Forward Prices

Implied Volatilities

Attribute

Money-ness^†

LIBOR

OIS

% Variation

Money-ness^††

LIBOR

OIS

% Variation

PV

23,804,754

23,894,039

0.4%

9,135,297

9,189,343

0.6%

1,360,153

1,365,324

0.4%

811,904

817,437

0.7%

25%

12,825

12,893

0.5%

12%

14,451

14,532

0.6%

799,281

803,724

0.6%

787,310

793,132

0.7%

(14,094)

(14,228)

1.0%

(32,071)

(32,249)

0.6%

(3667)

(3686)

0.5%

(2552)

(2603)

2.0%

PV

7,201,572

7,235,939

0.5%

3,436,230

3,456,985

0.6%

983,969

988,207

0.4%

682,866

686,417

0.5%

10%

20,687

20,777

0.4%

6%

19,048

19,129

0.4%

842,696

847,447

0.6%

737,968

742,399

0.6%

(16,974)

(17,082)

0.6%

(22,753)

(22,867)

0.5%

(1856)

(1888)

1.7%

(1426)

(1447)

1.5%

PV

0

0

-

0

0

-

539,229

541,530

0.4%

539,229

541,530

0.4%

0%

22,715

22,796

0.4%

0%

22,715

22,796

0.4%

638,717

642,017

0.5%

638,717

642,017

0.5%

(16,078)

(16,141)

0.4%

(16,078)

(16,141)

0.4%

(724)

(732)

1.1%

(724)

(732)

1.1%

PV

(3,057,101)

(3,072,304)

0.5%

(2,693,153)

(2,708,475)

0.6%

176,698

177,470

0.4%

327,910

328,914

0.3%

(10%)

8519

8553

0.4%

(6%)

23,948

24,013

0.3%

306,876

308,386

0.5%

423,468

425,320

0.4%

(5989)

(6012)

0.4%

(9072)

(9097)

0.3%

(230)

(229)

−0.4%

(218)

(217)

(0.5%)

PV

(4,251,746)

(4,272,380)

0.5%

(4,404,477)

(4,426,127)

0.5%

35,489

35,716

0.6%

85,844

85,967

0.1%

(25%)

1592

1603

0.7%

(12%)

20,633

20,663

0.1%

73,962

74,428

0.6%

82,632

82,930

0.4%

(1158)

(1164)

0.5%

(1512)

(1514)

0.1%

(44)

(44)

0.0%

(9)

(9)

0.0%