Forward Prices

Implied Volatilities

Attribute

Money-ness

LIBOR

OIS

% Variation

Money-ness††

LIBOR

OIS

% Variation

PV

13,777,938

13,800,717

0.2%

5,244,861

5,255,271

0.2%

1,150,899

1,152,906

0.2%

694,463

695,745

0.2%

25%

14,023

14,042

0.1%

12%

9571

9585

0.1%

595,019

596,231

0.2%

516,839

517,903

0.2%

(16,525)

(16,507)

(0.1%)

(18,081)

(18,083)

0.0%

(3147)

(3155)

0.3%

(2015)

(2021)

0.3%

PV

4,337,134

4,345,173

0.2%

2,054,021

2,058,153

0.2%

783,192

784,559

0.2%

611,744

613,095

0.2%

10%

14,758

14,779

0.1%

6%

11,187

11,209

0.2%

575,235

576,410

0.2%

503,784

504,826

0.2%

(14,086)

(14,085)

0.0%

(13,315)

(13,318)

0.0%

(1815)

(1821)

0.3%

(1462)

(1466)

0.3%

PV

0

0

-

0

0

-

540,123

541,161

0.2%

540,123

541,161

0.2%

0%

12,464

12,483

0.2%

0%

12,464

12,483

0.2%

485,438

486,451

0.2%

485,438

486,451

0.2%

(10,176)

(10,179)

0.0%

(10,176)

(10,179)

0.0%

(1098)

(1102)

0.4%

(1098)

(1102)

0.4%

PV

(2,748,483)

(2,755,199)

0.2%

(1,909,742)

(1,914,229)

0.2%

303,525

304,156

0.2%

435,983

436,900

0.2%

(10%)

8130

8146

0.2%

(6%)

13,422

13,447

0.2%

326,468

327,202

0.2%

442,185

443,173

0.2%

(6252)

(6257)

0.1%

(7089)

(7094)

0.1%

(515)

(517)

0.4%

(709)

(711)

0.3%

PV

(4,690,290)

(4,701,188)

0.2%

(4,224,009)

(4,234,218)

0.2%

117,291

117,540

0.2%

212,035

212,443

0.2%

(25%)

3731

3739

0.2%

(12%)

11,305

11,327

0.2%

144,181

144,509

0.2%

291,952

292,580

0.2%

(2486)

(2489)

0.1%

(2818)

(2,821)

0.1%

(156)

(156)

0.0%

(216)

(217)

0.5%