Forward Prices

Implied Volatilities

Attribute

Money-ness^†

LIBOR

OIS

% Variation

Money-ness^††

LIBOR

OIS

% Variation

PV

21,500,450

21,725,898

1.0%

10,034,782

10,167,539

1.3%

1,169,802

1,175,899

0.5%

750,619

762,146

1.5%

25%

12,848

12,934

0.7%

12%

9216

9337

1.3%

1,058,798

1,069,961

1.1%

868,454

883,116

1.7%

(36,802)

(37,638)

2.3%

(38,859)

(39,669)

2.1%

(5315)

(5407)

1.7%

(3880)

(4054)

4.5%

PV

6,558,185

6,645,312

1.3%

3,876,868

3,928,198

1.3%

790,107

799,438

1.2%

637,505

646,227

1.4%

10%

14,303

14,431

0.9%

6%

10,636

10,775

1.3%

969,192

981,080

1.2%

830,290

841,868

1.4%

(31,280)

(31,889)

1.9%

(28,871)

(29,513)

2.2%

(3163)

(3277)

3.6%

(2644)

(2731)

3.3%

PV

0

0

-

0

0

-

539,073

546,357

1.4%

539,073

546,357

1.4%

0%

11,539

11,681

1.2%

0%

11,539

11,681

1.2%

779,445

789,843

1.3%

779,445

789,843

1.3%

(22,051)

(22,461)

1.9%

(22,051)

(22,461)

1.9%

(1857)

(1917)

3.2%

(1857)

(1917)

3.2%

PV

(4,066,176)

(4,130,919)

1.6%

(3,441,668)

(3,496,165)

1.6%

303,499

307,179

1.2%

385,400

390,802

1.4%

(10%)

6821

6903

1.2%

(6%)

10,854

11,009

1.4%

502,308

508,778

1.3%

646,507

655,964

1.5%

(13,237)

(13,437)

1.5%

(14,707)

(14,973)

1.8%

(873)

(881)

0.9%

(1018)

(1041)

2.3%

PV

(7,059,600)

(7,161,419)

1.4%

(7,010,772)

(7,115,158)

1.5%

124,435

125,915

1.2%

145,788

147,574

1.2%

(25%)

2639

2674

1.3%

(12%)

5747

5827

1.4%

222,614

225,434

1.3%

339,955

344,633

1.4%

(5563)

(5639)

1.4%

(5420)

(5486)

1.2%

(291)

(285)

(2.1%)

(246)

(238)

(3.3%)