Interest Rate Shock Analysis
Simulation Results (12 month horizon)
Yield Chg(Bps) Price Return(%) Total Return(%) End YTW(%) End Eff Dura(Yrs) End Convexity
-50 2.57 5.15 2.05 3.94 0.16
0 0.62 3.21 2.46 3.85 0.16
50 -1.26 1.38 2.86 3.77 0.15
100 -3.07 -0.37 3.26 3.69 0.15
150 -4.81 -2.06 3.65 3.61 0.15
200 -6.48 -3.68 4.03 3.52 0.15
250 -8.08 -5.23 4.4 3.43 0.15
300 -9.61 -6.71 4.77 3.34 0.15
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