224946110.

xls

Sleeping Beauty Basic Spreadsheet

Calendar
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

Relative Cash Flow

Year
per $100
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

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 1

224946110.xls

Sleeping Beauty Present Value as a Function of the Interest Rate

Calendar
Year

Relative
Year

Cash Flow
per $100

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

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

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

Page 2

Present
Values

224946110.xls

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 3

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%

224946110.xls

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

Page 4

224946110.xls

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

Bond as a Function of the Interest Rate
$200.00

100-year bonds

Present Value

$150.00

10-year bonds

$100.00

$50.00

$0.00
2%

3%

4%

5%

6%

7%

8%

9%

10% 11% 12% 13% 14% 15% 16% 17% 18% 19% 20%

Interest Rate

Page 5

224946110.xls

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

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

10-Year Bond

30-Year Bond

30-Year Zero

7.55%

7.55%

7.55%

7.55%

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

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

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

Page 7

519.41

224946110.xls
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

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

0.44
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

Page 8

224946110.xls
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

Page 9

224946110.xls

30-Year Zero

Page 10

224946110.xls

Page 11

224946110.xls

Page 12

224946110.xls

Sleeping Beauty Sensitivity Up

Calendar
Year

Relative Sleeping
Year
Beauty

10-Year
Bond

30-Year
Bond

30-Year
Zero

Interest
Rate

7.55%

7.55%

7.55%

7.55%

Value
% Ch. In Value

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

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

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 13

224946110.xls
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

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

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

Page 14

224946110.xls
2080
2081
2082
2083
2084
2085
2086
2087
2088
2089
2090
2091
2092
2093

87
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
0.01
0.07

Page 15

224946110.xls

Sleeping Beauty Sensitivity Down

Calendar
Year

Relative Sleeping
Year
Beauty

10-Year
Bond

30-Year
Bond

30-Year
Zero

Interest
Rate

7.55%

7.55%

7.55%

7.55%

Value
% Ch. In Value

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

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

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 16

224946110.xls
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

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

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

Page 17

224946110.xls
2080
2081
2082
2083
2084
2085
2086
2087
2088
2089
2090
2091
2092
2093

87
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
0.01
0.07

Page 18

224946110.xls

Sleeping Beauty The Relation between Duration and Interest Rate Sensitivity

% Ch if Rate Down 1%
Duration
% Ch. If Rate Up 1%

Sleeping
Beauty

10-Year
Bond

30-Year
Bond

30-Year
Zero

0.0%

0.0%

0.0%

0.0%

0.00

0.00

0.00

0.00

0.0%

0.0%

0.0%

0.0%

Page 19

224946110.xls

est Rate Sensitivity

Page 20