VAL001 ABC123 DEF456 2004-05-21T17:29:04-00:00

ABCDEF USD Swaption Vol Matrix USD 3M-LIBOR USD 2003-10-29 2004-05-31T12:13:59-00:00 USD-DEP-ON 1 D USD-DEP-TN 2 D USD-DEP-1M 1 M USD-DEP-3M 1 M USD-DEC03 USD-MAR04 USD-JUN04 USD-SEP04 USD-SWAP-2Y 2 Y USD-SWAP-3Y 3 Y USD-SWAP-4Y 4 Y USD-SWAP-5Y 5 Y USD-SWAP-7Y 7 Y USD-SWAP-10Y 10 Y USD-SWAP-15Y 15 Y 0.0111 Rate 0.012 Rate 0.013 Rate 0.014 Rate 9850 IRFuturesPrice 0.0001 ConvexityAdjustment Rate 9840 IRFuturesPrice 0.00012 ConvexityAdjustment Rate 9830 IRFuturesPrice 0.00014 ConvexityAdjustment Rate 9820 IRFuturesPrice 0.00016 ConvexityAdjustment Rate 0.02 Rate 0.021 Rate 0.022 Rate 0.023 Rate 0.024 Rate 0.025 Rate 0.026 Rate Annual 2003-10-30 0.0112 2003-10-31 0.0121 2003-11-30 0.0131 2004-01-31 0.0141 2004-03-18 0.0151 2004-06-15 0.0161 2004-09-15 0.0171 2004-12-16 0.0181 2005-10-31 0.0201 2006-10-30 0.0211 2007-10-31 0.0221 2008-10-31 0.0231 2010-10-31 0.0241 2013-10-31 0.0251 2018-10-31 0.0261 2003-10-30 0.999869757040574 2003-10-31 0.999934098718365 2003-11-30 0.998859615154173 2004-01-31 0.996400622534765 2004-03-18 0.994227178365835 2004-06-15 0.989986073915221 2004-09-15 0.985153364055606 2004-12-16 0.979859309181877 2005-10-31 0.960823172585937 2006-10-30 0.939172748187296 2007-10-31 0.916111677406541 2008-10-31 0.891868623277781 2010-10-31 0.846233270451626 2013-10-31 0.78017168119187 2018-10-31 0.679157882776367 2003-10-29 Volatility 1 M 5 Y 0.11 EOD Valuation 2004-05-01 USDLibor up 100bp 2004-05-01 100 BasisPointValue NPV BucketedInterestRateSensitivity USD Curve Risk NPV BasisPointValue USD YieldCurve 0.0001 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative -1.0 false Relative -1.0 false Relative -1.0 false Relative -1.0 false Relative 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative 0.0001 false Relative