Bono 2024

Fecha valuacion 9/21/2020 Duracion

Fecha liquidación 9/21/2020 Duracion modificada
Usar Convexidad
Precio sucio 118.89% Efecto duración
Precio sucio (t-1) 118.462% Efecto convexidad
TIR (t-1) 3.20% Cambio estimado
TIR 0.90% Cambio real
Valor nominal 1,000 Current yield
Cupón 5.70%
vencimiento 8/12/2024
Interes corridos 6.20
Precio limpio 118.27%

Fecha periodo cupon principal total

8/12/2020
2/12/2021 0.40 28.50 29
8/12/2021 0.90 28.50 29
2/12/2022 1.41 28.50 29
8/12/2022 1.92 28.50 29
2/12/2023 2.43 28.50 29
8/12/2023 2.93 28.50 29
2/12/2024 3.44 28.50 29
8/12/2024 3.95 28.50 1,000 1,029
no 2024
3.61
3.58
17.39
97.513
4.60
102.113
4.245
4.79%

Factor descuento cupon actualizado Convexidad Duración Suma VP

1,189 118.89% 118.89%

1.00 28.40 0.01 11.36

0.99 28.27 0.04 25.52
0.99 28.14 0.08 39.79
0.98 28.01 0.13 53.69
0.98 27.89 0.20 67.70
0.97 27.76 0.27 81.36
0.97 27.63 0.36 95.11
0.97 992.76 16.31 3,918.65
Total 17.39 4,293.18
 Bono 2028
Fecha valuacion 9/21/2020 Duracion
Fecha liquidación 9/21/2020 Duracion modificada
Usar Convexidad
Precio sucio 122.57% Efecto duración
Precio sucio (t-1) 122.335% Efecto convexidad
TIR (t-1) 3.20% Cambio estimado
TIR 3.17% Cambio real
Valor nominal 1,000 Current yield
Cupón 6.35%
vencimiento 8/12/2028
Interes corridos 6.90
Precio limpio 121.88%

Fecha periodo cupon principal total

8/12/2020
2/12/2021 0.40 31.75 32
8/12/2021 0.90 31.75 32
2/12/2022 1.41 31.75 32
8/12/2022 1.92 31.75 32
2/12/2023 2.43 31.75 32
8/12/2023 2.93 31.75 32
2/12/2024 3.44 31.75 32
8/12/2024 3.95 31.75 32
2/12/2025 4.46 31.75 32
8/12/2025 4.96 31.75 32
2/12/2026 5.47 31.75 32
8/12/2026 5.98 31.75 32
2/12/2027 6.49 31.75 32
8/12/2027 6.99 31.75 32
2/12/2028 7.50 31.75 32
8/12/2028 8.01 31.75 1,000 1,032
no 2028
6.56
6.36
55.20
2.332
0.00
2.335
2.334
5.18%

Factor descuento cupon actualizado Convexidad Duración Suma VP

1,226 122.57%

0.99 31.36 0.01 12.54

0.97 30.87 0.04 27.87
0.96 30.38 0.08 42.95
0.94 29.91 0.14 57.32
0.93 29.43 0.20 71.46
0.91 28.98 0.27 84.91
0.90 28.52 0.36 98.14
0.88 28.07 0.45 110.80
0.87 27.63 0.55 123.17
0.86 27.20 0.66 134.92
0.84 26.77 0.77 146.47
0.83 26.35 0.90 157.43
0.82 25.93 1.03 168.20
0.80 25.53 1.16 178.41
0.79 25.12 1.31 188.43
0.78 803.66 47.27 6,433.74
Total 55.20 8,036.77
 Bono 2042
Fecha valuacion 9/21/2020 Duracion
Fecha liquidación 9/21/2020 Duracion modificada
Usar Convexidad
Precio sucio 118.05% Efecto duración S/
Precio sucio (t-1) 117.496% Efecto convexidad S/
TIR (t-1) 5.50% Cambio estimado S/
TIR 5.46% Cambio real
Valor nominal 1,000 Current yield
Cupón 6.85%
vencimiento 2/12/2042
Interes corridos 7.45
Precio limpio 117.30%

Fecha periodo cupon principal total

8/12/2020
2/12/2021 0.40 34.25 34
8/12/2021 0.90 34.25 34
2/12/2022 1.41 34.25 34
8/12/2022 1.92 34.25 34
2/12/2023 2.43 34.25 34
8/12/2023 2.93 34.25 34
2/12/2024 3.44 34.25 34
8/12/2024 3.95 34.25 34
2/12/2025 4.46 34.25 34
8/12/2025 4.96 34.25 34
2/12/2026 5.47 34.25 34
8/12/2026 5.98 34.25 34
2/12/2027 6.49 34.25 34
8/12/2027 6.99 34.25 34
2/12/2028 7.50 34.25 34
8/12/2028 8.01 34.25 34
2/12/2029 8.52 34.25 34
8/12/2029 9.02 34.25 34
2/12/2030 9.53 34.25 34
8/12/2030 10.03 34.25 34
2/12/2031 10.54 34.25 34
8/12/2031 11.05 34.25 34
2/12/2032 11.56 34.25 34
8/12/2032 12.06 34.25 34
2/12/2033 12.58 34.25 34
8/12/2033 13.08 34.25 34
2/12/2034 13.59 34.25 34
8/12/2034 14.09 34.25 34
2/12/2035 14.60 34.25 34
8/12/2035 15.11 34.25 34
2/12/2036 15.62 34.25 34
8/12/2036 16.12 34.25 34
2/12/2037 16.63 34.25 34
8/12/2037 17.14 34.25 34
2/12/2038 17.65 34.25 34
8/12/2038 18.15 34.25 34
2/12/2039 18.66 34.25 34
8/12/2039 19.16 34.25 34
2/12/2040 19.68 34.25 34
8/12/2040 20.18 34.25 34
2/12/2041 20.69 34.25 34
8/12/2041 21.19 34.25 34
2/12/2042 21.71 34.25 1,000 1,034
no 2042
12.39
11.75
224.67
5.520
0.02
5.538
5.527
5.80%

Factor descuento cupon actualizado Convexidad Duración Suma VP

1,180 118.05%

0.98 33.53 0.02 13.41

0.95 32.65 0.05 29.47
0.93 31.77 0.09 44.92
0.90 30.93 0.15 59.29
0.88 30.10 0.21 73.08
0.86 29.31 0.29 85.89
0.83 28.52 0.37 98.17
0.81 27.77 0.46 109.60
0.79 27.02 0.56 120.48
0.77 26.31 0.66 130.53
0.75 25.60 0.77 140.11
0.73 24.93 0.88 148.95
0.71 24.26 1.00 157.36
0.69 23.62 1.12 165.09
0.67 22.99 1.24 172.41
0.65 22.38 1.37 179.15
0.64 21.78 1.50 185.48
0.62 21.20 1.62 191.25
0.60 20.64 1.75 196.67
0.59 20.09 1.88 201.59
0.57 19.55 2.02 206.18
0.56 19.04 2.15 210.31
0.54 18.53 2.28 214.14
0.53 18.04 2.41 217.58
0.51 17.55 2.54 220.72
0.50 17.09 2.67 223.49
0.49 16.63 2.79 226.00
0.47 16.19 2.92 228.18
0.46 15.76 3.04 230.12
0.45 15.34 3.16 231.76
0.44 14.93 3.28 233.18
0.42 14.54 3.40 234.35
0.41 14.15 3.51 235.30
0.40 13.77 3.63 236.01
0.39 13.40 3.74 236.54
0.38 13.05 3.84 236.86
0.37 12.70 3.95 237.00
0.36 12.37 4.05 236.97
0.35 12.03 4.15 236.77
0.34 11.71 4.24 236.41
0.33 11.40 4.33 235.90
0.32 11.10 4.42 235.26
0.32 326.21 136.19 7,080.50
Total 224.67 14,622.42
 Empresa de seguros Bono 2024 Bono 2028
Duración Pasivos 7.5 Duración (años) 3.61 6.56
Monto Pasivos 100,000,000
Bono 2024 Bono 2028
Precios 118.89% 122.57%

Ladder
Escenario 1 Bono 2024 Bono 2028
Valor nominal 28,598,613 26,923,723
N° Bonos 28,599 26,924
Monto Invertido 34,000,000 33,000,000
% 34% 33%

Bullet
Escenario 2 Bono 2024 Bono 2028
Valor nominal 0 68,533,114
N° Bonos 0 68,533
Monto Invertido 0 84,000,000
% 0% 84%

Barbell
Escenario 2 Bono 2024 Bono 2028
Valor nominal 47,103,598 0
N° Bonos 47,104 0
Monto Invertido 56,000,000 0
% 56% 0%
 Bono 2042 VN
12.39 1000

Bono 2042 Duracion Pr.

118.05%

Ladder
Bono 2042 Total Dur. Prom
27,954,586 83,476,922
27,955 83,477
33,000,000 100,000,000 7.48
33% 100%

Bullet
Bono 2042 Total Dur. Prom
13,553,739 82,086,852
13,554 82,087
16,000,000 100,000,000 7.49
16% 100%

Barbell
Bono 2042 Total Dur. Prom
37,272,781 84,376,379
37,273 84,376
44,000,000 100,000,000 7.47
44% 100%
 Exposiciones nominales del Portafolio
(S/ millones)

Años Port1 Port2 Port3

1 62.50 0 200
3 62.50 5 50 Yield (t0)
5 62.50 160 0
7 62.50 160 0
10 62.50 160 0
15 62.50 10 0
20 62.50 5 50
30 62.50 0 200
Total 500 500 500
Yield + 100 PB

Portafolio 1 1
Valor nominal 62.50

Valoriza
Base 61.58
1 60.98
2 61.58
3 61.58
4 61.58
5 61.58
6 61.58
7 61.58
8 61.58

Portafolio 2 1
Valor nominal 0.00

Valoriza
Base 0.00
1 0.00
2 0.00
3 0.00
4 0.00
5 0.00
6 0.00
7 0.00
8 0.00
 Portafolio 3 1
Valor nominal 200.00

Valoriza
Base 197.04
1 195.12
2 197.04
3 197.04
4 197.04
5 197.04
6 197.04
7 197.04
8 197.04
 1 3 5 7 10 15 20 30
1.50% 1.70% 1.85% 1.90% 2.25% 2.75% 3.10% 3.40%

1 3 5 7 10 15 20 30
2.50% 1.70% 1.85% 1.90% 2.25% 2.75% 3.10% 3.40%
1.50% 2.70% 1.85% 1.90% 2.25% 2.75% 3.10% 3.40%
1.50% 1.70% 2.85% 1.90% 2.25% 2.75% 3.10% 3.40%
1.50% 1.70% 1.85% 2.90% 2.25% 2.75% 3.10% 3.40%
1.50% 1.70% 1.85% 1.90% 3.25% 2.75% 3.10% 3.40%
1.50% 1.70% 1.85% 1.90% 2.25% 3.75% 3.10% 3.40%
1.50% 1.70% 1.85% 1.90% 2.25% 2.75% 4.10% 3.40%
1.50% 1.70% 1.85% 1.90% 2.25% 2.75% 3.10% 4.40%

3 5 7 10 15 20 30 Total
62.50 62.50 62.50 62.50 62.50 62.50 62.50 500.00

Valorización del Portafolio 1 (+ 100PB)

59.42 57.03 54.78 50.03 41.61 33.94 22.92 381.31
59.42 57.03 54.78 50.03 41.61 33.94 22.92 380.70
57.70 57.03 54.78 50.03 41.61 33.94 22.92 379.59
59.42 54.31 54.78 50.03 41.61 33.94 22.92 378.59
59.42 57.03 51.16 50.03 41.61 33.94 22.92 377.69
59.42 57.03 54.78 45.39 41.61 33.94 22.92 376.67
59.42 57.03 54.78 50.03 35.98 33.94 22.92 375.68
59.42 57.03 54.78 50.03 41.61 27.98 22.92 375.35
59.42 57.03 54.78 50.03 41.61 33.94 17.17 375.56

3 5 7 10 15 20 30 Total
5.00 160.00 160.00 160.00 10.00 5.00 0.00 500.00

Valorización del Portafolio 1 (+ 100PB)

4.75 145.99 140.25 128.08 6.66 2.72 0.00 428.44
4.75 145.99 140.25 128.08 6.66 2.72 0.00 428.44
4.62 145.99 140.25 128.08 6.66 2.72 0.00 428.31
4.75 139.03 140.25 128.08 6.66 2.72 0.00 421.48
4.75 145.99 130.98 128.08 6.66 2.72 0.00 419.18
4.75 145.99 140.25 116.20 6.66 2.72 0.00 416.57
4.75 145.99 140.25 128.08 5.76 2.72 0.00 427.54
4.75 145.99 140.25 128.08 6.66 2.24 0.00 427.97
4.75 145.99 140.25 128.08 6.66 2.72 0.00 428.44
 3 5 7 10 15 20 30 Total
50.00 0.00 0.00 0.00 0.00 50.00 200.00 500.00

Valorización del Portafolio 1 (+ 100PB)

47.53 0.00 0.00 0.00 0.00 27.15 73.35 345.08
47.53 0.00 0.00 0.00 0.00 27.15 73.35 343.16
46.16 0.00 0.00 0.00 0.00 27.15 73.35 343.71
47.53 0.00 0.00 0.00 0.00 27.15 73.35 345.08
47.53 0.00 0.00 0.00 0.00 27.15 73.35 345.08
47.53 0.00 0.00 0.00 0.00 27.15 73.35 345.08
47.53 0.00 0.00 0.00 0.00 27.15 73.35 345.08
47.53 0.00 0.00 0.00 0.00 22.38 73.35 340.32
47.53 0.00 0.00 0.00 0.00 27.15 54.96 326.69
 Años 1 3 5 7
1.00% 0.00% 0.00% 0.00%
0.00% 1.00% 0.00% 0.00%
0.00% 0.00% 1.00% 0.00%
Variación 0.00% 0.00% 0.00% 1.00%
(+/-) 100PB 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%
Años 1 3 5 7
0.50% 1.70% 1.85% 1.90%
1.50% 0.70% 1.85% 1.90%
1.50% 1.70% 0.85% 1.90%
1.50% 1.70% 1.85% 0.90%
Yield - 100 PB
1.50% 1.70% 1.85% 1.90%
1.50% 1.70% 1.85% 1.90%
1.50% 1.70% 1.85% 1.90%
1.50% 1.70% 1.85% 1.90%

Portafolio 1 1 3 5 7 10
Valor nominal 62.50 62.50 62.50 62.50 62.50

Valorización del Portafolio 1 (- 100PB)

Base 61.58 59.42 57.03 54.78 50.03
1 62.19 59.42 57.03 54.78 50.03
2 61.58 61.21 57.03 54.78 50.03
3 61.58 59.42 59.91 54.78 50.03
4 61.58 59.42 57.03 58.70 50.03
5 61.58 59.42 57.03 54.78 55.20
6 61.58 59.42 57.03 54.78 50.03
7 61.58 59.42 57.03 54.78 50.03
8 61.58 59.42 57.03 54.78 50.03

Portafolio 2 1 3 5 7 10
Valor nominal 0.00 5.00 160.00 160.00 160.00

Valorización del Portafolio 1 (+ 100PB)

Base 0.00 4.75 145.99 140.25 128.08
1 0.00 4.75 145.99 140.25 128.08
2 0.00 4.90 145.99 140.25 128.08
3 0.00 4.75 153.37 140.25 128.08
4 0.00 4.75 145.99 150.27 128.08
5 0.00 4.75 145.99 140.25 141.31
6 0.00 4.75 145.99 140.25 128.08
7 0.00 4.75 145.99 140.25 128.08
8 0.00 4.75 145.99 140.25 128.08
 Portafolio 3 1 3 5 7 10
Valor nominal 200.00 50.00 0.00 0.00 0.00

Valorización del Portafolio 1 (+ 100PB)

Base 197.04 47.53 0.00 0.00 0.00
1 199.00 47.53 0.00 0.00 0.00
2 197.04 48.96 0.00 0.00 0.00
3 197.04 47.53 0.00 0.00 0.00
4 197.04 47.53 0.00 0.00 0.00
5 197.04 47.53 0.00 0.00 0.00
6 197.04 47.53 0.00 0.00 0.00
7 197.04 47.53 0.00 0.00 0.00
8 197.04 47.53 0.00 0.00 0.00
 10 15 20 30
0.00% 0.00% 0.00% 0.00% Key Rate Duration
0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 0.00% 0.00% Años Portafolio 1 Portafolio 2
0.00% 0.00% 0.00% 0.00% 1 0.16 0.00
1.00% 0.00% 0.00% 0.00% 3 0.46 0.03
0.00% 1.00% 0.00% 0.00% 5 0.73 1.67
0.00% 0.00% 1.00% 0.00% 7 0.99 2.25
0.00% 0.00% 0.00% 1.00% 10 1.29 2.93
10 15 20 30 15 1.60 0.23
2.25% 2.75% 3.10% 3.40% 20 1.74 0.12
2.25% 2.75% 3.10% 3.40% 30 1.77 0.00
2.25% 2.75% 3.10% 3.40%
2.25% 2.75% 3.10% 3.40%
1.25% 2.75% 3.10% 3.40% Impacto de un incremento de tasa
2.25% 1.75% 3.10% 3.40% Años Portafolio 1 Portafolio 2
2.25% 2.75% 2.10% 3.40% 1 -0.15 0.00
2.25% 2.75% 3.10% 2.40% 3 -0.44 -0.04
5 -1.40 -3.59
15 20 30 Total 7 -2.83 -7.23
62.50 62.50 62.50 500.00 10 -4.90 -12.55
15 -1.52 -0.24
1 (- 100PB) 20 -3.32 -0.27
41.61 33.94 22.92 381.31 30 -5.07 0.00
41.61 33.94 22.92 381.92 Variación -19.63 -23.92
41.61 33.94 22.92 383.09
41.61 33.94 22.92 384.19
41.61 33.94 22.92 385.22
41.61 33.94 22.92 386.47
48.18 33.94 22.92 387.88
41.61 41.24 22.92 388.61
41.61 33.94 30.68 389.06

15 20 30 Total
10.00 5.00 0.00 500.00

1 (+ 100PB)
6.66 2.72 0.00 428.44
6.66 2.72 0.00 428.44
6.66 2.72 0.00 428.59
6.66 2.72 0.00 435.83
6.66 2.72 0.00 438.47
6.66 2.72 0.00 441.67
7.71 2.72 0.00 429.50
6.66 3.30 0.00 429.03
6.66 2.72 0.00 428.44
 15 20 30 Total
0.00 50.00 200.00 500.00

1 (+ 100PB)
0.00 27.15 73.35 345.08
0.00 27.15 73.35 347.04
0.00 27.15 73.35 346.51
0.00 27.15 73.35 345.08
0.00 27.15 73.35 345.08
0.00 27.15 73.35 345.08
0.00 27.15 73.35 345.08
0.00 33.00 73.35 350.93
0.00 27.15 98.18 369.91
tion

Portafolio 3 Años + -
0.56 1 0.25% -0.25%
0.41 3 0.25% -0.25%
0.00 5 0.50% -0.50%
0.00 7 0.75% -0.75%
0.00 10 1.00% -1.00%
0.00 15 0.25% -0.25%
1.54 20 0.50% -0.50%
6.26 30 0.75% -0.75%

ento de tasa Impacto de una disminución de tasa

Portafolio 3 Años Portafolio 1 Portafolio 2 Portafolio 3
-0.49 1 0.15 0.00 0.49
-0.35 3 0.44 0.04 0.35
0.00 5 1.40 3.59 0.00
0.00 7 2.83 7.23 0.00
0.00 10 4.90 12.55 0.00
0.00 15 1.52 0.24 0.00
-2.65 20 3.32 0.27 2.65
-16.21 30 5.07 0.00 16.21
-19.70 Variación 19.63 23.92 19.70
 Bono 2024
Fecha valuacion 9/21/2020
Fecha liquidación 9/21/2020
Precio sucio hoy 118.887%
Valor S/.1,188.87
TIR 0.9000%
Valor nominal 1,000
Cupón 5.70%
vencimiento 8/12/2024

Fecha periodo cupon principal total

8/12/2020
2/12/2021 0.40 28.50 28.50
8/12/2021 0.90 28.50 28.50
2/12/2022 1.41 28.50 28.50
8/12/2022 1.92 28.50 28.50
2/12/2023 2.43 28.50 28.50
8/12/2023 2.93 28.50 28.50
2/12/2024 3.44 28.50 28.50
8/12/2024 3.95 28.50 1,000 1,028.50
Interes referencial Diferencial Saldo Inicial Saldo Final

1,000.00 S/.1,188.87
5.35 23.15 S/.1,188.87 S/.1,165.72
5.25 23.25 S/.1,165.72 S/.1,142.46
5.14 23.36 S/.1,142.46 S/.1,119.11
5.04 23.46 S/.1,119.11 S/.1,095.64
4.93 23.57 S/.1,095.64 S/.1,072.07
4.82 23.68 S/.1,072.07 S/.1,048.40
4.72 23.78 S/.1,048.40 S/.1,024.61
4.61 24.61 S/.1,024.61 S/.1,000.00

Ajuste S/.0.72