Forward Prices

Implied Volatilities

Attribute

Money-ness^†

LIBOR

OIS

% Variation

Money-ness^††

LIBOR

OIS

% Variation

PV

15,305,525

15,655,868

2.3%

4,636,990

4,740,677

2.2%

899,233

919,929

2.3%

637,037

650,851

2.2%

25%

9577

9779

2.1%

12%

6935

7081

2.1%

880,913

900,728

2.2%

677,534

692,662

2.2%

(44,158)

(44,947)

1.8%

(36,205)

(36,870)

1.8%

(4721)

(4905)

3.9%

(2824)

(2924)

3.5%

PV

5,199,174

5,313,840

2.2%

1,820,015

1,860,718

2.2%

679,552

694,533

2.2%

579,749

592,768

2.2%

10%

8660

8849

2.2%

6%

7362

7529

2.3%

756,551

773,577

2.3%

659,006

674,064

2.3%

(34,055)

(34,685)

1.8%

(30,457)

(31,040)

1.9%

(2913)

(3015)

3.5%

(2332)

(2415)

3.6%

PV

0

0

-

0

0

-

537,267

549,621

2.3%

537,267

549,621

2.3%

0%

7620

7802

2.4%

0%

7620

7802

2.4%

641,750

656,618

2.3%

641,750

656,618

2.3%

(26,615)

(27,140)

2.0%

(26,615)

(27,140)

2.0%

(2011)

(2082)

3.5%

(2011)

(2082)

3.5%

PV

(4,027,654)

(4,115,278)

2.2%

(1,759,433)

(1,798,687)

2.2%

404,968

413,877

2.2%

492,659

503,283

2.2%

(10%)

6381

6524

2.2%

(6%)

7879

8050

2.2%

511,411

522,908

2.2%

620,789

634,572

2.2%

(19,522)

(19,908)

2.0%

(22,861)

(23,293)

1.9%

(1308)

(1353)

3.4%

(1702)

(1759)

3.3%

PV

(8,022,893)

(8,199,678)

2.2%

(4,255,411)

(4,349,629)

2.2%

226,535

230,692

1.8%

418,714

427,784

2.2%

(25%)

3990

4059

1.7%

(12%)

8194

8375

2.2%

302,070

307,852

1.9%

578,092

590,961

2.2%

(10,308)

(10,502)

1.9%

(17,427)

(17,765)

1.9%

(572)

(587)

2.6%

(1262)

(1303)

3.2%