An indication of the potential sensitivity of the value of the bond funds to changes in yield is shown below5:
| Net |
| (reduction) |
Syndicate |
Corporate | Bermuda |
increase in |
| Shift in yield (basis points) | Sterling % |
US$ % |
CAN$ % |
Euro % |
Sterling % |
Underwriting % |
Corporate % |
value £m |
|---|---|---|---|---|---|---|---|---|
 |
||||||||
| 100 | (2.1) | (3.0) | (2.4) | (3.3) | (1.0) | (0.1) | (1.2) | (44) |
| 75 | (1.6) | (2.3) | (1.8) | (2.5) | (0.7) | (0.1) | (0.9) | (33) |
| 50 | (1.1) | (1.5) | (1.2) | (1.6) | (0.5) | (0.1) | (0.6) | (22) |
| 25 | (0.5) | (0.7) | (0.6) | (0.8) | – | – | (0.3) | (10) |
| -25 | 0.5 | 0.8 | 0.6 | 0.8 | – | – | 0.3 | 10 |
| -50 | 1.0 | 1.5 | 1.2 | 1.6 | 0.5 | 0.1 | 0.6 | 22 |
| -75 | 1.6 | 2.3 | 1.8 | 2.5 | 0.7 | 0.1 | 0.9 | 33 |
| -100 | 2.1 | 3.0 | 2.4 | 3.3 | 1.0 | 0.1 | 1.1 | 44 |
|
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3 The yield is the rate of return paid if a security is held to maturity. The calculation is based on the coupon rate, length of time to maturity and the market price. It assumes coupon interest paid over the life of the security is reinvested at the same rate.
4 The duration is the weighted average maturity of the security’s cash flows, where the present values of the cash flows serve as the weights.
5 This assumes a parallel shift in the yield curve.