Maturity Date

Strike Price (%)

Lognormal Volatility (%)

Cap Price (£) in bp

2/1/2019

0.662

39.28

11.8

2/1/2020

0.800

41.61

50.3

4/1/2021

0.903

46.89

118.9

3/1/2022

0.982

51.84

216.2

2/1/2023

1.052

51.84

341.2

2/1/2024

1.111

57.90

485.5

2/1/2025

1.164

59.43

647.5

2/1/2026

1.214

60.18

822.4

4/1/2027

1.261

60.18

1006.0

3/1/2028

1.305

59.76

1195.4