ew:swe14205

Sweden,
Treasury Bills,
1 month, Yield,
Close, SEK

2006-11-29

2.77

1.001601281

0.001612596

ew:swe14230
Sweden,
Treasury Bills,
2 month, Yield,
Close, SEK

ew:swe14200
Sweden,
Treasury Bills,
3 month, Yield,
Close, SEK

2006-11-29

2.84

2006-11-29

2.9

1037

101.637

101.593

360.9850913

100

days
DATA
01M
02M
03M
06M
09M
12M
1037
1040
1043
1034

Maturity
1/4/2007
2/3/2007
3/5/2007
6/3/2007
9/1/2007
11/30/2007
8/15/2007
5/5/2008
1/28/2009
4/20/2009

Yield
2.000
2.000
2.070
2.160
2.275
2.415
2.685
3.030
3.250
3.345

Coupon
0.00
0.00
0.00
0.00
0.00
0.00
8.00
6.50
5.00
9.00

Next coupon
1/4/2007
2/3/2007
3/5/2007
6/3/2007
9/1/2007
11/30/2007
8/15/2007
5/5/2007
1/28/2007
4/20/2007

Price
99.839
99.679
99.485
98.943
98.347
97.674
106.023
108.510
107.828
118.298

1048
1045
1046
1041
1049
1050
1047

12/1/2009
3/15/2011
10/8/2012
5/5/2014
8/12/2015
7/12/2016
12/1/2020

3.430
3.605
3.730
3.810
3.875
3.915
3.875

4.00
5.25
5.50
6.75
4.50
3.00
5.00

12/1/2007
3/15/2007
10/8/2007
5/5/2007
8/12/2007
7/12/2007
12/1/2007

101.637
110.188
109.997
122.596
105.930
93.970
112.029

ew:swe14210
Sweden,
Treasury Bills,
6 month, Yield,
Close, SEK

2006-11-29

2.955

ew:swe14223
Sweden,
Treasury Bills,
9 month, Yield,
Close, SEK

2006-11-29

3.105

ew:swe14220
Sweden,
Treasury Bills,
12 month,
Yield, Close,
SEK

2006-11-29

3.22

Name
1037
1040
1043
1034
1048
1045
1046
1041
1049
1047

clean
101.593001

Clean P.
99.839
99.679
99.485
98.943
98.347
97.674
103.579
104.718
103.564
112.673

Duration
0.08
0.16
0.25
0.49
0.74
0.99
0.69
1.36
2.01
2.15

101.593
106.396
109.126
118.658
104.518
92.778
111.974

2.88
3.82
5.15
6.01
7.32
8.33
10.61

ew:swe14177
Sweden,
Government
Bonds,
SO1049,
Yield, Close,
SEK
2006-11-29

Maturity
8/15/2007
5/5/2008
1/28/2009
4/20/2009
12/1/2009
3/15/2011
10/8/2012
5/5/2014
8/12/2015
12/1/2020

3.59

ew:swe14168
Sweden,
Government
Bonds,
SO1047,
Yield, Close,
SEK
2006-11-29

3.55

ew:swe14153
Sweden,
Government
Bonds,
SO1043,
Yield, Close,
SEK
2006-11-29

3.495

0.001612596

1.001601281

ew:swe14169
Sweden,
Government
Bonds,
SO1048,
Yield, Close,
SEK
2006-11-29

3.55

ew:swe14186
Sweden,
Government
Bonds,
SO1041,
Yield, Close,
SEK
2006-11-29

3.59

ew:swe14140
Sweden,
Government
Bonds,
SO1046,
Yield, Close,
SEK
2006-11-29

3.595

ew:swe14160
Sweden,
Government
Bonds,
SO1045,
Yield, Close,
SEK
2006-11-29

3.575

ew:swe14157
Sweden,
Government
Bonds,
SO1044,
Yield, Close,
SEK

ew:swe14187
Sweden,
Government
Bonds,
SO1040,
Yield, Close,
SEK
2006-11-29

3.435

ew:swe14190
Sweden,
Government
Bonds,
SO1038,
Yield, Close,
SEK

ew:swe14180
Sweden,
Government
Bonds,
SO1037,
Yield, Close,
SEK
2006-11-29

3.235

ew:swe14175
Sweden,
Government
Bonds,
SO1034,
Yield, Close,
SEK
2006-11-29

3.475

ew:swe14562
Sweden,
Government
Bonds,
SO1050,
Yield, Close,
SEK
2006-11-29

3.59

ew:swe14563
Sweden,
Government
Bonds,
SO1051,
Yield, Close,
SEK
2006-11-29

3.58

YEARFRAC

Collection date
12/5/2006

01M
02M
03M
06M
09M
12M
1037
1040
1043
1034
1048
1045
1046
1041
1049
1050
1047

trader's yield
2.000
2.000
2.070
2.160
2.275
2.415
2.685
3.030
3.250
3.345
3.430
3.605
3.730
3.810
3.875
3.915
3.875

Maturity
1/4/2007
2/3/2007
3/5/2007
6/3/2007
9/1/2007
11/30/2007
8/15/2007
5/5/2008
1/28/2009
4/20/2009
12/1/2009
3/15/2011
10/8/2012
5/5/2014
8/12/2015
7/12/2016
12/1/2020

4-Jan
3-Feb
5-Mar
3-Jun
1-Sep
30-Nov
15-Aug
5-May
28-Jan
20-Apr
1-Dec
15-Mar
8-Oct
5-May
12-Aug
12-Jul
1-Dec

0.00
0.00
0.00
0.00
0.00
0.00
8.00
6.50
5.00
9.00
4.00
5.25
5.50
6.75
4.50
3.00
5.00

market price
99.839
99.679
99.485
98.943
98.347
97.674
106.023
108.510
107.828
118.298
101.637
110.188
109.997
122.596
105.930
93.970
112.029

PV dividends
0.000
0.000
0.000
0.000
0.000
0.000
0.000
6.444
9.859
17.651
7.720
20.053
25.397
42.757
31.732
23.450
51.877

PV(FV+C)
99.839
99.679
99.485
98.943
98.347
97.674
106.023
102.066
97.969
100.647
93.917
90.135
84.600
79.839
74.198
70.520
60.152

ZCP
Yield
99.839
2.000%
99.679
1.996%
99.485
2.065%
98.943
2.149%
98.347
2.256%
97.674
2.387%
98.169
2.660%
95.836
3.002%
93.304
3.228%
92.337
3.357%
90.305
3.412%
85.639
3.624%
80.190
3.779%
74.791
3.917%
71.003
3.942%
68.466
3.945%
57.288
3.983%
Time
time diff
Yield
slope
m
Discount factor per time diff
cumulative discount factor

1/4/2007
4-Jan
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.0805556
2.00%

99.84%
99.84%

1/28/2007
2/3/2007
28-Jan
3-Feb
0
0
0
100
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.1472222 0.16111111
0.0666667 0.01388889
2.00%
2.01%
0.68%
1.90%
99.87%
99.97%
99.71%
99.68%

3/5/2007
5-Mar
0
0
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.25
0.08888889
2.07%
0.37%
1.98%
99.82%
99.49%

3/15/2007
15-Mar
0
0
0
0
0
0
0
0
0
0
0
5.25
0
0
0
0
0
0.277777778
0.027777778
2.08%
0.37%
1.98%
99.94%
99.44%

4/20/2007
20-Apr
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
0
0
0.375
0.097222222
2.12%
0.37%
1.98%
99.79%
99.23%

5/5/2007
6/3/2007
5-May
3-Jun
0
0
0
0
0
0
0
100
0
0
0
0
0
0
6.5
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0.416666667 0.494444444
0.041666667 0.077777778
2.13%
2.16%
0.37%
0.47%
1.98%
1.93%
99.91%
99.83%
99.14%
98.98%

7/12/2007
8/12/2007
8/15/2007
12-Jul
12-Aug
15-Aug
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
108
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4.5
0
3
0
0
0
0
0
0.6027778 0.68611111 0.69444444
0.1083333 0.08333333 0.00833333
2.21%
2.25%
2.25%
0.47%
0.47%
0.47%
1.93%
1.93%
1.93%
99.76%
99.81%
99.98%
98.74%
98.56%
98.54%

9/1/2007
1-Sep
0
0
0
0
100
0

10/8/2007 11/30/2007
8-Oct
30-Nov
0
0
0
0
0
0
0
0
0
0
0
100

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0.73888889 0.84166667 0.98611111
0.04444444 0.10277778 0.14444444
2.28%
2.33%
2.42%
0.57%
0.70%
1.86%
1.72%
99.90%
99.76%
99.65%
98.44%
98.20%
97.86%

12/1/2007
1-Dec
0
0
0
0
0
0

1/4/2008
4-Jan

1/28/2008
28-Jan

2/3/2008
3-Feb

3/5/2008
5-Mar

0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0.98888889 1.08055556 1.14722222 1.16111111
1.25
0.00277778 0.09166667 0.06666667 0.01388889 0.08888889
2.42%
2.48%
2.53%
2.54%
2.60%
0.70%
0.70%
0.70%
0.70%
0.70%
1.72%
1.72%
1.72%
1.72%
1.72%
99.99%
99.77%
99.83%
99.96%
99.77%
97.85%
97.63%
97.47%
97.43%
97.21%

3/15/2008
15-Mar

4/20/2008
20-Apr

5/5/2008
5-May

6/3/2008
3-Jun

7/12/2008
12-Jul

8/12/2008
12-Aug

8/15/2008
15-Aug

9/1/2008
1-Sep

0
0
106.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5.25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
1.27777778
1.375 1.41666667 1.49444444 1.60277778 1.68611111 1.69444444 1.73888889
0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444
2.62%
2.69%
2.72%
2.77%
2.85%
2.91%
2.91%
2.94%
0.70%
0.70%
0.70%
0.70%
0.70%
0.70%
0.70%
0.70%
1.72%
1.72%
1.72%
1.72%
1.72%
1.72%
1.72%
1.72%
99.93%
99.74%
99.89%
99.78%
99.69%
99.76%
99.98%
99.87%
97.14%
96.88%
96.77%
96.57%
96.27%
96.04%
96.01%
95.89%

10/8/2008
8-Oct

11/30/2008
30-Nov

12/1/2008
1-Dec

1/4/2009
4-Jan

1/28/2009
28-Jan

2/3/2009
3-Feb

3/5/2009
5-Mar

0
0
0
0
0
0
0
105
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
1.84166667 1.98611111 1.98888889 2.08055556 2.14722222
0.10277778 0.14444444 0.00277778 0.09166667 0.06666667
3.02%
3.12%
3.12%
3.18%
3.23%
0.70%
0.70%
0.70%
0.70%
0.57%
1.72%
1.72%
1.72%
1.72%
2.00%
99.69%
99.55%
99.99%
99.71%
99.78%
95.59%
95.16%
95.15%
94.88%
94.67%

0
0
0
0
0
0
0
0
0
2.161111111
0.013888889
3.24%
0.57%
2.00%
99.96%
94.63%

0
0
0
0
0
0
0
0
0
2.25
0.088888889
3.29%
0.57%
2.00%
99.71%
94.35%

3/15/2009
15-Mar

4/20/2009
20-Apr

5/5/2009
5-May

6/3/2009
3-Jun

7/12/2009
12-Jul

8/12/2009
12-Aug

8/15/2009
15-Aug

0
0
0
5.25
0
0
0
0
0
2.277777778
0.027777778
3.30%
0.57%
2.00%
99.91%
94.27%

0
109
0
0
0
0
0
0
0
2.375
0.097222222
3.36%
0.08%
3.17%
99.67%
93.96%

0
0
0
0
0
6.75
0
0
0
2.416666667
0.041666667
3.36%
0.08%
3.17%
99.86%
93.83%

0
0
0
0
0
0
0
0
0
2.494444444
0.077777778
3.37%
0.08%
3.17%
99.74%
93.58%

0
0
0
0
0
0
0
3
0
2.602777778
0.108333333
3.38%
0.08%
3.17%
99.63%
93.24%

0
0
0
0
0
0
4.5
0
0
2.686111111
0.083333333
3.39%
0.08%
3.17%
99.72%
92.98%

0
0
0
0
0
0
0
0
0
2.694444444
0.008333333
3.39%
0.08%
3.17%
99.97%
92.95%

9/1/2009
1-Sep

10/8/2009
8-Oct

11/30/2009
30-Nov

0
0
0
0
0
0
0
0
0
2.738888889
0.044444444
3.39%
0.08%
3.17%
99.85%
92.81%

0
0
0
0
5.5
0
0
0
0
2.841666667
0.102777778
3.40%
0.08%
3.17%
99.65%
92.49%

0
0
0
0
0
0
0
0
0
2.986111111
0.144444444
3.41%
0.08%
3.17%
99.51%
92.03%

12/1/2009
1-Dec

1/4/2010
4-Jan

1/28/2010
28-Jan

2/3/2010
3-Feb

0
0
104
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
2.988888889 3.08055556 3.14722222 3.16111111
0.002777778 0.09166667 0.06666667 0.01388889
3.41%
3.42%
3.44%
3.44%
0.16%
0.16%
0.16%
0.16%
2.92%
2.92%
2.92%
2.92%
99.99%
99.69%
99.77%
99.95%
92.02%
91.74%
91.53%
91.48%

3/5/2010
5-Mar

3/15/2010
15-Mar

4/20/2010
20-Apr

5/5/2010
5-May

6/3/2010
3-Jun

7/12/2010
12-Jul

8/12/2010
12-Aug

8/15/2010
15-Aug

0
5.25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
3.25 3.27777778
3.375 3.41666667 3.49444444 3.60277778 3.68611111 3.69444444
0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333
3.45%
3.46%
3.47%
3.48%
3.49%
3.51%
3.52%
3.52%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
99.69%
99.90%
99.66%
99.86%
99.73%
99.62%
99.71%
99.97%
91.20%
91.11%
90.81%
90.68%
90.43%
90.09%
89.82%
89.80%

9/1/2010
1-Sep

10/8/2010
8-Oct

11/30/2010
30-Nov

12/1/2010
1-Dec

1/4/2011
4-Jan

1/28/2011
28-Jan

2/3/2011
3-Feb

3/5/2011
5-Mar

0
0
0
0
0
0
0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
3.73888889 3.84166667 3.98611111 3.98888889 4.08055556 4.14722222 4.16111111
4.25
0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889
3.53%
3.55%
3.57%
3.57%
3.59%
3.60%
3.60%
3.62%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
99.84%
99.64%
99.49%
99.99%
99.67%
99.76%
99.95%
99.68%
89.65%
89.33%
88.87%
88.86%
88.57%
88.36%
88.31%
88.03%

3/15/2011
15-Mar

4/20/2011
20-Apr

5/5/2011
5-May

6/3/2011
3-Jun

7/12/2011
12-Jul

8/12/2011
12-Aug

8/15/2011
15-Aug

9/1/2011
1-Sep

105.25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
4.27777778
4.375 4.41666667 4.49444444 4.60277778 4.68611111 4.69444444 4.73888889
0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444
3.62%
3.63%
3.63%
3.64%
3.65%
3.66%
3.66%
3.67%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
99.90%
99.65%
99.85%
99.72%
99.61%
99.70%
99.97%
99.84%
87.94%
87.63%
87.50%
87.25%
86.91%
86.64%
86.61%
86.47%

10/8/2011
8-Oct

11/30/2011
30-Nov

12/1/2011
1-Dec

1/4/2012
4-Jan

1/28/2012
28-Jan

2/3/2012
3-Feb

3/5/2012
5-Mar

3/15/2012
15-Mar

0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
4.84166667 4.98611111 4.98888889 5.08055556 5.14722222 5.16111111
5.25 5.27777778
0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778
3.68%
3.69%
3.69%
3.70%
3.71%
3.71%
3.72%
3.72%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
99.62%
99.47%
99.99%
99.66%
99.75%
99.95%
99.67%
99.90%
86.15%
85.69%
85.68%
85.39%
85.18%
85.13%
84.85%
84.77%

4/20/2012
20-Apr

5/5/2012
5-May

6/3/2012
3-Jun

7/12/2012
12-Jul

8/12/2012
12-Aug

8/15/2012
15-Aug

9/1/2012
1-Sep

10/8/2012
8-Oct

0
0
0
0
0
0
0
105.5
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
5.375 5.41666667 5.49444444 5.60277778 5.68611111 5.69444444 5.73888889 5.84166667
0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778
3.73%
3.74%
3.74%
3.76%
3.76%
3.76%
3.77%
3.78%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.09%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.26%
99.64%
99.84%
99.71%
99.59%
99.69%
99.97%
99.83%
99.61%
84.46%
84.33%
84.08%
83.74%
83.48%
83.45%
83.31%
82.99%

11/30/2012
30-Nov

12/1/2012
1-Dec

1/4/2013
4-Jan

1/28/2013
28-Jan

2/3/2013
3-Feb

3/5/2013
5-Mar

3/15/2013
15-Mar

4/20/2013
20-Apr

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
5.98611111 5.98888889 6.08055556 6.14722222 6.16111111
6.25 6.27777778
6.375
0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778 0.09722222
3.79%
3.79%
3.80%
3.81%
3.81%
3.82%
3.82%
3.83%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
99.45%
99.99%
99.65%
99.75%
99.95%
99.66%
99.89%
99.63%
82.54%
82.53%
82.24%
82.03%
81.99%
81.71%
81.62%
81.32%

5/5/2013
5-May

6/3/2013
3-Jun

7/12/2013
12-Jul

8/12/2013
12-Aug

8/15/2013
15-Aug

9/1/2013
1-Sep

10/8/2013
8-Oct

11/30/2013
30-Nov

6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
6.41666667 6.49444444 6.60277778 6.68611111 6.69444444 6.73888889 6.84166667 6.98611111
0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778 0.14444444
3.83%
3.84%
3.85%
3.86%
3.86%
3.86%
3.87%
3.88%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
99.84%
99.70%
99.58%
99.68%
99.97%
99.83%
99.60%
99.44%
81.19%
80.95%
80.61%
80.35%
80.33%
80.19%
79.87%
79.43%

12/1/2013
1-Dec

1/4/2014
4-Jan

1/28/2014
28-Jan

2/3/2014
3-Feb

3/5/2014
5-Mar

3/15/2014
15-Mar

4/20/2014
20-Apr

5/5/2014
5-May

0
0
0
0
0
0
0
106.75
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
6.98888889 7.08055556 7.14722222 7.16111111
7.25 7.27777778
7.375 7.41666667
0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778 0.09722222 0.04166667
3.88%
3.89%
3.90%
3.90%
3.91%
3.91%
3.92%
3.92%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.02%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.74%
99.99%
99.64%
99.74%
99.95%
99.65%
99.89%
99.62%
99.84%
79.42%
79.13%
78.93%
78.89%
78.61%
78.53%
78.23%
78.10%

6/3/2014
3-Jun

7/12/2014
12-Jul

8/12/2014
12-Aug

8/15/2014
15-Aug

9/1/2014
1-Sep

10/8/2014
8-Oct

11/30/2014
30-Nov

12/1/2014
1-Dec

0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
5
7.49444444 7.60277778 7.68611111 7.69444444 7.73888889 7.84166667 7.98611111 7.98888889
0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778 0.14444444 0.00277778
3.92%
3.92%
3.93%
3.93%
3.93%
3.93%
3.93%
3.93%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
99.70%
99.58%
99.67%
99.97%
99.83%
99.60%
99.43%
99.99%
77.86%
77.53%
77.28%
77.26%
77.12%
76.81%
76.37%
76.37%

1/4/2015
4-Jan

1/28/2015
28-Jan

2/3/2015
3-Feb

3/5/2015
5-Mar

3/15/2015
15-Mar

4/20/2015
20-Apr

5/5/2015
5-May

6/3/2015
3-Jun

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8.08055556 8.14722222 8.16111111
8.25 8.27777778
8.375 8.41666667 8.49444444
0.09166667 0.06666667 0.01388889 0.08888889 0.02777778 0.09722222 0.04166667 0.07777778
3.94%
3.94%
3.94%
3.94%
3.94%
3.94%
3.94%
3.95%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
99.64%
99.74%
99.95%
99.65%
99.89%
99.62%
99.84%
99.69%
76.09%
75.89%
75.85%
75.58%
75.50%
75.21%
75.09%
74.86%

7/12/2015
12-Jul

8/12/2015
12-Aug

8/15/2015
15-Aug

9/1/2015
1-Sep

10/8/2015
8-Oct

11/30/2015
30-Nov

12/1/2015
1-Dec

1/4/2016
4-Jan

0
104.5
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
8.60277778 8.68611111 8.69444444 8.73888889 8.84166667 8.98611111 8.98888889 9.08055556
0.10833333 0.08333333 0.00833333 0.04444444 0.10277778 0.14444444 0.00277778 0.09166667
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
3.74%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
99.57%
99.67%
99.97%
99.82%
99.59%
99.43%
99.99%
99.64%
74.54%
74.30%
74.27%
74.14%
73.84%
73.42%
73.41%
73.15%

1/28/2016
28-Jan

2/3/2016
3-Feb

3/5/2016
5-Mar

3/15/2016
15-Mar

4/20/2016
20-Apr

5/5/2016
5-May

6/3/2016
3-Jun

7/12/2016
12-Jul

0
0
0
0
0
0
0
103
0
0
0
0
0
0
0
0
9.14722222 9.16111111
9.25 9.27777778
9.375 9.41666667 9.49444444 9.60277778
0.06666667 0.01388889 0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.01%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.88%
99.74%
99.95%
99.65%
99.89%
99.62%
99.84%
99.69%
99.57%
72.95%
72.91%
72.66%
72.58%
72.30%
72.18%
71.96%
71.65%

8/12/2016
12-Aug

8/15/2016
15-Aug

9/1/2016
1-Sep

10/8/2016
8-Oct

11/30/2016
30-Nov

12/1/2016
1-Dec

1/4/2017
4-Jan

1/28/2017
28-Jan

0
0
0
0
0
0
0
0
0
0
0
5
0
0
9.68611111 9.69444444 9.73888889 9.84166667 9.98611111 9.98888889 10.0805556 10.1472222
0.08333333 0.00833333 0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.67%
99.97%
99.82%
99.59%
99.43%
99.99%
99.64%
99.74%
71.42%
71.39%
71.27%
70.98%
70.58%
70.57%
70.31%
70.13%

2/3/2017
3-Feb

3/5/2017
5-Mar

3/15/2017
15-Mar

4/20/2017
20-Apr

5/5/2017
5-May

6/3/2017
3-Jun

7/12/2017
12-Jul

8/12/2017
12-Aug

0
0
0
0
0
0
0
0
10.1611111
10.25 10.2777778
10.375 10.4166667 10.4944444 10.6027778 10.6861111
0.01388889 0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333
3.95%
3.95%
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.95%
99.65%
99.89%
99.62%
99.84%
99.69%
99.57%
99.67%
70.09%
69.84%
69.77%
69.50%
69.38%
69.17%
68.88%
68.65%

8/15/2017
15-Aug

9/1/2017
1-Sep

10/8/2017
8-Oct

11/30/2017
30-Nov

12/1/2017
1-Dec

1/4/2018
4-Jan

1/28/2018
28-Jan

2/3/2018
3-Feb

0
0
0
0
5
0
0
0
10.6944444 10.7388889 10.8416667 10.9861111 10.9888889 11.0805556 11.1472222 11.1611111
0.00833333 0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.97%
99.82%
99.59%
99.43%
99.99%
99.64%
99.74%
99.94%
68.63%
68.51%
68.23%
67.84%
67.83%
67.58%
67.41%
67.37%

3/5/2018
5-Mar

3/15/2018
15-Mar

4/20/2018
20-Apr

5/5/2018
5-May

6/3/2018
3-Jun

7/12/2018
12-Jul

8/12/2018
12-Aug

8/15/2018
15-Aug

0
0
0
0
0
0
0
0
11.25 11.2777778
11.375 11.4166667 11.4944444 11.6027778 11.6861111 11.6944444
0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333
3.96%
3.96%
3.96%
3.96%
3.96%
3.97%
3.97%
3.97%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.65%
99.89%
99.62%
99.83%
99.69%
99.57%
99.67%
99.97%
67.13%
67.06%
66.80%
66.69%
66.49%
66.20%
65.98%
65.96%

9/1/2018
1-Sep

10/8/2018
8-Oct

11/30/2018
30-Nov

12/1/2018
1-Dec

1/4/2019
4-Jan

1/28/2019
28-Jan

2/3/2019
3-Feb

3/5/2019
5-Mar

0
0
0
5
0
0
0
0
11.7388889 11.8416667 11.9861111 11.9888889 12.0805556 12.1472222 12.1611111
12.25
0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.82%
99.59%
99.43%
99.99%
99.64%
99.74%
99.94%
99.65%
65.84%
65.58%
65.20%
65.19%
64.96%
64.79%
64.75%
64.52%

3/15/2019
15-Mar

4/20/2019
20-Apr

5/5/2019
5-May

6/3/2019
3-Jun

7/12/2019
12-Jul

8/12/2019
12-Aug

8/15/2019
15-Aug

9/1/2019
1-Sep

0
0
0
0
0
0
0
0
12.2777778
12.375 12.4166667 12.4944444 12.6027778 12.6861111 12.6944444 12.7388889
0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.89%
99.61%
99.83%
99.69%
99.57%
99.67%
99.97%
99.82%
64.45%
64.20%
64.10%
63.90%
63.62%
63.41%
63.39%
63.28%

10/8/2019
8-Oct

11/30/2019
30-Nov

12/1/2019
1-Dec

1/4/2020
4-Jan

1/28/2020
28-Jan

2/3/2020
3-Feb

3/5/2020
5-Mar

3/15/2020
15-Mar

0
0
5
0
0
0
0
0
12.8416667 12.9861111 12.9888889 13.0805556 13.1472222 13.1611111
13.25 13.2777778
0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778
3.97%
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.59%
99.43%
99.99%
99.64%
99.74%
99.94%
99.65%
99.89%
63.02%
62.66%
62.66%
62.43%
62.26%
62.23%
62.01%
61.94%

4/20/2020
20-Apr

5/5/2020
5-May

6/3/2020
3-Jun

7/12/2020
12-Jul

8/12/2020
12-Aug

8/15/2020
15-Aug

9/1/2020
1-Sep

10/8/2020
8-Oct

0
0
0
0
0
0
0
0
13.375 13.4166667 13.4944444 13.6027778 13.6861111 13.6944444 13.7388889 13.8416667
0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
0.01%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
3.88%
99.61%
99.83%
99.69%
99.57%
99.67%
99.97%
99.82%
99.59%
61.70%
61.60%
61.41%
61.14%
60.94%
60.92%
60.81%
60.56%

11/30/2020
30-Nov

12/1/2020
1-Dec

0
105
13.9861111 13.9888889
0.14444444 0.00277778
3.98%
3.98%
0.01%
3.88%
99.43%
99.99%
60.22%
60.21%

YIELD CURVE (by linear interpolation)

4.50%

4.00%

3.50%

3.00%

RATE

2.50%

2.00%

1.50%

1.00%

0.50%

0.00%
0

10

12

14
TIME

yield curve by linear inter/extrapolation

4.50%

4.00%

3.50%

3.00%

rate

2.50%

2.00%

1.50%

1.00%

0.50%

0.00%
0

10

12

14
time

YEARFRAC

Collection date
12/5/2006

01M
02M
03M
06M
09M
12M
1037
1040
1043
1034
1048
1045
1046
1041
1049
1050
1047

trader's yield
2.000
2.000
2.070
2.160
2.275
2.415
2.685
3.030
3.250
3.345
3.430
3.605
3.730
3.810
3.875
3.915
3.875

Maturity
1/4/2007
2/3/2007
3/5/2007
6/3/2007
9/1/2007
11/30/2007
8/15/2007
5/5/2008
1/28/2009
4/20/2009
12/1/2009
3/15/2011
10/8/2012
5/5/2014
8/12/2015
7/12/2016
12/1/2020

4-Jan
3-Feb
5-Mar
3-Jun
1-Sep
30-Nov
15-Aug
5-May
28-Jan
20-Apr
1-Dec
15-Mar
8-Oct
5-May
12-Aug
12-Jul
1-Dec

0.00
0.00
0.00
0.00
0.00
0.00
8.00
6.50
5.00
9.00
4.00
5.25
5.50
6.75
4.50
3.00
5.00

market price
99.839
99.679
99.485
98.943
98.347
97.674
106.023
108.510
107.828
118.298
101.637
110.188
109.997
122.596
105.930
93.970
112.029

PV dividends
0.000
0.000
0.000
0.000
0.000
0.000
0.000
6.444
9.859
17.651
7.720
20.053
25.397
42.757
31.732
23.450
51.875

cumula

PV(FV+C)
99.839
99.679
99.485
98.943
98.347
97.674
106.023
102.066
97.969
100.647
93.917
90.135
84.600
79.839
74.198
70.520
60.154

ZCP
Yield
99.839
2.000%
99.679
1.996%
99.485
2.065%
98.943
2.149%
98.347
2.256%
97.674
2.387%
98.169
2.660%
95.836
3.002%
93.304
3.228%
92.337
3.357%
90.305
3.412%
85.639
3.624%
80.190
3.779%
74.791
3.917%
71.003
3.942%
68.466
3.945%
57.290
3.983%
Time
time diff
Yield
slope
m
Discount factor per time diff
cumulative discount factor

1/4/2007
4-Jan
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.0805556
2.00%

99.84%
99.84%

1/28/2007
2/3/2007
28-Jan
3-Feb
0
0
0
100
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.1472222 0.16111111
0.0666667 0.01388889
2.00%
2.01%
0.68%
1.90%
99.87%
99.97%
99.71%
99.68%

3/5/2007
5-Mar
0
0
100
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.25
0.08888889
2.07%
0.37%
1.98%
99.82%
99.49%

3/15/2007
15-Mar
0
0
0
0
0
0
0
0
0
0
0
5.25
0
0
0
0
0
0.277777778
0.027777778
2.08%
0.37%
1.98%
99.94%
99.44%

4/20/2007
20-Apr
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
0
0
0.375
0.097222222
2.12%
0.37%
1.98%
99.79%
99.23%

5/5/2007
6/3/2007
5-May
3-Jun
0
0
0
0
0
0
0
100
0
0
0
0
0
0
6.5
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0.416666667 0.494444444
0.041666667 0.077777778
2.13%
2.16%
0.37%
0.47%
1.98%
1.93%
99.91%
99.83%
99.14%
98.98%

7/12/2007
8/12/2007
8/15/2007
12-Jul
12-Aug
15-Aug
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
108
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4.5
0
3
0
0
0
0
0
0.6027778 0.68611111 0.69444444
0.1083333 0.08333333 0.00833333
2.21%
2.25%
2.25%
0.47%
0.47%
0.47%
1.93%
1.93%
1.93%
99.76%
99.81%
99.98%
98.74%
98.56%
98.54%

9/1/2007
1-Sep
0
0
0
0
100
0

10/8/2007 11/30/2007
8-Oct
30-Nov
0
0
0
0
0
0
0
0
0
0
0
100

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0.73888889 0.84166667 0.98611111
0.04444444 0.10277778 0.14444444
2.28%
2.33%
2.42%
0.57%
0.70%
1.86%
1.72%
99.90%
99.76%
99.65%
98.44%
98.20%
97.86%

12/1/2007
1-Dec
0
0
0
0
0
0

1/4/2008
4-Jan

1/28/2008
28-Jan

2/3/2008
3-Feb

3/5/2008
5-Mar

0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0.98888889 1.08055556 1.14722222 1.16111111
1.25
0.00277778 0.09166667 0.06666667 0.01388889 0.08888889
2.42%
2.48%
2.53%
2.54%
2.60%
0.70%
0.70%
0.70%
0.70%
0.70%
1.72%
1.72%
1.72%
1.72%
1.72%
99.99%
99.77%
99.83%
99.96%
99.77%
97.85%
97.63%
97.47%
97.43%
97.21%

3/15/2008
15-Mar

4/20/2008
20-Apr

5/5/2008
5-May

6/3/2008
3-Jun

7/12/2008
12-Jul

8/12/2008
12-Aug

8/15/2008
15-Aug

9/1/2008
1-Sep

0
0
106.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
9
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5.25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
1.27777778
1.375 1.41666667 1.49444444 1.60277778 1.68611111 1.69444444 1.73888889
0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444
2.62%
2.69%
2.72%
2.77%
2.85%
2.91%
2.91%
2.94%
0.70%
0.70%
0.70%
0.70%
0.70%
0.70%
0.70%
0.70%
1.72%
1.72%
1.72%
1.72%
1.72%
1.72%
1.72%
1.72%
99.93%
99.74%
99.89%
99.78%
99.69%
99.76%
99.98%
99.87%
97.14%
96.88%
96.77%
96.57%
96.27%
96.04%
96.01%
95.89%

10/8/2008
8-Oct

11/30/2008
30-Nov

12/1/2008
1-Dec

1/4/2009
4-Jan

1/28/2009
28-Jan

2/3/2009
3-Feb

3/5/2009
5-Mar

0
0
0
0
0
0
0
105
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
1.84166667 1.98611111 1.98888889 2.08055556 2.14722222
0.10277778 0.14444444 0.00277778 0.09166667 0.06666667
3.02%
3.12%
3.12%
3.18%
3.23%
0.70%
0.70%
0.70%
0.70%
0.57%
1.72%
1.72%
1.72%
1.72%
2.00%
99.69%
99.55%
99.99%
99.71%
99.78%
95.59%
95.16%
95.15%
94.88%
94.67%

0
0
0
0
0
0
0
0
0
2.161111111
0.013888889
3.24%
0.57%
2.00%
99.96%
94.63%

0
0
0
0
0
0
0
0
0
2.25
0.088888889
3.29%
0.57%
2.00%
99.71%
94.35%

3/15/2009
15-Mar

4/20/2009
20-Apr

5/5/2009
5-May

6/3/2009
3-Jun

7/12/2009
12-Jul

8/12/2009
12-Aug

8/15/2009
15-Aug

0
0
0
5.25
0
0
0
0
0
2.277777778
0.027777778
3.30%
0.57%
2.00%
99.91%
94.27%

0
109
0
0
0
0
0
0
0
2.375
0.097222222
3.36%
0.08%
3.17%
99.67%
93.96%

0
0
0
0
0
6.75
0
0
0
2.416666667
0.041666667
3.36%
0.08%
3.17%
99.86%
93.83%

0
0
0
0
0
0
0
0
0
2.494444444
0.077777778
3.37%
0.08%
3.17%
99.74%
93.58%

0
0
0
0
0
0
0
3
0
2.602777778
0.108333333
3.38%
0.08%
3.17%
99.63%
93.24%

0
0
0
0
0
0
4.5
0
0
2.686111111
0.083333333
3.39%
0.08%
3.17%
99.72%
92.98%

0
0
0
0
0
0
0
0
0
2.694444444
0.008333333
3.39%
0.08%
3.17%
99.97%
92.95%

9/1/2009
1-Sep

10/8/2009
8-Oct

11/30/2009
30-Nov

0
0
0
0
0
0
0
0
0
2.738888889
0.044444444
3.39%
0.08%
3.17%
99.85%
92.81%

0
0
0
0
5.5
0
0
0
0
2.841666667
0.102777778
3.40%
0.08%
3.17%
99.65%
92.49%

0
0
0
0
0
0
0
0
0
2.986111111
0.144444444
3.41%
0.08%
3.17%
99.51%
92.03%

12/1/2009
1-Dec

1/4/2010
4-Jan

1/28/2010
28-Jan

2/3/2010
3-Feb

0
0
104
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
2.988888889 3.08055556 3.14722222 3.16111111
0.002777778 0.09166667 0.06666667 0.01388889
3.41%
3.42%
3.44%
3.44%
0.16%
0.16%
0.16%
0.16%
2.92%
2.92%
2.92%
2.92%
99.99%
99.69%
99.77%
99.95%
92.02%
91.74%
91.53%
91.48%

3/5/2010
5-Mar

3/15/2010
15-Mar

4/20/2010
20-Apr

5/5/2010
5-May

6/3/2010
3-Jun

7/12/2010
12-Jul

8/12/2010
12-Aug

8/15/2010
15-Aug

0
5.25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
3.25 3.27777778
3.375 3.41666667 3.49444444 3.60277778 3.68611111 3.69444444
0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333
3.45%
3.46%
3.47%
3.48%
3.49%
3.51%
3.52%
3.52%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
99.69%
99.90%
99.66%
99.86%
99.73%
99.62%
99.71%
99.97%
91.20%
91.11%
90.81%
90.68%
90.43%
90.09%
89.82%
89.80%

9/1/2010
1-Sep

10/8/2010
8-Oct

11/30/2010
30-Nov

12/1/2010
1-Dec

1/4/2011
4-Jan

1/28/2011
28-Jan

2/3/2011
3-Feb

3/5/2011
5-Mar

0
0
0
0
0
0
0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
3.73888889 3.84166667 3.98611111 3.98888889 4.08055556 4.14722222 4.16111111
4.25
0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889
3.53%
3.55%
3.57%
3.57%
3.59%
3.60%
3.60%
3.62%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
0.16%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
2.92%
99.84%
99.64%
99.49%
99.99%
99.67%
99.76%
99.95%
99.68%
89.65%
89.33%
88.87%
88.86%
88.57%
88.36%
88.31%
88.03%

3/15/2011
15-Mar

4/20/2011
20-Apr

5/5/2011
5-May

6/3/2011
3-Jun

7/12/2011
12-Jul

8/12/2011
12-Aug

8/15/2011
15-Aug

9/1/2011
1-Sep

105.25
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
4.27777778
4.375 4.41666667 4.49444444 4.60277778 4.68611111 4.69444444 4.73888889
0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444
3.62%
3.63%
3.63%
3.64%
3.65%
3.66%
3.66%
3.67%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
99.90%
99.65%
99.85%
99.72%
99.61%
99.70%
99.97%
99.84%
87.94%
87.63%
87.50%
87.25%
86.91%
86.64%
86.61%
86.47%

10/8/2011
8-Oct

11/30/2011
30-Nov

12/1/2011
1-Dec

1/4/2012
4-Jan

1/28/2012
28-Jan

2/3/2012
3-Feb

3/5/2012
5-Mar

3/15/2012
15-Mar

0
0
0
5.5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
4.84166667 4.98611111 4.98888889 5.08055556 5.14722222 5.16111111
5.25 5.27777778
0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778
3.68%
3.69%
3.69%
3.70%
3.71%
3.71%
3.72%
3.72%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
99.62%
99.47%
99.99%
99.66%
99.75%
99.95%
99.67%
99.90%
86.15%
85.69%
85.68%
85.39%
85.18%
85.13%
84.85%
84.77%

4/20/2012
20-Apr

5/5/2012
5-May

6/3/2012
3-Jun

7/12/2012
12-Jul

8/12/2012
12-Aug

8/15/2012
15-Aug

9/1/2012
1-Sep

10/8/2012
8-Oct

0
0
0
0
0
0
0
105.5
0
6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
5.375 5.41666667 5.49444444 5.60277778 5.68611111 5.69444444 5.73888889 5.84166667
0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778
3.73%
3.74%
3.74%
3.76%
3.76%
3.76%
3.77%
3.78%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.10%
0.09%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.18%
3.26%
99.64%
99.84%
99.71%
99.59%
99.69%
99.97%
99.83%
99.61%
84.46%
84.33%
84.08%
83.74%
83.48%
83.45%
83.31%
82.99%

11/30/2012
30-Nov

12/1/2012
1-Dec

1/4/2013
4-Jan

1/28/2013
28-Jan

2/3/2013
3-Feb

3/5/2013
5-Mar

3/15/2013
15-Mar

4/20/2013
20-Apr

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
5.98611111 5.98888889 6.08055556 6.14722222 6.16111111
6.25 6.27777778
6.375
0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778 0.09722222
3.79%
3.79%
3.80%
3.81%
3.81%
3.82%
3.82%
3.83%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
99.45%
99.99%
99.65%
99.75%
99.95%
99.66%
99.89%
99.63%
82.54%
82.53%
82.24%
82.03%
81.99%
81.71%
81.62%
81.32%

5/5/2013
5-May

6/3/2013
3-Jun

7/12/2013
12-Jul

8/12/2013
12-Aug

8/15/2013
15-Aug

9/1/2013
1-Sep

10/8/2013
8-Oct

11/30/2013
30-Nov

6.75
0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
6.41666667 6.49444444 6.60277778 6.68611111 6.69444444 6.73888889 6.84166667 6.98611111
0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778 0.14444444
3.83%
3.84%
3.85%
3.86%
3.86%
3.86%
3.87%
3.88%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
99.84%
99.70%
99.58%
99.68%
99.97%
99.83%
99.60%
99.44%
81.19%
80.95%
80.61%
80.35%
80.33%
80.19%
79.87%
79.43%

12/1/2013
1-Dec

1/4/2014
4-Jan

1/28/2014
28-Jan

2/3/2014
3-Feb

3/5/2014
5-Mar

3/15/2014
15-Mar

4/20/2014
20-Apr

5/5/2014
5-May

0
0
0
0
0
0
0
106.75
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
6.98888889 7.08055556 7.14722222 7.16111111
7.25 7.27777778
7.375 7.41666667
0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778 0.09722222 0.04166667
3.88%
3.89%
3.90%
3.90%
3.91%
3.91%
3.92%
3.92%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.09%
0.02%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.26%
3.74%
99.99%
99.64%
99.74%
99.95%
99.65%
99.89%
99.62%
99.84%
79.42%
79.13%
78.93%
78.89%
78.61%
78.53%
78.23%
78.10%

6/3/2014
3-Jun

7/12/2014
12-Jul

8/12/2014
12-Aug

8/15/2014
15-Aug

9/1/2014
1-Sep

10/8/2014
8-Oct

11/30/2014
30-Nov

12/1/2014
1-Dec

0
0
0
0
0
0
0
0
0
0
4.5
0
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
5
7.49444444 7.60277778 7.68611111 7.69444444 7.73888889 7.84166667 7.98611111 7.98888889
0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778 0.14444444 0.00277778
3.92%
3.92%
3.93%
3.93%
3.93%
3.93%
3.93%
3.93%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
99.70%
99.58%
99.67%
99.97%
99.83%
99.60%
99.43%
99.99%
77.86%
77.53%
77.28%
77.26%
77.12%
76.81%
76.37%
76.37%

1/4/2015
4-Jan

1/28/2015
28-Jan

2/3/2015
3-Feb

3/5/2015
5-Mar

3/15/2015
15-Mar

4/20/2015
20-Apr

5/5/2015
5-May

6/3/2015
3-Jun

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8.08055556 8.14722222 8.16111111
8.25 8.27777778
8.375 8.41666667 8.49444444
0.09166667 0.06666667 0.01388889 0.08888889 0.02777778 0.09722222 0.04166667 0.07777778
3.94%
3.94%
3.94%
3.94%
3.94%
3.94%
3.94%
3.95%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
0.02%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
3.74%
99.64%
99.74%
99.95%
99.65%
99.89%
99.62%
99.84%
99.69%
76.09%
75.89%
75.85%
75.58%
75.50%
75.21%
75.09%
74.86%

7/12/2015
12-Jul

8/12/2015
12-Aug

8/15/2015
15-Aug

9/1/2015
1-Sep

10/8/2015
8-Oct

11/30/2015
30-Nov

12/1/2015
1-Dec

1/4/2016
4-Jan

0
104.5
0
0
0
0
0
3
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
8.60277778 8.68611111 8.69444444 8.73888889 8.84166667 8.98611111 8.98888889 9.08055556
0.10833333 0.08333333 0.00833333 0.04444444 0.10277778 0.14444444 0.00277778 0.09166667
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
3.74%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
99.57%
99.67%
99.97%
99.82%
99.59%
99.43%
99.99%
99.64%
74.54%
74.30%
74.27%
74.14%
73.84%
73.42%
73.41%
73.15%

1/28/2016
28-Jan

2/3/2016
3-Feb

3/5/2016
5-Mar

3/15/2016
15-Mar

4/20/2016
20-Apr

5/5/2016
5-May

6/3/2016
3-Jun

7/12/2016
12-Jul

0
0
0
0
0
0
0
103
0
0
0
0
0
0
0
0
9.14722222 9.16111111
9.25 9.27777778
9.375 9.41666667 9.49444444 9.60277778
0.06666667 0.01388889 0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
3.95%
99.74%
99.95%
99.65%
99.89%
99.62%
99.84%
99.69%
99.57%
72.95%
72.91%
72.66%
72.58%
72.30%
72.18%
71.96%
71.65%

8/12/2016
12-Aug

8/15/2016
15-Aug

9/1/2016
1-Sep

10/8/2016
8-Oct

11/30/2016
30-Nov

12/1/2016
1-Dec

1/4/2017
4-Jan

1/28/2017
28-Jan

0
0
0
0
0
0
0
0
0
0
0
5
0
0
9.68611111 9.69444444 9.73888889 9.84166667 9.98611111 9.98888889 10.0805556 10.1472222
0.08333333 0.00833333 0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%

99.67%
71.42%

99.97%
71.39%

99.82%
71.27%

99.59%
70.98%

99.43%
70.57%

99.99%
70.57%

99.64%
70.31%

99.74%
70.12%

2/3/2017
3-Feb

3/5/2017
5-Mar

3/15/2017
15-Mar

4/20/2017
20-Apr

5/5/2017
5-May

6/3/2017
3-Jun

7/12/2017
12-Jul

8/12/2017
12-Aug

0
0
0
0
0
0
0
0
10.1611111
10.25 10.2777778
10.375 10.4166667 10.4944444 10.6027778 10.6861111
0.01388889 0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333
3.96%
3.96%
3.96%
3.96%
3.96%
3.96%
3.97%
3.97%

99.94%
70.09%

99.65%
69.84%

99.89%
69.76%

99.62%
69.49%

99.83%
69.38%

99.69%
69.17%

99.57%
68.87%

99.67%
68.64%

8/15/2017
15-Aug

9/1/2017
1-Sep

10/8/2017
8-Oct

11/30/2017
30-Nov

12/1/2017
1-Dec

1/4/2018
4-Jan

1/28/2018
28-Jan

2/3/2018
3-Feb

0
0
0
0
5
0
0
0
10.6944444 10.7388889 10.8416667 10.9861111 10.9888889 11.0805556 11.1472222 11.1611111
0.00833333 0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%
3.97%

99.97%
68.62%

99.82%
68.50%

99.59%
68.22%

99.43%
67.83%

99.99%
67.82%

99.64%
67.58%

99.74%
67.40%

99.94%
67.36%

3/5/2018
5-Mar

3/15/2018
15-Mar

4/20/2018
20-Apr

5/5/2018
5-May

6/3/2018
3-Jun

7/12/2018
12-Jul

8/12/2018
12-Aug

8/15/2018
15-Aug

0
0
0
0
0
0
0
0
11.25 11.2777778
11.375 11.4166667 11.4944444 11.6027778 11.6861111 11.6944444
0.08888889 0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333
3.97%
3.97%
3.97%
3.98%
3.98%
3.98%
3.98%
3.98%

99.65%
67.12%

99.89%
67.05%

99.61%
66.79%

99.83%
66.68%

99.69%
66.47%

99.57%
66.19%

99.67%
65.97%

99.97%
65.95%

9/1/2018
1-Sep

10/8/2018
8-Oct

11/30/2018
30-Nov

12/1/2018
1-Dec

1/4/2019
4-Jan

1/28/2019
28-Jan

2/3/2019
3-Feb

3/5/2019
5-Mar

0
0
0
5
0
0
0
0
11.7388889 11.8416667 11.9861111 11.9888889 12.0805556 12.1472222 12.1611111
12.25
0.04444444 0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%
3.98%

99.82%
65.83%

99.59%
65.56%

99.43%
65.19%

99.99%
65.18%

99.64%
64.94%

99.73%
64.77%

99.94%
64.73%

99.65%
64.50%

3/15/2019
15-Mar

4/20/2019
20-Apr

5/5/2019
5-May

6/3/2019
3-Jun

7/12/2019
12-Jul

8/12/2019
12-Aug

8/15/2019
15-Aug

9/1/2019
1-Sep

0
0
0
0
0
0
0
0
12.2777778
12.375 12.4166667 12.4944444 12.6027778 12.6861111 12.6944444 12.7388889
0.02777778 0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444
3.98%
3.98%
3.99%
3.99%
3.99%
3.99%
3.99%
3.99%

99.89%
64.43%

99.61%
64.18%

99.83%
64.08%

99.69%
63.88%

99.57%
63.60%

99.67%
63.39%

99.97%
63.37%

99.82%
63.26%

10/8/2019
8-Oct

11/30/2019
30-Nov

12/1/2019
1-Dec

1/4/2020
4-Jan

1/28/2020
28-Jan

2/3/2020
3-Feb

3/5/2020
5-Mar

3/15/2020
15-Mar

0
0
5
0
0
0
0
0
12.8416667 12.9861111 12.9888889 13.0805556 13.1472222 13.1611111
13.25 13.2777778
0.10277778 0.14444444 0.00277778 0.09166667 0.06666667 0.01388889 0.08888889 0.02777778
3.99%
3.99%
3.99%
3.99%
3.99%
3.99%
3.99%
3.99%

99.59%
63.00%

99.43%
62.64%

99.99%
62.63%

99.63%
62.40%

99.73%
62.24%

99.94%
62.20%

99.65%
61.98%

99.89%
61.91%

4/20/2020
20-Apr

5/5/2020
5-May

6/3/2020
3-Jun

7/12/2020
12-Jul

8/12/2020
12-Aug

8/15/2020
15-Aug

9/1/2020
1-Sep

10/8/2020
8-Oct

0
0
0
0
0
0
0
0
13.375 13.4166667 13.4944444 13.6027778 13.6861111 13.6944444 13.7388889 13.8416667
0.09722222 0.04166667 0.07777778 0.10833333 0.08333333 0.00833333 0.04444444 0.10277778
4.00%
4.00%
4.00%
4.00%
4.00%
4.00%
4.00%
4.00%

99.61%
61.67%

99.83%
61.57%

99.69%
61.38%

99.57%
61.11%

99.67%
60.91%

99.97%
60.89%

99.82%
60.78%

99.59%
60.53%

11/30/2020
30-Nov

12/1/2020
1-Dec

0
13.9861111
0.14444444
4.00%

105
13.98888889
0.002777778
3.98%

99.42%
60.18%

99.99%
60.18%