Financial Risk Management - Assignment Example

Financial Risk Management Table of Contents Introduction 1 Allocation of funds 2 Principle of bond valuation 7 Managing the portfolio 8 Hedging interest rate risk 9 Evaluation of the bond portfolio 15 Conclusion 15 Introduction Investment in bonds depends on the investment objective as well as the risk that an individual is willing to bear. At the time of making an investment the benefit of diversification must be taken into consideration. Like in the case of investing in shares the investor takes care of not putting the money in one stock rather a rational investor allocates the funds across the various sectors so as to immunize the portfolio from any adverse happening in a specific sector. Similarly while investing in bonds the investors must allocate his money across various types of bonds such as Government bonds, corporate bonds, municipal bonds etc. Besides choosing the various types of bonds an investor can invest in bonds of varying maturities for managing the interest rate risk. An investor with a strategy of ‘buy and hold’ is unaffected by the impact of interest rate fluctuations on bond prices. This type of investor has the objective of regular flow of income with adequate capital protection. Such investors usually desire for liquid and safe investment avenues. The ideal investment for them is the “government bonds”. These bonds have a high credit-rating and are also liquid in nature. Moreover as the issuer is the government the risk is less. As the risk of such bonds is less the coupon rate offered by them is less than the corporate bonds. Besides the government bonds there are also other types of corporate bonds which have a high credit rating and offer a coupon rate that is slightly higher than the government bonds (Ho & Yi, 2004). An individual with an objective of maximization of income can invest in high-yield bonds or junk bonds. As the credit rating of such bonds is less than the investment grade or BB they offer higher than the prevailing coupon rates. A low rating by Standard & Poor or Moody signifies higher risk. As a compensation of investing in such high risk bonds the investors demand for higher returns. The prices of such bonds are vulnerable to market downturns. During the times of market uncertainty there is a rise in their default risk hammering the market prices of the high-yield bonds (The Securities Industry and Financial Markets Association, 2010). Allocation of funds The client already has an equity investment portfolio that is well diversified. As there is no requirement of access to the funds one can invest in long dated bonds. The client is seeking for low risk and liquid investments; therefore the ideal place to invest the funds is in the Government Treasury. The government bonds are less risky as the government is the guarantor so the default risk is negligible. As the client does not have any immediate fund requirement so the investment has been spread across Treasuries of long-dated maturities. The yield is an important indicator of bond value. A person who is going to buy the bond wants the yield to move up as in this situation the price of the bond will fall making it cheaper for him. However, an investor who has already parked his funds in the bonds wants the yield to move down as this will increase the prices of the bonds. This shows that there exists an inverse relationship between the bond price and yield. If the price of the bond moves up the yield of the same will fall whereas if the price of the bond moves down the yield of the bond will rise. Source: (Jordan, n.d.). The amount of £1 million has been invested across the following government bonds- 0 5/8% Index-linked Treasury Gilt 2040, 0 5/8% Index-linked Treasury Gilt 2042, 1 1/8% Index-linked Treasury Gilt 2037, 1 7/8% Index-linked Treasury Gilt 2022, 1¼% Index-linked Treasury Gilt 2017, 1¼% Index-linked Treasury Gilt 2027, 1¼% Index-linked Treasury Gilt 2032, 1¼% Index-linked Treasury Gilt 2055, 2% Index-linked Treasury Stock 2035 and 2½% Index-linked Treasury Stock 2020. As all these have been issued by UK government they are all investment grade bonds. The yield of 0 5/8% Index-linked Treasury Gilt 2040 at the time of purchase was 0.81% and this has remained and this has remained more or less stable over the last two months. For 0 5/8% Index-linked Treasury Gilt 2042 the yield at the beginning of March was approximately 0.73% and at the end of April this fell to 0.72%. This was accompanied by a rise in the price of the bond. It may be due to a fall in the rate of interest. Rate of interest and bond price are inversely related. If the market rate of interest moves up then the price of an existing bond falls. This is because as new issues offer higher yield the market price of the existing bonds fall. Conversely, when the interest rate falls, the existing bonds offering higher rate of interest become attractive and their price rises. The price of this bond has risen over the selected time period which may be due to a fall in the interest rate (United Kingdom Debt Management, 2010). Yield on 0 5/8% Index-linked Treasury Gilt 2040- Source: (United Kingdom Debt Management, 2010). The yield of 1 1/8% Index-linked Treasury Gilt 2037 has also remained stable over the entire time period indicating low price volatility of the bonds. 1 7/8% Index-linked Treasury Gilt 2022 had a high yield at the beginning and this dropped significantly afterwards. The fall in the yield towards the end of April pushed up its price towards the end of the time period under consideration. 1¼% Index-linked Treasury Gilt 2017 the yield was 0.65% at the beginning of March which later moved to even lower levels of 0.24% towards the end of April pushing up the bond price to £122.35 on 30 April. Compared to this bond the 1¼% Index-linked Treasury Gilt 2027 exhibits a higher yield but the volatility in the yield is limited which is important as high fluctuations in the bond yield can significantly impact the price of the bond. 1¼% Index-linked Treasury Gilt 2032 too has a stable yield as is evident from the stability in their market price. For the same reason of low volatility and stable prices 1¼% Index-linked Treasury Gilt 2055, 2% Index-linked Treasury Stock 2035 and 2½% Index-linked Treasury Stock 2020 have been selected (United Kingdom Debt Management-b, 2010). The amount of £1 million has been evenly spread across all the above treasuries. 725 units of each treasury have been purchased at varying dates. 725 units of 0 5/8% Index-linked Treasury Gilt 2040 was purchased on 1 March at a price of £95.67, 0 5/8% Index-linked Treasury Gilt 2042 was purchased on the same date at a price of £99.46. 700 units of 1 1/8% Index-linked Treasury Gilt 2037 and 1 7/8% Index-linked Treasury Gilt 2022 were purchased on 11 March at a price of £113.7 and £116.41 respectively. 11/4% Index linked treasury gilt 2017 were purchased on 1 March at £117.95 and 11/4% Index linked treasury gilt 2027 were purchased on 8 March at £115.65. 700 units of 11/4% Index Linked Treasury Gilt 2032 was purchased on 11 March at £105.78. The price of 11/4% Index Linked Treasury Gilt 2055 was nearly £142.50 at the beginning of March and this later fell to £139.95. This security was purchased on the same date to make gains of the price rise in the future. 2% Index-linked Treasury Stock 2035 and 21/2% Index-linked Treasury Stock 2020 was also purchased on the 11 March at £151.40 and £298.84 respectively. The total amount of investment of £1000000 has been allocated to the treasury gilts. The total investment made in the Treasuries is £982191. Put options on Treasury bonds have been purchased for managing the interest rate risk. This resulted in an outflow of £20000. Principle of bond valuation The value of a bond is obtained by discounting the future cash flows of the bond like interest and redemption value to the current date. If the bond is redeemable at a premium then the face value plus the amount of premium is used for obtaining the price of the bond. Therefore the value of a bond can be stated as- Bond Value = Present value of coupons + Present value of lump sum (Jordan, n.d.). There exists an inverse relationship between the rate of interest and bond prices. If the rate of interest moves up the market price of the bonds falls as it unattractive for the investors. This is because if new issues carry a high rate of interest then the existing issues offering low interest rates are not favoured by the investors. Now if the low rate bonds are to be sold then the seller has to lower the price. This explains the reason for the fall in the value of the bond in the event of a rise in the rate of interest. Similarly, if the rate of interest falls then the value of the existing bonds offering higher coupon rates increases. The seller can then sell his bonds at a premium as the price of the bond increases. All the bonds that have been selected for the purpose of assignment are Government bonds of varying maturity. The buyer of a corporate bond is vulnerable to credit risk as well as interest rate risk. The default risk of the government bonds is negligible but even they are exposed to interest rate risk (Acharya & Carpenter, 2001, pp. 1). Managing the portfolio The 05/8% Index linked Treasury Gilt 2040 reached a price of £99.90 on 1 April, the highest price over the last one month trading session. Taking advantage of the rise in the price this treasury was sold on this date. This resulted in a profit of £3069. The 05/8% Index Linked Treasury 2042 reached a price of £102.49 three days after its purchase and was anticipated to rise further so the long position in the treasury was not squared off. However its price mostly fell after this day for nearly seven trading sessions. It later reached £102.74 on 31 March. This was then sold on the day resulting in a profit of £2378. The investment in other treasuries was held for the two month period. Portfolio Restructuring Log-     Position Reasons Selling Price 0 5/8% Index-linked Treasury Gilt 2040   Sold Record Rise in price £99.90 0 5/8% Index-linked Treasury Gilt 2042   Sold Record Rise in price £102.49 1 1/8% Index-linked Treasury Gilt 2037   Long   1 7/8% Index-linked Treasury Gilt 2022   Long   1¼% Index-linked Treasury Gilt 2017   Long   1¼% Index-linked Treasury Gilt 2027   Long   1¼% Index-linked Treasury Gilt 2032   Long   1¼% Index-linked Treasury Gilt 2055   Long   2% Index-linked Treasury Stock 2035   Long   2½% Index-linked Treasury Stock 2020   Long    10000 3 month Put Option on Treasury Bond   Long     Hedging interest rate risk As already discussed, the bond portfolio is subject to interest rate fluctuations. A rise in the rate of interest can reduce the price of the bond. A bond buyer is apprehensive of an increase in interest rate and to hedge this position he can use a number of hedging techniques like interest rate swaps, T-bond futures, options. Swaps- Unlike the futures and options, swaps are customised derivative instruments, involving a financial intermediary. An example of a swap is plain-vanilla swap (Nawalkha, et al., 2005, pp. 222). In this type of swap the fixed and floating rate of interest on a fixed amount of principal are exchanged between two parties. The party that is afraid of interest rate going up pays a fixed rate of interest and receives a floating rate whereas the party that is afraid of interest rate going down receives fixed rate and pays a floating rate (Agar, 2005, pp. 128). T-bond futures- Another way of hedging a long position on bonds is through T-bond futures. These futures have UK Treasury Bonds of maturity 20 years as the underlying. Suppose the manager of the bond portfolio is afraid of interest rates rising then he can sell the T-Bond futures. If the interest rate actually rises then the Price of the T-bond futures will fall. The loss incurred on the bond portfolio can be compensated by the gain made on squaring off the T-bond futures. This is because the underlying for the T-bond futures is the T-bond and a rise in the interest rate lowers the price of the T-bond thus lowering the price of the T-Bond futures. Similarly, if the manager of the bond portfolio has short sold these Treasury bonds then to hedge the short position he can enter into a long position on the T-bond futures. If his anticipation of a fall in the rate of interest turns out to be true then the loss incurred on the short T-bond position will be compensated by the gain made from the rise in the value of T-bond futures (Johnson, 2004, pp.342). Like suppose the value of the bond portfolio is £948000. If the bond manager is afraid of interest rates rising as this will depreciate the value of his portfolio then he can sell April T-bond futures trading at £98 to hedge his position. Now if the interest rate rises then the loss incurred on the bond portfolio will be made up by the gain on the T-bond futures. Besides hedging the T-bond futures can also be used for making speculative gains. If an investor anticipates a rise in the interest rates then he can enter into a short position in the T-bond futures. Suppose he buys 100 March T-bond futures at £85. After the purchase if the price happens to be £80, then the gain on this short position will be- = (£85 -£80)*100 = £500 However if the price of the T-bond futures rises to £90, owing to a fall in the rate of interest then there will be a loss of £500. This is said to be one of the major limitations of the futures contract. Unlike the options the futures are obligatory in nature. In the event of any reverse swing in the market anticipations the loss on futures can be unlimited. Options- Options are exchange traded derivative instruments that derive their value from an underlying financial instrument. As the name implies it is not obligatory that is in the event of favourable movement the buyer of the option need not exercise the option. Depending on “exercise” there can be two types of options- American and European. An American option can be exercised at any time before the date of expiry whereas a European option can be exercised only at the date of expiry (Grabbe, 1982). A call option gives the buyer the right to purchase a specified amount of an underlying asset at a specified price on or before the date of maturity of the option. For a call option on equity the underlying assets is the equity. The price at which the option can be exercised is the “Exercise Price or Strike Price” and the date of maturity is called “expiration date”. A put option gives the buyer of this option the right to sell an underlying asset at the Exercise price in the event of a fall in the market price of the underlying. However if the price of the underlying assets increases then he can let his option lapse and can sell the instrument in the market itself. The buying of the protective put option is also referred to as purchasing insurance. As in the case of insurance the premium paid on the purchase of put is non-refundable and has to be paid before the benefit of coverage begins (Fabozzi, 2001, pp.625). The advantage of put option is immunity against a price fall, limited liability without any requirement of maintenance margins and unlimited profit potential (Anderson, et al., n.d.). Suppose, the manager of a bond portfolio is afraid of interest rates rising as this will depreciate the value of his bond portfolio. To hedge his position he can buy a put option on the bond. This will give him “the right to sell” the bond at a higher price irrespective of the bond price prevailing in the market. The buyer of this option has to pay a premium to buy this right. Like the bond manager can buy a 3 month put option on the Treasury bond at an exercise price of $80. If the amount of premium is $1.50, then the pay-off, under the various scenarios is shown as under. Suppose the price of the T-bond at the date of expiration is £85, £86, £90, £82, £80 and £75.   Long Put option on Treasury Bond Price (£) Exercise (E) or lapse (L) Gross pay-off Net Pay-off 85 L 0 -1.5 86 L 0 -1.5 90 L 0 -1.5 82 L 0 -1.5 80 L 0 -1.5 75 E 5 3.5         For the portfolio that has been designed using the Index Linked Treasury Gilt of various maturities the fund manager can buy 10000 3 months put options expiring in May on Treasury bonds at a strike price of £99 paying a premium of £2.00. If at the maturity of the option the rate of interest rises then the value of the bond portfolio will fall and the price of the Treasury bond will also fall. But the put option will entitle the fund manager the right to sell the 10000 put options at £99. This will result in an inflow of £990000. = 10000 * £99 =£990000 The outflow in the form of total premium is- 10000* £2.00 = £20000 This option has not been exercised till date. Thus the loss incurred on the fall in the value of the bond portfolio will get compensated by the gain made on the put options. The pay-off on the put option rises as the value of the underlying asset falls below the strike price (Megginson & Smart, 2008, pp. 775). But if the bond manager is confirmed about a rise in the interest rate movements and hence he wants to make a gain out of this then he can short put option. By way of this he will get an option premium. The gain in this strategy is limited to the amount of premium however the loss on this strategy is unlimited. Suppose he sells 1000, 3 month put option on the Treasury bond at a Strike Price of £75 and receives a premium of £2.50. Under the various scenarios at the date of expiry of the put option the gross pay off and the net pay-off is shown below. Suppose the price of the put option at the maturity is £80, £81, £85, £74, £70 and £65. Short Put option on Treasury Bond     Price (£) Exercise (E) or lapse (L) Gross pay-off (£) Net Pay-off (£) 80 L 2500 2500 81 L 2500 2500 85 L 2500 2500 74 E -5000 -2500 70 E -6000 -3500 65 E -10000 -7500 Therefore, if the price of the T-Bond at the maturity date is more than the strike price then the put option will lapse and the gain of the bond manager on the short put strategy will be the amount of premium received. But if the price of the T-Bond is less than the strike price of £75 then the buyer of the put option will exercise his option and the bond manager will incur a loss depending on the difference between the strike price and the prevailing market price. Evaluation of the bond portfolio There has been a rise in the value of the portfolio over the two month period following a rise in the price of the Treasuries. Of the 10 Index Linked Treasury Gilts that were purchased two were sold at a profit in the intermediate period resulting in a total gain of £5447. Closing Value of the bond portfolio (£)   875,483 Cash portfolio(£)   149,993 Total value of the investment (£)   1,025,476 The bond portfolio comprises of the Treasury Linked Gilts and the Cash Portfolio consists of Cash realized on the sale of two of Index Linked securities and the gain due to a rise in their price. So the value of the portfolio increased over the two month period resulting in a gain. Conclusion The investment in bonds can be of varying risk levels based on the type of the bond that is chosen for investment. Government bonds have the lowest risk as the guarantor is the government. Unlike the Government bonds the corporate bonds carry high credit risk. But all the types of bonds especially the long-dated bonds are subject to interest rate risk. To hedge the interest rate risk various financial derivatives like options, futures, swaps etc have been designed. By entering into a suitable position on these derivatives an investor can keep the value of the investment intact. Besides minimizing risk these derivatives can also be used for making speculative gains. Reference Acharya, V.V. Carpenter, N.J. 2001. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. Available at: http://www.london.edu/facultyandresearch/research/docs/336.pdf [Accessed on May 15, 2010]. Agar, C. 2005. Capital investment & financing: a practical guide to financial evaluation. Butterworth-Heinemann. Anderson, C. Smith. J. McCorkle, D. O’Brien, D. No Date. Hedging With a Put Option. Available at: http://agmarketing.extension.psu.edu/Commodity/PDFs/HdgPutOption.pdf [Accessed on May 15, 2010]. Fabozzi, J.F. 2001. Bond Portfolio Management. John Wiley and Sons. Grabbe, O.J. 1982. Introduction. The Pricing of Call and Put options on foreign exchange. Available at: http://finance.wharton.upenn.edu/~rlwctr/papers/8306.PDF [Accessed on May 15, 2010]. Ho, S.Y. T. Yi, S. 2004. The Oxford guide to financial modeling: applications for capital markets, corporate finance, risk management, and financial institutions. Oxford University Press US. Johnson, S.R. 2004. Bond Evaluation, Selection, and Management. Wiley-Blackwell. Jordan, W.R. No Date. Present Value of Cash Flows as rates Change. Fundamentals of Corporate Finance. Available at: http://users.ipfw.edu/sharmam/f301/ch7/Chapter007_2nd.ppt#4 [Accessed on May 15, 2010]. Megginson, L.W. Smart, B.S. 2008. Introduction to Corporate Finance. Cengage Learning. Nawalkha, K.S. Soto, M.G. Beliavea, A.N. 2005. Interest rate risk modeling: the fixed income valuation course. John Wiley and Sons. The Securities Industry and Financial Markets Association. 2010. Strategies. Available at: http://www.investinginbonds.com/learnmore.asp?catid=6&id=386 [Accessed on May 15, 2010]. United Kingdom Debt Management-a. 2010. 0 5/8% Index-linked Treasury Gilt 2040. Available at: http://www.dmo.gov.uk/SubRPTView.aspx?rptcode=D3BSubrpt&reportpage=D3BSubRpt1&prompt0=GB00B3LZBF68 [Accessed on May 15, 2010]. United Kingdom Debt Management-b, 2010. Prices and Yields. Available at: http://www.dmo.gov.uk/index.aspx?page=Gilts/Data [Accessed on May 15, 2010]. Bibliography Brown, C.K. Lummer, L.S. No date. A Reexaminationof the Covered Call Option Strategy for Corporate Cash Management. Available at: http://www.mccombs.utexas.edu/faculty/keith.brown/Research/FM-06.86.pdf Flavell, R. 2009. Swaps and Other Derivatives. John Wiley and Sons. Georgia State University. No Date. Option Payoffs. Available at: http://www2.gsu.edu/~fncitt/files/ps_options.pdf Meindl, J.P. 2006. 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Annexure- 0 5/8% Index-linked Treasury Gilt 2040 0 5/8% Index-linked Treasury Gilt 2042 01-Mar-2010 95.674109 01-Mar-2010 99.467039 02-Mar-2010 97.697594 02-Mar-2010 101.631773 03-Mar-2010 97.386260 03-Mar-2010 101.222150 04-Mar-2010 98.574041 04-Mar-2010 102.494176 05-Mar-2010 96.038404 05-Mar-2010 99.930619 08-Mar-2010 94.729524 08-Mar-2010 98.453103 09-Mar-2010 95.505473 09-Mar-2010 99.243873 10-Mar-2010 94.750311 10-Mar-2010 98.433249 11-Mar-2010 93.573316 11-Mar-2010 97.018332 12-Mar-2010 94.218112 12-Mar-2010 97.819072 15-Mar-2010 94.772544 15-Mar-2010 98.609779 16-Mar-2010 96.162435 16-Mar-2010 100.035503 17-Mar-2010 97.118503 17-Mar-2010 101.174937 18-Mar-2010 97.018620 18-Mar-2010 101.010611 19-Mar-2010 97.099535 19-Mar-2010 101.062287 22-Mar-2010 97.221060 22-Mar-2010 101.063072 23-Mar-2010 97.190643 23-Mar-2010 101.042359 24-Mar-2010 95.933299 24-Mar-2010 99.494353 25-Mar-2010 96.335682 25-Mar-2010 99.996762 26-Mar-2010 96.971019 26-Mar-2010 100.664834 29-Mar-2010 98.409939 29-Mar-2010 102.315874 30-Mar-2010 97.142632 30-Mar-2010 100.911575 31-Mar-2010 98.621760 31-Mar-2010 102.747166 01-Apr-2010 99.906924 01-Apr-2010 104.182530 06-Apr-2010 98.276072 06-Apr-2010 102.182799 07-Apr-2010 97.833722 07-Apr-2010 101.382867 08-Apr-2010 98.963606 08-Apr-2010 102.400777 09-Apr-2010 98.281319 09-Apr-2010 101.532582 12-Apr-2010 98.605150 12-Apr-2010 101.883084 13-Apr-2010 98.747488 13-Apr-2010 101.914962 14-Apr-2010 98.768776 14-Apr-2010 102.060965 15-Apr-2010 97.245744 15-Apr-2010 100.570488 16-Apr-2010 97.692481 16-Apr-2010 100.964819 19-Apr-2010 97.562019 19-Apr-2010 100.812188 20-Apr-2010 97.754812 20-Apr-2010 100.988000 21-Apr-2010 97.684928 21-Apr-2010 100.835297 22-Apr-2010 96.846832 22-Apr-2010 99.816287 23-Apr-2010 95.443002 23-Apr-2010 98.355330 26-Apr-2010 94.766555 26-Apr-2010 97.583364 27-Apr-2010 95.434543 27-Apr-2010 98.346461 28-Apr-2010 95.789076 28-Apr-2010 98.697330 29-Apr-2010 95.627536 29-Apr-2010 98.502594 30-Apr-2010 97.428651 30-Apr-2010 100.524309 1 1/8% Index-linked Treasury Gilt 2037 1 7/8% Index-linked Treasury Gilt 2022 01-Mar-2010 115.939758 01-Mar-2010 117.032433 02-Mar-2010 117.978149 02-Mar-2010 117.957898 03-Mar-2010 117.699067 03-Mar-2010 117.855166 04-Mar-2010 118.886959 04-Mar-2010 118.283524 05-Mar-2010 116.369441 05-Mar-2010 117.319306 08-Mar-2010 114.937183 08-Mar-2010 116.698354 09-Mar-2010 115.726239 09-Mar-2010 117.464748 10-Mar-2010 115.048458 10-Mar-2010 117.098178 11-Mar-2010 113.735897 11-Mar-2010 116.412562 12-Mar-2010 114.441166 12-Mar-2010 117.038216 15-Mar-2010 115.045887 15-Mar-2010 117.551295 16-Mar-2010 116.416797 16-Mar-2010 118.232812 17-Mar-2010 117.635718 17-Mar-2010 118.555111 18-Mar-2010 117.529122 18-Mar-2010 118.855087 19-Mar-2010 117.728770 19-Mar-2010 119.141462 22-Mar-2010 117.945446 22-Mar-2010 119.601484 23-Mar-2010 118.077006 23-Mar-2010 119.636505 24-Mar-2010 116.785127 24-Mar-2010 119.312376 25-Mar-2010 117.271188 25-Mar-2010 119.114284 26-Mar-2010 117.837164 26-Mar-2010 119.103937 29-Mar-2010 119.465275 29-Mar-2010 120.051309 30-Mar-2010 118.227361 30-Mar-2010 119.747264 31-Mar-2010 119.942710 31-Mar-2010 120.620437 01-Apr-2010 121.361988 01-Apr-2010 121.043190 06-Apr-2010 119.565969 06-Apr-2010 120.245235 07-Apr-2010 119.280820 07-Apr-2010 120.094165 08-Apr-2010 120.462060 08-Apr-2010 121.046684 09-Apr-2010 119.690551 09-Apr-2010 120.667835 12-Apr-2010 120.031491 12-Apr-2010 120.856508 13-Apr-2010 120.177009 13-Apr-2010 121.310811 14-Apr-2010 120.085997 14-Apr-2010 121.277689 15-Apr-2010 118.534976 15-Apr-2010 120.913969 16-Apr-2010 118.961266 16-Apr-2010 121.491301 19-Apr-2010 118.772533 19-Apr-2010 121.371909 20-Apr-2010 118.917945 20-Apr-2010 121.316285 21-Apr-2010 118.913035 21-Apr-2010 121.750047 22-Apr-2010 118.062954 22-Apr-2010 121.705098 23-Apr-2010 116.529547 23-Apr-2010 120.803440 26-Apr-2010 115.744347 26-Apr-2010 120.811482 27-Apr-2010 116.430909 27-Apr-2010 121.394730 28-Apr-2010 116.837120 28-Apr-2010 121.606444 29-Apr-2010 116.754771 29-Apr-2010 121.476086 30-Apr-2010 118.733899 30-Apr-2010 122.753791 1¼% Index-linked Treasury Gilt 2017 1¼% Index-linked Treasury Gilt 2027 01-Mar-2010 117.958866 01-Mar-2010 115.998948 02-Mar-2010 118.523290 02-Mar-2010 117.359943 03-Mar-2010 118.413597 03-Mar-2010 117.227983 04-Mar-2010 118.640425 04-Mar-2010 118.038522 05-Mar-2010 117.982948 05-Mar-2010 116.461177 08-Mar-2010 117.658436 08-Mar-2010 115.654285 09-Mar-2010 118.167598 09-Mar-2010 116.465823 10-Mar-2010 117.955606 10-Mar-2010 115.973437 11-Mar-2010 117.473593 11-Mar-2010 115.267672 12-Mar-2010 117.930055 12-Mar-2010 115.959260 15-Mar-2010 118.259159 15-Mar-2010 116.478722 16-Mar-2010 118.632205 16-Mar-2010 117.334051 17-Mar-2010 118.757733 17-Mar-2010 118.043355 18-Mar-2010 118.884313 18-Mar-2010 118.259557 19-Mar-2010 119.048177 19-Mar-2010 118.670198 22-Mar-2010 119.376178 22-Mar-2010 119.222213 23-Mar-2010 119.411687 23-Mar-2010 119.347490 24-Mar-2010 119.133283 24-Mar-2010 118.946050 25-Mar-2010 119.033809 25-Mar-2010 119.250995 26-Mar-2010 119.051419 26-Mar-2010 119.684003 29-Mar-2010 119.660589 29-Mar-2010 120.887188 30-Mar-2010 119.438447 30-Mar-2010 120.261203 31-Mar-2010 119.991354 31-Mar-2010 121.284696 01-Apr-2010 120.423010 01-Apr-2010 121.795978 06-Apr-2010 119.831058 06-Apr-2010 120.485962 07-Apr-2010 119.746785 07-Apr-2010 120.119895 08-Apr-2010 120.483810 08-Apr-2010 120.935570 09-Apr-2010 120.330419 09-Apr-2010 120.287850 12-Apr-2010 120.414170 12-Apr-2010 120.540352 13-Apr-2010 120.780938 13-Apr-2010 120.781686 14-Apr-2010 120.808395 14-Apr-2010 120.866549 15-Apr-2010 120.678985 15-Apr-2010 119.959341 16-Apr-2010 121.213877 16-Apr-2010 120.459310 19-Apr-2010 121.162366 19-Apr-2010 120.283851 20-Apr-2010 121.235045 20-Apr-2010 120.492655 21-Apr-2010 121.975216 21-Apr-2010 120.621538 22-Apr-2010 121.776933 22-Apr-2010 120.299375 23-Apr-2010 121.182638 23-Apr-2010 119.220295 26-Apr-2010 121.188587 26-Apr-2010 118.977624 27-Apr-2010 121.408314 27-Apr-2010 119.727172 28-Apr-2010 121.537634 28-Apr-2010 120.070541 29-Apr-2010 121.475753 29-Apr-2010 120.042435 30-Apr-2010 122.354157 30-Apr-2010 121.732218 1¼% Index-linked Treasury Gilt 2032 1¼% Index-linked Treasury Gilt 2055 01-Mar-2010 106.336847 01-Mar-2010 142.509417 02-Mar-2010 107.965686 02-Mar-2010 145.958788 03-Mar-2010 107.786291 03-Mar-2010 145.234255 04-Mar-2010 108.852860 04-Mar-2010 147.346447 05-Mar-2010 107.221498 05-Mar-2010 142.826561 08-Mar-2010 106.290288 08-Mar-2010 139.811253 09-Mar-2010 107.265380 09-Mar-2010 141.173599 10-Mar-2010 106.655430 10-Mar-2010 139.951475 11-Mar-2010 105.783439 11-Mar-2010 137.605439 12-Mar-2010 106.452124 12-Mar-2010 139.005939 15-Mar-2010 106.955354 15-Mar-2010 140.424878 16-Mar-2010 107.911326 16-Mar-2010 143.330519 17-Mar-2010 108.785896 17-Mar-2010 145.191584 18-Mar-2010 108.878614 18-Mar-2010 144.773385 19-Mar-2010 109.104397 19-Mar-2010 144.812764 22-Mar-2010 109.498207 22-Mar-2010 144.974144 23-Mar-2010 109.589819 23-Mar-2010 144.873455 24-Mar-2010 109.100409 24-Mar-2010 141.824812 25-Mar-2010 109.593474 25-Mar-2010 142.779885 26-Mar-2010 109.920648 26-Mar-2010 143.862415 29-Mar-2010 111.257766 29-Mar-2010 146.766192 30-Mar-2010 110.345784 30-Mar-2010 144.420697 31-Mar-2010 111.582504 31-Mar-2010 147.369710 01-Apr-2010 112.393005 01-Apr-2010 150.237110 06-Apr-2010 110.992135 06-Apr-2010 146.775463 07-Apr-2010 110.635825 07-Apr-2010 145.570365 08-Apr-2010 111.495572 08-Apr-2010 147.307057 09-Apr-2010 110.838364 09-Apr-2010 145.917335 12-Apr-2010 111.024828 12-Apr-2010 146.564464 13-Apr-2010 111.221418 13-Apr-2010 146.859482 14-Apr-2010 111.257065 14-Apr-2010 146.675827 15-Apr-2010 109.803053 15-Apr-2010 143.650628 16-Apr-2010 110.181079 16-Apr-2010 144.008743 19-Apr-2010 109.924385 19-Apr-2010 143.745904 20-Apr-2010 110.272099 20-Apr-2010 143.982503 21-Apr-2010 110.126154 21-Apr-2010 143.503226 22-Apr-2010 109.566891 22-Apr-2010 141.872431 23-Apr-2010 108.422241 23-Apr-2010 139.348454 26-Apr-2010 107.851005 26-Apr-2010 138.252335 27-Apr-2010 108.925149 27-Apr-2010 139.582332 28-Apr-2010 109.273145 28-Apr-2010 140.287053 29-Apr-2010 109.247821 29-Apr-2010 139.713730 30-Apr-2010 111.032857 30-Apr-2010 142.885243 2% Index-linked Treasury Stock 2035 2½% Index-linked Treasury Stock 2020 01-Mar-2010 152.991267 01-Mar-2010 299.691524 02-Mar-2010 155.358161 02-Mar-2010 301.729273 03-Mar-2010 155.015054 03-Mar-2010 301.547021 04-Mar-2010 156.471947 04-Mar-2010 302.434769 05-Mar-2010 153.842627 05-Mar-2010 300.478014 08-Mar-2010 152.359521 08-Mar-2010 299.445763 09-Mar-2010 153.456414 09-Mar-2010 301.023511 10-Mar-2010 152.783307 10-Mar-2010 300.201259 11-Mar-2010 151.400201 11-Mar-2010 298.849008 12-Mar-2010 152.280881 12-Mar-2010 300.202253 15-Mar-2010 153.007774 15-Mar-2010 301.420001 16-Mar-2010 154.414667 16-Mar-2010 302.817749 17-Mar-2010 155.771561 17-Mar-2010 303.435498 18-Mar-2010 155.718454 18-Mar-2010 303.793246 19-Mar-2010 156.059134 19-Mar-2010 304.396491 22-Mar-2010 156.596027 22-Mar-2010 305.374240 23-Mar-2010 156.812921 23-Mar-2010 305.661988 24-Mar-2010 155.619814 24-Mar-2010 304.909736 25-Mar-2010 156.366708 25-Mar-2010 304.487485 26-Mar-2010 157.007388 26-Mar-2010 304.570730 29-Mar-2010 158.884281 29-Mar-2010 306.458478 30-Mar-2010 157.591174 30-Mar-2010 305.776226 31-Mar-2010 159.398068 31-Mar-2010 307.013975 01-Apr-2010 160.902534 01-Apr-2010 307.422716 06-Apr-2010 158.969428 06-Apr-2010 305.730465 07-Apr-2010 158.486321 07-Apr-2010 302.258013 08-Apr-2010 159.823214 08-Apr-2010 304.145762 09-Apr-2010 158.853894 09-Apr-2010 303.419007 12-Apr-2010 159.180788 12-Apr-2010 303.736755 13-Apr-2010 159.407681 13-Apr-2010 304.614503 14-Apr-2010 159.434574 14-Apr-2010 304.642252 15-Apr-2010 157.641468 15-Apr-2010 304.260000 16-Apr-2010 158.142148 16-Apr-2010 305.554139 19-Apr-2010 157.859041 19-Apr-2010 305.562186 20-Apr-2010 158.445935 20-Apr-2010 305.850232 21-Apr-2010 158.352828 21-Apr-2010 307.288279 22-Apr-2010 157.559721 22-Apr-2010 307.166325 23-Apr-2010 155.790401 23-Apr-2010 305.450464 26-Apr-2010 155.027295 26-Apr-2010 305.508511 27-Apr-2010 155.814188 27-Apr-2010 306.576557 28-Apr-2010 156.301081 28-Apr-2010 307.024604 29-Apr-2010 156.167975 29-Apr-2010 306.832650 30-Apr-2010 158.595548 30-Apr-2010 309.474836 Read More