Copyright

Walt Disney Company's Slepping Beauty Bonds-Duration Analysis-courseware

Harvard Business School Case 294-038
Courseware 9-208-725
This courseware was prepared by Professor Carliss Y. Baldwin solely for students as the basis for class discussion.
Cases are not intended to serve as endorsements, sources of primary data, or illustrations of effective or ineffective
management. Copyright 2008 President and Fellows of Harvard College. No part of this product may be
reproduced, stored in a retrieval system, used in a spreadsheet or transmitted in any form or by any means
electronic, mechanical, photocopying, recording or otherwisewithout the permission of Harvard Business School.

339328684.xlsx

Sleeping Beauty Basic Spreadsheet

Calendar
Year

Relative
Year

1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

Cash Flow
per $100

Present
Present Value
Value Each Cash Flow
75.50

7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55

Page 2

Calendar year Relative Year

1994
1
1995
2
1996
3
1997
4
1998
5
1999
6
2000
7
2001
8
2002
9
2003
10
2004
11
2005
12
2006
13
2007
14
2008
15
2009
16
2010
17
2011
18
2012
19
2013
20
2014
21
2015
22
2016
23
2017
24
2018
25
2019
26
2020
27
2021
28
2022
29
2023
30
2024
31
2025
32
2026
33
2027
34
2028
35
2029
36
2030
37
2031
38
2032
39
2033
40
2034
41
2035
42
2036
43
2037
44
2038
45
2039
46
2040
47
2041
48
2042
49
2043
50
2044
51
2045
52
2046
53
2047
54
2048
55
2049
56

Raw Cash Flow Present Value of Cash Flow

7.55
6.8636
7.55
6.2397
7.55
5.6724
7.55
5.1568
7.55
4.6880
7.55
4.2618
7.55
3.8743
120
7.55
3.5221
7.55
3.2019
7.55
2.9109
7.55
2.6462
7.55
2.4057
100
7.55
2.1870
7.55
1.9882
7.55
1.8074
7.55
1.6431
7.55
1.4937
80
7.55
1.3579
7.55
1.2345
7.55
1.1223
7.55
1.0202
60
7.55
0.9275
7.55
0.8432
7.55
0.7665
7.55
0.6968
7.55
0.6335
40
7.55
0.5759
7.55
0.5235
7.55
0.4759
7.55
0.4327
7.55
0.3933
20
7.55
0.3576
7.55
0.3251
7.55
0.2955
7.55
0.2687
0
7.55
0.2442
7.55
0.2220
0
7.55
0.2018
7.55
0.1835
7.55
0.1668
7.55
0.1517
7.55
0.1379
7.55
0.1253
7.55
0.1139
7.55
0.1036
7.55
0.0942
7.55
0.0856
7.55
0.0778
7.55
0.0707
7.55
0.0643
7.55
0.0585
7.55
0.0532
7.55
0.0483
7.55
0.0439
7.55
0.0399
7.55
0.0363

20

2050
2051
2052
2053
2054
2055
2056
2057
2058
2059
2060
2061
2062
2063
2064
2065
2066
2067
2068
2069
2070
2071
2072
2073
2074
2075
2076
2077
2078
2079
2080
2081
2082
2083
2084
2085
2086
2087
2088
2089
2090
2091
2092
2093

57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100

7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
107.55

0.0330
0.0300
0.0273
0.0248
0.0225
0.0205
0.0186
0.0169
0.0154
0.0140
0.0127
0.0116
0.0105
0.0096
0.0087
0.0079
0.0072
0.0065
0.0059
0.0054
0.0049
0.0045
0.0041
0.0037
0.0034
0.0030
0.0028
0.0025
0.0023
0.0021
0.0019
0.0017
0.0016
0.0014
0.0013
0.0012
0.0011
0.0010
0.0009
0.0008
0.0007
0.0007
0.0006
0.0078

120

100

80

60

Raw Cash Flows

PV of Cash Flows

40

20

0
0

20

40

60

80

100

120

339328684.xlsx

Sleeping Beauty Present Value as a Function of the Interest Rate

Calendar
Year

Relative
Year

1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

Cash Flow
per $100

7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55

Page 7

Interest
Rates
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
12%
13%
14%
15%
16%
17%
18%
19%
20%
100%
500%
1000%

Present
Values
$339.20
$243.78
$186.99
$150.61
$125.76
$107.85
$94.38
$83.89
$75.50
$68.64
$62.92
$58.08
$53.93
$50.33
$47.19
$44.41
$41.94
$39.74
$37.75
$7.55
$1.51
$0.76

339328684.xlsx

Sleeping Beauty Bonds of Different Maturity

Calendar
Year

Relative
Year

1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

Cash Flow per $100

Sleeping
Napping
Beauties
Beauties

7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55

Page 8

7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
7.55
107.55

Interest
Rates
2%
3%
4%
5%
6%
7%
7.55%
8%
9%
10%
11%
12%
13%
14%
15%
16%
17%
18%
19%
20%

$160.00
$140.00
$120.00
$100.00
$80.00
$60.00
$40.00
$20.00
$0.00
0

339328684.xlsx

Present Value
Sleeping
Napping
Beauties
Beauties
$339.20
$243.78
$186.99
$150.61
$125.76
$107.85
$100.00
$94.38
$83.89
$75.50
$68.64
$62.92
$58.08
$53.93
$50.33
$47.19
$44.41
$41.94
$39.74
$37.75

$149.85
$138.81
$128.79
$119.69
$111.41
$103.86
$100.00
$96.98
$90.69
$84.95
$79.68
$74.86
$70.43
$66.36
$62.61
$59.16
$55.98
$53.04
$50.32
$47.80

Napping Beauty Bonds

$160.00
$140.00
$120.00
$100.00

Napping Beauty Bonds

$80.00
$60.00
$40.00
$20.00
$0.00
0

10

15

20

Page 9

25

339328684.xlsx

Present Value of a 100-year and a 10-year

Bond as a Function of the Interest Rate
$200.00

100-year bonds
$150.00

Present Value
$100.00

10-year bonds

$50.00

$0.00
2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

13%

Interest Rate

Page 10

14%

15%

16%

17%

18%

19%

20%

a)

mid point
3.51
p.v of 30 year sleeping beauty bond
P.v of a zero coupon 30 year bond
P.v of a 10 year bond
P.v of 100 year bond

b)

2002-03
2023
2002-03
2002-03

sleeping Beauty Bond (100 year):

8.00
7.00
average year
2043.5

value
0.2

6.00
5.00
4.00
3.00
2.00
1.00
0.00
1980

2000

2020

2040

2060

1994

1996

1998

2000

Napping Beauty Bond ( 10 year):

60.00
50.00
average year
1998.5

value
5.25

40.00
30.00
20.00
10.00
0.00
1992

Sleeping bond (30 year) :

14.00
average year
2008.5

value
2.53

12.00
10.00
8.00
6.00
4.00
2.00
0.00
1990

Zero Coupon bond ( 30 year):

120
average year
2008.5

value
2.53

100
80
60
40
20
0

1995

2000

2005

2010

2040

1998

Column G

2060

2080

2100

Column I

2000

2002

2004

Column K

2010

2015

2020

2025

Column M

339328684.xlsx

Sleeping Beauty Calculation of Duration

Calendar
Year

Relative
Year Sleeping Beauties
Interest
Rate
Duration
(in Years)

1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39

10-Year Bond

7.55%

7.55%

14.24

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
3.65
3.39
3.15
2.93
2.73
2.53
2.36
2.19
2.04
1.89
1.76
1.64
1.52
1.42
1.32
1.22
1.14
1.06
0.98
0.91
0.85
0.79
0.74
0.68
0.64
0.59
0.55
0.51
0.48
0.44

7.02
13.05
18.21
22.57
26.23
29.27
31.75
33.74
35.29
36.46
37.29
37.83
38.10
38.15
38.01
37.70
37.24
36.66
35.98
35.22
34.38
33.49
32.56
31.59
30.59
29.58
28.56
27.54
26.52
25.51
24.51
23.53
22.56
21.61
20.68
19.78
18.90
18.05
17.23

30-Year Bond
7.55%

7.37

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
51.94

Page 17

7.02
13.05
18.21
22.57
26.23
29.27
31.75
33.74
35.29
519.41

12.64

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
3.65
3.39
3.15
2.93
2.73
2.53
2.36
2.19
2.04
1.89
1.76
1.64
1.52
1.42
1.32
1.22
1.14
1.06
0.98
0.91
12.11

7.02
13.05
18.21
22.57
26.23
29.27
31.75
33.74
35.29
36.46
37.29
37.83
38.10
38.15
38.01
37.70
37.24
36.66
35.98
35.22
34.38
33.49
32.56
31.59
30.59
29.58
28.56
27.54
26.52
363.43

339328684.xlsx

2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043
2044
2045
2046
2047
2048
2049
2050
2051
2052
2053
2054
2055
2056
2057
2058
2059
2060
2061
2062
2063
2064
2065
2066
2067
2068
2069
2070
2071
2072
2073
2074
2075
2076
2077
2078
2079
2080
2081
2082

40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89

0.41
0.38
0.36
0.33
0.31
0.29
0.27
0.25
0.23
0.21
0.20
0.18
0.17
0.16
0.15
0.14
0.13
0.12
0.11
0.10
0.10
0.09
0.08
0.08
0.07
0.07
0.06
0.06
0.05
0.05
0.05
0.04
0.04
0.04
0.03
0.03
0.03
0.03
0.03
0.02
0.02
0.02
0.02
0.02
0.02
0.02
0.01
0.01
0.01
0.01

16.43
15.66
14.91
14.20
13.51
12.84
12.21
11.60
11.01
10.45
9.92
9.41
8.92
8.45
8.01
7.58
7.18
6.79
6.43
6.08
5.75
5.43
5.13
4.85
4.58
4.33
4.09
3.86
3.64
3.43
3.24
3.05
2.88
2.71
2.56
2.41
2.27
2.14
2.02
1.90
1.79
1.68
1.58
1.49
1.40
1.32
1.24
1.17
1.10
1.03

Page 18

339328684.xlsx

2083
2084
2085
2086
2087
2088
2089
2090
2091
2092
2093

90
91
92
93
94
95
96
97
98
99
100

0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.07

0.97
0.91
0.86
0.81
0.76
0.71
0.67
0.63
0.59
0.55
7.42

1998.5
2008.5
2008.5
2043.5

Page 19

339328684.xlsx

30-Year Zero
7.55%

30

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
100

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
3000

Page 20

339328684.xlsx

Page 21

339328684.xlsx

Page 22

339328684.xlsx

Sleeping Beauty Sensitivity Up

Calendar
Year

Relative Sleeping
Year
Beauty

10-Year
Bond

30-Year
Bond

30-Year
Zero

Sleeping Beauty
100 year bond

7.55%

7.55%

7.55%

7.55%

8.55%

100.00

100.00

100.00

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
3.65
3.39
3.15
2.93
2.73
2.53
2.36
2.19
2.04
1.89
1.76
1.64
1.52
1.42
1.32
1.22
1.14
1.06
0.98
0.91
0.85
0.79
0.74
0.68
0.64
0.59
0.55
0.51

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
51.94

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
3.65
3.39
3.15
2.93
2.73
2.53
2.36
2.19
2.04
1.89
1.76
1.64
1.52
1.42
1.32
1.22
1.14
1.06
0.98
0.91
12.11

Interest
Rate
Value
% Ch. In Value
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37

Page 23

$
100.00 $

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
100

100.00
88.31
-11.69%

6.96
6.41
5.90
5.44
5.01
4.61
4.25
3.92
3.61
3.32
3.06
2.82
2.60
2.39
2.21
2.03
1.87
1.72
1.59
1.46
1.35
1.24
1.14
1.05
0.97
0.89
0.82
0.76
0.70
0.64
0.59
0.55
0.50
0.46
0.43
0.39
0.36

339328684.xlsx

2031
2032
2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043
2044
2045
2046
2047
2048
2049
2050
2051
2052
2053
2054
2055
2056
2057
2058
2059
2060
2061
2062
2063
2064
2065
2066
2067
2068
2069
2070
2071
2072
2073
2074
2075
2076
2077
2078
2079
2080

38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87

0.48
0.44
0.41
0.38
0.36
0.33
0.31
0.29
0.27
0.25
0.23
0.21
0.20
0.18
0.17
0.16
0.15
0.14
0.13
0.12
0.11
0.10
0.10
0.09
0.08
0.08
0.07
0.07
0.06
0.06
0.05
0.05
0.05
0.04
0.04
0.04
0.03
0.03
0.03
0.03
0.03
0.02
0.02
0.02
0.02
0.02
0.02
0.02
0.01
0.01

0.33
0.31
0.28
0.26
0.24
0.22
0.20
0.19
0.17
0.16
0.15
0.14
0.12
0.12
0.11
0.10
0.09
0.08
0.08
0.07
0.06
0.06
0.05
0.05
0.05
0.04
0.04
0.04
0.03
0.03
0.03
0.03
0.02
0.02
0.02
0.02
0.02
0.02
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01

Page 24

339328684.xlsx

2081
2082
2083
2084
2085
2086
2087
2088
2089
2090
2091
2092
2093

88
89
90
91
92
93
94
95
96
97
98
99
100

0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.07

0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03

Page 25

339328684.xlsx

All data calculated on basic spreadsheet Q#3,4

$
$

Napping Beauty
10 year bond

30 year bond

zero coupon Bond

30 year

8.55%

8.55%

8.55%

100.00 $
93.45 $
-6.55%

100.00 $
89.30 $
-10.70%

6.96
6.41
5.90
5.44
5.01
4.61
4.25
3.92
3.61
47.35

6.96
6.41
5.90
5.44
5.01
4.61
4.25
3.92
3.61
3.32
3.06
2.82
2.60
2.39
2.21
2.03
1.87
1.72
1.59
1.46
1.35
1.24
1.14
1.05
0.97
0.89
0.82
0.76
0.70
9.18

100.00
75.76
-24.24%

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
75.7560998842

Page 26

339328684.xlsx

Page 27

339328684.xlsx

Page 28

339328684.xlsx

Sleeping Beauty Sensitivity Down

Calendar

Relative Sleeping

Year

Year

Interest

10-Year

30-Year

30-Year

Sleeping Beauty

Beauty

Bond

Bond

Zero

7.55%

7.55%

7.55%

7.55%

100.00

100.00

100.00

$
100.00 $

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
3.65
3.39
3.15
2.93
2.73
2.53
2.36
2.19
2.04
1.89
1.76
1.64
1.52
1.42
1.32
1.22
1.14
1.06
0.98
0.91
0.85
0.79
0.74
0.68
0.64
0.59
0.55
0.51

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
51.94

7.02
6.53
6.07
5.64
5.25
4.88
4.54
4.22
3.92
3.65
3.39
3.15
2.93
2.73
2.53
2.36
2.19
2.04
1.89
1.76
1.64
1.52
1.42
1.32
1.22
1.14
1.06
0.98
0.91
12.11

6.55

Rate
Value
% Ch. In Value
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37

Page 29

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
100

100.00
115.24
15.24%

7.09
6.65
6.24
5.86
5.50
5.16
4.84
4.54
4.27
4.00
3.76
3.53
3.31
3.11
2.92
2.74
2.57
2.41
2.26
2.12
1.99
1.87
1.75
1.65
1.55
1.45
1.36
1.28
1.20
1.13
1.06
0.99
0.93
0.87
0.82
0.77
0.72

339328684.xlsx

2031
2032
2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043
2044
2045
2046
2047
2048
2049
2050
2051
2052
2053
2054
2055
2056
2057
2058
2059
2060
2061
2062
2063
2064
2065
2066
2067
2068
2069
2070
2071
2072
2073
2074
2075
2076
2077
2078
2079
2080

38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87

0.48
0.44
0.41
0.38
0.36
0.33
0.31
0.29
0.27
0.25
0.23
0.21
0.20
0.18
0.17
0.16
0.15
0.14
0.13
0.12
0.11
0.10
0.10
0.09
0.08
0.08
0.07
0.07
0.06
0.06
0.05
0.05
0.05
0.04
0.04
0.04
0.03
0.03
0.03
0.03
0.03
0.02
0.02
0.02
0.02
0.02
0.02
0.02
0.01
0.01

0.68
0.64
0.60
0.56
0.53
0.49
0.46
0.43
0.41
0.38
0.36
0.34
0.32
0.30
0.28
0.26
0.25
0.23
0.22
0.20
0.19
0.18
0.17
0.16
0.15
0.14
0.13
0.12
0.11
0.11
0.10
0.09
0.09
0.08
0.08
0.07
0.07
0.06
0.06
0.06
0.05
0.05
0.05
0.04
0.04
0.04
0.04
0.03
0.03
0.03

Page 30

339328684.xlsx

2081
2082
2083
2084
2085
2086
2087
2088
2089
2090
2091
2092
2093

88
89
90
91
92
93
94
95
96
97
98
99
100

0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.07

0.03
0.03
0.03
0.02
0.02
0.02
0.02
0.02
0.02
0.02
0.02
0.01
0.19

Page 31

339328684.xlsx

$
$

10 year Bond

30 year Bond

30 year Zero coupon Bond

6.55

6.55

6.55

100.00
107.17 $
7.17%

### $
112.99 $
12.99%

7.09
6.65
6.24
5.86
5.50
5.16
4.84
4.54
4.27
57.03

7.09
6.65
6.24
5.86
5.50
5.16
4.84
4.54
4.27
4.00
3.76
3.53
3.31
3.11
2.92
2.74
2.57
2.41
2.26
2.12
1.99
1.87
1.75
1.65
1.55
1.45
1.36
1.28
1.20
16.03

100.00
132.35
32.35%

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
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
132.35

Page 32

339328684.xlsx

Page 33

339328684.xlsx

Page 34

339328684.xlsx

Sleeping Beauty The Relation between Duration and Interest Rate Sen
Sleeping
Beauty

10-Year
Bond

30-Year
Bond

30-Year
Zero

% Ch if Rate Down 1%

15.2%

7.2%

13.0%

32.4%

Duration

14.24

7.37

12.64

30.00

-11.7%

6.6%

-10.7%

-24.2%

% Ch. If Rate Up 1%

Page 35

339328684.xlsx

n and Interest Rate Sensitivity

Page 36