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Liam Mescall CDS Data

This document contains zero curve rates, default probabilities, survival probabilities, and other yield curve data for multiple dates ranging from 2011 to 2021. It also includes interpolated zero curve rates, survival rates, discount factors, and portfolio value (NPV) and profit/loss calculations for a bond portfolio over quarterly time periods.

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Liam Mescall
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© Attribution Non-Commercial (BY-NC)
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26 views

Liam Mescall CDS Data

This document contains zero curve rates, default probabilities, survival probabilities, and other yield curve data for multiple dates ranging from 2011 to 2021. It also includes interpolated zero curve rates, survival rates, discount factors, and portfolio value (NPV) and profit/loss calculations for a bond portfolio over quarterly time periods.

Uploaded by

Liam Mescall
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Zero Curve Date

4/1/2011
5/2/2011
6/1/2011
9/1/2011
12/1/2011
3/1/2012
3/1/2013
3/3/2014
3/2/2015
3/1/2016
3/1/2017
3/1/2018
3/1/2019
3/2/2020
3/1/2021
3/1/2023

Rate %
0.95493
0.9092
1.0098
1.3402
1.4862
1.6152
2.1097
2.4147
2.6541
2.862
3.044
3.1864
3.3101
3.4159
3.5117
3.6883

Default Probabilities
0.0008
0.0026
0.0091
0.0237
0.0384
0.0589
0.0967
0.1535
17/2/2011 Curve
1 YR
12.79
2 YR
24.29
3 YR
43.81
4 YR
54.11
5 YR
67.01
7 YR
80.2
10 YR
91.46
6mth
1yr
2yr
3yr
4yr
5yr
7yr
10yr

Survival Probabilities
0.9992
0.9974
0.9909
0.9763
0.9616
0.9411
0.9033
0.8465
24/2/2011 Curve
11.42
23.26
42.41
53.03
65.62
78.83
90.11

7.75
8
8.25
8.5
8.75
9
9.25
9.5
9.75
10
10.25

Time Period
0.25
0.5
0.75
1
1.25
1.5
1.75
2
2.25
2.5
2.75
3
3.25
3.5
3.75
4
4.25
4.5
4.75
5
5.25
5.5
5.75
6
6.25
6.5
6.75
7
7.25
7.5
7.75
8
8.25
8.5
8.75
9
9.25
9.5
9.75
10
10.25

Interpolated Zero Curve Rates


0.0095
0.0113
0.013
0.0146
0.0176
0.0189
0.0201
0.0211
0.022
0.0228
0.0235
0.0241
0.0248
0.0254
0.026
0.0265
0.0271
0.0276
0.0281
0.0286
0.0291
0.0296
0.03
0.0304
0.0308
0.0312
0.0315
0.0319
0.0322
0.0325
0.0328
0.0331
0.0334
0.0337
0.0339
0.0342
0.0344
0.0346
0.0349
0.00351
0.0354

Interpolated Survival Rates Discount Factor


0.9999
0.997627818
0.9997
0.994365931
0.9992
0.990297377
0.9983
0.985506063
0.9974
0.978240235
0.9964
0.97204809
0.9951
0.96543645
0.9933
0.958678026
0.9909
0.951705158
0.9877
0.944594069
0.9841
0.93741893
0.9801
0.930251778
0.9763
0.922562643
0.9727
0.914937063
0.9693
0.907102342
0.9656
0.899424648
0.9616
0.891210168
0.9569
0.883203183
0.9518
0.875049345
0.9465
0.866754069
0.9411
0.858322823
0.9359
0.849761124
0.9309
0.841558289
0.926
0.833267967
0.9213
0.824894318
0.9167
0.815168858
0.9121
0.808459253
0.9077
0.799874851
0.9033
0.791797
0.8989
0.783683531
0.8946
0.775536679
0.8902
0.767359407
0.8858
0.759154473
0.8813
0.750924624
0.8768
0.743322706
0.8721
0.735062316
0.8673
0.727457282
0.8624
0.719858942
0.8573
0.711574613
0.852
0.965508861
0.8465
0.695691

Year
YR
1

YR
2

YR
3

YR
4

YR
5

YR
6

YR
7

YR
8

YR
9

YR
10
11

Quarter
20-Mar-11
20-Jun-11
20-Sep-11
20-Dec-11
20-Mar-12
20-Jun-12
20-Sep-12
20-Dec-12
20-Mar-13
20-Jun-13
20-Sep-13
20-Dec-13
20-Mar-14
20-Jun-14
20-Sep-14
20-Dec-14
20-Mar-15
20-Jun-15
20-Sep-15
20-Dec-15
20-Mar-16
20-Jun-16
20-Sep-16
20-Dec-16
20-Mar-17
20-Jun-17
20-Sep-17
20-Dec-17
20-Mar-18
20-Jun-18
20-Sep-18
20-Dec-18
20-Mar-19
20-Jun-19
20-Sep-19
20-Dec-19
20-Mar-20
20-Jun-20
20-Sep-20
20-Dec-20
20-Mar-21

PV01
0.997528
0.994068
0.989505
0.983831
0.975697
0.968549
0.960706
0.952255
0.943045
0.932976
0.922514
0.91174
0.900698
0.889959
0.879254
0.868484
0.856988
0.845137
0.832872
0.820383
0.807768
0.795291
0.783407
0.771606
0.759975
0.747265
0.737396
0.726046
0.71523
0.704453
0.693795
0.683103
0.672459
0.66179
0.651745
0.641048
0.630924
0.620806
0.610033
0.822614
0.588902
Total P&L

NPV
0.000134666
0.000134199
0.000133583
0.000132817
0.000131719
0.000130754
0.000129695
0.000128554
0.000127311
0.000125952
0.000124539
0.000123085
0.000121594
0.000120145
0.000118699
0.000117245
0.000115693
0.000114094
0.000112438
0.000110752
0.000109049
0.000107364
0.00010576
0.000104167
0.000102597
0.000100881
9.95484E-05
9.80163E-05
9.65561E-05
9.51012E-05
9.36623E-05
9.2219E-05
9.0782E-05
8.93416E-05
8.79856E-05
8.65415E-05
8.51747E-05
8.38089E-05
8.23544E-05
0.000111053
7.95018E-05

Profit /(Loss)
1,346.66
1,341.99
1,335.83
1,328.17
1,317.19
1,307.54
1,296.95
1,285.54
1,273.11
1,259.52
1,245.39
1,230.85
1,215.94
1,201.45
1,186.99
1,172.45
1,156.93
1,140.94
1,124.38
1,107.52
1,090.49
1,073.64
1,057.60
1,041.67
1,025.97
1,008.81
995.48
980.16
965.56
951.01
936.62
922.19
907.82
893.42
879.86
865.41
851.75
838.09
823.54
1,110.53
795.02
44,889.99

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