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New value of Original par Frequency Price (%) Duration Weights investment value 2 113.945689 8.369645143 0.2465 24,645.9231 $ 21,629.54 2 126.150654 8.391261667 0.1997 19,969.1931 $

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New value of Original par Frequency Price (%) Duration Weights investment value 2 113.945689 8.369645143 0.2465 24,645.9231 $ 21,629.54 2 126.150654 8.391261667 0.1997 19,969.1931 $ 15,829.64 2 137.301459 9.631502856 0.1820 18,201.6233 $ 13,256.69 2 138.854249 9.445926942 0.1847 18,466.1022 13,298.91 2 138.539486 9.269770337 0.1872 18,717.1583 $ 13,510.34 Portfolio Total duration 8.97086553 1.00 100,000.00 investment =SUM(122:126) =SUM(J22:J26) Liability to hedge (prior tab) $100,000.00 Variance $0.00 Variance % liability 0.000000%

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