Download - Ch 8 LPI Inflation Swap
-
7/25/2019 Ch 8 LPI Inflation Swap
1/148
Worksheet Title
8.38 Libor sheet for interpolation
8.39 RPI curve8.40 Sheet for simulating a fixe!floating LPI inflation s"ap
-
7/25/2019 Ch 8 LPI Inflation Swap
2/148
8.38 Libor#ile save as 3$$%8$&%'.xls
E Page $
Printe 0&($9($0'& $')%4)0*
8.38: Libor sheet for interpolation
Downloaded from Ch 8 Inflation swap
Spot + 4!#eb!08
time ,!c rates graient
0.000 %.%4%- 0.000-
0.0'9 %.%4%- !0.$03-
0.0*9 %.%33- 0.03*-
0.$49 %.%39- !0.3&'-
0.499 %.449- !0.4&8-
0.*%' %.33'- !0.480-
'.003 %.$'0- !0.4**-
'.$4* %.094- !0.409-'.499 4.99'- !0.30*-
'.*%' 4.9'3- !0.'93-
$.003 4.8&%- !0.0*'-
$.$4* 4.848- !0.004-
$.499 4.84*- 0.0$9-
$.*%' 4.8%4- 0.038-
3.003 4.8&4- 0.03$-
3.$4* 4.8*'- 0.0$8-
3.499 4.8*8- 0.0$&-
3.*%' 4.88%- 0.0$%-
4.008 4.89'- 0.0$&-
4.$49 4.898- 0.0$4-4.%0* 4.904- 0.0$$-
4.*%& 4.909- 0.0'8-
%.00% 4.9'4- 0.0'4-
%.$%% 4.9'*- 0.0''-
%.%04 4.9$0- 0.0'0-
%.*%3 4.9$$- 0.009-
&.00% 4.9$%- 0.0'0-
&.$%$ 4.9$*- 0.0''-
&.%0' 4.930- 0.0'$-
&.*%3 4.933- 0.0'3-
*.00% 4.93&- 0.0'%-
*.$49 4.940- 0.0'4-
*.%0' 4.943- 0.0''-
*.*%3 4.94&- 0.00&-
8.00% 4.94*- !0.00'-
8.$%$ 4.94*- !0.003-
8.%04 4.94*- !0.00$-
8.*%& 4.94&- 0.003-
9.0'4 4.94*- 0.0''-
9.$%$ 4.9%0- 0.0'4-
9.%04 4.9%3- 0.0'3-
9.*&$ 4.9%*- 0.009-
'0.0'' 4.9%9- 0.00'-'0.$%$ 4.9%9- !0.00&-
-
7/25/2019 Ch 8 LPI Inflation Swap
3/148
8.38 Libor#ile save as 3$$%8$&%'.xls
E Page 3
Printe 0&($9($0'& $')%4)0*
'0.%'0 4.9%8- !0.0''-
'0.*%9 4.9%%- !0.0'%-
''.008 4.9%'- !0.0'*-
''.$%8 4.94*- !0.0'9-
''.%0* 4.94$- !0.0$0-
''.*%& 4.93*- !0.0'9-
'$.008 4.93$- !0.0'8-
'$.$%% 4.9$8- !0.0'*-
'$.%0* 4.9$3- !0.0'*-
'$.*%9 4.9'9- !0.0'*-
'3.0'' 4.9'%- !0.0'&-
'3.$%% 4.9''- !0.0'*-
'3.%0* 4.90*- !0.0'*-
'3.*%9 4.90$- !0.0'*-
'4.0'' 4.898- !0.0'8-
'4.$%% 4.894- !0.0'9-
'4.%0* 4.889- !0.0$0-
'4.*%9 4.884- !0.0$'-'%.0'& 4.8*9- !0.0$$-
'%.$%% 4.8*4- !0.0$3-
'%.%0* 4.8&8- !0.0$4-
'%.*&4 4.8&$- !0.0$4-
'&.0'4 4.8%&- !0.0$%-
'&.$&3 4.849- !0.0$%-
'&.%'$ 4.843- !0.0$&-
'&.*&$ 4.83*- !0.0$&-
'*.0'4 4.830- !0.0$&-
'*.$&0 4.8$4- !0.0$*-
'*.%'0 4.8'*- !0.0$*-
'*.*&$ 4.8'0- !0.0$*-'8.0'4 4.803- !0.0$*-
'8.$%8 4.*9*- !0.0$*-
'8.%'0 4.*90- !0.0$&-
'8.*&$ 4.*84- !0.0$&-
'9.0'4 4.***- !0.0$&-
'9.$%8 4.**'- !0.0$&-
'9.%'0 4.*&4- !0.0$%-
'9.*&$ 4.*%8- !0.0$%-
$0.0'4 4.*%'- !0.0$%-
$0.$&0 4.*4%- !0.0$4-
$0.%'$ 4.*39- !0.0$4-
$0.**0 4.*33- !0.0$4-
$'.0'9 4.*$*- !0.0$3-
$'.$&0 4.*$'- !0.0$3-
$'.%'8 4.*'%- !0.0$3-
$'.*&* 4.*'0- !0.0$3-
$$.0'& 4.*04- !0.0$3-
$$.$&& 4.&98- !0.0$3-
$$.%'% 4.&9$- !0.0$3-
$$.*&4 4.&8&- !0.0$4-
$3.0'& 4.&80- !0.0$4-
$3.$&3 4.&*%- !0.0$4-
$3.%'$ 4.&&9- !0.0$4-$3.*&4 4.&&3- !0.0$4-
-
7/25/2019 Ch 8 LPI Inflation Swap
4/148
8.38 Libor#ile save as 3$$%8$&%'.xls
E Page 4
Printe 0&($9($0'& $')%4)0*
$4.0'& 4.&%*- !0.0$4-
$4.$&3 4.&%'- !0.0$%-
$4.%'% 4.&44- !0.0$%-
$4.*&* 4.&38- !0.0$%-
$%.0'9 4.&3$- !0.0$&-
$%.$&3 4.&$%- !0.0$&-
$%.%'% 4.&'9- !0.0$&-
$%.*&* 4.&'$- !0.0$&-
$&.0$% 4.&0%- !0.0$*-
$&.$&3 4.%99- !0.0$*-
$&.%'% 4.%9$- !0.0$*-
$&.**3 4.%8%- !0.0$*-
$*.0$$ 4.%*9- !0.0$*-
$*.$&3 4.%*$- !0.0$*-
$*.%$' 4.%&%- !0.0$&-
$*.**0 4.%%9- !0.0$&-
$8.0'9 4.%%$- !0.0$&-
$8.$&8 4.%4&- !0.0$&-$8.%'8 4.%39- !0.0$&-
$8.**0 4.%33- !0.0$%-
$9.0$$ 4.%$&- !0.0$%-
$9.$&& 4.%$0- 0.000-
-
7/25/2019 Ch 8 LPI Inflation Swap
5/148
8.39: RPI !r"e
Downloaded from Ch 8 Inflation swap
Spot + 4!#eb!08
Last inex ate + ec!0*
#or"ar
RPI curve
/an!99 '&3.40
#eb!99 '&3.*0
ar!99 '&4.'01pr!99 '&%.$0
a2!99 '&%.&0
/un!99 '&%.&0
/ul!99 '&%.'0
1ug!99 '&%.%0
Sep!99 '&&.$0
ct!99 '&&.%0
ov!99 '&&.*0
ec!99 '&*.30
/an!00 '&&.&0
#eb!00 '&*.%0
ar!00 '&8.401pr!00 '*0.'0
a2!00 '*0.*0
/un!00 '*'.'0
/ul!00 '*0.%0
1ug!00 '*0.%0
Sep!00 '*'.*0
ct!00 '*'.&0
ov!00 '*$.'0
ec!00 '*$.$0
/an!0' '*'.'0
#eb!0' '*$.00
ar!0' '*$.$01pr!0' '*3.'0
a2!0' '*4.$0
/un!0' '*4.40
/ul!0' '*3.30
1ug!0' '*4.00
Sep!0' '*4.&0
ct!0' '*4.30
-
7/25/2019 Ch 8 LPI Inflation Swap
6/148
ov!0' '*3.&0
ec!0' '*3.40
/an!0$ '*3.30
#eb!0$ '*3.80
ar!0$ '*4.%0
1pr!0$ '*%.*0
a2!0$ '*&.$0/un!0$ '*&.$0
/ul!0$ '*%.90
1ug!0$ '*&.40
Sep!0$ '**.&0
ct!0$ '**.90
ov!0$ '*8.$0
ec!0$ '*8.%0
/an!03 '*8.40
#eb!03 '*9.30
ar!03 '*9.90
1pr!03 '8'.$0
a2!03 '8'.%0/un!03 '8'.30
/ul!03 '8'.30
1ug!03 '8'.&0
Sep!03 '8$.%0
ct!03 '8$.&0
ov!03 '8$.*0
ec!03 '83.%0
/an!04 '83.'0
#eb!04 '83.80
ar!04 '84.&0
1pr!04 '8%.*0
a2!04 '8&.%0/un!04 '8&.80
/ul!04 '8&.80
1ug!04 '8*.40
Sep!04 '88.'0
ct!04 '88.&0
ov!04 '89.00
ec!04 '89.90
/an!0% '88.90
#eb!0% '89.&0
ar!0% '90.%0
1pr!0% '9'.&0
a2!0% '9$.00/un!0% '9$.$0
/ul!0% '9$.$0
1ug!0% '9$.&0
Sep!0% '93.'0
ct!0% '93.30
ov!0% '93.&0
ec!0% '94.'0
-
7/25/2019 Ch 8 LPI Inflation Swap
7/148
/an!0& '93.40
#eb!0& '94.$0
ar!0& '9%.00
1pr!0& '9&.%0
a2!0& '9*.*0
/un!0& '98.%0
/ul!0& '98.%01ug!0& '99.$0
Sep!0& $00.'0
ct!0& $00.40
ov!0& $0'.'0
ec!0& $0$.*0
/an!0* $0'.&0
#eb!0* $03.'0
ar!0* $04.40
1pr!0* $0%.40
a2!0* $0&.$0
/un!0* $0*.30
/ul!0* $0&.'01ug!0* $0*.30
Sep!0* $08.00
ct!0* $08.90
ov!0* $09.*0
ec!0* $'0.90
/an!08 $''.34
#eb!08 $''.**
ar!08 $'$.'8
1pr!08 $'$.&$
a2!08 $'3.04
/un!08 $'3.48
/ul!08 $'3.9'1ug!08 $'4.3%
Sep!08 $'4.*9
ct!08 $'%.$$
ov!08 $'%.&*
ec!08 $'&.'0
/an!09 $'&.%8
#eb!09 $'*.0&
ar!09 $'*.%0
1pr!09 $'*.99
a2!09 $'8.48
/un!09 $'8.98
/ul!09 $'9.481ug!09 $$0.00
Sep!09 $$0.%$
ct!09 $$'.03
ov!09 $$'.%*
ec!09 $$$.09
/an!'0 $$$.&3
#eb!'0 $$3.'8
-
7/25/2019 Ch 8 LPI Inflation Swap
8/148
ar!'0 $$3.&*
1pr!'0 $$4.$3
a2!'0 $$4.**
/un!'0 $$%.34
/ul!'0 $$%.89
1ug!'0 $$&.4*
Sep!'0 $$*.0%ct!'0 $$*.&$
ov!'0 $$8.$$
ec!'0 $$8.80
/an!'' $$9.38
#eb!'' $$9.9*
ar!'' $30.%0
1pr!'' $3'.'0
a2!'' $3'.&8
/un!'' $3$.$8
/ul!'' $3$.8*
1ug!'' $33.48
Sep!'' $34.'0ct!'' $34.*0
ov!'' $3%.33
ec!'' $3%.94
/an!'$ $3&.%8
#eb!'$ $3*.$$
ar!'$ $3*.83
1pr!'$ $38.48
a2!'$ $39.''
/un!'$ $39.*8
/ul!'$ $40.4$
1ug!'$ $4'.09
Sep!'$ $4'.**ct!'$ $4$.43
ov!'$ $43.'$
ec!'$ $43.*9
/an!'3 $44.4*
#eb!'3 $4%.'%
ar!'3 $4%.**
1pr!'3 $4&.4*
a2!'3 $4*.'4
/un!'3 $4*.84
/ul!'3 $48.%3
1ug!'3 $49.$4
Sep!'3 $49.9%ct!'3 $%0.&%
ov!'3 $%'.3*
ec!'3 $%$.08
/an!'4 $%$.80
#eb!'4 $%3.%3
ar!'4 $%4.'9
1pr!'4 $%4.9$
-
7/25/2019 Ch 8 LPI Inflation Swap
9/148
a2!'4 $%%.&4
/un!'4 $%&.38
/ul!'4 $%*.'0
1ug!'4 $%*.8%
Sep!'4 $%8.&'
ct!'4 $%9.3%
ov!'4 $&0.''ec!'4 $&0.8&
/an!'% $&'.&'
#eb!'% $&$.3&
ar!'% $&3.0%
1pr!'% $&3.8'
a2!'% $&4.%%
/un!'% $&%.3$
/ul!'% $&&.0*
1ug!'% $&&.8%
Sep!'% $&*.&3
ct!'% $&8.39
ov!'% $&9.'8ec!'% $&9.9%
/an!'& $*0.*&
#eb!'& $*'.%*
ar!'& $*$.34
1pr!'& $*3.'&
a2!'& $*3.9&
/un!'& $*4.*9
/ul!'& $*%.&0
1ug!'& $*&.44
Sep!'& $**.$9
ct!'& $*8.''
ov!'& $*8.9*ec!'& $*9.80
/an!'* $80.&%
#eb!'* $8'.%'
ar!'* $8$.$8
1pr!'* $83.'%
a2!'* $83.99
/un!'* $84.8&
/ul!'* $8%.*'
1ug!'* $8&.%9
Sep!'* $8*.48
ct!'* $88.34
ov!'* $89.$4ec!'* $90.''
/an!'8 $9'.0'
#eb!'8 $9'.9'
ar!'8 $9$.*3
1pr!'8 $93.&4
a2!'8 $94.%3
/un!'8 $9%.4%
-
7/25/2019 Ch 8 LPI Inflation Swap
10/148
/ul!'8 $9&.34
1ug!'8 $9*.$*
Sep!'8 $98.$'
ct!'8 $99.''
ov!'8 300.0&
ec!'8 300.98
/an!'9 30'.93#eb!'9 30$.89
ar!'9 303.*&
1pr!'9 304.*3
a2!'9 30%.&*
/un!'9 30&.&%
/ul!'9 30*.&0
1ug!'9 308.%9
Sep!'9 309.%8
ct!'9 3'0.%%
ov!'9 3''.%%
ec!'9 3'$.%3
/an!$0 3'3.%'#eb!$0 3'4.49
ar!$0 3'%.4$
1pr!$0 3'&.4'
a2!$0 3'*.38
/un!$0 3'8.38
/ul!$0 3'9.3%
1ug!$0 3$0.3*
Sep!$0 3$'.38
ct!$0 3$$.3*
ov!$0 3$3.40
ec!$0 3$4.40
/an!$' 3$%.43#eb!$' 3$&.4*
ar!$' 3$*.4$
1pr!$' 3$8.4*
a2!$' 3$9.49
/un!$' 330.%%
/ul!$' 33'.%8
1ug!$' 33$.&%
Sep!$' 333.*3
ct!$' 334.**
ov!$' 33%.8&
ec!$' 33&.9'
/an!$$ 338.0'#eb!$$ 339.''
ar!$$ 340.''
1pr!$$ 34'.$$
a2!$$ 34$.30
/un!$$ 343.4$
/ul!$$ 344.%'
1ug!$$ 34%.&4
-
7/25/2019 Ch 8 LPI Inflation Swap
11/148
Sep!$$ 34&.*8
ct!$$ 34*.88
ov!$$ 349.03
ec!$$ 3%0.'%
/an!$3 3%'.$&
#eb!$3 3%$.3*
ar!$3 3%3.381pr!$3 3%4.%'
a2!$3 3%%.&0
/un!$3 3%&.*3
/ul!$3 3%*.83
1ug!$3 3%8.98
Sep!$3 3&0.'$
ct!$3 3&'.$4
ov!$3 3&$.40
ec!$3 3&3.%$
/an!$4 3&4.&9
#eb!$4 3&%.8&
ar!$4 3&&.9&1pr!$4 3&8.'4
a2!$4 3&9.$9
/un!$4 3*0.48
/ul!$4 3*'.&4
1ug!$4 3*$.84
Sep!$4 3*4.0%
ct!$4 3*%.$$
ov!$4 3*&.44
ec!$4 3**.&$
/an!$% 3*8.8%
#eb!$% 380.08
ar!$% 38'.$01pr!$% 38$.44
a2!$% 383.&%
/un!$% 384.90
/ul!$% 38&.'$
1ug!$% 38*.38
Sep!$% 388.&%
ct!$% 389.89
ov!$% 39'.'&
ec!$% 39$.4'
/an!$& 393.*0
#eb!$& 39%.00
ar!$& 39&.'*1pr!$& 39*.48
a2!$& 398.*%
/un!$& 400.0*
/ul!$& 40'.3%
1ug!$& 40$.&8
Sep!$& 404.0'
ct!$& 40%.3'
-
7/25/2019 Ch 8 LPI Inflation Swap
12/148
ov!$& 40&.&&
ec!$& 40*.9&
/an!$* 409.3$
#eb!$* 4'0.&9
ar!$* 4''.9$
1pr!$* 4'3.30
a2!$* 4'4.&3/un!$* 4'&.0$
/ul!$* 4'*.3*
1ug!$* 4'8.**
Sep!$* 4$0.'*
ct!$* 4$'.%4
ov!$* 4$$.9%
ec!$* 4$4.33
/an!$8 4$%.*0
#eb!$8 4$*.0*
ar!$8 4$8.3%
1pr!$8 4$9.*3
a2!$8 43'.0*/un!$8 43$.4&
/ul!$8 433.8'
1ug!$8 43%.$'
Sep!$8 43&.&$
ct!$8 43*.98
ov!$8 439.40
ec!$8 440.**
/an!$9 44$.$0
#eb!$9 443.&3
ar!$9 444.93
1pr!$9 44&.38
a2!$9 44*.*8/un!$9 449.$3
/ul!$9 4%0.&%
1ug!$9 4%$.''
Sep!$9 4%3.%8
ct!$9 4%%.0'
ov!$9 4%&.%0
ec!$9 4%*.94
/an!30 4%9.43
#eb!30 4&0.93
ar!30 4&$.$9
1pr!30 4&3.80
a2!30 4&%.$*/un!30 4&&.*9
/ul!30 4&8.$*
1ug!30 4&9.80
Sep!30 4*'.34
ct!30 4*$.84
ov!30 4*4.39
ec!30 4*%.90
-
7/25/2019 Ch 8 LPI Inflation Swap
13/148
/an!3' 4**.4&
#eb!3' 4*9.03
ar!3' 480.4&
1pr!3' 48$.04
a2!3' 483.%8
/un!3' 48%.'*
/ul!3' 48&.*$1ug!3' 488.33
Sep!3' 489.94
ct!3' 49'.%'
ov!3' 493.'3
ec!3' 494.*'
/an!3$ 49&.3%
#eb!3$ 49*.99
ar!3$ 499.%4
1pr!3$ %0'.'9
a2!3$ %0$.80
/un!3$ %04.4*
/ul!3$ %0&.091ug!3$ %0*.*8
Sep!3$ %09.4*
ct!3$ %''.''
ov!3$ %'$.8'
ec!3$ %'4.4&
/an!33 %'&.04
#eb!33 %'*.&'
ar!33 %'9.04
1pr!33 %$0.&3
a2!33 %$$.'*
/un!33 %$3.**
/ul!33 %$%.3$1ug!33 %$&.93
Sep!33 %$8.%4
ct!33 %30.''
ov!33 %3'.*3
ec!33 %33.30
/an!34 %34.94
#eb!34 %3&.%*
ar!34 %38.0&
1pr!34 %39.*0
a2!34 %4'.30
/un!34 %4$.9&
/ul!34 %44.%*1ug!34 %4&.$4
Sep!34 %4*.9'
ct!34 %49.%3
ov!34 %%'.$$
ec!34 %%$.8%
/an!3% %%4.%4
#eb!3% %%&.$4
-
7/25/2019 Ch 8 LPI Inflation Swap
14/148
ar!3% %%*.*8
1pr!3% %%9.49
a2!3% %&'.'%
/un!3% %&$.8*
/ul!3% %&4.%3
1ug!3% %&&.$&
Sep!3% %&8.00ct!3% %&9.&8
ov!3% %*'.43
ec!3% %*3.'$
/an!3& %*4.88
#eb!3& %*&.&4
ar!3& %*8.30
1pr!3& %80.0*
a2!3& %8'.*9
/un!3& %83.%*
/ul!3& %8%.3'
1ug!3& %8*.'0
Sep!3& %88.90ct!3& %90.&%
ov!3& %9$.4&
ec!3& %94.$$
/an!3* %9&.04
#eb!3* %9*.8*
ar!3* %99.%$
1pr!3* &0'.3&
a2!3* &03.'%
/un!3* &0%.00
/ul!3* &0&.80
1ug!3* &08.&&
Sep!3* &'0.%3ct!3* &'$.34
ov!3* &'4.$$
ec!3* &'&.04
/an!38 &'*.8$
#eb!38 &'9.&'
ar!38 &$'.$3
1pr!38 &$3.0$
a2!38 &$4.*&
/un!38 &$&.%*
/ul!38 &$8.3$
1ug!38 &30.'3
Sep!38 &3'.9%ct!38 &33.*'
ov!38 &3%.%4
ec!38 &3*.3'
/an!39 &39.'%
#eb!39 &40.99
ar!39 &4$.&&
1pr!39 &44.%'
-
7/25/2019 Ch 8 LPI Inflation Swap
15/148
a2!39 &4&.3'
/un!39 &48.'*
/ul!39 &49.9*
1ug!39 &%'.84
Sep!39 &%3.*'
ct!39 &%%.%3
ov!39 &%*.4$ec!39 &%9.$%
/an!40 &&'.'4
#eb!40 &&3.04
ar!40 &&4.8$
1pr!40 &&&.*3
a2!40 &&8.%8
/un!40 &*0.49
/ul!40 &*$.3&
1ug!40 &*4.$8
Sep!40 &*&.$$
ct!40 &*8.09
ov!40 &80.03ec!40 &8'.9$
/an!4' &83.8*
#eb!4' &8%.83
ar!4' &8*.&0
1pr!4' &89.%*
a2!4' &9'.4*
/un!4' &93.4%
/ul!4' &9%.3*
1ug!4' &9*.3%
Sep!4' &99.3%
ct!4' *0'.$8
ov!4' *03.$8ec!4' *0%.$$
/an!4$ *0*.$4
#eb!4$ *09.$%
ar!4$ *''.08
1pr!4$ *'3.''
a2!4$ *'%.0*
/un!4$ *'*.''
/ul!4$ *'9.09
1ug!4$ *$'.'3
Sep!4$ *$3.'9
ct!4$ *$%.'8
ov!4$ *$*.$4ec!4$ *$9.$4
/an!43 *3'.3$
#eb!43 *33.40
ar!43 *3%.$8
1pr!43 *3*.3*
a2!43 *39.39
/un!43 *4'.49
-
7/25/2019 Ch 8 LPI Inflation Swap
16/148
/ul!43 *43.%3
1ug!43 *4%.&4
Sep!43 *4*.*&
ct!43 *49.8'
ov!43 *%'.93
ec!43 *%4.00
/an!44 *%&.'3#eb!44 *%8.$8
ar!44 *&0.$8
1pr!44 *&$.44
a2!44 *&4.%$
/un!44 *&&.&9
/ul!44 *&8.*9
1ug!44 **0.9&
Sep!44 **3.'4
ct!44 **%.$&
ov!44 ***.4%
ec!44 **9.%*
/an!4% *8'.**#eb!4% *83.98
ar!4% *8%.98
1pr!4% *88.$0
a2!4% *90.3%
/un!4% *9$.%8
/ul!4% *94.*4
1ug!4% *9&.98
Sep!4% *99.$$
ct!4% 80'.40
ov!4% 803.&&
ec!4% 80%.8%
/an!4& 808.'$#eb!4& 8'0.39
ar!4& 8'$.4%
1pr!4& 8'4.*3
a2!4& 8'&.9%
/un!4& 8'9.$%
/ul!4& 8$'.4*
1ug!4& 8$3.*8
Sep!4& 8$&.09
ct!4& 8$8.34
ov!4& 830.&&
ec!4& 83$.9$
/an!4* 83%.$%#eb!4* 83*.&0
ar!4* 839.*$
1pr!4* 84$.0*
a2!4* 844.3%
/un!4* 84&.*$
/ul!4* 849.0'
1ug!4* 8%'.39
-
7/25/2019 Ch 8 LPI Inflation Swap
17/148
Sep!4* 8%3.**
ct!4* 8%&.08
ov!4* 8%8.48
ec!4* 8&0.80
/an!48 8&3.3*
#eb!48 8&%.9%
ar!48 8&8.3*1pr!48 8*0.9*
a2!48 8*3.49
/un!48 8*&.'0
/ul!48 8*8.&3
1ug!48 88'.$&
Sep!48 883.89
ct!48 88&.4%
ov!48 889.'0
ec!48 89'.&*
/an!49 894.33
#eb!49 89*.0'
ar!49 899.431pr!49 90$.'$
a2!49 904.*3
/un!49 90*.43
/ul!49 9'0.0%
1ug!49 9'$.**
Sep!49 9'%.%0
ct!49 9'8.'%
ov!49 9$0.89
ec!49 9$3.%&
/an!%0 9$&.3$
#eb!%0 9$9.09
ar!%0 93'.%91pr!%0 934.38
a2!%0 93*.08
/un!%0 939.88
/ul!%0 94$.&0
1ug!%0 94%.4$
Sep!%0 948.$4
ct!%0 9%0.99
ov!%0 9%3.83
ec!%0 9%&.%9
/an!%' 9%9.4%
#eb!%' 9&$.3'
ar!%' 9&4.9'1pr!%' 9&*.*9
a2!%' 9*0.%9
/un!%' 9*3.49
/ul!%' 9*&.3'
1ug!%' 9*9.$3
Sep!%' 98$.'%
ct!%' 98%.00
-
7/25/2019 Ch 8 LPI Inflation Swap
18/148
ov!%' 98*.94
ec!%' 990.80
/an!%$ 993.*&
#eb!%$ 99&.*3
ar!%$ 999.%'
1pr!%$ '00$.%0
a2!%$ '00%.40/un!%$ '008.4'
/ul!%$ '0''.3$
1ug!%$ '0'4.3%
Sep!%$ '0'*.38
ct!%$ '0$0.3$
ov!%$ '0$3.3*
ec!%$ '0$&.33
/an!%3 '0$9.40
#eb!%3 '03$.4*
ar!%3 '03%.$&
1pr!%3 '038.3%
a2!%3 '04'.3&/un!%3 '044.4*
/ul!%3 '04*.49
1ug!%3 '0%0.&$
Sep!%3 '0%3.*&
ct!%3 '0%&.8'
ov!%3 '0%9.9*
ec!%3 '0&3.03
/an!%4 '0&&.$'
#eb!%4 '0&9.40
ar!%4 '0*$.$8
1pr!%4 '0*%.49
a2!%4 '0*8.&0/un!%4 '08'.8$
/ul!%4 '084.9%
1ug!%4 '088.'9
Sep!%4 '09'.4%
ct!%4 '094.&0
ov!%4 '09*.8*
ec!%4 ''0'.0%
/an!%% ''04.34
#eb!%% ''0*.&4
ar!%% '''0.&3
1pr!%% '''3.9%
a2!%% '''*.'*/un!%% ''$0.%'
/ul!%% ''$3.*%
1ug!%% ''$*.''
Sep!%% ''30.48
ct!%% ''33.*%
ov!%% ''3*.'4
ec!%% ''40.43
-
7/25/2019 Ch 8 LPI Inflation Swap
19/148
8.#$: %heet for sim!latin& a fi'ed(floatin& LPI inflation swap
%pot ) #(*eb($8
*loatin& *i'ed
Constant Prinipal +,+8-,8/ +,+8-,8/m 56P
0ase inde'in& date (1t(2$$8 (1t(2$$8
%tart date (1t(2$$9 (1t(2$$9
at!rit4 date (1t(2$29 (1t(2$292rs
*re5!en4 of 6plift a a
*re5!en4 of Cashflow 5 5
Diretion Pa4 Reei"e
La& (+ monthsDa4 o!nt 7t3-
6se da4 o!nt in al!latin& C*s n
LPI onstraints Lower 6pper
+.$$ 3.$$ pa.
Re5!ired ;al!e ) $
%tati &rowth rate from RPI pa.
%im!lated &rowth rate from RPI pa.
%im!lated &rowth rate from LPI pa.
7d?!sted 0reak(e"en @rowth rate pa.
*loatin& side *i'ed side
ates Real an!al ates Real an!al
Prinipal Prinipal
%!/an!'0 %!/an!'0
%!1pr!'0 0 %!1pr!'0 0
%!/ul!'0 0 %!/ul!'0 0
%!ct!'0 0 %!ct!'0 0
%!/an!'' 0 %!/an!'' 0
%!1pr!'' 0 %!1pr!'' 0
%!/ul!'' 0 %!/ul!'' 0%!ct!'' 0 %!ct!'' 0
%!/an!'$ 0 %!/an!'$ 0
%!1pr!'$ 0 %!1pr!'$ 0
%!/ul!'$ 0 %!/ul!'$ 0
%!ct!'$ 0 %!ct!'$ 0
*!/an!'3 0 *!/an!'3 0
%!1pr!'3 0 %!1pr!'3 0
%!/ul!'3 0 %!/ul!'3 0
*!ct!'3 0 *!ct!'3 0
&!/an!'4 0 &!/an!'4 0
*!1pr!'4 0 *!1pr!'4 0
*!/ul!'4 0 *!/ul!'4 0&!ct!'4 0 &!ct!'4 0
-
7/25/2019 Ch 8 LPI Inflation Swap
20/148
%!/an!'% 0 %!/an!'% 0
&!1pr!'% 0 &!1pr!'% 0
&!/ul!'% 0 &!/ul!'% 0
%!ct!'% 0 %!ct!'% 0
%!/an!'& 0 %!/an!'& 0
%!1pr!'& 0 %!1pr!'& 0
%!/ul!'& 0 %!/ul!'& 0
%!ct!'& 0 %!ct!'& 0
%!/an!'* 0 %!/an!'* 0
%!1pr!'* 0 %!1pr!'* 0
%!/ul!'* 0 %!/ul!'* 0
%!ct!'* 0 %!ct!'* 0
%!/an!'8 0 %!/an!'8 0
%!1pr!'8 0 %!1pr!'8 0
%!/ul!'8 0 %!/ul!'8 0
%!ct!'8 0 %!ct!'8 0
*!/an!'9 0 *!/an!'9 0
%!1pr!'9 0 %!1pr!'9 0%!/ul!'9 0 %!/ul!'9 0
*!ct!'9 0 *!ct!'9 0
&!/an!$0 0 &!/an!$0 0
&!1pr!$0 0 &!1pr!$0 0
&!/ul!$0 0 &!/ul!$0 0
%!ct!$0 0 %!ct!$0 0
%!/an!$' 0 %!/an!$' 0
%!1pr!$' 0 %!1pr!$' 0
%!/ul!$' 0 %!/ul!$' 0
%!ct!$' 0 %!ct!$' 0
%!/an!$$ 0 %!/an!$$ 0
%!1pr!$$ 0 %!1pr!$$ 0%!/ul!$$ 0 %!/ul!$$ 0
%!ct!$$ 0 %!ct!$$ 0
%!/an!$3 0 %!/an!$3 0
%!1pr!$3 0 %!1pr!$3 0
%!/ul!$3 0 %!/ul!$3 0
%!ct!$3 0 %!ct!$3 0
%!/an!$4 0 %!/an!$4 0
%!1pr!$4 0 %!1pr!$4 0
%!/ul!$4 0 %!/ul!$4 0
*!ct!$4 0 *!ct!$4 0
&!/an!$% 0 &!/an!$% 0
*!1pr!$% 0 *!1pr!$% 0
*!/ul!$% 0 *!/ul!$% 0
&!ct!$% 0 &!ct!$% 0
%!/an!$& 0 %!/an!$& 0
&!1pr!$& 0 &!1pr!$& 0
&!/ul!$& 0 &!/ul!$& 0
%!ct!$& 0 %!ct!$& 0
%!/an!$* 0 %!/an!$* 0
%!1pr!$* 0 %!1pr!$* 0
%!/ul!$* 0 %!/ul!$* 0
%!ct!$* 0 %!ct!$* 0
%!/an!$8 0 %!/an!$8 0%!1pr!$8 0 %!1pr!$8 0
-
7/25/2019 Ch 8 LPI Inflation Swap
21/148
%!/ul!$8 0 %!/ul!$8 0
%!ct!$8 0 %!ct!$8 0
%!/an!$9 0 %!/an!$9 0
%!1pr!$9 0 %!1pr!$9 0
%!/ul!$9 0 %!/ul!$9 0
%!ct!$9 0 %!ct!$9 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 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
0 0
0 0
0 0
0 0
0 00 0
-
7/25/2019 Ch 8 LPI Inflation Swap
22/148
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 00 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 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
0 0
0 0
0 0
0 0
0 00 0
-
7/25/2019 Ch 8 LPI Inflation Swap
23/148
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 00 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 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
0 0
0 0
0 0
0 0
0 00 0
-
7/25/2019 Ch 8 LPI Inflation Swap
24/148
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 00 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 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
0 0
0 0
0 0
0 0
0 00 0
-
7/25/2019 Ch 8 LPI Inflation Swap
25/148
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 00 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 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
0 0
0 0
0 0
0 0
0 00 0
-
7/25/2019 Ch 8 LPI Inflation Swap
26/148
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 00 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 0
0 00 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
0 0
0 0
0 0
0 0
0 00 0
-
7/25/2019 Ch 8 LPI Inflation Swap
27/148
0 0
0 0
7n of oel
-
7/25/2019 Ch 8 LPI Inflation Swap
28/148
-
7/25/2019 Ch 8 LPI Inflation Swap
29/148
Aote: spread sheet will handle !pto #$$ ashflows
Last publishe inex ate ec!0*
#reuenc2 of plift '$ '$ months
#reuenc2 of :ashflo" 3 3 months
o. of Perios 80.0% 80.0%
o. of :#s 80 80
7n month $40 $407n ate %!ct!$9 %!ct!$9
T!rn sim!lation on B A 2
;olatilit4 for %im!lation +.+$$ pa.
anual
*loatin& side a2 count principal ;ime
6ase inexing ate
Start ate %!ct!09
plift ates
0 %!ct!09 %!ct!09 '.&&8 ct!09
3 %!/an!'0 %!/an!'0 0.$%$ 0 '.9$' 4.88'- 0.9'0%$$ ct!09
& %!1pr!'0 %!1pr!'0 0.$4* 0 $.'&* 4.8%3- 0.900'&% ct!09
9 %!/ul!'0 %!/ul!'0 0.$49 0 $.4'& 4.84*- 0.8894*4 ct!09
'$ %!ct!'0 %!ct!'0 0.$%$ 0 $.&&8 4.8%$- 0.8*8%&* ct!'0
'% %!/an!'' %!/an!'' 0.$%$ 0 $.9$' 4.8&0- 0.8&*&&4 ct!'0
'8 %!1pr!'' %!1pr!'' 0.$4* 0 3.'&* 4.8&9- 0.8%*098 ct!'0
$' %!/ul!'' %!/ul!'' 0.$49 0 3.4'& 4.8*&- 0.84&%4% ct!'0$4 %!ct!'' %!ct!'' 0.$%$ 0 3.&&8 4.883- 0.83%998 ct!''
$* %!/an!'$ %!/an!'$ 0.$%$ 0 3.9$' 4.889- 0.8$%%&* ct!''
30 %!1pr!'$ %!1pr!'$ 0.$49 0 4.'*0 4.89&- 0.8'%3%0 ct!''
33 %!/ul!'$ %!/ul!'$ 0.$49 0 4.4'9 4.90$- 0.80%$4$ ct!''
3& %!ct!'$ %!ct!'$ 0.$%$ 0 4.&*' 4.90*- 0.*9%'4% ct!'$
39 %!/an!'3 *!/an!'3 0.$%8 0 4.9$9 4.9'$- 0.*849&& ct!'$
4$ %!1pr!'3 %!1pr!'3 0.$4' 0 %.'*0 4.9'&- 0.**%%*& ct!'$
4% %!/ul!'3 %!/ul!'3 0.$49 0 %.4'9 4.9'9- 0.*&&00$ ct!'$
48 %!ct!'3 *!ct!'3 0.$%8 0 %.&** 4.9$$- 0.*%&$44 ct!'3
%' %!/an!'4 &!/an!'4 0.$49 0 %.9$& 4.9$4- 0.*4&9'* ct!'3
%4 %!1pr!'4 *!1pr!'4 0.$49 0 &.'*% 4.9$&- 0.*3*&93 ct!'3
%* %!/ul!'4 *!/ul!'4 0.$49 0 &.4$% 4.9$9- 0.*$8%&8 ct!'3&0 %!ct!'4 &!ct!'4 0.$49 0 &.&*4 4.93$- 0.*'9%34 ct!'4
-
7/25/2019 Ch 8 LPI Inflation Swap
30/148
&3 %!/an!'% %!/an!'% 0.$49 0 &.9$3 4.93%- 0.*'0%8* ct!'4
&& %!1pr!'% &!1pr!'% 0.$49 0 *.'*3 4.939- 0.*0'*'8 ct!'4
&9 %!/ul!'% &!/ul!'% 0.$49 0 *.4$$ 4.94$- 0.&9$949 ct!'4
*$ %!ct!'% %!ct!'% 0.$49 0 *.&*' 4.94%- 0.&84309 ct!'%
*% %!/an!'& %!/an!'& 0.$%$ 0 *.9$3 4.94*- 0.&*%*3' ct!'%
*8 %!1pr!'& %!1pr!'& 0.$49 0 8.'*3 4.94*- 0.&&*4$* ct!'%
8' %!/ul!'& %!/ul!'& 0.$49 0 8.4$$ 4.94*- 0.&%9$** ct!'%
84 %!ct!'& %!ct!'& 0.$%$ 0 8.&*4 4.94&- 0.&%''3* ct!'&
8* %!/an!'* %!/an!'* 0.$%$ 0 8.9$& 4.94*- 0.&4304% ct!'&
90 %!1pr!'* %!1pr!'* 0.$4* 0 9.'*3 4.949- 0.&3%'$9 ct!'&
93 %!/ul!'* %!/ul!'* 0.$49 0 9.4$$ 4.9%$- 0.&$*'4$ ct!'&
9& %!ct!'* %!ct!'* 0.$%$ 0 9.&*4 4.9%&- 0.&'9'%% ct!'*
99 %!/an!'8 %!/an!'8 0.$%$ 0 9.9$& 4.9%8- 0.&''3'0 ct!'*
'0$ %!1pr!'8 %!1pr!'8 0.$4* 0 '0.'*3 4.9%9- 0.&038$9 ct!'*
'0% %!/ul!'8 %!/ul!'8 0.$49 0 '0.4$$ 4.9%8- 0.%9&4*0 ct!'*
'08 %!ct!'8 %!ct!'8 0.$%$ 0 '0.&*4 4.9%&- 0.%89$'0 ct!'8
''' %!/an!'9 *!/an!'9 0.$%8 0 '0.93$ 4.9%$- 0.%8'9&0 ct!'8
''4 %!1pr!'9 %!1pr!'9 0.$4' 0 ''.'*3 4.948- 0.%*%3'0 ct!'8''* %!/ul!'9 %!/ul!'9 0.$49 0 ''.4$$ 4.944- 0.%&8%%& ct!'8
'$0 %!ct!'9 *!ct!'9 0.$%8 0 ''.&*9 4.939- 0.%&'&9' ct!'9
'$3 %!/an!$0 &!/an!$0 0.$49 0 ''.9$9 4.934- 0.%%%'38 ct!'9
'$& %!1pr!$0 &!1pr!$0 0.$49 0 '$.'*8 4.9$9- 0.%48&&' ct!'9
'$9 %!/ul!$0 &!/ul!$0 0.$49 0 '$.4$* 4.9$%- 0.%4$$%& ct!'9
'3$ %!ct!$0 %!ct!$0 0.$49 0 '$.&** 4.9$0- 0.%3%9$8 ct!$0
'3% %!/an!$' %!/an!$' 0.$%$ 0 '$.9$9 4.9'&- 0.%$9&'' ct!$0
'38 %!1pr!$' %!1pr!$' 0.$4* 0 '3.'*% 4.9'$- 0.%$3%'0 ct!$0
'4' %!/ul!$' %!/ul!$' 0.$49 0 '3.4$% 4.908- 0.%'*4$% ct!$0
'44 %!ct!$' %!ct!$' 0.$%$ 0 '3.&** 4.904- 0.%''3%9 ct!$'
'4* %!/an!$$ %!/an!$$ 0.$%$ 0 '3.9$9 4.899- 0.%0%383 ct!$'
'%0 %!1pr!$$ %!1pr!$$ 0.$4* 0.000 '4.'*% 4.89%- 0.499&$4 ct!$''%3 %!/ul!$$ %!/ul!$$ 0.$49 0.000 '4.4$% 4.89'- 0.49389$ ct!$'
'%& %!ct!$$ %!ct!$$ 0.$%$ 0.000 '4.&** 4.88&- 0.488'90 ct!$$
'%9 %!/an!$3 %!/an!$3 0.$%$ 0.000 '4.9$9 4.88'- 0.48$%8% ct!$$
'&$ %!1pr!$3 %!1pr!$3 0.$4* 0.000 '%.'*% 4.8*%- 0.4**'9$ ct!$$
'&% %!/ul!$3 %!/ul!$3 0.$49 0.000 '%.4$% 4.8*0- 0.4*'834 ct!$$
'&8 %!ct!$3 %!ct!$3 0.$%$ 0.000 '%.&** 4.8&4- 0.4&&%08 ct!$3
'*' %!/an!$4 %!/an!$4 0.$%$ 0.000 '%.9$9 4.8%8- 0.4&'$&9 ct!$3
'*4 %!1pr!$4 %!1pr!$4 0.$49 0.000 '&.'*8 4.8%$- 0.4%&'*' ct!$3
'** %!/ul!$4 %!/ul!$4 0.$49 0.000 '&.4$* 4.84%- 0.4%''%3 ct!$3
'80 %!ct!$4 *!ct!$4 0.$%8 0.000 '&.&8% 4.839- 0.44&0%' ct!$4
'83 %!/an!$% &!/an!$% 0.$49 0.000 '&.934 4.83$- 0.44''88 ct!$4
'8& %!1pr!$% *!1pr!$% 0.$49 0.000 '*.'84 4.8$&- 0.43&398 ct!$4
'89 %!/ul!$% *!/ul!$% 0.$49 0.000 '*.433 4.8'9- 0.43'&** ct!$4
'9$ %!ct!$% &!ct!$% 0.$49 0.000 '*.&8$ 4.8'$- 0.4$*0$4 ct!$%
'9% %!/an!$& %!/an!$& 0.$49 0.000 '*.93$ 4.80&- 0.4$$43& ct!$%
'98 %!1pr!$& &!1pr!$& 0.$49 0.000 '8.'8' 4.*99- 0.4'*9'0 ct!$%
$0' %!/ul!$& &!/ul!$& 0.$49 0.000 '8.430 4.*9$- 0.4'344% ct!$%
$04 %!ct!$& %!ct!$& 0.$49 0.000 '8.&*9 4.*8&- 0.409040 ct!$&
$0* %!/an!$* %!/an!$* 0.$%$ 0.000 '8.93$ 4.**9- 0.404&43 ct!$&
$'0 %!1pr!$* %!1pr!$* 0.$4* 0.000 '9.'*8 4.**3- 0.40039& ct!$&
$'3 %!/ul!$* %!/ul!$* 0.$49 0.000 '9.4$* 4.*&&- 0.39&'%% ct!$&
$'& %!ct!$* %!ct!$* 0.$%$ 0.000 '9.&*9 4.*&0- 0.39'9$0 ct!$*
$'9 %!/an!$8 %!/an!$8 0.$%$ 0.000 '9.93$ 4.*%3- 0.38**3% ct!$*$$$ %!1pr!$8 %!1pr!$8 0.$49 0.000 $0.'8' 4.*4*- 0.383&44 ct!$*
-
7/25/2019 Ch 8 LPI Inflation Swap
31/148
$$% %!/ul!$8 %!/ul!$8 0.$49 0.000 $0.430 4.*4'- 0.3*9&0' ct!$*
$$8 %!ct!$8 %!ct!$8 0.$%$ 0.000 $0.&8$ 4.*3%- 0.3*%%&$ ct!$8
$3' %!/an!$9 %!/an!$9 0.$%$ 0.000 $0.934 4.*$9- 0.3*'%*$ ct!$8
$34 %!1pr!$9 %!1pr!$9 0.$4* 0.000 $'.'8' 4.*$3- 0.3&**'* ct!$8
$3* %!/ul!$9 %!/ul!$9 0.$49 0.000 $'.430 4.*'8- 0.3&38&* ct!$8
$40 %!ct!$9 %!ct!$9 0.$%$ 0.000 $'.&8$ 4.*'$- 0.3&00$% ct!$9
$43 0.000
$4& 0.000
$49 0.000
$%$ 0.000
$%% 0.000
$%8 0.000
$&' 0.000
$&4 0.000
$&* 0.000
$*0 0.000
$*3 0.000
$*& 0.000$*9 0.000
$8$ 0.000
$8% 0.000
$88 0.000
$9' 0.000
$94 0.000
$9* 0.000
300 0.000
303 0.000
30& 0.000
309 0.000
3'$ 0.0003'% 0.000
3'8 0.000
3$' 0.000
3$4 0.000
3$* 0.000
330 0.000
333 0.000
33& 0.000
339 0.000
34$ 0.000
34% 0.000
348 0.000
3%' 0.000
3%4 0.000
3%* 0.000
3&0 0.000
3&3 0.000
3&& 0.000
3&9 0.000
3*$ 0.000
3*% 0.000
3*8 0.000
38' 0.000384 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
32/148
38* 0.000
390 0.000
393 0.000
39& 0.000
399 0.000
40$ 0.000
40% 0.000
408 0.000
4'' 0.000
4'4 0.000
4'* 0.000
4$0 0.000
4$3 0.000
4$& 0.000
4$9 0.000
43$ 0.000
43% 0.000
438 0.00044' 0.000
444 0.000
44* 0.000
4%0 0.000
4%3 0.000
4%& 0.000
4%9 0.000
4&$ 0.000
4&% 0.000
4&8 0.000
4*' 0.000
4*4 0.0004** 0.000
480 0.000
483 0.000
48& 0.000
489 0.000
49$ 0.000
49% 0.000
498 0.000
%0' 0.000
%04 0.000
%0* 0.000
%'0 0.000
%'3 0.000
%'& 0.000
%'9 0.000
%$$ 0.000
%$% 0.000
%$8 0.000
%3' 0.000
%34 0.000
%3* 0.000
%40 0.000
%43 0.000%4& 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
33/148
%49 0.000
%%$ 0.000
%%% 0.000
%%8 0.000
%&' 0.000
%&4 0.000
%&* 0.000
%*0 0.000
%*3 0.000
%*& 0.000
%*9 0.000
%8$ 0.000
%8% 0.000
%88 0.000
%9' 0.000
%94 0.000
%9* 0.000
&00 0.000&03 0.000
&0& 0.000
&09 0.000
&'$ 0.000
&'% 0.000
&'8 0.000
&$' 0.000
&$4 0.000
&$* 0.000
&30 0.000
&33 0.000
&3& 0.000&39 0.000
&4$ 0.000
&4% 0.000
&48 0.000
&%' 0.000
&%4 0.000
&%* 0.000
&&0 0.000
&&3 0.000
&&& 0.000
&&9 0.000
&*$ 0.000
&*% 0.000
&*8 0.000
&8' 0.000
&84 0.000
&8* 0.000
&90 0.000
&93 0.000
&9& 0.000
&99 0.000
*0$ 0.000
*0% 0.000*08 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
34/148
*'' 0.000
*'4 0.000
*'* 0.000
*$0 0.000
*$3 0.000
*$& 0.000
*$9 0.000
*3$ 0.000
*3% 0.000
*38 0.000
*4' 0.000
*44 0.000
*4* 0.000
*%0 0.000
*%3 0.000
*%& 0.000
*%9 0.000
*&$ 0.000*&% 0.000
*&8 0.000
**' 0.000
**4 0.000
*** 0.000
*80 0.000
*83 0.000
*8& 0.000
*89 0.000
*9$ 0.000
*9% 0.000
*98 0.00080' 0.000
804 0.000
80* 0.000
8'0 0.000
8'3 0.000
8'& 0.000
8'9 0.000
8$$ 0.000
8$% 0.000
8$8 0.000
83' 0.000
834 0.000
83* 0.000
840 0.000
843 0.000
84& 0.000
849 0.000
8%$ 0.000
8%% 0.000
8%8 0.000
8&' 0.000
8&4 0.000
8&* 0.0008*0 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
35/148
8*3 0.000
8*& 0.000
8*9 0.000
88$ 0.000
88% 0.000
888 0.000
89' 0.000
894 0.000
89* 0.000
900 0.000
903 0.000
90& 0.000
909 0.000
9'$ 0.000
9'% 0.000
9'8 0.000
9$' 0.000
9$4 0.0009$* 0.000
930 0.000
933 0.000
93& 0.000
939 0.000
94$ 0.000
94% 0.000
948 0.000
9%' 0.000
9%4 0.000
9%* 0.000
9&0 0.0009&3 0.000
9&& 0.000
9&9 0.000
9*$ 0.000
9*% 0.000
9*8 0.000
98' 0.000
984 0.000
98* 0.000
990 0.000
993 0.000
99& 0.000
999 0.000
'00$ 0.000
'00% 0.000
'008 0.000
'0'' 0.000
'0'4 0.000
'0'* 0.000
'0$0 0.000
'0$3 0.000
'0$& 0.000
'0$9 0.000'03$ 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
36/148
'03% 0.000
'038 0.000
'04' 0.000
'044 0.000
'04* 0.000
'0%0 0.000
'0%3 0.000
'0%& 0.000
'0%9 0.000
'0&$ 0.000
'0&% 0.000
'0&8 0.000
'0*' 0.000
'0*4 0.000
'0** 0.000
'080 0.000
'083 0.000
'08& 0.000'089 0.000
'09$ 0.000
'09% 0.000
'098 0.000
''0' 0.000
''04 0.000
''0* 0.000
'''0 0.000
'''3 0.000
'''& 0.000
'''9 0.000
''$$ 0.000''$% 0.000
''$8 0.000
''3' 0.000
''34 0.000
''3* 0.000
''40 0.000
''43 0.000
''4& 0.000
''49 0.000
''%$ 0.000
''%% 0.000
''%8 0.000
''&' 0.000
''&4 0.000
''&* 0.000
''*0 0.000
''*3 0.000
''*& 0.000
''*9 0.000
''8$ 0.000
''8% 0.000
''88 0.000
''9' 0.000''94 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
37/148
''9* 0.000
'$00 0.000
-
7/25/2019 Ch 8 LPI Inflation Swap
38/148
-
7/25/2019 Ch 8 LPI Inflation Swap
39/148
*re5!en4 table
'
= 3 This "ersion al!lates the &rowth rate !si
S &
1 '$ This "ersion a"era&es the res!lts of normal
7t this point, it r!ns two sim!lations sim!l
%tati RPI str!t!re ((((E Implie
1verage
1ccumulative :# 5ro"th
Reference Inex Inex (/-,/9,+8# rate pa. >olatilit2 pa.
ct!08 $'%.$$
ov!09 $$'.%* $.&*8- '.'00-
Reference Inex
ov!09 $$'.%* '0$.9%-
ov!09 $$'.%* '0$.9%- !'?$$'?840
ov!09 $$'.%* '0$.9%- !'?$$'?840
ov!09 $$'.%* '0$.9%- !'?$$'?840
ov!'0 $$8.$$ '0&.04- !'?$$'?840 $.9%8- '.'00-
ov!'0 $$8.$$ '0&.04- !'?$%8?%$0
ov!'0 $$8.$$ '0&.04- !'?$%8?%$0
ov!'0 $$8.$$ '0&.04- !'?$%8?%$0ov!'' $3%.33 '09.34- !'?$%8?%$0 3.0&8- '.'00-
ov!'' $3%.33 '09.34- !'?$9*?*$3
ov!'' $3%.33 '09.34- !'?$9*?*$3
ov!'' $3%.33 '09.34- !'?$9*?*$3
ov!'$ $43.'$ ''$.9&- !'?$9*?*$3 3.$48- '.'00-
ov!'$ $43.'$ ''$.9&- !'?340?&83
ov!'$ $43.'$ ''$.9&- !'?340?&83
ov!'$ $43.'$ ''$.9&- !'?340?&83
ov!'3 $%'.3* ''&.80- !'?340?&83 3.3$'- '.'00-
ov!'3 $%'.3* ''&.80- !'?38&?$03
ov!'3 $%'.3* ''&.80- !'?38&?$03
ov!'3 $%'.3* ''&.80- !'?38&?$03ov!'4 $&0.'' '$0.8&- !'?38&?$03 3.4$*- '.'00-
-
7/25/2019 Ch 8 LPI Inflation Swap
40/148
ov!'4 $&0.'' '$0.8&- !'?434?40$
ov!'4 $&0.'' '$0.8&- !'?434?40$
ov!'4 $&0.'' '$0.8&- !'?434?40$
ov!'% $&9.'8 '$%.0*- !'?434?40$ 3.43%- '.'00-
ov!'% $&9.'8 '$%.0*- !'?484?39&
ov!'% $&9.'8 '$%.0*- !'?484?39&
ov!'% $&9.'8 '$%.0*- !'?484?39&
ov!'& $*8.9* '$9.&$- !'?484?39& 3.%&3- '.'00-
ov!'& $*8.9* '$9.&$- !'?%38?38%
ov!'& $*8.9* '$9.&$- !'?%38?38%
ov!'& $*8.9* '$9.&$- !'?%38?38%
ov!'* $89.$4 '34.39- !'?%38?38% 3.&'%- '.'00-
ov!'* $89.$4 '34.39- !'?%9%?0'8
ov!'* $89.$4 '34.39- !'?%9%?0'8
ov!'* $89.$4 '34.39- !'?%9%?0'8
ov!'8 300.0& '39.4$- !'?%9%?0'8 3.&*$- '.'00-
ov!'8 300.0& '39.4$- !'?&%4?&**
ov!'8 300.0& '39.4$- !'?&%4?&**ov!'8 300.0& '39.4$- !'?&%4?&**
ov!'9 3''.%% '44.*&- !'?&%4?&** 3.*38- '.'00-
ov!'9 3''.%% '44.*&- !'?*'8?04%
ov!'9 3''.%% '44.*&- !'?*'8?04%
ov!'9 3''.%% '44.*&- !'?*'8?04%
ov!$0 3$3.40 '%0.$&- !'?*'8?04% 3.*43- '.'00-
ov!$0 3$3.40 '%0.$&- !'?*83?383
ov!$0 3$3.40 '%0.$&- !'?*83?383
ov!$0 3$3.40 '%0.$&- !'?*83?383
ov!$' 33%.8& '%&.0%- !'?*83?383 3.*80- '.'00-
ov!$' 33%.8& '%&.0%- !'?8%$?084
ov!$' 33%.8& '%&.0%- !'?8%$?084ov!$' 33%.8& '%&.0%- !'?8%$?084
ov!$$ 349.03 '&$.'*- !'?8%$?084 3.848- '.'00-
ov!$$ 349.03 '&$.'*- !'?9$4?*3&
ov!$$ 349.03 '&$.'*- !'?9$4?*3&
ov!$$ 349.03 '&$.'*- !'?9$4?*3&
ov!$3 3&$.40 '&8.38- !'?9$4?*3& 3.*%8- '.'00-
ov!$3 3&$.40 '&8.38- !'?998?444
ov!$3 3&$.40 '&8.38- !'?998?444
ov!$3 3&$.40 '&8.38- !'?998?444
ov!$4 3*&.44 '*4.9'- !'?998?444 3.**'- '.'00-
ov!$4 3*&.44 '*4.9'- !$?0*%?8*8
ov!$4 3*&.44 '*4.9'- !$?0*%?8*8
ov!$4 3*&.44 '*4.9'- !$?0*%?8*8
ov!$% 39'.'& '8'.*%- !$?0*%?8*8 3.848- '.'00-
ov!$% 39'.'& '8'.*%- !$?'%*?08*
ov!$% 39'.'& '8'.*%- !$?'%*?08*
ov!$% 39'.'& '8'.*%- !$?'%*?08*
ov!$& 40&.&& '88.9%- !$?'%*?08* 3.894- '.'00-
ov!$& 40&.&& '88.9%- !$?$4$?%'0
ov!$& 40&.&& '88.9%- !$?$4$?%'0
ov!$& 40&.&& '88.9%- !$?$4$?%'0
ov!$* 4$$.9% '9&.%$- !$?$4$?%'0 3.930- '.'00-
ov!$* 4$$.9% '9&.%$- !$?33$?394ov!$* 4$$.9% '9&.%$- !$?33$?394
-
7/25/2019 Ch 8 LPI Inflation Swap
41/148
ov!$* 4$$.9% '9&.%$- !$?33$?394
ov!$8 439.40 $04.'&- !$?33$?394 3.804- '.'00-
ov!$8 439.40 $04.'&- !$?4$3?0*0
ov!$8 439.40 $04.'&- !$?4$3?0*0
ov!$8 439.40 $04.'&- !$?4$3?0*0
ov!$9 4%&.%0 $'$.'0- !$?4$3?0*0 3.8'*- '.'00-
-
7/25/2019 Ch 8 LPI Inflation Swap
42/148
-
7/25/2019 Ch 8 LPI Inflation Swap
43/148
-
7/25/2019 Ch 8 LPI Inflation Swap
44/148
-
7/25/2019 Ch 8 LPI Inflation Swap
45/148
-
7/25/2019 Ch 8 LPI Inflation Swap
46/148
-
7/25/2019 Ch 8 LPI Inflation Swap
47/148
-
7/25/2019 Ch 8 LPI Inflation Swap
48/148
-
7/25/2019 Ch 8 LPI Inflation Swap
49/148
& ontin!o!s ompo!ndin&
and antitheti sim!lations, and then estimates fi'ed rate
aneo!sl4 on the LPI 7AD the RPI str!t!res
*orward sim!lation (((E
6nbo!nded RPI str!t!re ((((E 0o!nded LPI
rv Simulate Simulate 1ccumulate Simulate
;ime gro"th Inex Inex :# Inex
@2earsA (/,898,$82
$'%.$$ $'%.$$
'.08 '0&.*- 4.'$'- $$4.$8 $$4.$8
$$4.$8 '04.$'-
$$4.$8 '04.$'- !'?$3&?*9'
$$4.$8 '04.$'- !'?$3&?*9'
$$4.$8 '04.$'- !'?$3&?*9'
'.00 !3'- $.&'3- $30.$$ '0&.9*- !'?$3&?*9' $$8.''
$30.$$ '0&.9*- !'?$&9?%3%
$30.$$ '0&.9*- !'?$&9?%3%
$30.$$ '0&.9*- !'?$&9?%3%'.00 '$'- 4.39%- $40.%& '''.**- !'?$&9?%3% $38.3&
$40.%& '''.**- !'?3$&?%**
$40.%& '''.**- !'?3$&?%**
$40.%& '''.**- !'?3$&?%**
'.00 !9%- $.$0&- $4%.93 ''4.$*- !'?3$&?%** $40.$0
$4%.93 ''4.$*- !'?3%&?'*$
$4%.93 ''4.$*- !'?3%&?'*$
$4%.93 ''4.$*- !'?3%&?'*$
'.0' '0*- 4.%''- $%*.$8 ''9.%4- !'?3%&?'*$ $%'.$8
$%*.$8 ''9.%4- !'?4'8?*%&
$%*.$8 ''9.%4- !'?4'8?*%&
$%*.$8 ''9.%4- !'?4'8?*%&'.00 ''4- 4.&%9- $&9.%% '$%.$4- !'?4'8?*%& $%9.$0
-
7/25/2019 Ch 8 LPI Inflation Swap
50/148
$&9.%% '$%.$4- !'?48&?4$0
$&9.%% '$%.$4- !'?48&?4$0
$&9.%% '$%.$4- !'?48&?4$0
'.00 !$&'- 0.%%8- $*'.0% '$%.94- !'?48&?4$0 $%&.$%
$*'.0% '$%.94- !'?494?*30
$*'.0% '$%.94- !'?494?*30
$*'.0% '$%.94- !'?494?*30
'.00 !'&4- '.*&'- $*%.8* '$8.'8- !'?494?*30 $&'.9%
$*%.8* '$8.'8- !'?%$'?$90
$*%.8* '$8.'8- !'?%$'?$90
$*%.8* '$8.'8- !'?%$'?$90
'.00 '%- 3.**&- $8&.49 '33.''- !'?%$'?$90 $*$.03
$8&.49 '33.''- !'?%*9?83&
$8&.49 '33.''- !'?%*9?83&
$8&.49 '33.''- !'?%*9?83&
'.00 !$*- 3.3*'- $9&.3' '3*.&*- !'?%*9?83& $*9.0&
$9&.3' '3*.&*- !'?&34?003
$9&.3' '3*.&*- !'?&34?003$9&.3' '3*.&*- !'?&34?003
'.0' !9'- $.*%'- 304.%* '4'.%'- !'?&34?003 $8%.&%
304.%* '4'.%'- !'?&*9?%*$
304.%* '4'.%'- !'?&*9?%*$
304.%* '4'.%'- !'?&*9?%*$
'.00 0- 3.*3$- 3'&.'% '4&.89- !'?&*9?%*$ $9&.%'
3'&.'% '4&.89- !'?*43?43'
3'&.'% '4&.89- !'?*43?43'
3'&.'% '4&.89- !'?*43?43'
'.00 !$0$- '.%%$- 3$'.'0 '49.'9- !'?*43?43' $98.8$
3$'.'0 '49.'9- !'?**0?*03
3$'.'0 '49.'9- !'?**0?*033$'.'0 '49.'9- !'?**0?*03
'.00 !%'- 3.$83- 33'.8$ '%4.'*- !'?**0?*03 308.80
33'.8$ '%4.'*- !'?8$9?803
33'.8$ '%4.'*- !'?8$9?803
33'.8$ '%4.'*- !'?8$9?803
'.00 *0- 4.%$*- 34*.'8 '&'.3'- !'?8$9?803 3$$.04
34*.'8 '&'.3'- !'?9'4?%39
34*.'8 '&'.3'- !'?9'4?%39
34*.'8 '&'.3'- !'?9'4?%39
'.0' !'3$- $.340- 3%%.40 '&%.'3- !'?9'4?%39 3$4.%3
3%%.40 '&%.'3- !'?9%9?8*3
3%%.40 '&%.'3- !'?9%9?8*3
3%%.40 '&%.'3- !'?9%9?8*3
'.00 '%8- %.%*$- 3*%.** '*4.%9- !'?9%9?8*3 343.'$
3*%.** '*4.%9- !$?0*$?'&9
3*%.** '*4.%9- !$?0*$?'&9
3*%.** '*4.%9- !$?0*$?'&9
'.00 38- 4.$90- 39$.$4 '8$.$%- !$?0*$?'&9 348.9'
39$.$4 '8$.$%- !$?'&$?99%
39$.$4 '8$.$%- !$?'&$?99%
39$.$4 '8$.$%- !$?'&$?99%
'.00 '3'- %.3&%- 4'3.8& '9$.$9- !$?'&$?99% 3&3.$*
4'3.8& '9$.$9- !$?$8$?$'*4'3.8& '9$.$9- !$?$8$?$'*
-
7/25/2019 Ch 8 LPI Inflation Swap
51/148
4'3.8& '9$.$9- !$?$8$?$'*
'.00 34- 4.'8&- 43'.%% $00.%'- !$?$8$?$'* 3&9.*8
43'.%% $00.%'- !$?3*9?*88
43'.%% $00.%'- !$?3*9?*88
43'.%% $00.%'- !$?3*9?*88
'.00 &3- 4.%00- 4%'.4' $09.*4- !$?3*9?*88 38$.0*
-
7/25/2019 Ch 8 LPI Inflation Swap
52/148
-
7/25/2019 Ch 8 LPI Inflation Swap
53/148
-
7/25/2019 Ch 8 LPI Inflation Swap
54/148
-
7/25/2019 Ch 8 LPI Inflation Swap
55/148
-
7/25/2019 Ch 8 LPI Inflation Swap
56/148
-
7/25/2019 Ch 8 LPI Inflation Swap
57/148
-
7/25/2019 Ch 8 LPI Inflation Swap
58/148
-
7/25/2019 Ch 8 LPI Inflation Swap
59/148
7ntitheti
str!t!re ((((E
Lo"er pper 6oune 6oune 1ccumulate antithetic
boun boun uplift Inex Inex :# rv
(/$,9/9,#+-
$'%.$$
'.08- 3.$%- '03.3- $$$.$3 !'0&.*-
'.00- 3.00- $$$.$3 '03.$%- $0499'0.8&
'.00- 3.00- $$$.$3 '03.$%- !'?$$%?48* $0499'0.8&
'.00- 3.00- $$$.$3 '03.$%- !'?$$%?48* $0499'0.8&
'.00- 3.00- $$$.$3 '03.$%- !'?$$%?48* $0499'0.8&
'.00- 3.00- '0$.&- $$8.'' '0%.99- !'?$$%?48* $'04'8'.&3* 3'-
'.00- 3.00- $$8.'' '0%.99- !'?$%*?93' $'04'8'.&3*
'.00- 3.00- $$8.'' '0%.99- !'?$%*?93' $'04'8'.&3*
'.00- 3.00- $$8.'' '0%.99- !'?$%*?93' $'04'8'.&3*'.00- 3.00- '03.0- $34.9& '09.'*- !'?$%*?93' %&04*8*.&08 !'$'-
'.00- 3.00- $34.9& '09.'*- !'?$9%?&&9 %&04*8*.&08
'.00- 3.00- $34.9& '09.'*- !'?$9%?&&9 %&04*8*.&08
'.00- 3.00- $34.9& '09.'*- !'?$9%?&&9 %&04*8*.&08
'.00- 3.00- '0$.$- $40.$0 '''.&0- !'?$9%?&&9 %*$98$9.403 9%-
'.00- 3.00- $40.$0 '''.&0- !'?3$4?%*% %*$98$9.403
'.00- 3.00- $40.$0 '''.&0- !'?3$4?%*% %*$98$9.403
'.00- 3.00- $40.$0 '''.&0- !'?3$4?%*% %*$98$9.403
'.00- 3.00- '03.0- $4*.40 ''4.9%- !'?3$4?%*% 98*$*4*.*04 !'0*-
'.00- 3.00- $4*.40 ''4.9%- !'?3&4?3'$ 98*$*4*.*04
'.00- 3.00- $4*.40 ''4.9%- !'?3&4?3'$ 98*$*4*.*04
'.00- 3.00- $4*.40 ''4.9%- !'?3&4?3'$ 98*$*4*.*04'.00- 3.00- '03.0- $%4.83 ''8.40- !'?3&4?3'$ '4*$0*38.$9 !''4-
-
7/25/2019 Ch 8 LPI Inflation Swap
60/148
'.00- 3.00- $%4.83 ''8.40- !'?40%?$4$ '4*$0*38.$9
'.00- 3.00- $%4.83 ''8.40- !'?40%?$4$ '4*$0*38.$9
'.00- 3.00- $%4.83 ''8.40- !'?40%?$4$ '4*$0*38.$9
'.00- 3.00- '0'.0- $%*.3* ''9.%8- !'?40%?$4$ '3&*9493.$8 $&'-
'.00- 3.00- $%*.3* ''9.%8- !'?4'9?$94 '3&*9493.$8
'.00- 3.00- $%*.3* ''9.%8- !'?4'9?$94 '3&*9493.$8
'.00- 3.00- $%*.3* ''9.%8- !'?4'9?$94 '3&*9493.$8
'.00- 3.00- '0'.8- $&'.9% '$'.*'- !'?4'9?$94 '39$$%&3.88 '&4-
'.00- 3.00- $&'.9% '$'.*'- !'?444?%'4 '39$$%&3.88
'.00- 3.00- $&'.9% '$'.*'- !'?444?%'4 '39$$%&3.88
'.00- 3.00- $&'.9% '$'.*'- !'?444?%'4 '39$$%&3.88
'.00- 3.00- '03.0- $&9.8' '$%.3&- !'?444?%'4 '&&8090'.39 !'%-
'.00- 3.00- $&9.8' '$%.3&- !'?48*?849 '&&8090'.39
'.00- 3.00- $&9.8' '$%.3&- !'?48*?849 '&&8090'.39
'.00- 3.00- $&9.8' '$%.3&- !'?48*?849 '&&8090'.39
'.00- 3.00- '03.0- $**.90 '$9.'$- !'?48*?849 '8409$9&.$9 $*-
'.00- 3.00- $**.90 '$9.'$- !'?%3$?48% '8409$9&.$9
'.00- 3.00- $**.90 '$9.'$- !'?%3$?48% '8409$9&.$9'.00- 3.00- $**.90 '$9.'$- !'?%3$?48% '8409$9&.$9
'.00- 3.00- '0$.8- $8%.&% '3$.*$- !'?%3$?48% '89$$&9*.%* 9'-
'.00- 3.00- $8%.&% '3$.*$- !'?%*%?$$3 '89$$&9*.%*
'.00- 3.00- $8%.&% '3$.*$- !'?%*%?$$3 '89$$&9*.%*
'.00- 3.00- $8%.&% '3$.*$- !'?%*%?$$3 '89$$&9*.%*
'.00- 3.00- '03.0- $94.$$ '3&.*0- !'?%*%?$$3 $'933$99.3* 0-
'.00- 3.00- $94.$$ '3&.*0- !'?&$$?4*9 $'933$99.3*
'.00- 3.00- $94.$$ '3&.*0- !'?&$$?4*9 $'933$99.3*
'.00- 3.00- $94.$$ '3&.*0- !'?&$$?4*9 $'933$99.3*
'.00- 3.00- '0'.&- $98.8$ '38.84- !'?&$$?4*9 $$$*&400.** $0$-
'.00- 3.00- $98.8$ '38.84- !'?&4*?8&0 $$$*&400.**
'.00- 3.00- $98.8$ '38.84- !'?&4*?8&0 $$$*&400.**'.00- 3.00- $98.8$ '38.84- !'?&4*?8&0 $$$*&400.**
'.00- 3.00- '03.0- 30*.*9 '43.0'- !'?&4*?8&0 $40$8*88.83 %'-
'.00- 3.00- 30*.*9 '43.0'- !'?&9*?$9& $40$8*88.83
'.00- 3.00- 30*.*9 '43.0'- !'?&9*?$9& $40$8*88.83
'.00- 3.00- 30*.*9 '43.0'- !'?&9*?$9& $40$8*88.83
'.00- 3.00- '03.0- 3'*.0$ '4*.30- !'?&9*?$9& 30'&'$&'.39 !*0-
'.00- 3.00- 3'*.0$ '4*.30- !'?*48?$'4 30'&'$&'.39
'.00- 3.00- 3'*.0$ '4*.30- !'?*48?$'4 30'&'$&'.39
'.00- 3.00- 3'*.0$ '4*.30- !'?*48?$'4 30'&'$&'.39
'.00- 3.00- '0$.4- 3$4.%3 '%0.*9- !'?*48?$'4 308*%438.%3 '3$-
'.00- 3.00- 3$4.%3 '%0.*9- !'?*89?&'0 308*%438.%3
'.00- 3.00- 3$4.%3 '%0.*9- !'?*89?&'0 308*%438.%3
'.00- 3.00- 3$4.%3 '%0.*9- !'?*89?&'0 308*%438.%3
'.00- 3.00- '03.0- 334.$& '%%.3'- !'?*89?&'0 4'%033%%.' !'%8-
'.00- 3.00- 334.$& '%%.3'- !'?843?$98 4'%033%%.'
'.00- 3.00- 334.$& '%%.3'- !'?843?$98 4'%033%%.'
'.00- 3.00- 334.$& '%%.3'- !'?843?$98 4'%033%%.'
'.00- 3.00- '03.0- 344.$9 '%9.9*- !'?843?$98 4*94%*'$ !38-
'.00- 3.00- 344.$9 '%9.9*- !'?898?%9* 4*94%*'$
'.00- 3.00- 344.$9 '%9.9*- !'?898?%9* 4*94%*'$
'.00- 3.00- 344.$9 '%9.9*- !'?898?%9* 4*94%*'$
'.00- 3.00- '03.0- 3%4.&$ '&4.**- !'?898?%9* %9$3&*43.*9 !'3'-
'.00- 3.00- 3%4.&$ '&4.**- !'?9%%?%%% %9$3&*43.*9'.00- 3.00- 3%4.&$ '&4.**- !'?9%%?%%% %9$3&*43.*9
-
7/25/2019 Ch 8 LPI Inflation Swap
61/148
'.00- 3.00- 3%4.&$ '&4.**- !'?9%%?%%% %9$3&*43.*9
'.00- 3.00- '03.0- 3&%.$& '&9.*'- !'?9%%?%%% &&$9'&3%.4$ !34-
'.00- 3.00- 3&%.$& '&9.*'- !$?0'4?$$$ &&$9'&3%.4$
'.00- 3.00- 3&%.$& '&9.*'- !$?0'4?$$$ &&$9'&3%.4$
'.00- 3.00- 3&%.$& '&9.*'- !$?0'4?$$$ &&$9'&3%.4$
'.00- 3.00- '03.0- 3*&.$$ '*4.80- !$?0'4?$$$ *%'98%&8.%* !&3-
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
-
7/25/2019 Ch 8 LPI Inflation Swap
62/148
-
7/25/2019 Ch 8 LPI Inflation Swap
63/148
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
-
7/25/2019 Ch 8 LPI Inflation Swap
64/148
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
-
7/25/2019 Ch 8 LPI Inflation Swap
65/148
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
-
7/25/2019 Ch 8 LPI Inflation Swap
66/148
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7C
B>1L7CB>1L7C
-
7/25/2019 Ch 8 LPI Inflation Swap
67/148
B>1L7C
B>1L7C
-
7/25/2019 Ch 8 LPI Inflation Swap
68/148
-
7/25/2019 Ch 8 LPI Inflation Swap
69/148
sim!lation (((E
6nbo!nded RPI str!t!re ((((E 0o!nded LPI str!t!re ((((E
Simulate Simulate 1ccumulate Simulate Lo"er pper 6oune
gro"th Inex Inex :# Inex boun boun uplift
(//,-9,9#2
$'%.$$ $'%.$$
'.&*&- $'8.8& $'8.8& '.08- 3.$%- '0'.*-
$'8.8& '0'.&9- '.00- 3.00-
$'8.8& '0'.&9- !'?$0&?9'$ '.00- 3.00-
$'8.8& '0'.&9- !'?$0&?9'$ '.00- 3.00-
$'8.8& '0'.&9- !'?$0&?9'$ '.00- 3.00-
3.$90- $$&.'8 '0%.09- !'?$0&?9'$ $$&.'8 '.00- 3.00- '03.0-
$$&.'8 '0%.09- !'?$4*?$8& '.00- 3.00-
$$&.'8 '0%.09- !'?$4*?$8& '.00- 3.00-
$$&.'8 '0%.09- !'?$4*?$8& '.00- 3.00-'.*$8- $30.'$ '0&.9$- !'?$4*?$8& $$9.3& '.00- 3.00- '0'.*-
$30.'$ '0&.9$- !'?$&9?0$4 '.00- 3.00-
$30.'$ '0&.9$- !'?$&9?0$4 '.00- 3.00-
$30.'$ '0&.9$- !'?$&9?0$4 '.00- 3.00-
4.$9%- $40.$$ '''.&$- !'?$&9?0$4 $39.4$ '.00- 3.00- '03.0-
$40.$$ '''.&$- !'?3$4?*'% '.00- 3.00-
$40.$$ '''.&$- !'?3$4?*'% '.00- 3.00-
$40.$$ '''.&$- !'?3$4?*'% '.00- 3.00-
$.'%4- $4%.4% ''4.0%- !'?3$4?*'% $4'.38 '.00- 3.00- '0$.$-
$4%.4% ''4.0%- !'?3%3?%&3 '.00- 3.00-
$4%.4% ''4.0%- !'?3%3?%&3 '.00- 3.00-
$4%.4% ''4.0%- !'?3%3?%&3 '.00- 3.00-$.'&%- $%0.83 ''&.%4- !'?3%3?%&3 $4&.&& '.00- 3.00- '0$.$-
-
7/25/2019 Ch 8 LPI Inflation Swap
70/148
$%0.83 ''&.%4- !'?383?'8& '.00- 3.00-
$%0.83 ''&.%4- !'?383?'8& '.00- 3.00-
$%0.83 ''&.%4- !'?383?'8& '.00- 3.00-
&.$8$- $&*.09 '$4.'0- !'?383?'8& $&$.&& '.00- 3.00- '03.0-
$&*.09 '$4.'0- !'?4*$?8*' '.00- 3.00-
$&*.09 '$4.'0- !'?4*$?8*' '.00- 3.00-
$&*.09 '$4.'0- !'?4*$?8*' '.00- 3.00-
%.3*'- $8'.83 '30.9%- !'?4*$?8*' $&8.08 '.00- 3.00- '03.0-
$8'.83 '30.9%- !'?%%4?'49 '.00- 3.00-
$8'.83 '30.9%- !'?%%4?'49 '.00- 3.00-
$8'.83 '30.9%- !'?%%4?'49 '.00- 3.00-
3.44$- $9'.*0 '3%.%3- !'?%%4?'49 $*0.8% '.00- 3.00- '03.0-
$9'.*0 '3%.%3- !'?&08?%*& '.00- 3.00-
$9'.*0 '3%.%3- !'?&08?%*& '.00- 3.00-
$9'.*0 '3%.%3- !'?&08?%*& '.00- 3.00-
3.9&'- 303.48 '4'.0'- !'?&08?%*& $80.43 '.00- 3.00- '03.0-
303.48 '4'.0'- !'?&*3?%&* '.00- 3.00-
303.48 '4'.0'- !'?&*3?%&* '.00- 3.00-303.48 '4'.0'- !'?&*3?%&* '.00- 3.00-
4.*%3- 3'8.$& '4*.8*- !'?&*3?%&* $9'.'4 '.00- 3.00- '03.0-
3'8.$& '4*.8*- !'?*%%?04' '.00- 3.00-
3'8.$& '4*.8*- !'?*%%?04' '.00- 3.00-
3'8.$& '4*.8*- !'?*%%?04' '.00- 3.00-
3.*$'- 330.3$ '%3.48- !'?*%%?04' $9&.*9 '.00- 3.00- '03.0-
330.3$ '%3.48- !'?8$'?%83 '.00- 3.00-
330.3$ '%3.48- !'?8$'?%83 '.00- 3.00-
330.3$ '%3.48- !'?8$'?%83 '.00- 3.00-
%.99&- 3%0.*4 '&$.9&- !'?8$'?%83 3'$.*3 '.00- 3.00- '03.0-
3%0.*4 '&$.9&- !'?934?'38 '.00- 3.00-
3%0.*4 '&$.9&- !'?934?'38 '.00- 3.00-3%0.*4 '&$.9&- !'?934?'38 '.00- 3.00-
4.400- 3&&.%' '*0.$9- !'?934?'38 3'*.0' '.00- 3.00- '03.0-
3&&.%' '*0.$9- !$?0$'?'4& '.00- 3.00-
3&&.%' '*0.$9- !$?0$'?'4& '.00- 3.00-
3&&.%' '*0.$9- !$?0$'?'4& '.00- 3.00-
$.9**- 3**.%9 '*%.44- !$?0$'?'4& 3$'.9' '.00- 3.00- '03.0-
3**.%9 '*%.44- !$?08$?$$0 '.00- 3.00-
3**.%9 '*%.44- !$?08$?$$0 '.00- 3.00-
3**.%9 '*%.44- !$?08$?$$0 '.00- 3.00-
%.$%'- 39*.94 '84.90- !$?08$?$$0 339.'9 '.00- 3.00- '03.0-
39*.94 '84.90- !$?'94?4&9 '.00- 3.00-
39*.94 '84.90- !$?'94?4&9 '.00- 3.00-
39*.94 '84.90- !$?'94?4&9 '.00- 3.00-
$.09'- 40&.3% '88.80- !$?'94?4&9 338.%0 '.00- 3.00- '0$.'-
40&.3% '88.80- !$?$40?843 '.00- 3.00-
40&.3% '88.80- !$?$40?843 '.00- 3.00-
40&.3% '88.80- !$?$40?843 '.00- 3.00-
3.4&&- 4$0.&8 '9%.4&- !$?$40?843 3%0.44 '.00- 3.00- '03.0-
4$0.&8 '9%.4&- !$?3'9?8&3 '.00- 3.00-
4$0.&8 '9%.4&- !$?3'9?8&3 '.00- 3.00-
4$0.&8 '9%.4&- !$?3'9?8&3 '.00- 3.00-
$.48$- 43'.$& $00.38- !$?3'9?8&3 3%*.4$ '.00- 3.00- '0$.%-
43'.$& $00.38- !$?3*8?'*$ '.00- 3.00-43'.$& $00.38- !$?3*8?'*$ '.00- 3.00-
-
7/25/2019 Ch 8 LPI Inflation Swap
71/148
43'.$& $00.38- !$?3*8?'*$ '.00- 3.00-
3.430- 44&.30 $0*.3*- !$?3*8?'*$ 3&9.89 '.00- 3.00- '03.0-
44&.30 $0*.3*- !$?4&'?'4* '.00- 3.00-
44&.30 $0*.3*- !$?4&'?'4* '.00- 3.00-
44&.30 $0*.3*- !$?4&'?'4* '.00- 3.00-
3.'$$- 4&0.4& $'3.94- !$?4&'?'4* 3*9.8$ '.00- 3.00- '03.0-
-
7/25/2019 Ch 8 LPI Inflation Swap
72/148
-
7/25/2019 Ch 8 LPI Inflation Swap
73/148
-
7/25/2019 Ch 8 LPI Inflation Swap
74/148
-
7/25/2019 Ch 8 LPI Inflation Swap
75/148
-
7/25/2019 Ch 8 LPI Inflation Swap
76/148
-
7/25/2019 Ch 8 LPI Inflation Swap
77/148
-
7/25/2019 Ch 8 LPI Inflation Swap
78/148
-
7/25/2019 Ch 8 LPI Inflation Swap
79/148
6oune 1ccumulate
Inex Inex :# *i'ed side
(/$,//,/$$
$'%.$$ 6ase inexing ate
$'8.8& Start ate %!ct!09
plift ates
$'8.8& '0'.&9- 0 %!ct!09 %!ct!09 ct!09
$'8.8& '0'.&9- !'?$0&?9'$ 3 %!/an!'0 %!/an!'0 ct!09
$'8.8& '0'.&9- !'?$0&?9'$ & %!1pr!'0 %!1pr!'0 ct!09
$'8.8& '0'.&9- !'?$0&?9'$ 9 %!/ul!'0 %!/ul!'0 ct!09
$$%.43 '04.*4- !'?$0&?9'$ '$ %!ct!'0 %!ct!'0 ct!'0
$$%.43 '04.*4- !'?$43?''9 '% %!/an!'' %!/an!'' ct!'0
$$%.43 '04.*4- !'?$43?''9 '8 %!1pr!'' %!1pr!'' ct!'0
$$%.43 '04.*4- !'?$43?''9 $' %!/ul!'' %!/ul!'' ct!'0$$9.3& '0&.%*- !'?$43?''9 $4 %!ct!'' %!ct!'' ct!''
$$9.3& '0&.%*- !'?$&4?*8% $* %!/an!'$ %!/an!'$ ct!''
$$9.3& '0&.%*- !'?$&4?*8% 30 %!1pr!'$ %!1pr!'$ ct!''
$$9.3& '0&.%*- !'?$&4?*8% 33 %!/ul!'$ %!/ul!'$ ct!''
$3&.$4 '09.*&- !'?$&4?*8% 3& %!ct!'$ %!ct!'$ ct!'$
$3&.$4 '09.*&- !'?30$?*$8 39 %!/an!'3 *!/an!'3 ct!'$
$3&.$4 '09.*&- !'?30$?*$8 4$ %!1pr!'3 %!1pr!'3 ct!'$
$3&.$4 '09.*&- !'?30$?*$8 4% %!/ul!'3 %!/ul!'3 ct!'$
$4'.38 ''$.'%- !'?30$?*$8 48 %!ct!'3 *!ct!'3 ct!'3
$4'.38 ''$.'%- !'?33'?098 %' %!/an!'4 &!/an!'4 ct!'3
$4'.38 ''$.'%- !'?33'?098 %4 %!1pr!'4 *!1pr!'4 ct!'3
$4'.38 ''$.'%- !'?33'?098 %* %!/ul!'4 *!/ul!'4 ct!'3$4&.&& ''4.&'- !'?33'?098 &0 %!ct!'4 &!ct!'4 ct!'4
-
7/25/2019 Ch 8 LPI Inflation Swap
80/148
$4&.&& ''4.&'- !'?3&0?$$8 &3 %!/an!'% %!/an!'% ct!'4
$4&.&& ''4.&'- !'?3&0?$$8 && %!1pr!'% &!1pr!'% ct!'4
$4&.&& ''4.&'- !'?3&0?$$8 &9 %!/ul!'% &!/ul!'% ct!'4
$%4.0& ''8.0%- !'?3&0?$$8 *$ %!ct!'% %!ct!'% ct!'%
$%4.0& ''8.0%- !'?40'?03% *% %!/an!'& %!/an!'& ct!'%
$%4.0& ''8.0%- !'?40'?03% *8 %!1pr!'& %!1pr!'& ct!'%
$%4.0& ''8.0%- !'?40'?03% 8' %!/ul!'& %!/ul!'& ct!'%
$&'.&8 '$'.%9- !'?40'?03% 84 %!ct!'& %!ct!'& ct!'&
$&'.&8 '$'.%9- !'?443?0&& 8* %!/an!'* %!/an!'* ct!'&
$&'.&8 '$'.%9- !'?443?0&& 90 %!1pr!'* %!1pr!'* ct!'&
$&'.&8 '$'.%9- !'?443?0&& 93 %!/ul!'* %!/ul!'* ct!'&
$&9.%4 '$%.$3- !'?443?0&& 9& %!ct!'* %!ct!'* ct!'*
$&9.%4 '$%.$3- !'?48&?3%8 99 %!/an!'8 %!/an!'8 ct!'*
$&9.%4 '$%.$3- !'?48&?3%8 '0$ %!1pr!'8 %!1pr!'8 ct!'*
$&9.%4 '$%.$3- !'?48&?3%8 '0% %!/ul!'8 %!/ul!'8 ct!'*
$**.&$ '$8.99- !'?48&?3%8 '08 %!ct!'8 %!ct!'8 ct!'8
$**.&$ '$8.99- !'?%30?949 ''' %!/an!'9 *!/an!'9 ct!'8
$**.&$ '$8.99- !'?%30?949 ''4 %!1pr!'9 %!1pr!'9 ct!'8$**.&$ '$8.99- !'?%30?949 ''* %!/ul!'9 %!/ul!'9 ct!'8
$8%.9% '3$.8&- !'?%30?949 '$0 %!ct!'9 *!ct!'9 ct!'9
$8%.9% '3$.8&- !'?%*&?8** '$3 %!/an!$0 &!/an!$0 ct!'9
$8%.9% '3$.8&- !'?%*&?8** '$& %!1pr!$0 &!1pr!$0 ct!'9
$8%.9% '3$.8&- !'?%*&?8** '$9 %!/ul!$0 &!/ul!$0 ct!'9
$94.%3 '3&.8%- !'?%*&?8** '3$ %!ct!$0 %!ct!$0 ct!$0
$94.%3 '3&.8%- !'?&$4?'84 '3% %!/an!$' %!/an!$' ct!$0
$94.%3 '3&.8%- !'?&$4?'84 '38 %!1pr!$' %!1pr!$' ct!$0
$94.%3 '3&.8%- !'?&$4?'84 '4' %!/ul!$' %!/ul!$' ct!$0
303.3& '40.9%- !'?&$4?'84 '44 %!ct!$' %!ct!$' ct!$'
303.3& '40.9%- !'?&*$?909 '4* %!/an!$$ %!/an!$$ ct!$'
303.3& '40.9%- !'?&*$?909 '%0 %!1pr!$$ %!1pr!$$ ct!$'303.3& '40.9%- !'?&*$?909 '%3 %!/ul!$$ %!/ul!$$ ct!$'
3'$.4* '4%.'8- !'?&*$?909 '%& %!ct!$$ %!ct!$$ ct!$$
3'$.4* '4%.'8- !'?*$3?09& '%9 %!/an!$3 %!/an!$3 ct!$$
3'$.4* '4%.'8- !'?*$3?09& '&$ %!1pr!$3 %!1pr!$3 ct!$$
3'$.4* '4%.'8- !'?*$3?09& '&% %!/ul!$3 %!/ul!$3 ct!$$
3$'.84 '49.%4- !'?*$3?09& '&8 %!ct!$3 %!ct!$3 ct!$3
3$'.84 '49.%4- !'?**4?*89 '*' %!/an!$4 %!/an!$4 ct!$3
3$'.84 '49.%4- !'?**4?*89 '*4 %!1pr!$4 %!1pr!$4 ct!$3
3$'.84 '49.%4- !'?**4?*89 '** %!/ul!$4 %!/ul!$4 ct!$3
33'.49 '%4.0$- !'?**4?*89 '80 %!ct!$4 *!ct!$4 ct!$4
33'.49 '%4.0$- !'?8$8?033 '83 %!/an!$% &!/an!$% ct!$4
33'.49 '%4.0$- !'?8$8?033 '8& %!1pr!$% *!1pr!$% ct!$4
33'.49 '%4.0$- !'?8$8?033 '89 %!/ul!$% *!/ul!$% ct!$4
338.%0 '%*.$8- !'?8$8?033 '9$ %!ct!$% &!ct!$% ct!$%
338.%0 '%*.$8- !'?8&&?&&4 '9% %!/an!$& %!/an!$& ct!$%
338.%0 '%*.$8- !'?8&&?&&4 '98 %!1pr!$& &!1pr!$& ct!$%
338.%0 '%*.$8- !'?8&&?&&4 $0' %!/ul!$& &!/ul!$& ct!$%
348.&% '&$.00- !'?8&&?&&4 $04 %!ct!$& %!ct!$& ct!$&
348.&% '&$.00- !'?9$$?&&3 $0* %!/an!$* %!/an!$* ct!$&
348.&% '&$.00- !'?9$$?&&3 $'0 %!1pr!$* %!1pr!$* ct!$&
348.&% '&$.00- !'?9$$?&&3 $'3 %!/ul!$* %!/ul!$* ct!$&
3%*.4$ '&&.0*- !'?9$$?&&3 $'& %!ct!$* %!ct!$* ct!$*
3%*.4$ '&&.0*- !'?9*0?989 $'9 %!/an!$8 %!/an!$8 ct!$*3%*.4$ '&&.0*- !'?9*0?989 $$$ %!1pr!$8 %!1pr!$8 ct!$*
-
7/25/2019 Ch 8 LPI Inflation Swap
81/148
3%*.4$ '&&.0*- !'?9*0?989 $$% %!/ul!$8 %!/ul!$8 ct!$*
3&8.'4 '*'.0%- !'?9*0?989 $$8 %!ct!$8 %!ct!$8 ct!$8
3&8.'4 '*'.0%- !$?030?''9 $3' %!/an!$9 %!/an!$9 ct!$8
3&8.'4 '*'.0%- !$?030?''9 $34 %!1pr!$9 %!1pr!$9 ct!$8
3&8.'4 '*'.0%- !$?030?''9 $3* %!/ul!$9 %!/ul!$9 ct!$8
3*9.'8 '*&.'8- !$?030?''9 $40 %!ct!$9 %!ct!$9 ct!$9
$43
$4&
$49
$%$
$%%
$%8
$&'
$&4
$&*
$*0
$*3
$*&$*9
$8$
$8%
$88
$9'
$94
$9*
300
303
30&
309
3'$3'%
3'8
3$'
3$4
3$*
330
333
33&
339
34$
34%
348
3%'
3%4
3%*
3&0
3&3
3&&
3&9
3*$
3*%
3*8
38'384
-
7/25/2019 Ch 8 LPI Inflation Swap
82/148
38*
390
393
39&
399
40$
40%
408
4''
4'4
4'*
4$0
4$3
4$&
4$9
43$
43%
43844'
444
44*
4%0
4%3
4%&
4%9
4&$
4&%
4&8
4*'
4*44**
480
483
48&
489
49$
49%
498
%0'
%04
%0*
%'0
%'3
%'&
%'9
%$$
%$%
%$8
%3'
%34
%3*
%40
%43%4&
-
7/25/2019 Ch 8 LPI Inflation Swap
83/148
%49
%%$
%%%
%%8
%&'
%&4
%&*
%*0
%*3
%*&
%*9
%8$
%8%
%88
%9'
%94
%9*
&00&03
&0&
&09
&'$
&'%
&'8
&$'
&$4
&$*
&30
&33
&3&&39
&4$
&4%
&48
&%'
&%4
&%*
&&0
&&3
&&&
&&9
&*$
&*%
&*8
&8'
&84
&8*
&90
&93
&9&
&99
*0$
*0%*08
-
7/25/2019 Ch 8 LPI Inflation Swap
84/148
*''
*'4
*'*
*$0
*$3
*$&
*$9
*3$
*3%
*38
*4'
*44
*4*
*%0
*%3
*%&
*%9
*&$*&%
*&8
**'
**4
***
*80
*83
*8&
*89
*9$
*9%
*9880'
804
80*
8'0
8'3
8'&
8'9
8$$
8$%
8$8
83'
834
83*
840
843
84&
849
8%$
8%%
8%8
8&'
8&4
8&*8*0
-
7/25/2019 Ch 8 LPI Inflation Swap
85/148
8*3
8*&
8*9
88$
88%
888
89'
894
89*
900
903
90&
909
9'$
9'%
9'8
9$'
9$49$*
930
933
93&
939
94$
94%
948
9%'
9%4
9%*
9&09&3
9&&
9&9
9*$
9*%
9*8
98'
984
98*
990
993
99&
999
'00$
'00%
'008
'0''
'0'4
'0'*
'0$0
'0$3
'0$&
'0$9'03$
-
7/25/2019 Ch 8 LPI Inflation Swap
86/148
'03%
'038
'04'
'044
'04*
'0%0
'0%3
'0%&
'0%9
'0&$
'0&%
'0&8
'0*'
'0*4
'0**
'080
'083
'08&'089
'09$
'09%
'098
''0'
''04
''0*
'''0
'''3
'''&
'''9
''$$''$%
''$8
''3'
''34
''3*
''40
''43
''4&
''49
''%$
''%%
''%8
''&'
''&4
''&*
''*0
''*3
''*&
''*9
''8$
''8%
''88
''9'''94
-
7/25/2019 Ch 8 LPI Inflation Swap
87/148
''9*
'$00
-
7/25/2019 Ch 8 LPI Inflation Swap
88/148
-
7/25/2019 Ch 8 LPI Inflation Swap
89/148
$.93-
Reference Inex
ct!08 $'4.*4
ov!09 $$'.%* anual
plift ;ime a2 count principal ;ime
-
7/25/2019 Ch 8 LPI Inflation Swap
90/148
%.00% 0.$49 0.00 &.9$3 4.93%- 0.*'0%8* 8*0?'99
%.00% 0.$49 0.00 *.'*3 4.939- 0.*0'*'8 8%9?339
%.00% 0.$49 0.00 *.4$$ 4.94$- 0.&9$949 848?&00
&.003 0.$49 0.00 *.&*' 4.94%- 0.&84309 838?0'9
&.003 0.$%$ 0.00 *.9$3 4.94*- 0.&*%*3' 8$*?%'4
&.003 0.$49 0.00 8.'*3 4.94*- 0.&&*4$* 8'*?34%
&.003 0.$49 0.00 8.4$$ 4.94*- 0.&%9$** 80*?3&4
*.00% 0.$%$ 0.00 8.&*4 4.94&- 0.&%''3* *9*?39%
*.00% 0.$%$ 0.00 8.9$& 4.94*- 0.&4304% *8*?48*
*.00% 0.$4* 0.00 9.'*3 4.949- 0.&3%'$9 ***?*9'
*.00% 0.$49 0.00 9.4$$ 4.9%$- 0.&$*'4$ *&8?0''
8.00% 0.$%$ 0.00 9.&*4 4.9%&- 0.&'9'%% *%8?$30
8.00% 0.$%$ 0.00 9.9$& 4.9%8- 0.&''3'0 *48?&$3
8.00% 0.$4* 0.00 '0.'*3 4.9%9- 0.&038$9 *39?4&$
8.00% 0.$49 0.00 '0.4$$ 4.9%8- 0.%9&4*0 *30?449
9.00% 0.$%$ 0.00 '0.&*4 4.9%&- 0.%89$'0 *$'?%%8
9.00% 0.$%8 0.00 '0.93$ 4.9%$- 0.%8'9&0 *'$?&80
9.00% 0.$4' 0.00 ''.'*3 4.948- 0.%*%3'0 *04?%3*9.00% 0.$49 0.00 ''.4$$ 4.944- 0.%&8%%& &9&?$&%
'0.0'' 0.$%8 0.00 ''.&*9 4.939- 0.%&'&9' &8*?8%8
'0.0'' 0.$49 0.00 ''.9$9 4.934- 0.%%%'38 &*9?833
'0.0'' 0.$49 0.00 '$.'*8 4.9$9- 0.%48&&' &*'?90'
'0.0'' 0.$49 0.00 '$.4$* 4.9$%- 0.%4$$%& &&4?0%8
''.008 0.$49 0.00 '$.&** 4.9$0- 0.%3%9$8 &%&?309
''.008 0.$%$ 0.00 '$.9$9 4.9'&- 0.%$9&'' &48?%*$
''.008 0.$4* 0.00 '3.'*% 4.9'$- 0.%$3%'0 &4'?'0'
''.008 0.$49 0.00 '3.4$% 4.908- 0.%'*4$% &33?&49
'$.008 0.$%$ 0.00 '3.&** 4.904- 0.%''3%9 &$&?$$'
'$.008 0.$%$ 0.00 '3.9$9 4.899- 0.%0%383 &'8?90$
'$.008 0.$4* 0.00 '4.'*% 4.89%- 0.499&$4 &''?8%0'$.008 0.$49 0.00 '4.4$% 4.89'- 0.49389$ &04?830
'3.008 0.$%$ 0.00 '4.&** 4.88&- 0.488'90 %9*?848
'3.008 0.$%$ 0.00 '4.9$9 4.88'- 0.48$%8% %90?983
'3.008 0.$4* 0.00 '%.'*% 4.8*%- 0.4**'9$ %84?3*9
'3.008 0.$49 0.00 '%.4$% 4.8*0- 0.4*'834 %**?8'*
'4.008 0.$%$ 0.00 '%.&** 4.8&4- 0.4&&%08 %*'?$9%
'4.008 0.$%$ 0.00 '%.9$9 4.8%8- 0.4&'$&9 %&4?880
'4.008 0.$49 0.00 '&.'*8 4.8%$- 0.4%&'*' %%8?&3&
'4.008 0.$49 0.00 '&.4$* 4.84%- 0.4%''%3 %%$?49'
'%.0'& 0.$%8 0.00 '&.&8% 4.839- 0.44&0%' %4&?$43
'%.0'& 0.$49 0.00 '&.934 4.83$- 0.44''88 %40?$88
'%.0'& 0.$49 0.00 '*.'84 4.8$&- 0.43&398 %34?4$'
'%.0'& 0.$49 0.00 '*.433 4.8'9- 0.43'&** %$8?&40
'&.0'4 0.$49 0.00 '*.&8$ 4.8'$- 0.4$*0$4 %$$?94$
'&.0'4 0.$49 0.00 '*.93$ 4.80&- 0.4$$43& %'*?3$3
'&.0'4 0.$49 0.00 '8.'8' 4.*99- 0.4'*9'0 %''?*8'
'&.0'4 0.$49 0.00 '8.430 4.*9$- 0.4'344% %0&?3'4
'*.0'' 0.$49 0.00 '8.&*9 4.*8&- 0.409040 %00?9'8
'*.0'' 0.$%$ 0.00 '8.93$ 4.**9- 0.404&43 49%?%34
'*.0'' 0.$4* 0.00 '9.'*8 4.**3- 0.40039& 490?334
'*.0'' 0.$49 0.00 '9.4$* 4.*&&- 0.39&'%% 48%?'40
'8.0'' 0.$%$ 0.00 '9.&*9 4.*&0- 0.39'9$0 4*9?9%3
'8.0'' 0.$%$ 0.00 '9.93$ 4.*%3- 0.38**3% 4*4?8$9'8.0'' 0.$49 0.00 $0.'8' 4.*4*- 0.383&44 4&9?8'8
-
7/25/2019 Ch 8 LPI Inflation Swap
91/148
'8.0'' 0.$49 0.00 $0.430 4.*4'- 0.3*9&0' 4&4?8&*
'9.0'4 0.$%$ 0.00 $0.&8$ 4.*3%- 0.3*%%&$ 4%9?9$'
'9.0'4 0.$%$ 0.00 $0.934 4.*$9- 0.3*'%*$ 4%%?03%
'9.0'4 0.$4* 0.00 $'.'8' 4.*$3- 0.3&**'* 4%0?3'3
'9.0'4 0.$49 0.00 $'.430 4.*'8- 0.3&38&* 44%?%99
$0.0'4 0.$%$ 0.00 $'.&8$ 4.*'$- 0.3&00$% 440?894
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
-
7/25/2019 Ch 8 LPI Inflation Swap
92/148
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
-
7/25/2019 Ch 8 LPI Inflation Swap
93/148
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
-
7/25/2019 Ch 8 LPI Inflation Swap
94/148
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
-
7/25/2019 Ch 8 LPI Inflation Swap
95/148
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
-
7/25/2019 Ch 8 LPI Inflation Swap
96/148
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.000.00
-
7/25/2019 Ch 8 LPI Inflation Swap
97/148
0.00
0.00
-
7/25/2019 Ch 8 LPI Inflation Swap
98/148
-
7/25/2019 Ch 8 LPI Inflation Swap
99/148
P> of #ixe sie +
Reuire ifference +
7rror +
#irst erivative Secon erivative ;hir erivative 7rror @bpsA
:ashflo"s :ashflo"s :ashflo"s 7d?!sted &rowth
0 0 0
0 0 0
0 0 0
0 0 0
'?0&$?%%9 0 0
'?049?&$0 0 0
'?03&?&9& 0 0'?0$3?*8' 0 0
$?0$$?0'$ '?0''?00& 0
'?99&?988 998?494 0
'?9*$?$3' 98&?''% 0
'?94*?%0' 9*3?*%0 0
$?88&?49' $?890?44% 9&&?'$'
$?8%'?9&$ $?8%%?8&8 9%4?%&4
$?8'&?*%4 $?8$0?&'$ 94$?*80
$?*80?8*4 $?*84?&84 930?**'
3?&&&?$*% %?%'4?480 3?&9'?4$8
3?&$'?00$ %?44&?38% 3?&4%?84%
3?%*&?$08 %?3*9?009 3?&00?*433?%3'?8&& %?3'$?3'4 3?%%&?09*
-
7/25/2019 Ch 8 LPI Inflation Swap
100/148
4?3%%?*&$ 8?*$3?4%8 8?*39?39'
4?30'?40$ 8?&'4?%89 8?&30?3$4
4?$4*?&%0 8?%0&?93* 8?%$$?4*%
4?'94?&8% 8?400?8&3 8?4'&?$0*
4?9&*?3%0 '$?4$%?'80 '&?%*8?$%%
4?90&?308 '$?$*$?490 '&?3*4?%$8
4?84&?394 '$?'$$?&$3 '&?'*4?%&8
4?*8&?%%% ''?9*$?94% '%?9*4?8&'
%?%'&?*$' '&?%&%?$*& $*?&39?0%0
%?448?80$ '&?3&'?33% $*?$98?**%
%?380?$8& '&?'%%?%9* $&?9%%?%04
%?3''?*&' '%?949?83& $&?&'$?'93
%?993?08& $0?99$?$$0 4$?0$$?*8$
%?9'9?*4% $0?*3%?3$4 4'?%08?%$'
%?84*?%9& $0?48$?&08 4'?00$?&$8
%?**&?4'9 $0?$33?$9' 40?%03?%3*
&?4'8?0$% $%?&89?&8% %9?989?%$'
&?344?&9$ $%?39&?'%' %9?304?0*'&?$*0?'99 $%?09*?9*& %8?&0*?*84
&?'94?49' $4?*94?93& %*?900?'38
&?80%?*8$ 30?&&3?3'' 8'?880?84$
&?*$&?3*$ 30?30%?%$9 80?9$%?4%0
&?&4*?8%9 $9?9%'?*9$ *9?980?8%9
&?%*0?$8' $9?&0$?$&% *9?04*?%09
*?'39?&$% 3%?*$*?4&% '0*?$80?$**
*?0%*?38' 3%?3'%?90% '0&?044?4*$
&?9*%?344 34?90%?388 '04?8''?*9&
&?893?%*9 34?49&?$$& '03?%83?'8*
*?43'?9'& 40?90&?0*9 '3&?4&%?&&*
*?34*?$$% 40?439?934 '34?9'0?%*4*?$&$?930 39?9*%?9&% '33?3&$?*39
*?'*9?088 39?%'4?488 '3'?8$3?$'9
*?&8*?&3% 4&?'%*?40' '&9?3*0?$&$
*?&0'?*3% 4%?&4'?&%$ '&*?4**?**0
*?%'&?3*' 4%?'$9?''* '&%?%9*?0*'
*?43'?%30 44?&'9?*'8 '&3?*$*?8**
*?9'$?9%& %'?4&&?*3$ $0&?00*?934
*?8$%?49% %0?89*?880 $03?*30?9&%
*?*39?4'% %0?338?00' $0'?489?9'*
*?&%'?894 49?*&8?*%% '99?$''?3*'
8?''3?$0% %&?8%9?''* $4&?*0'?0&%
8?0$%?'0& %&?$4'?*03 $44?0$$?$$'
*?938?$94 %%?&33?30& $4'?38$?499
*?8%$?*$& %%?033?&$* $38?*80?&0&
8?$84?$&0 &$?'88?&90 $90?49*?8%4
8?'9%?%0* &'?%$$?433 $8*?38%?&'$
8?'0*?9%$ &0?8&%?'*% $84?3'%?40%
8?0$'?%%4 &0?$'&?&00 $8'?$8%?*&3
8?4$9?%'% &*?48$?3'' 33*?&%8?0&&
8?34'?043 &&?**4?0%0 334?''4?'*3
8?$%$?&93 &&?0&&?*&$ 330?%*%?'%0
8?'&4?4&3 &%?3&0?44' 3$*?040?9&%
8?%%$?''8 *$?*39?8&$ 388?$''?&4&8?4&'?88' *'?9*$?3%9 384?''%?49$
-
7/25/2019 Ch 8 LPI Inflation Swap
101/148
8?3*$?&a