Bond Duration - Price Sensitivity Using Duration

Inputs Rate Convention: 1 = EAR, 0 = APR Annual Coupon Rate (CR) Yield to Maturity (Annualized) (y) Number of Payments / Year (NOP) Number of Periods to Maturity (T) Face Value (FV) Outputs Discount Rate / Period (RATE) Coupon Payment (PMT)

Price Sensitivity Using Duration Annual Percentage Rate 0 5.0% 9.0% 2 8 $1,000

4.5% $25

Price Sensitivity Using Duration 5000%

Actual Percent Change in Price Duration Approximatio n

0% -5000%

Percent Change in Price

BOND DURATION

-10000% -15000% -20000% -25000% -30000% -35000% -40000% -45000% -15.0%

Graph Outputs Yield to Maturity (Annualized) Discount Rate / Period Change in Yield to Maturity Actual Bond Price Current Bond Price Actual Percent Change in Price Modified Duration Duration Approximation

-10.0%

-5.0%

0.0%

5.0%

Change in Yield To Maturity

1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% -8.0% -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% $1,156 $1,115 $1,075 $1,037 $1,000 $965 $931 $868 $868 $868 $868 $868 $868 $868 33.2% 28.4% 23.8% 19.4% 15.2% 11.2% 7.3% 3.49 3.49 3.49 3.49 3.49 3.49 3.49 27.9% 24.4% 20.9% 17.4% 14.0% 10.5% 7.0%

10.0%

15.0%

uration

Actual Percent Change in Price Duration Approximatio n

5.0%

10.0%

15.0%

Maturity

8.0% 9.0% 10.0% 11.0% 12.0% 13.0% 14.0% 15.0% 16.0% 17.0% 18.0% 19.0% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0% 7.5% 8.0% 8.5% 9.0% 9.5% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% $899 $868 $838 $810 $783 $756 $731 $707 $684 $662 $640 $620 $868 $868 $868 $868 $868 $868 $868 $868 $868 $868 $868 $868 3.6% 0.0% -3.4% -6.7% -9.8% -12.9% -15.8% -18.5% -21.2% -23.8% -26.2% -28.6% 3.49 3.49 3.49 3.49 3.49 3.49 3.49 3.49 3.49 3.49 3.49 3.49 3.5% 0.0% -3.5% -7.0% -10.5% -14.0% -17.4% -20.9% -24.4% -27.9% -31.4% -34.9%

20.0% 10.0% 11.0% $600 $868 -30.9% 3.49 -38.4%