.6
17.0
16.5
15.9
15.4
14.8
14.3
13.7
12.6
11.6
2.375
10/31/14
20.9
19.1
17.4
16.5
15.7
14.8
13.9
13.1
12.2
11.4
10.6
9.7
8.9
8.1
7.3
5.6
4.0
WI
10/31/14
27.4
25.3
23.2
22.2
21.2
20.1
19.1
18.1
17.1
16.1
15.1
14.1
13.1
12.2
11.2
9.3
7.4
0.375
11/15/14
46.8
43.7
40.7
39.1
37.6
36.1
34.6
33.1
31.6
30.2
28.7
27.2
25.8
24.3
22.9
20.1
17.2
2.125
11/30/14
45.3
41.6
38.0
36.2
34.4
32.7
30.9
29.1
27.4
25.7
24.0
22.2
20.5
18.9
17.2
13.8
10.5
WI
11/30/14
50.8
46.9
43.0
41.1
39.1
37.2
35.3
33.4
31.6
29.7
27.9
26.0
24.2
22.3
20.5
16.9
13.4
0.250
12/15/14
70.6
65.7
60.9
58.5
56.2
53.8
51.5
49.2
46.9
44.6
42.3
40.0
37.8
35.5
33.3
28.9
24.5
2.625
12/31/14
69.0
63.5
58.1
55.4
52.7
50.0
47.4
44.8
42.2
39.6
37.0
34.4
31.9
29.3
26.8
21.8
16.9
WI
12/31/14
74.2
68.3
62.6
59.7
56.9
54.0
51.2
48.4
45.7
42.9
40.2
37.5
34.7
32.1
29.4
24.1
18.8
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
09/14
09/14
09/14
(9)
09/14
09/14
(8)
09/14
09/14
(7)
09/14
(6)
09/14
(5)
(4)
(3)
(2)
(1)
09/14
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
WNH3 First Delivery Date 03/01/2013 Last Trade Date 03/19/2013 Last Delivery Date 03/28/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
169-010
167-176
(47.2)
(50.0)
1.9
0.5
290.9
289.1
(18.6)
17.364
3.416
36.6
(0.9)
86.3
4.500 05/15/38
(37.7)
(10.6)
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Model
Basis
Repo
97.5%
Maturity
Price
Yield
Conv
Factor
Gross
Basis
Net
Basis
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
4.500
05/15/38
138-001
2.493
0.8070
135-073
2.585
167-182
290.0
3.500
02/15/39
118-107
2.545
0.6742
116-066
2.632
172-117
317.8
(15.8)
51.1
(37.7)
0.3
(19.6)
140.1
72.0
103.8
0.22
1.49
0.995
8.031
8.045
0.22
(2.63)
1.003
7.353
4.250
05/15/39
133-137
2.525
0.7710
130-261
2.615
169-21+
303.9
(17.7)
99.5
15.8
7.431
52.1
0.22
(0.34)
0.995
8.043
4.500
08/15/39
138-186
2.523
0.8029
135-26+
2.612
169-05+
301.7
(17.1)
91.8
8.058
3.6
41.4
0.22
0.09
0.993
8.313
8.310
4.375
11/15/39
136-035
2.534
0.7857
133-133
4.625
02/15/40
141-106
2.532
0.8179
138-160
2.623
169-257
306.2
(18.0)
2.621
169-106
304.0
(17.4)
105.7
19.5
56.5
0.22
(0.45)
0.994
8.256
8.260
98.7
8.0
46.5
0.22
(0.05)
0.991
8.533
4.375
05/15/40
136-083
2.546
0.7841
133-182
2.635
170-111
310.6
8.519
(18.7)
119.2
33.0
69.9
0.22
(0.92)
0.993
8.360
3.875
08/15/40
125-306
2.570
0.7165
123-191
2.657
172-160
8.355
323.3
(20.6)
155.2
79.5
113.2
0.22
(2.74)
0.996
7.950
4.250
11/15/40
133-260
2.562
0.7657
131-062
2.650
7.975
171-107
317.6
(19.7)
140.3
56.6
92.7
0.22
(1.76)
0.992
8.346
4.750
02/15/41
144-127
2.551
0.8320
141-155
8.341
2.639
170-017
310.6
(18.3)
120.5
27.3
66.5
0.22
(0.67)
0.988
8.870
4.375
05/15/41
136-182
2.570
0.7809
8.828
133-280
2.657
171-140
319.6
(20.0)
146.4
60.2
96.9
0.22
(1.84)
0.991
8.564
3.750
08/15/41
123-13+
2.597
0.6955
8.543
121-043
2.682
174-05+
335.6
(22.2)
187.6
114.4
147.1
0.22
(4.12)
0.995
8.011
3.125
11/15/41
110-040
2.627
8.027
0.6097
108-070
2.710
177-160
355.6
(24.9)
226.2
165.2
193.9
0.22
(6.80)
1.000
7.441
3.125
02/15/42
110-020
7.495
2.633
0.6083
108-053
2.715
177-262
358.1
(25.2)
231.7
171.1
199.7
0.22
(7.06)
1.000
7.476
3.000
05/15/42
7.530
107-120
2.641
0.5900
105-17+
2.723
178-285
365.0
(25.9)
244.7
186.2
214.0
0.22
(7.89)
1.000
7.390
7.441
WI
WI
08/15/42
97-116
2.745
182-143
(27.9)
216.8
247.7
0.22
(10.01)
1.003
11/15/42
98-056
2.751
183-170
(28.4)
220.5
252.3
0.22
(10.19)
1.003
WI
02/15/43
98-190
2.756
184-097
(28.7)
224.9
257.3
0.22
(10.42)
1.003
Source: Nomura
2.5%
Net Basis for WNH3 on Model Delivery Date (03/28/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
4.500
05/15/38
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
3.500
02/15/39
180.8
163.2
146.7
138.9
131.3
124.0
116.9
110.1
103.5
97.1
91.0
85.0
79.2
73.7
68.3
58.1
48.6
4.250
05/15/39
93.1
83.5
74.7
70.5
66.4
62.6
58.8
55.2
51.8
48.5
45.3
42.2
39.2
36.4
33.6
28.5
23.7
4.500
08/15/39
75.9
67.8
60.2
56.7
53.3
50.1
47.0
44.0
41.1
38.4
35.7
33.2
30.8
28.5
26.3
22.2
18.4
4.375
11/15/39
104.3
93.1
82.7
77.8
73.1
68.6
64.3
60.2
56.2
52.4
48.7
45.2
41.9
38.6
35.6
29.8
24.5
4.625
02/15/40
88.3
78.3
69.2
64.9
60.9
56.9
53.2
49.6
46.2
42.9
39.8
36.8
34.0
31.3
28.7
23.9
19.5
4.375
05/15/40
130.4
116.2
103.1
96.9
91.0
85.3
79.9
74.6
69.6
64.8
60.2
55.8
51.6
47.6
43.7
36.4
29.8
3.875
08/15/40
205.9
184.3
164.4
155.0
145.9
137.2
128.8
120.7
113.0
105.5
98.4
91.5
84.9
78.5
72.4
60.9
50.3
4.250
11/15/40
172.1
153.5
136.3
128.2
120.4
113.0
105.8
98.9
92.4
86.0
80.0
74.2
68.6
63.3
58.2
48.7
39.9
4.750
02/15/41
128.0
113.3
99.9
93.6
87.6
81.9
76.4
71.2
66.2
61.4
56.9
52.6
48.4
44.5
40.8
33.8
27.6
4.375
05/15/41
182.7
162.5
143.9
135.1
126.8
118.7
111.0
103.7
96.6
89.9
83.4
77.2
71.3
65.7
60.2
50.1
40.9
3.750
08/15/41
269.6
241.0
214.6
202.2
190.2
178.7
167.7
157.1
146.9
137.1
127.7
118.7
110.0
101.7
93.8
78.8
65.0
3.125
11/15/41
351.4
314.8
281.0
265.0
249.6
234.8
220.5
206.8
193.7
181.0
168.8
157.1
145.8
135.0
124.6
105.0
86.9
3.125
02/15/42
363.2
325.3
290.1
273.5
257.5
242.1
227.4
213.2
199.5
186.4
173.8
161.6
150.0
138.8
128.0
107.8
89.1
3.000
05/15/42
387.7
347.4
310.0
292.4
275.4
259.1
243.4
228.3
213.8
199.8
186.4
173.5
161.1
149.2
137.8
116.3
96.4
WI
08/15/42
437.5
392.2
350.2
330.4
311.3
292.9
275.2
258.2
241.9
226.2
211.0
196.5
182.5
169.1
156.2
131.9
109.4
WI
11/15/42
445.6
399.2
356.2
335.9
316.4
297.6
279.6
262.2
245.5
229.5
214.0
199.2
185.0
171.3
158.1
133.4
110.5
WI
02/15/43
454.9
407.3
363.2
342.4
322.4
303.2
284.7
267.0
249.9
233.5
217.7
202.5
188.0
174.0
160.6
135.3
112.0
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
05/38
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
10
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
02/41
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
USH3 First Delivery Date 03/01/2013 Last Trade Date 03/19/2013 Last Delivery Date 03/28/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
150-100
149-210
(21.0)
(30.5)
0.7
0.1
179.8
178.4
8.3
12.015
1.741
32.7
(0.0)
86.3
5.500 08/15/28
(19.9)
2.6
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
99.7%
Maturity
Price
Yield
Conv
Factor
5.500
08/15/28
145-203
2.127
0.9504
142-07+
2.240
149-210
179.8
5.250
11/15/28
142-131
2.150
0.9250
139-046
2.263
150-136
184.2
5.250
02/15/29
142-252
2.160
0.9242
139-17+
2.271
150-316
6.125
08/15/29
156-102
2.158
1.0127
152-166
2.269
6.250
05/15/30
159-233
2.181
1.0264
155-265
5.375
02/15/31
147-201
2.226
0.9322
144-097
4.500
02/15/36
136-287
2.432
0.8151
4.750
02/15/37
142-057
2.452
0.8427
5.000
05/15/37
147-03+
2.452
4.375
02/15/38
135-113
2.495
Source: Nomura
Gross
Basis
Net
Basis
(1.2)
89.0
(19.9)
0.0
0.22
0.86
0.982
9.490
9.490
(2.6)
107.9
3.5
22.8
0.22
0.10
0.986
9.460
9.496
186.9
(2.4)
123.9
20.0
39.4
0.22
(0.44)
0.988
9.593
9.651
150-19+
185.9
(0.6)
131.2
9.6
30.9
0.22
(0.07)
0.980
10.454
10.437
2.291
151-262
192.7
(0.6)
174.4
49.6
71.1
0.22
(1.24)
0.982
10.984
10.989
2.331
154-256
207.5
(2.5)
240.2
134.0
153.5
0.22
(4.04)
0.993
10.741
10.867
134-045
2.526
164-182
268.1
(12.7)
460.2
371.9
389.0
0.22
(12.50)
0.999
12.137
12.341
139-08+
2.546
165-083
274.2
(13.3)
496.5
403.1
420.8
0.22
(13.06)
0.995
12.831
13.001
0.8737
144-005
2.547
164-267
272.9
(13.2)
505.1
406.1
424.4
0.22
(12.70)
0.992
13.239
13.378
0.7918
132-215
2.586
167-181
289.5
(16.2)
522.9
437.1
453.7
0.22
(14.90)
0.996
12.728
12.912
0.3%
Net Basis for USH3 on Model Delivery Date (03/28/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
5.500
08/15/28
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
5.250
11/15/28
38.9
35.4
32.0
30.4
28.8
27.3
25.8
24.3
22.8
21.4
20.1
18.7
17.4
16.1
14.9
12.5
10.2
5.250
02/15/29
66.0
60.2
54.6
51.9
49.3
46.7
44.2
41.8
39.4
37.1
34.8
32.6
30.5
28.4
26.4
22.5
18.7
6.125
08/15/29
52.0
47.3
42.8
40.6
38.5
36.5
34.6
32.7
30.9
29.1
27.4
25.7
24.1
22.6
21.1
18.2
15.6
6.250
05/15/30
118.6
107.9
97.9
93.1
88.4
83.9
79.5
75.2
71.1
67.1
63.2
59.4
55.8
52.2
48.8
42.2
36.1
5.375
02/15/31
253.0
230.9
209.9
199.9
190.1
180.6
171.3
162.3
153.5
145.0
136.7
128.7
120.9
113.2
105.8
91.7
78.3
4.500
02/15/36
662.7
601.1
543.1
515.4
488.5
462.5
437.2
412.7
389.0
366.0
343.7
322.2
301.2
281.0
261.4
223.9
188.9
4.750
02/15/37
720.8
653.0
589.4
559.0
529.6
501.1
473.5
446.7
420.8
395.7
371.4
347.9
325.2
303.1
281.8
241.3
203.3
5.000
05/15/37
729.1
660.2
595.5
564.7
534.8
505.9
477.8
450.7
424.4
399.0
374.4
350.6
327.6
305.3
283.7
242.7
204.3
4.375
02/15/38
782.4
708.0
638.1
604.9
572.6
541.4
511.2
482.0
453.7
426.3
399.8
374.2
349.4
325.4
302.2
258.1
216.9
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
08/28
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
TYH3 First Delivery Date 03/01/2013 Last Trade Date 03/19/2013 Last Delivery Date 03/28/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
132-09+
132-216
12.2
12.4
(0.1)
0.0
88.8
71.7
21.8
6.690
0.450
28.9
(0.0)
78.3
3.375 11/15/19
10.5
18.3
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Gross
Basis
Net
Basis
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
-
Maturity
Price
Yield
Conv
Factor
WI
09/30/19
99-083
1.178
134-217
18.4
56.7
47.0
0.22
(2.45)
0.836
WI
10/31/19
99-105
1.196
134-153
17.8
52.5
42.3
0.22
(2.25)
0.843
3.375
11/15/19
116-070
1.058
0.8604
99.8%
114-050
1.152
132-216
88.7
23.1
76.5
10.5
0.0
0.22
(0.21)
0.823
8.589
8.573
WI
11/30/19
0.1%
99-116
1.215
134-103
17.4
48.1
38.4
0.22
(2.05)
0.852
WI
12/31/19
99-125
1.229
135-202
17.5
76.9
68.6
0.22
(3.38)
0.859
WI
01/31/20
99-155
1.247
135-14+
17.1
73.0
64.2
0.22
(3.20)
0.868
3.625
02/15/20
118-065
1.103
0.8697
115-317
1.198
133-120
91.4
22.9
100.8
30.0
19.4
0.22
(0.97)
0.845
8.944
9.162
WI
02/29/20
3.500
05/15/20
117-141
1.153
0.8588
99-172
1.266
135-085
16.6
68.7
60.0
0.22
(3.00)
0.873
115-09+
1.251
134-081
95.0
21.5
122.4
53.8
43.3
0.22
(1.93)
0.862
9.174
9.584
2.625
08/15/20
110-237
1.218
0.8039
2.625
11/15/20
110-217
1.264
0.7985
109-057
1.316
135-261
100.8
19.1
140.6
90.5
80.7
0.22
(3.61)
0.890
9.114
9.837
109-03+
1.364
136-205
104.2
18.1
161.5
111.1
101.3
0.22
(4.48)
0.901
9.363
10.227
3.625
02/15/21
118-263
1.291
3.125
05/15/21
114-201
1.355
0.8544
116-195
1.393
136-155
104.3
18.9
185.3
114.6
104.1
0.22
(4.30)
0.908
10.023
11.034
0.8194
112-233
1.459
137-183
109.1
15.6
199.2
138.4
128.4
0.22
(5.43)
0.928
10.058
2.125
08/15/21
105-316
11.319
1.417
0.7507
104-240
1.520
139-171
116.6
13.0
213.7
173.9
164.7
0.22
(7.46)
0.953
9.846
2.000
11/15/21
11.370
104-197
1.466
0.7367
103-143
1.571
140-13+
120.7
11.2
229.0
191.6
182.6
0.22
(8.34)
0.970
10.003
11.759
2.000
1.750
02/15/22
104-112
1.508
0.7307
103-061
1.613
141-071
124.3
10.3
245.9
208.7
199.7
0.22
(9.13)
0.986
10.219
12.218
05/15/22
101-24+
1.555
0.7077
100-242
1.660
142-117
129.3
8.5
260.5
228.2
219.5
0.22
(10.26)
1.000
10.298
12.482
WI
08/15/22
98-23+
1.708
143-170
6.8
246.3
237.8
0.22
(11.41)
1.012
WI
11/15/22
99-01+
1.747
144-082
5.8
258.2
249.8
0.22
(11.87)
1.027
WI
02/15/23
99-101
1.787
144-30+
4.8
272.2
262.3
0.22
(12.58)
1.037
Source: Nomura
0.1%
Net Basis for TYH3 on Model Delivery Date (03/28/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
WI
09/30/19
59.9
57.4
54.9
53.7
52.5
51.3
50.1
48.9
47.7
46.5
45.4
44.2
43.0
41.9
40.8
38.5
36.3
WI
10/31/19
59.2
56.0
52.8
51.2
49.7
48.1
46.6
45.1
43.6
42.1
40.6
39.1
37.7
36.2
34.8
31.9
29.2
3.375
11/15/19
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
WI
11/30/19
58.7
54.7
50.7
48.7
46.8
44.9
42.9
41.1
39.2
37.3
35.5
33.6
31.8
30.0
28.3
24.8
21.3
WI
12/31/19
92.3
87.2
82.3
79.8
77.4
75.0
72.7
70.3
68.0
65.7
63.4
61.1
58.9
56.6
54.4
50.1
45.8
WI
01/31/20
92.2
86.3
80.6
77.8
75.0
72.2
69.4
66.7
64.0
61.3
58.7
56.1
53.5
50.9
48.4
43.4
38.5
3.625
02/15/20
31.1
28.7
26.3
25.1
23.9
22.8
21.6
20.5
19.4
18.3
17.2
16.1
15.0
14.0
12.9
10.9
8.9
WI
02/29/20
91.1
84.6
78.2
75.0
71.9
68.8
65.8
62.7
59.7
56.8
53.9
50.9
48.1
45.2
42.4
36.9
31.4
3.500
05/15/20
67.6
62.5
57.5
55.1
52.7
50.3
48.0
45.6
43.3
41.1
38.8
36.6
34.4
32.2
30.1
25.9
21.7
2.625
08/15/20
124.2
115.1
106.2
101.8
97.5
93.2
89.0
84.8
80.7
76.6
72.6
68.6
64.6
60.7
56.9
49.3
41.9
2.625
11/15/20
155.4
144.1
133.0
127.6
122.2
116.9
111.7
106.5
101.4
96.3
91.3
86.3
81.4
76.6
71.8
62.4
53.3
3.625
02/15/21
164.2
151.6
139.3
133.3
127.3
121.4
115.6
109.8
104.1
98.5
93.0
87.5
82.1
76.7
71.4
61.1
51.0
3.125
05/15/21
203.7
187.9
172.5
164.9
157.4
150.0
142.7
135.5
128.4
121.4
114.4
107.6
100.8
94.1
87.5
74.6
61.9
2.125
08/15/21
258.2
238.6
219.4
210.0
200.7
191.5
182.5
173.6
164.7
156.0
147.4
138.9
130.5
122.3
114.1
98.1
82.4
2.000
11/15/21
288.9
266.5
244.7
234.0
223.4
213.0
202.7
192.6
182.6
172.7
162.9
153.3
143.8
134.4
125.2
107.0
89.3
2.000
02/15/22
318.9
293.8
269.3
257.3
245.5
233.8
222.3
211.0
199.7
188.7
177.8
167.0
156.4
145.9
135.6
115.3
95.6
1.750
05/15/22
350.8
323.1
296.1
282.9
269.9
257.0
244.4
231.9
219.5
207.4
195.4
183.5
171.8
160.3
149.0
126.7
105.1
WI
08/15/22
381.0
350.7
321.3
306.9
292.7
278.7
264.9
251.3
237.9
224.7
211.6
198.8
186.1
173.6
161.2
137.1
113.6
WI
11/15/22
404.8
372.0
340.1
324.6
309.2
294.0
279.1
264.4
249.9
235.6
221.5
207.6
193.9
180.4
167.1
141.1
115.8
WI
02/15/23
429.7
394.6
360.5
343.8
327.3
311.1
295.2
279.4
263.9
248.6
233.6
218.7
204.1
189.7
175.6
147.8
120.9
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
11/19
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
FVH3 First Delivery Date 03/01/2013 Last Trade Date 03/28/2013 Last Delivery Date 04/03/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
123-176
123-290
11.2
13.5
(2.5)
0.0
59.2
57.9
27.0
4.776
0.253
25.3
(0.0)
50.9
0.625 05/31/17
9.0
11.7
Price
Yield
Conv
Factor
Delivery
Prob
Fwd
Price
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Fwd
ASW
Gross
Basis
Net
Basis
Model
Basis
Repo
Implied
Repo
Implied
Beta
Parallel
Hedge
2-Factor
Hedge
100.0%
Maturity
0.625
05/31/17
99-302
0.637
0.8044
99-213
0.706
123-290
59.2
18.6
17.8
9.0
0.0
0.22
(0.20)
0.983
8.032
8.032
0.750
06/30/17
100-152
0.651
0.8056
100-036
0.722
124-087
60.2
19.0
30.1
18.6
9.6
0.22
(0.63)
1.000
8.188
8.333
WI
07/31/17
99-16+
0.738
124-25+
18.9
31.5
22.7
0.22
(1.22)
1.020
WI
08/31/17
99-137
0.755
125-071
19.0
42.3
33.4
0.22
(1.72)
1.039
WI
09/30/17
99-15+
0.773
125-206
19.2
52.9
44.0
0.22
(2.20)
1.058
WI
10/31/17
99-161
0.788
126-017
19.3
63.4
54.2
0.22
(2.69)
1.074
WI
11/30/17
99-196
0.804
126-151
19.6
74.1
64.4
0.22
(3.18)
1.092
WI
12/31/17
99-19+
0.823
126-280
19.4
83.9
74.2
0.22
(3.63)
1.114
WI
01/31/18
99-22+
0.837
127-090
19.8
93.0
84.1
0.22
(4.03)
1.130
WI
02/28/18
99-222
0.853
127-222
20.0
103.1
94.1
0.22
(4.49)
1.141
WI
03/31/18
99-245
0.873
128-025
19.7
112.4
103.4
0.22
(4.92)
1.158
Source: Nomura
Net Basis for FVH3 on Model Delivery Date (04/03/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
0.0
Cpn
Maturity
0.625
05/31/17
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.750
06/30/17
14.8
13.7
12.7
12.1
11.6
11.1
10.6
10.1
9.6
9.1
8.6
8.1
7.6
7.2
6.7
5.7
4.8
WI
07/31/17
34.2
31.8
29.4
28.2
27.1
25.9
24.8
23.6
22.5
21.4
20.3
19.2
18.1
17.1
16.0
13.9
11.8
WI
08/31/17
50.7
47.1
43.6
41.8
40.1
38.4
36.7
35.0
33.3
31.7
30.1
28.4
26.8
25.2
23.7
20.5
17.5
WI
09/30/17
67.5
62.6
57.9
55.5
53.2
50.8
48.5
46.3
44.0
41.8
39.6
37.4
35.2
33.0
30.9
26.7
22.6
WI
10/31/17
83.7
77.7
71.7
68.8
65.9
63.0
60.2
57.4
54.6
51.8
49.1
46.3
43.6
41.0
38.3
33.1
28.0
WI
11/30/17
100.6
93.3
86.1
82.6
79.0
75.6
72.1
68.7
65.3
62.0
58.6
55.4
52.1
48.9
45.7
39.4
33.2
WI
12/31/17
117.1
108.4
99.8
95.6
91.4
87.3
83.2
79.1
75.1
71.1
67.2
63.3
59.4
55.6
51.8
44.3
37.0
WI
01/31/18
132.0
122.1
112.3
107.5
102.7
98.0
93.4
88.7
84.2
79.6
75.2
70.7
66.3
62.0
57.7
49.2
40.8
WI
02/28/18
147.2
136.2
125.4
120.1
114.8
109.6
104.5
99.4
94.3
89.3
84.3
79.4
74.6
69.8
65.0
55.6
46.5
WI
03/31/18
162.6
150.4
138.3
132.4
126.5
120.7
115.0
109.3
103.6
98.1
92.5
87.1
81.7
76.3
71.0
60.6
50.3
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
05/17
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
TUH3 First Delivery Date 03/01/2013 Last Trade Date 03/28/2013 Last Delivery Date 04/03/2013
Market
Model
Rho
Vega
OTR
Price
Price
Current
(Rich)/Cheap
Avg
Z-Score
Option (tk)
Delivery
//
Factor 1
PV01
Factor 2
Duration
Convexity
(tk/%)
(tk/10bp)
BP Vol
BNOC
Inv Sprd
109-24+
110-042
11.7
11.7
(0.0)
0.0
26.4
39.0
30.5
2.398
0.069
24.4
(0.0)
34.0
2.625 12/31/14
11.1
0.3
Yield
Conv
Factor
Fwd
Yield
Conv
Fwd Px
Conv Fwd
DV01
Model
Basis
Repo
Parallel
Hedge
2-Factor
Hedge
Maturity
Price
Delivery
Prob
0.250
12/15/14
99-293
0.284
0.9058
2.625
12/31/14
105-211
0.276
0.9447
WI
12/31/14
0.250
01/15/15
99-292
0.284
0.9016
2.250
01/31/15
104-271
0.304
0.9358
103-155
WI
01/31/15
100-015
0.250
02/15/15
99-275
0.304
0.8973
99-267
0.335
2.375
02/28/15
105-09+
0.317
0.9353
103-267
WI
02/28/15
100-021
0.375
03/15/15
100-051
0.314
0.8955
100-015
0.348
2.500
03/31/15
105-266
0.304
0.9350
104-09+
WI
03/31/15
100-033
Source: Nomura
Fwd
Price
Fwd
ASW
Gross
Basis
Net
Basis
Implied
Repo
Implied
Beta
99-286
0.310
110-092
26.2
17.9
15.8
15.1
4.5
0.22
(0.47)
1.438
8.959
8.811
104-013
0.299
110-042
26.4
19.7
62.8
11.1
0.0
0.22
(0.26)
1.462
9.433
9.433
100-000
0.330
110-075
16.6
13.9
3.1
0.22
(0.42)
1.480
99-285
0.309
110-25+
27.2
18.9
30.4
29.8
19.2
0.22
(1.14)
1.519
9.267
9.628
0.336
110-186
27.4
16.3
68.2
24.6
13.6
0.22
(0.86)
1.553
9.707
10.314
0.342
110-233
15.7
27.8
17.2
0.22
(1.05)
1.570
111-085
28.2
16.9
43.8
43.2
32.7
0.22
(1.75)
1.614
9.579
10.574
0.353
111-006
28.4
15.3
84.3
37.6
26.7
0.22
(1.42)
1.628
10.057
11.197
0.351
111-070
15.5
41.6
31.3
0.22
(1.68)
1.647
111-232
29.3
16.3
59.6
56.2
45.7
0.22
(2.34)
1.685
9.909
11.422
0.334
111-17+
29.5
18.5
102.5
53.3
42.4
0.22
(2.08)
1.707
10.410
12.155
0.360
111-225
15.8
55.5
45.1
0.22
(2.31)
1.729
100.0%
Net Basis for TUH3 on Model Delivery Date (04/03/2013) Factor Shift
On-the-Run Shift (bp)
(100)
(80)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
80
100
Cpn
Maturity
0.250
12/15/14
2.4
2.8
3.2
3.5
3.7
3.9
4.1
4.3
4.5
4.7
4.9
5.1
5.3
5.5
5.7
6.1
6.5
2.625
12/31/14
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
WI
12/31/14
5.5
5.1
4.6
4.4
4.2
4.0
3.7
3.5
3.3
3.1
2.9
2.7
2.4
2.2
2.0
1.6
1.2
0.250
01/15/15
26.2
24.7
23.3
22.6
21.9
21.2
20.6
19.9
19.2
18.5
17.8
17.2
16.5
15.9
15.2
13.9
12.6
2.250
01/31/15
23.9
21.8
19.7
18.7
17.6
16.6
15.6
14.6
13.6
12.6
11.6
10.7
9.7
8.7
7.8
5.9
4.0
WI
01/31/15
29.3
26.8
24.4
23.2
22.0
20.8
19.6
18.4
17.2
16.0
14.8
13.7
12.5
11.4
10.3
8.0
5.8
0.250
02/15/15
50.1
46.5
43.0
41.2
39.5
37.8
36.1
34.3
32.7
31.0
29.3
27.6
26.0
24.4
22.7
19.5
16.3
2.375
02/28/15
46.1
42.1
38.2
36.2
34.3
32.4
30.5
28.6
26.7
24.8
22.9
21.1
19.3
17.4
15.6
12.1
8.5
WI
02/28/15
52.4
48.0
43.7
41.6
39.4
37.3
35.2
33.1
31.1
29.0
26.9
24.9
22.9
20.9
18.9
14.9
11.1
0.375
03/15/15
72.2
66.8
61.4
58.7
56.1
53.5
50.9
48.3
45.7
43.2
40.7
38.1
35.6
33.2
30.7
25.8
21.0
2.500
03/31/15
72.1
66.0
60.0
57.0
54.0
51.1
48.1
45.2
42.4
39.5
36.7
33.8
31.0
28.3
25.5
20.0
14.6
WI
03/31/15
76.7
70.2
63.8
60.6
57.4
54.3
51.2
48.1
45.0
41.9
38.9
35.9
32.9
29.9
27.0
21.1
15.4
Note
Shifts are applied to the forward yield of the on-the-run as of the model delivery date; the other issues are then shifted based on the implied betas
Source: Nomura
Level Shift
Slope Change
Bull Flattening
Bear Flattening
(100)
(90)
(80)
(70)
(60)
(50)
(40)
(30)
(20)
(10)
10
20
30
40
50
60
70
80
90
100
(10)
(9)
(8)
(7)
(6)
(5)
(4)
(3)
(2)
(1)
12/14
10
Bull Steepening
Notes
1. CTD switch grid is constructed assuming delivery on the model delivery date and ignores the end-of-month option
2. Slope change - for a 1 bp steepening, the forward yield of longest maturity security is increased by 0.5 bp, while that of the shortest maturity security is decreased by 0.5 bp;
the yield changes of the other securities are then linearly interpolated based to maturity; other slope changes are interpreted analogously
3. Asterisks (*) indicate that there are no CTD switches (i.e., the CTD is the same as the center grid)
Source: Nomura
Bear Steepening
Glossary
Last Trade Date: e last business day of the delivery month for the TU and FV contracts; the seventh business day preceding the
last business day of the delivery month for the TY, US, and WN contracts.
Last Delivery Date: e third business day following the last trade date for the TU and FV contracts; the last business day of the
delivery month for the remaining contracts.
Model Price: e fair price of a contract computed using Nomuras Multi-Factor Futures Model. e model ) generates the yield
distribution of each deliverable over time using two independent factors, ) allows delivery at any time during the delivery month,
) explicitly values the end-of-month option, ) includes as-yet-unauctioned securities, and ) is calibrated to the options market.
(Rich)/Cheap: e dierence between the model and market prices in nds. A positive (negative) number indicates the futures is
trading cheap (rich) to the model.
Delivery Option Value (DOV): Value of the embedded delivery option, computed as the dierence between the converted forward
price of the CTD and the model price in nds.
Factors & : Factor loadings obtained from a principal component analysis on historical yields. Factor resembles a level shi
with the front and long end of the yield curve moving less than the intermediate sector. Factor can be interpreted as the steepening
or attening of the yield curve.
PV (Parallel): e change in futures price if the yields of the deliverables change by bp. Changes in the delivery option value
are accounted for by this measure.
PV (Factor or ): e change in futures price if a factor or factor shi is applied to the deliverables yields. Factor is scaled
such that the yield of the on-the-run changes by bp. Factor is then scaled to preserve the relative volatilities of the two factors.
Duration: e percentage change in futures price relative to a parallel shi in the deliverables yields.
Convexity: e second derivative of futures price with respect to the deliverables yields, divided by price.
Rho: e change in futures price (in nds) when the term repo rates are increased by bp.
BP Vol: Annualized implied volatility of an at-the-money option on the the reference bond.
Cheapest to Deliver (CTD): e current CTD is the bond with the lowest converted forward price.
Conversion Factor: Approximately equal to the price (divided by ) of the deliverable at a yield as of the rst day of the delivery
month.
Delivery Probability: Expected probability that the deliverable will be delivered into the contract.
Model Delivery Date: e date on which the delivery probability is the highest. is is usually the last delivery date; however, if
carry is suciently negative to oset the delivery option value, the model may recommend early delivery.
Converted Forward Price & DV: Forward price or forward DV divided by the conversion factor. Forward DV is computed
relative to changes in the spot yield.
Forward Asset Swap Spread: e dierence between the forward swap rate and the bonds forward yield in basis points. e swap
starts on the model delivery date and matures on the deliverables maturity date.
Gross Basis: (Bond spot clean price futures market price conversion factor, expressed in nds.
Model Net Basis: e fair value of the net basis for a deliverable as estimated by the model.
Implied Repo Rate: Annualized theoretical return by buying the deliverable, selling the futures, and delivering the bond into the
futures contract on the model delivery date. If the bond is nanced, the pro t of the trade is the dierence between the implied
and market term repo rates.
Implied Beta: Sensitivity of the deliverables yield relative to the on-the-run, as implied by the PCA factors.
Parallel (Factor) Shi Hedge Ratio: e number of futures contracts needed to hedge million par amount of the deliverables,
assuming a parallel (-factor) shi of the deliverables yields.
Compiled on May , .
Helin Gai
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