Inflation Derivatives and LDI Solutions - Euromoney Conferences
Inflation Derivatives and LDI Solutions - Euromoney Conferences
Inflation Derivatives and LDI Solutions - Euromoney Conferences
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uttonma [printed: February 1, 2007 1:46 PM] [saved: February 5, 2007 1:06 PM] C:\Documents <strong>and</strong> Settings\buttonma\Local Settings\Temporary Internet Files\OLK1C4\Risk_Feb07_slides.ppt<br />
Historical Asset Swap Spreads (2006 – 09)<br />
200<br />
150<br />
100<br />
-100<br />
150<br />
100<br />
50<br />
-50<br />
50<br />
0<br />
-50<br />
-100<br />
-150<br />
IL11ASW<br />
IL11 IL20<br />
24-Mar-06 10-Oct-06 28-Apr-07 14-Nov-07 1-Jun-08 18-Dec-08 6-Jul-09<br />
IL35ASW<br />
IL35<br />
0<br />
24-Mar-06 10-Oct-06 28-Apr-07 14-Nov-07 1-Jun-08 18-Dec-08 6-Jul-09<br />
120<br />
100<br />
80<br />
60<br />
40<br />
20<br />
0<br />
24-Mar-06 10-Oct-06 28-Apr-07 14-Nov-07 1-Jun-08 18-Dec-08 6-Jul-09<br />
-20<br />
-40<br />
-60<br />
-80<br />
150<br />
100<br />
50<br />
-50<br />
-100<br />
IL20ASW<br />
IL55ASW<br />
IL55<br />
0<br />
24-Mar-06 10-Oct-06 28-Apr-07 14-Nov-07 1-Jun-08 18-Dec-08 6-Jul-09<br />
35
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