WP 2006-15 Gerlinde Viktoria Stenghele.pdf - IDHEAP
WP 2006-15 Gerlinde Viktoria Stenghele.pdf - IDHEAP
WP 2006-15 Gerlinde Viktoria Stenghele.pdf - IDHEAP
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
Annexe 1 : Détail du calcul de la duration présenté au point 5.4.1 (partie 1)<br />
Debt portfolio of Canton A on 1 January Fixed rate financing Floating rate financing Total portfolio<br />
4 years 4 years<br />
Coupon 5.00% Libor 6 months<br />
Interest rate = yield to maturity 5.00% Libor 6 months<br />
Par value 750'000'000 250'000'000 1'000'000'000<br />
Fixed rate portion<br />
Time of payment 1 2 3 4 Total portfolio<br />
Cash flow in current value 37'500'000 37'500'000 37'500'000 787'500'000 900'000'000<br />
Interest rate 5.00% 5.00% 5.00% 5.00%<br />
Discount rate 0.9524 0.9070 0.8638 0.8227<br />
Cash flow in present value 35'714'286 34'013'605 32'393'910 647'878'199 750'000'000<br />
Floating rate portion<br />
Time of payment 1 2 3 4<br />
Cash flow in current value 6'250'000 6'625'000 6'875'000 257'125'000 276'875'000<br />
Interest rate 2.50% 2.65% 2.75% 2.85%<br />
Discount rate 0.9756 0.9490 0.9218 0.8937<br />
Cash flow in present value 6'097'561 6'287'355 6'337'635 229'787'881 248'510'432<br />
Total cash flow in present value 41'811'847 40'300'960 38'731'545 877'666'080 998'510'432<br />
Share of cash flow in present value (fixed rate portion) 0.0358 0.0341 0.0324 0.6488 0.7511<br />
Weighted time of payment 0.0358 0.0681 0.0973 2.5954 2.7966<br />
Share of cash flow in present value (floating rate portion) 0.0061 0.0063 0.0063 0.2301 0.2489<br />
Weighted time of payment 0.0061 0.0126 0.0190 0.9205 0.9583<br />
Total portfolio duration (Dmac) 3.7549<br />
Debt portfolio of Canton B on 1 January Fixed rate financing Floating rate financing Total portfolio<br />
4 years 6 months<br />
Coupon 5.00% Libor 6 months<br />
Interest rate = yield to maturity 5.00% Libor 6 months<br />
Par value 750'000'000 250'000'000 1'000'000'000<br />
Fixed rate portion<br />
Time of payment 1 2 3 4 Total portfolio<br />
Cash flow in current value 37'500'000 37'500'000 37'500'000 787'500'000 900'000'000<br />
Interest rate 5.00% 5.00% 5.00% 5.00%<br />
Discount rate 0.9524 0.9070 0.8638 0.8227<br />
Cash flow in present value 35'714'286 34'013'605 32'393'910 647'878'199 750'000'000<br />
Floating rate portion<br />
Time of payment 0.5<br />
Cash flow in current value 253'125'000 253'125'000<br />
Interest rate 2.50%<br />
Discount rate 0.9877<br />
Cash flow in present value 250'019'054 250'019'054<br />
Total cash flow in present value 285'733'340 34'013'605 32'393'910 647'878'199 1'000'019'054<br />
Share of cash flow in present value (fixed rate portion) 0.0357 0.0340 0.0324 0.6479 0.7500<br />
Weighted time of payment 0.0357 0.0680 0.0972 2.59<strong>15</strong> 2.7924<br />
Share of cash flow in present value (floating rate portion) 0.2500 0.2500<br />
Weighted time of payment 0.1250 0.1250<br />
Total portfolio duration (Dmac) 2.9174
Change language