Spreadsheet: sally_beck__35232__curve val-irfx11012000official
Sheet: CurVal - IRFX

 | GLOBAL FINANCIAL PRODUCTS RISK MANAGEMENT - INTEREST RATE AND FOREIGN CURRENCY
 | PRICE VERIFICATION SCHEDULE
 | AS OF   10-31-00
 | 2000-10-31 00:00:00
 | CAD
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity (CAD) | In USD
 | MONEY_MARKET BA 30 Days |  | 5.858000000000001 | 5.8575 | 0.05000000000006111 | -1428.940712304115 | -71.44703561529307 | -46.94286177088901
 | MONEY_MARKET TBILL 30 Days |  | 5.385 |  | 538.5 | 0 | 0 | 0
 | MONEY_MARKET BA 60 Days |  | 5.86 | 5.86 | 0 | -346.6207315325738 | 0 | 0
 | MONEY_MARKET BA 90 Days |  | 5.867 | 5.8725 | -0.5499999999999616 | -2218.837832484245 | 1220.36080786625 | 801.8139342090996
 | MONEY_MARKET TBILL 90 Days |  | 5.625 |  | 562.5 | 0 | 0 | 0
 | FUTURE BAX DEC 00 |  | 5.87 | 5.86 | 1.000000000000068 | 371.1031527519226 | 371.1031527519477 | 243.8259873534479
 | FUTURE BAX MAR 01 |  | 5.88 | 5.88 | 4.440892098500626e-13 | -671.4363101124765 | -2.981776204224913e-10 | -1.959117085561703e-10
 | MONEY_MARKET TBILL 180 Days |  | 5.75 |  | 575 | -3.671646118164062e-05 | -0.02111196517944336 | -0.0138711991980574
 | FUTURE BAX JUN 01 |  | 5.88 | 5.88 | 4.440892098500626e-13 | -2609.041678249836 | -1.158647257359851e-09 | -7.612662663336735e-10
 | FUTURE BAX SEP 01 |  | 5.89 | 5.89 | -8.881784197001252e-14 | 66.53392291069032 | -5.909399450726689e-12 | -3.882654041213331e-12
 | BOND CANADA 01-DEC-2001 00:00:00 5.25 % SA ACT/365 |  | 5.837000000000001 |  | 583.7 | -0.0001065731048583984 | -0.06220672130584717 | -0.0408716959959574
 | BOND CANADA 01-JUN-2002 00:00:00 5.75 % SA ACT/ACT |  | 5.864 |  | 586.4 | -7.31945037841797e-05 | -0.04292125701904297 | -0.02820056308741326
 | SWAP_LEG FIXED 2 Years SA ACT/365 |  | 5.971 | 5.965 | 0.6000000000000227 | -2619.419110059738 | -1571.651466035903 | -1032.622513821224
 | BOND CANADA 01-DEC-2002 00:00:00 6 % SA ACT/ACT |  | 5.806 | 5.798 | 0.8000000000000007 | 13101.71213817596 | 10481.36971054078 | 6886.57668235268
 | BOND CANADA 01-SEP-2003 00:00:00 5.25 % SA ACT/365 |  | 5.886 |  | 588.6 | -6.437301635742189e-06 | -0.003788995742797853 | -0.002489484719315278
 | SWAP_LEG FIXED 3 Years SA ACT/365 |  | 6.06 | 6.052 | 0.7999999999999119 | -14152.19874382019 | -11321.75899505491 | -7438.737841691791
 | BOND CANADA 01-SEP-2004 00:00:00 5 % SA ACT/ACT |  | 5.901000000000001 |  | 590.1 | 0.0001893043518066407 | 0.1117084980010987 | 0.07339585939625404
 | BOND CANADA 01-SEP-2005 00:00:00 6 % SA ACT/365 |  | 5.864 | 5.854 | 0.9999999999999787 | 14527.17862844467 | 14527.17862844436 | 9544.795419477243
 | SWAP_LEG FIXED 5 Years SA ACT/365 |  | 6.159000000000001 | 6.16 | -0.09999999999994458 | -12163.99642062187 | 1216.399642061513 | 799.2113285555276
 | BOND CANADA 01-JUN-2009 00:00:00 5.5 % SA ACT/ACT |  | 5.856 | 5.837 | 1.900000000000013 | -1695.78550028801 | -3221.992450547241 | -2116.946419544836
 | BOND CANADA 01-JUN-2010 00:00:00 5.5 % SA ACT/365 |  | 5.832 | 5.816 | 1.6 | -14944.78313159943 | -23911.65301055911 | -15710.67871915842
 | SWAP_LEG FIXED 10 Years SA ACT/365 |  | 6.267 | 6.26 | 0.7000000000000561 | 2175.434730768204 | 1522.804311537865 | 1000.528456989399
 | SWAP_LEG FIXED 15 Years SA ACT/365 |  | 6.329000000000001 | 6.326 | 0.3000000000001002 | 314.3846997022629 | 94.31540991071037 | 61.96807484277948
 | SWAP_LEG FIXED 20 Years SA ACT/365 |  | 6.301 | 6.297 | 0.4000000000000448 | 26478.4808255434 | 10591.39233021855 | 6958.864868737547
 | BOND CANADA 01-JUN-23 8 % SA ACT/365 |  | 5.897 |  | 589.7 | -0.001270532608032227 | -0.7492330789566044 | -0.492268777238242
 | BOND CANADA 01-JUN-2029 00:00:00 5.75 % SA ACT/ACT |  | 5.68 | 5.669 | 1.100000000000012 | -13785.1588010788 | -15163.67468118685 | -9962.992563197668
 | SWAP_LEG FIXED 30 Years SA ACT/365 |  | 6.215 | 6.195 | 1.999999999999957 | 288.5713007450104 | 577.1426014900086 | 379.2001323850254
 |  |  | 0 |  |  | 0
 |  |  |  |  |  | -9312.820877258795 | -14660.87859769899 | -9632.640340143878
 | GBP
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity (GBP) | In USD
 | MONEY_MARKET LIBOR 30 Days |  | 6.058 | 6.0575 | 0.04999999999997229 | 1130.172626018524 | 56.50863130089489 | 81.88665761812679
 | MONEY_MARKET TBILL 30 Days |  | 5.879 |  |  | 0.02347558736801148 | 0 | 0
 | FUTURE SHT_STG DEC 00 |  | 6.16 | 6.150000000000006 | 0.9999999999994458 | -943.0940469801427 | -943.09404697962 | -1366.637583478167
 | MONEY_MARKET LIBOR 60 Days |  | 6.095 | 6.09547 | -0.04699999999999704 | -3283.885435909033 | 154.3426154877149 | 223.6578841032476
 | MONEY_MARKET LIBOR 90 Days |  | 6.146 | 6.14563 | 0.03700000000002035 | -1653.808396339417 | -61.19091066459209 | -88.6717486440604
 | MONEY_MARKET TBILL 90 Days |  | 6.008 |  | 600.8 | 7.748603820800782e-07 | 0.000465536117553711 | 0.0006746083879470826
 | FUTURE SHT_STG MAR 01 |  | 6.150000000000011 | 6.14 | 1.000000000001044 | 1774.108536541462 | 1774.108536543315 | 2570.860680304918
 | FUTURE SHT_STG JUN 01 |  | 6.16 | 6.16 | 3.552713678800501e-13 | 811.2754006683826 | 2.88222921322892e-10 | 4.176638352890028e-10
 | FUTURE SHT_STG SEP 01 |  | 6.2 | 6.2 | -2.664535259100376e-13 | 1010.169847935438 | -2.69163317750404e-10 | -3.900445637521104e-10
 | BOND GILT 07-JUN-2002 00:00:00 7 % SA ACT/365 |  | 5.776 |  | 577.6 | 4.410743713378906e-06 | 0.002547645568847656 | 0.003691793193817139
 | SWAP_LEG FIXED 2 Years SA ACT/365 |  | 6.25 | 6.25 | 0 | -5215.27582076192 | 0 | 0
 | SWAP_LEG FIXED 3 Years SA ACT/365 |  | 6.29 | 6.29 | 0 | 1824.51133403182 | 0 | 0
 | BOND GILT 07-JUN-2004 00:00:00 5 % SA ACT/ACT |  | 5.662 |  | 566.2 | 7.301568984985353e-06 | 0.004134148359298707 | 0.005990794387459757
 | SWAP_LEG FIXED 4 Years SA ACT/365 |  | 6.285 | 6.285 | 0 | -4076.198447853328 | 0 | 0
 | SWAP_LEG FIXED 5 Years SA ACT/365 |  | 6.265 | 6.265 | 0 | -4126.265465408565 | 0 | 0
 | SWAP_LEG FIXED 6 Years SA ACT/365 |  | 6.245 | 6.245 | 0 | -17390.02589574456 | 0 | 0
 | BOND GILT 07-DEC-2006 00:00:00 7.5 % SA ACT/365 |  | 5.523000000000001 |  | 552.3 | -7.808208465576175e-06 | -0.004312473535537723 | -0.006249205400347714
 | SWAP_LEG FIXED 7 Years SA ACT/365 |  | 6.215 | 6.215 | 0 | 23505.36389556528 | 0 | 0
 | BOND GILT 13-OCT-08 9 % SA ACT/365 |  | 5.372 |  | 537.2 | -3.573298454284669e-05 | -0.01919575929641724 | -0.02781657479643822
 | BOND GILT 07-DEC-2009 00:00:00 5.75 % SA ACT/ACT |  | 5.169 | 5.157 | 1.200000000000045 | 4573.739383250476 | 5488.487259900779 | 7953.366888322218
 | SWAP_LEG FIXED 10 Years SA ACT/365 |  | 6.135 | 6.135 | 0 | -7276.655311524869 | 0 | 0
 | SWAP_LEG FIXED 15 Years SA ACT/365 |  | 5.975 | 5.975 | 0 | -9584.2554422915 | 0 | 0
 | SWAP_LEG FIXED 20 Years SA ACT/365 |  | 5.805 | 5.805 | 0 | 13687.10179066658 | 0 | 0
 | BOND GILT 07-JUN-2021 00:00:00 8 % SA ACT/365 |  | 4.771 |  | 477.1 | -2.774596214294435e-05 | -0.01323759853839875 | -0.01918260404199363
 | BOND GILT 07-DEC-2028 00:00:00 6 % SA ACT/ACT |  | 4.591 |  | 459.1 | 1.499056816101074e-05 | 0.006882169842720033 | 0.0099729523190856
 | SWAP_LEG FIXED 30 Years SA ACT/365 |  | 5.615 |  | 561.5 | -0.03556695580482484 | -19.97084568440915 | -28.93975248127729
 | 0 |  | 0 |  | 0 | 0 | 0 | 0
 |  |  |  |  |  | -5233.033583313225 | 6449.168523572619 | 9345.490107509082
 | USD
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity | In USD
 | MONEY_MARKET LIBOR 1 Days |  | 6.5 | 5.59 | 91 | 251.2920790817589 | 22867.57919644006 | 22867.57919644006
 | MONEY_MARKET LIBOR 1 Days |  | 6.5 | 5.59 | 91 | 244.502901725471 | 22249.76405701787 | 22249.76405701787
 | MONEY_MARKET LIBOR 7 Days |  | 6.5913 | 6.59125 | 0.005000000000077165 | 2230.422918614 | 11.15211459324211 | 11.15211459324211
 | MONEY_MARKET LIBOR 30 Days |  | 6.62 | 6.62 | 0 | 2571.358337689191 | 0 | 0
 | FUTURE EUROUSD3M DEC 00 |  | 6.709999999999991 | 6.709999999999994 | -2.664535259100376e-13 | 263.0283343251796 | -7.008482709518825e-11 | -7.008482709518825e-11
 | MONEY_MARKET LIBOR 60 Days |  | 6.7925 | 6.7925 | 0 | -12637.53637442179 | 0 | 0
 | MONEY_MARKET TBILL 90 Days |  | 6.38 |  | 638 | -2.53361588716507 | -1616.446936011315 | -1616.446936011315
 | MONEY_MARKET LIBOR 90 Days |  | 6.76 | 6.76 | 0 | -5736.222132086755 | 0 | 0
 | FUTURE EUROUSD3M MAR 01 |  | 6.515 | 6.515 | -8.881784197001252e-14 | 402.9668802209199 | -3.579064868661063e-11 | -3.579064868661063e-11
 | MONEY_MARKET TBILL 180 Days |  | 6.35 |  | 635 | 1.234630405902863 | 783.9903077483182 | 783.9903077483182
 | FUTURE EUROUSD3M JUN 01 |  | 6.425 | 6.425 | 2.664535259100376e-13 | 5559.782930841669 | 1.481423765217205e-09 | 1.481423765217205e-09
 | FUTURE EUROUSD3M SEP 01 |  | 6.39 | 6.39 | -8.881784197001252e-14 | -293.3654482383281 | 2.605608602109371e-11 | 2.605608602109371e-11
 | MONEY_MARKET TBILL 360 Days |  | 6.16 |  | 616 | -2.928318440914154 | -1803.844159603119 | -1803.844159603119
 | FUTURE EUROUSD3M DEC 01 |  | 6.485 | 6.49 | -0.4999999999994564 | -807.8322790134699 | 403.9161395062958 | 403.9161395062958
 | FUTURE EUROUSD3M MAR 02 |  | 6.435 | 6.435 | -2.664535259100376e-13 | -48.8812111299485 | 1.302457105632775e-11 | 1.302457105632775e-11
 | FUTURE EUROUSD3M JUN 02 |  | 6.489999999999991 | 6.49 | -3.552713678800501e-13 | 626.6867979764938 | -2.226438759494776e-10 | -2.226438759494776e-10
 | FUTURE EUROUSD3M SEP 02 |  | 6.525000000000011 | 6.525000000000006 | 5.329070518200751e-13 | 1658.197250746191 | 8.836650082313067e-10 | 8.836650082313067e-10
 | BOND UST 30-SEP-02 5.87 % SA ACT/ACT |  | 5.997 |  | 599.7 | -0.0002631545066833497 | -0.1578137576580048 | -0.1578137576580048
 | BOND UST 30-SEP-2002 00:00:00 6 % SA ACT/ACT |  | 5.92 |  | 592 | 0 | 0 | 0
 | FUTURE EUROUSD3M DEC 02 |  | 6.650000000000011 | 6.65 | 1.06581410364015e-12 | 137.4585888814181 | 1.465053026962886e-10 | 1.465053026962886e-10
 | FUTURE EUROUSD3M MAR 03 |  | 6.61 | 6.599999999999994 | 1.0000000000006 | -85.57025589793922 | -85.57025589799059 | -85.57025589799059
 | FUTURE EUROUSD3M JUN 03 |  | 6.655 | 6.64 | 1.499999999999968 | 1620.655546277761 | 2430.98331941659 | 2430.98331941659
 | FUTURE EUROUSD3M SEP 03 |  | 6.7 | 6.675 | 2.500000000000302 | 924.9695189092308 | 2312.423797273356 | 2312.423797273356
 | FUTURE EUROUSD3M DEC 03 |  | 6.795 | 6.77 | 2.500000000000391 | -1133.065859699622 | -2832.664649249498 | -2832.664649249498
 | FUTURE EUROUSD3M MAR 04 |  | 6.765 | 6.74 | 2.50000000000048 | 1083.429887294769 | 2708.574718237442 | 2708.574718237442
 | FUTURE EUROUSD3M JUN 04 |  | 6.8 | 6.78 | 1.999999999999869 | 6813.778696017341 | 13627.55739203379 | 13627.55739203379
 | FUTURE EUROUSD3M SEP 04 |  | 6.819999999999991 | 6.819999999999993 | -1.77635683940025e-13 | -3943.486204683782 | 7.005038690770572e-10 | 7.005038690770572e-10
 | BOND UST 15-NOV-2004 00:00:00 5.87 % SA ACT/ACT |  | 5.817 |  | 581.7 | -0.0006161928176879885 | -0.3584393620491029 | -0.3584393620491029
 | BOND UST 15-MAY-2005 00:00:00 6.75 % SA ACT/ACT |  | 5.812 | 5.811 | 0.1000000000000334 | -977.8761283755304 | -97.7876128375857 | -97.7876128375857
 | SWAP_LEG FIXED 5 Years SA 30/360 |  | 6.752000000000001 | 6.747999999999999 | 0.4000000000001336 | -12099.38964277506 | -4839.755857111641 | -4839.755857111641
 | BOND UST 15-AUG-2007 00:00:00 6.12 % SA ACT/ACT |  | 5.8669 | 5.863 | 0.3899999999999793 | -1108.684361994267 | -432.3869011777412 | -432.3869011777412
 | SWAP_LEG FIXED 7 Years SA 30/360 |  | 6.8158 | 6.811999999999999 | 0.3800000000000914 | 23508.29556965828 | 8933.152316472295 | 8933.152316472295
 | BOND UST 15-AUG-2010 00:00:00 5.75 % SA ACT/ACT |  | 5.759 |  | 575.9 | -0.002801537513732911 | -1.613405454158783 | -1.613405454158783
 | SWAP_LEG FIXED 10 Years SA 30/360 |  | 6.879 | 6.87 | 0.9000000000000341 | -21600.1968755722 | -19440.17718801572 | -19440.17718801572
 | BOND UST 15-FEB-2019 00:00:00 8.87 % SA ACT/ACT |  | 6.0191 | 6.017 | 0.2099999999999547 | 27673.1208511591 | 5811.355378742157 | 5811.355378742157
 | SWAP_LEG FIXED 20 Years SA 30/360 |  | 6.9565 | 6.87475 | 8.175000000000043 | -5944.480246722699 | -48596.12601695833 | -48596.12601695833
 | BOND UST 15-MAY-2030 00:00:00 6.25 % SA ACT/ACT |  | 5.79 |  | 579 | -0.0003033280372619629 | -0.1756269335746765 | -0.1756269335746765
 | SWAP_LEG FIXED 30 Years SA 30/360 |  | 6.92 | 6.9115 | 0.849999999999973 | 8059.148863196374 | 6850.2765337167 | 6850.2765337167
 |  |  |  |  |  | 17208.27764386871 | 9243.660408830656 | 9243.660408830656
 | NOK
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity | In USD
 | MONEY_MARKET LIBOR 7 Days |  | 7.3 | 7.3 | 0 | -2272.345569938421 | 0 | 0
 | MONEY_MARKET LIBOR 30 Days |  | 7.36 | 7.36 | 0 | -1344.479762196541 | 0 | 0
 | MONEY_MARKET LIBOR 60 Days |  | 7.46 | 7.46 | 0 | 6788.611402094365 | 0 | 0
 | MONEY_MARKET LIBOR 90 Days |  | 7.5 | 7.5 | 0 | 7566.836908876897 | 0 | 0
 | FRA_LEG FIXED 1X2 15-DEC-2000 00:00:00 |  | 7.515 | 7.505 | 0.9999999999999787 | 491.3227166831493 | 491.3227166831389 | 53.00137181047884
 | FRA_LEG FIXED 1X2 15-MAR-2001 00:00:00 |  | 7.515 | 7.515 | 0 | 2031.143751949072 | 0 | 0
 | FRA_LEG FIXED 1X2 20-JUN-2001 00:00:00 |  | 7.505 | 7.515 | -0.9999999999999787 | -195.0570099055767 | 195.0570099055726 | 21.04174864137784
 | FRA_LEG FIXED 1X2 19-SEP-2001 00:00:00 |  | 7.465 | 7.47 | -0.4999999999999893 | 456.8183431327344 | -228.4091715663623 | -24.63960858321061
 | SWAP_LEG FIXED 2 Years PA 30/360 |  | 7.645 | 7.655 | -1.000000000000068 | 6050.897409766912 | -6050.897409767321 | -652.7397421539721
 | SWAP_LEG FIXED 3 Years PA 30/360 |  | 7.455 | 7.455 | 0 | 2152.164454609156 | 0 | 0
 | SWAP_LEG FIXED 4 Years PA 30/360 |  | 7.335 | 7.335 | 0 | 735.9210639894011 | 0 | 0
 | SWAP_LEG FIXED 5 Years PA 30/360 |  | 7.265 | 7.275 | -1.000000000000068 | -2464.003567159176 | 2464.003567159343 | 265.8040525522484
 | SWAP_LEG FIXED 7 Years PA 30/360 |  | 7.185 | 7.205 | -2.000000000000046 | -2300.804762363434 | 4601.609524726975 | 496.3980069824137
 | SWAP_LEG FIXED 10 Years PA 30/360 |  | 7.135 | 7.155 | -2.000000000000046 | -7895.304851084949 | 15790.60970217026 | 1703.409892359252
 | SWAP_LEG FIXED 15 Years PA 30/360 |  | 7.085 |  | 708.5 | -209.7174252569675 | -148584.7957945615 | -16028.56481063231
 |  |  |  |  |  | 9592.00310319662 | -131321.4998552499 | -14166.28908902372
 | SEK
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity | In USD
 | MONEY_MARKET LIBOR 1 Days |  | 3.85 | 3.85 | 0 | 357.0604345723988 | 0 | 0
 | MONEY_MARKET LIBOR 30 Days |  | 3.848 | 3.848 | 4.440892098500626e-14 | 4808.996261527763 | 2.135623349953769e-10 | 2.135623349953769e-11
 | MONEY_MARKET LIBOR 60 Days |  | 3.862 | 3.862 | 0 | -8184.789897652344 | 0 | 0
 | MONEY_MARKET LIBOR 90 Days |  | 3.9 | 3.9 | 0 | -5386.849590286613 | 0 | 0
 | FRA_LEG FIXED 1X2 15-DEC-2000 00:00:00 |  | 4.165 | 4.165 | 0 | -884.4631221536548 | 0 | 0
 | FRA_LEG FIXED 1X2 15-MAR-2001 00:00:00 |  | 4.465 | 4.465 | 0 | -3842.338869448752 | 0 | 0
 | FRA_LEG FIXED 1X2 20-JUN-2001 00:00:00 |  | 4.705 | 4.695 | 0.9999999999999787 | -1621.404755532742 | -1621.404755532708 | -162.1404755532708
 | FRA_LEG FIXED 1X2 19-SEP-2001 00:00:00 |  | 4.885 | 4.885 | 0 | -929.6424121437595 | 0 | 0
 | SWAP_LEG FIXED 2 Years PA 30/360 |  | 4.915 | 4.915 | 0 | -5495.422908533365 | 0 | 0
 | SWAP_LEG FIXED 3 Years PA 30/360 |  | 5.215 | 5.225 | -0.9999999999999787 | -2823.518054932356 | 2823.518054932296 | 282.3518054932296
 | SWAP_LEG FIXED 4 Years PA 30/360 |  | 5.425 | 5.425 | 0 | 11617.38442022726 | 0 | 0
 | SWAP_LEG FIXED 5 Years PA 30/360 |  | 5.575 | 5.575 | 0 | -5116.535448592157 | 0 | 0
 | SWAP_LEG FIXED 7 Years PA 30/360 |  | 5.765 |  | 576.5 | -9.950250387191776e-06 | -0.005736319348216059 | -0.0005736319348216059
 | SWAP_LEG FIXED 10 Years PA 30/360 |  | 5.935 |  | 593.5 | 1.372769474983215e-05 | 0.008147386834025383 | 0.0008147386834025383
 | SWAP_LEG FIXED 15 Years PA 30/360 |  | 6.105 |  | 610.5 | -3.576278686523439e-06 | -0.002183318138122559 | -0.0002183318138122559
 |  |  |  |  |  | -17501.52394274715 | 1202.11352714915 | 120.211352714915
 | EUR
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity | In USD
 | MONEY_MARKET LIBOR 30 Days |  | 4.954000000000001 | 4.957 | -0.2999999999999226 | -116.2657334208488 | 34.87972002624564 | 29.61288230228255
 | MONEY_MARKET LIBOR 60 Days |  | 5.114 | 5.115 | -0.1000000000000334 | -782.6064975112678 | 78.26064975115291 | 66.44329163872882
 | MONEY_MARKET EURO 90 Days |  | 5.138 |  | 513.8 | -0.008416518568992616 | -4.324407240748406 | -3.671421747395397
 | MONEY_MARKET LIBOR 90 Days |  | 5.138 | 5.14 | -0.199999999999978 | -801.730035185814 | 160.3460070371451 | 136.1337599745362
 | FUTURE EUROECU3M DEC 00 |  | 5.22 | 5.22 | 8.881784197001252e-14 | 219.8424649983644 | 1.952593331452274e-11 | 1.657751738402981e-11
 | FUTURE EUROECU3M MAR 01 |  | 5.215 | 5.215 | -3.552713678800501e-13 | -750.6570131331682 | 2.666869438645734e-10 | 2.264172153410228e-10
 | MONEY_MARKET EURO 180 Days |  | 5.197 |  | 519.7 | 5.364418029785157e-07 | 0.0002787888050079346 | 0.0002366916954517365
 | FUTURE EUROECU3M JUN 01 |  | 5.194999999999991 | 5.19 | 0.4999999999992788 | 1984.325196310878 | 992.162598154008 | 842.3460458327528
 | FUTURE EUROECU3M SEP 01 |  | 5.175 | 5.180000000000007 | -0.5000000000006999 | -243.9518367648125 | 121.975918382577 | 103.5575547068079
 | MONEY_MARKET EURO 360 Days |  | 5.286 |  | 528.6 | 4.917383193969728e-07 | 0.0002599328756332398 | 0.0002206830114126206
 | BOND BUND 02-AUG-2002 00:00:00 4.5 % PA ACT/ACT |  | 5.099 |  | 509.9 | 2.712011337280273e-06 | 0.001382854580879211 | 0.00117404353916645
 | SWAP_LEG FIXED 2 Years PA 30/360 |  | 5.38 | 5.385 | -0.4999999999999893 | -1265.370973184705 | 632.6854865923391 | 537.1499781168959
 | SWAP_LEG FIXED 3 Years PA 30/360 |  | 5.44 | 5.445 | -0.4999999999999893 | -1207.179983839393 | 603.5899919196837 | 512.4479031398115
 | BOND FRANCE_BTAN 12-JUL-2004 00:00:00 3.5 % PA ACT/ACT |  | 5.149 |  | 514.9 | -1.887977123260498e-05 | -0.009721194207668305 | -0.008253293882310392
 | SWAP_LEG FIXED 5 Years PA 30/360 |  | 5.56 | 5.57 | -1.000000000000068 | 585.1449730396272 | -585.1449730396666 | -496.788082110677
 | SWAP_LEG FIXED 7 Years PA 30/360 |  | 5.7 | 5.71 | -0.9999999999999787 | -352.7759386450052 | 352.7759386449977 | 299.5067719096031
 | BOND BUND 04-JUL-2008 00:00:00 4.75 % PA ACT/ACT |  | 5.19 |  | 519 | 8.046627044677735e-07 | 0.0004176199436187745 | 0.0003545593321323395
 | BOND BUND 04-JUL-2009 00:00:00 4.5 % PA ACT/ACT |  | 5.22 | 5.223 | -0.3000000000000114 | 3825.209212183952 | -1147.562763655229 | -974.2807863432896
 | SWAP_LEG FIXED 10 Years PA 30/360 |  | 5.84 | 5.85 | -0.9999999999999787 | 144.9716772437096 | -144.9716772437065 | -123.0809539799068
 | SWAP_LEG FIXED 20 Years PA 30/360 |  | 6.09 |  | 609 | -1.192092895507812e-06 | -0.0007259845733642577 | -0.0006163609027862548
 | BOND FRANCE_OAT 25-APR-2029 00:00:00 5.5 % PA ACT/ACT |  | 5.694 |  | 569.4 | 4.027783870697022e-05 | 0.02293420135974884 | 0.01947113695442677
 | SWAP_LEG FIXED 30 Years PA 30/360 |  | 6.09 |  | 609 | 1.192092895507812e-06 | 0.0007259845733642577 | 0.0006163609027862548
 |  |  |  |  |  | 1238.94712151587 | 1094.688041532442 | 929.3901472610429
 | AUD
 | Type | Name | ECT | Market Data | Diff in bp | Delta NPV | Sensitivity | In USD
 | MONEY_MARKET | 1MONTH BA BILL |  |  | 0 |  | 0 | 0
 | MONEY_MARKET | 3MONTH BA BILL |  |  | 0 |  | 0 | 0
 | MONEY_MARKET | 6MONTH BA BILL |  |  | 0 |  | 0 | 0
 | FRA_LEG | 1 YEAR QTA |  |  | 0 |  | 0 | 0
 | FRA_LEG | 2 YEAR QTA |  |  | 0 |  | 0 | 0
 | FRA_LEG | 3 YEAR QTA |  |  | 0 |  | 0 | 0
 | FRA_LEG | 4 YEAR QTA |  |  | 0 |  | 0 | 0
 | SWAP_LEG | 5 YEAR QTA |  |  | 0 |  | 0 | 0
 | SWAP_LEG | 7 YEAR QTA |  |  | 0 |  | 0 | 0
 | SWAP_LEG | 10 YEAR QTA |  |  | 0 |  | 0 | 0
 |  |  |  |  | 0 |  | 0 | 0
 |  |  |  |  |  | 0 | 0 | 0
 | Currency | Market Data | ECT | Diff
 | AUD | 5.185 | 0.52095 | -4.66405
 | CAD | 1.5237 | 1.522 | -0.001700000000000035
 | GBP | 1.4477 | 1.4491 | 0.001400000000000068
 | NOK | 9.274 | 9.27 | -0.003999999999999559
 | SEK | 9.9915 | 10 | 0.00849999999999973
 | EUR | 0.8489 | 0.849 | 9.999999999998899e-05
 | BRL | 1.901 | 1.9 | -0.001000000000000112
 | DKK | 8.768 | 8.76525 | -0.002750000000000696
 | FIM | 7.0053 | 7.00525 | -4.999999999988347e-05
 | [NAME] | 108.83 | 109.065 | 0.2349999999999994
 | MXP | 9.5665 | 9.567 | 0.0005000000000006111
 | SGD | 1.756 | 1.7547 | -0.001299999999999857