May 2004

EUR 3-May 4-May 5-May 6-May 7-May 10-May

s/n-o/n 2.05375 2.05438 2.05313 2.05250 1.95313 2.00125
1w 2.05563 2.05800 2.06044 2.05450 2.02550 2.04613
2w 2.05688 2.05750 2.06125 2.05688 2.04188 2.05063
1m 2.05563 2.05575 2.06000 2.05525 2.05450 2.06263
2m 2.06325 2.06238 2.06206 2.06253 2.07000 2.08038
3m 2.07150 2.07163 2.07056 2.07269 2.08013 2.08950
4m 2.08000 2.08025 2.07875 2.07991 2.09500 2.10613
5m 2.09000 2.08888 2.08750 2.08900 2.10925 2.12275
6m 2.10363 2.10038 2.09556 2.09863 2.12450 2.14038
7m 2.12000 2.11313 2.10556 2.11400 2.14100 2.16150
8m 2.13875 2.13313 2.12556 2.13525 2.16975 2.19150
9m 2.16000 2.15525 2.14481 2.15488 2.19000 2.22363
10m 2.18100 2.17550 2.16481 2.17563 2.21325 2.25275
11m 2.20913 2.20000 2.18419 2.19775 2.24013 2.27788
12m 2.23000 2.22288 2.21156 2.22400 2.27550 2.31538

USD 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 1.06000 1.05375 1.05250 1.04500 1.05250
1w N/A 1.07875 1.07500 1.07625 1.07875 1.08000
2w N/A 1.08438 1.08000 1.08000 1.08000 1.08125
1m N/A 1.10000 1.10000 1.10000 1.10000 1.10000
2m N/A 1.13000 1.13000 1.13000 1.13750 1.16000
3m N/A 1.18000 1.18000 1.18000 1.19000 1.24000
4m N/A 1.24000 1.24000 1.25000 1.26875 1.34000
5m N/A 1.31000 1.31000 1.32000 1.34500 1.43750
6m N/A 1.38000 1.37813 1.39000 1.42000 1.53000
7m N/A 1.45000 1.44750 1.46125 1.49625 1.62000
8m N/A 1.52188 1.51875 1.54000 1.57125 1.71250
9m N/A 1.60000 1.59000 1.62000 1.65125 1.81000
10m N/A 1.67000 1.66375 1.69000 1.72500 1.89375
11m N/A 1.74188 1.73625 1.76063 1.80250 1.98125
12m N/A 1.82000 1.81375 1.84000 1.88125 2.07000

GBP 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 3.68688 3.56188 4.00000 4.26000 4.27875
1w N/A 4.06531 4.18688 4.18438 4.35438 4.32813
2w N/A 4.22469 4.25000 4.28500 4.37375 4.37500
1m N/A 4.31000 4.32875 4.34688 4.39000 4.40500
2m N/A 4.37000 4.37750 4.39063 4.41625 4.43875
3m N/A 4.43875 4.44125 4.44250 4.44875 4.47188
4m N/A 4.49125 4.49125 4.49125 4.50750 4.52750
5m N/A 4.54750 4.54500 4.54750 4.56375 4.59500
6m N/A 4.60500 4.59750 4.59938 4.62500 4.65625
7m N/A 4.65500 4.64250 4.64375 4.67250 4.70750
8m N/A 4.69875 4.68625 4.68875 4.71750 4.76375
9m N/A 4.74375 4.73000 4.72875 4.76750 4.82125
10m N/A 4.78375 4.76500 4.76375 4.80625 4.86875
11m N/A 4.82250 4.80000 4.79750 4.84750 4.91625
12m N/A 4.86250 4.83875 4.83250 4.89500 4.95875

JPY 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 0.03125 0.03250 0.03250 0.03250 0.03250
1w N/A 0.03250 0.03375 0.03375 0.03375 0.03375
2w N/A 0.03375 0.03500 0.03500 0.03625 0.03500
1m N/A 0.03875 0.03875 0.03750 0.03875 0.03750
2m N/A 0.04250 0.04375 0.04188 0.04313 0.04313
3m N/A 0.04750 0.04750 0.04750 0.04750 0.04750
4m N/A 0.05163 0.05163 0.04950 0.04950 0.05075
5m N/A 0.05513 0.05513 0.05525 0.05525 0.05525
6m N/A 0.05850 0.05850 0.05975 0.05850 0.05975
7m N/A 0.06300 0.06300 0.06250 0.06300 0.06250
8m N/A 0.06750 0.06713 0.06750 0.06625 0.06750
9m N/A 0.07313 0.07188 0.07188 0.07188 0.07188
10m N/A 0.07750 0.07875 0.07750 0.07750 0.07750
11m N/A 0.08563 0.08438 0.08438 0.08438 0.08438
12m N/A 0.09000 0.09125 0.09000 0.09000 0.08875

CHF 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 0.24000 0.21000 0.17833 0.19500 0.19333
1w N/A 0.21667 0.21167 0.19667 0.19500 0.20167
2w N/A 0.21833 0.21333 0.20000 0.19833 0.20667
1m N/A 0.22000 0.22000 0.21833 0.21833 0.21833
2m N/A 0.24000 0.24167 0.24000 0.24000 0.25000
3m N/A 0.26000 0.26167 0.26000 0.26000 0.28833
4m N/A 0.30000 0.30000 0.30000 0.31500 0.35167
5m N/A 0.33000 0.34333 0.35000 0.37167 0.40833
6m N/A 0.39000 0.40000 0.40833 0.42833 0.46667
7m N/A 0.44000 0.45000 0.45667 0.48500 0.52667
8m N/A 0.49000 0.50000 0.50667 0.54167 0.58667
9m N/A 0.54000 0.55000 0.55667 0.59667 0.64833
10m N/A 0.59000 0.60000 0.60667 0.64833 0.70167
11m N/A 0.64333 0.65500 0.66167 0.69833 0.75667
12m N/A 0.69833 0.71000 0.71667 0.74667 0.81000

CAD 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 2.05000 2.05667 2.05667 2.06500 2.07000
1w N/A 2.05500 2.05667 2.06167 2.06167 2.06833
2w N/A 2.05833 2.05833 2.06167 2.06333 2.07000
1m N/A 2.06000 2.06000 2.06167 2.06167 2.07500
2m N/A 2.07000 2.06833 2.07000 2.07000 2.08500
3m N/A 2.07333 2.07167 2.07667 2.08000 2.10833
4m N/A 2.08000 2.08000 2.08500 2.08833 2.13167
5m N/A 2.09000 2.08833 2.09500 2.09833 2.15833
6m N/A 2.09667 2.09500 2.10000 2.10667 2.20000
7m N/A 2.10667 2.10833 2.11500 2.11833 2.23833
8m N/A 2.12000 2.12167 2.13167 2.13667 2.27500
9m N/A 2.13500 2.14000 2.15000 2.15833 2.32667
10m N/A 2.16000 2.16833 2.17667 2.18667 2.37000
11m N/A 2.19000 2.19833 2.21000 2.22000 2.41000
12m N/A 2.22167 2.22667 2.24333 2.25667 2.46333

AUD 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 5.29000 5.27000 5.25000 5.27750 5.29750
1w N/A 5.35500 5.32000 5.30500 5.32750 5.33500
2w N/A 5.37750 5.34750 5.33750 5.35750 5.37000
1m N/A 5.42750 5.38750 5.39500 5.38250 5.40500
2m N/A 5.48250 5.45000 5.45250 5.42750 5.43250
3m N/A 5.52750 5.49750 5.50000 5.45750 5.45000
4m N/A 5.56500 5.53500 5.54250 5.49250 5.49000
5m N/A 5.60250 5.57000 5.57500 5.52250 5.52500
6m N/A 5.64250 5.60250 5.62500 5.55500 5.57250
7m N/A 5.67500 5.63250 5.64750 5.57500 5.59500
8m N/A 5.70500 5.66250 5.67750 5.59750 5.62250
9m N/A 5.73500 5.69750 5.70500 5.62500 5.65500
10m N/A 5.75250 5.72250 5.72750 5.64750 5.67500
11m N/A 5.77250 5.74500 5.75000 5.67250 5.70500
12m N/A 5.80250 5.77500 5.77750 5.70250 5.73500

DKK 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 2.25000 2.18000 2.17750 2.18250 2.28250
1w N/A 2.19750 2.19250 2.19000 2.19000 2.20000
2w N/A 2.19500 2.18500 2.18750 2.19000 2.19500
1m N/A 2.18250 2.18000 2.18000 2.18250 2.18500
2m N/A 2.18000 2.18000 2.18000 2.18500 2.19000
3m N/A 2.18250 2.18000 2.18500 2.19250 2.20000
4m N/A 2.19250 2.19000 2.19250 2.20750 2.21750
5m N/A 2.20250 2.20000 2.20250 2.22500 2.23750
6m N/A 2.22000 2.21250 2.22000 2.25000 2.26000
7m N/A 2.24000 2.23500 2.24000 2.26750 2.29000
8m N/A 2.26000 2.25500 2.26000 2.28250 2.32250
9m N/A 2.27250 2.26750 2.27750 2.30500 2.34750
10m N/A 2.29750 2.28500 2.29750 2.33500 2.37750
11m N/A 2.32000 2.31000 2.32000 2.36000 2.40750
12m N/A 2.34000 2.33500 2.34000 2.38750 2.44000

NZD 3-May-04 4-May-04 5-May-04 6-May-04 7-May-04 10-May-04

s/n-o/n N/A 5.50500 5.52500 5.51250 5.54750 5.57500
1w N/A 5.54250 5.53750 5.53000 5.56250 5.60000
2w N/A 5.57000 5.56250 5.57000 5.58750 5.63500
1m N/A 5.59000 5.60750 5.60000 5.60000 5.64750
2m N/A 5.64500 5.65750 5.66750 5.65000 5.69000
3m N/A 5.69500 5.70750 5.70000 5.69500 5.73500
4m N/A 5.73500 5.74500 5.73000 5.73500 5.77000
5m N/A 5.78000 5.79000 5.77500 5.77250 5.82000
6m N/A 5.82250 5.82500 5.82500 5.81750 5.87250
7m N/A 5.86000 5.85000 5.85250 5.84750 5.89750
8m N/A 5.89250 5.88000 5.88500 5.87750 5.93250
9m N/A 5.92250 5.92250 5.93500 5.92000 5.96500
10m N/A 5.95000 5.94500 5.95500 5.94000 5.99250
11m N/A 5.98000 5.97000 5.98000 5.96750 6.02250
12m N/A 6.01250 5.99750 6.01000 6.00000 6.06250
 11-May 12-May 13-May 14-May 17-May 18-May 19-May 20-May
2.20000 2.04469 2.04281 2.04406 2.04469 2.04406 2.04344 2.04000
2.05125 2.05150 2.05225 2.05225 2.05250 2.05125 2.05250 2.05000
2.05188 2.05250 2.05313 2.05313 2.05438 2.05438 2.05625 2.05313
2.06163 2.05863 2.06225 2.06225 2.06025 2.06025 2.06025 2.06025
2.07363 2.07163 2.08000 2.08000 2.07338 2.07313 2.07175 2.07390
2.08438 2.08238 2.09131 2.09306 2.08650 2.09013 2.09000 2.09044
2.10625 2.10363 2.11347 2.11847 2.10650 2.10875 2.10875 2.11106
2.12500 2.12000 2.13216 2.13750 2.12100 2.12288 2.12875 2.13000
2.14400 2.14000 2.15256 2.16119 2.13188 2.14025 2.14563 2.14688
2.16313 2.15788 2.17541 2.18657 2.15563 2.16163 2.16906 2.17219
2.19325 2.18538 2.21000 2.21625 2.18031 2.18875 2.19525 2.19625
2.22400 2.21325 2.24000 2.24863 2.21000 2.21525 2.22500 2.22750
2.25400 2.24188 2.27013 2.28038 2.23388 2.24113 2.25363 2.25750
2.28313 2.27288 2.30138 2.31800 2.26375 2.27438 2.28500 2.29225
2.32000 2.31000 2.34000 2.35575 2.29275 2.30913 2.32263 2.33163

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

1.05500 1.05625 1.05125 1.05125 1.08500 1.05500 1.05250 1.04875
1.07875 1.08000 1.08000 1.08000 1.08000 1.08125 1.08125 1.08625
1.08125 1.08375 1.08750 1.08750 1.09000 1.09000 1.09000 1.09125
1.10000 1.10000 1.10000 1.10000 1.10000 1.10000 1.10000 1.10000
1.16000 1.16000 1.16375 1.17000 1.16750 1.17000 1.17250 1.18000
1.24000 1.24000 1.25000 1.26000 1.25813 1.26000 1.27000 1.28000
1.34000 1.33000 1.34188 1.36000 1.35000 1.35000 1.36250 1.37875
1.44000 1.43000 1.44125 1.46000 1.44500 1.44500 1.45750 1.47500
1.53000 1.52000 1.54000 1.56000 1.53000 1.53375 1.55000 1.56875
1.62000 1.60250 1.63000 1.65000 1.61438 1.61875 1.63875 1.66000
1.71000 1.69125 1.72000 1.74313 1.70000 1.70563 1.72875 1.75000
1.80000 1.78000 1.80750 1.84000 1.78875 1.79000 1.82000 1.84000
1.88375 1.86000 1.89250 1.92875 1.86875 1.87000 1.90000 1.92000
1.97250 1.95000 1.98000 2.01750 1.94750 1.95000 1.98313 2.00125
2.06000 2.04000 2.06750 2.10688 2.02750 2.03000 2.07000 2.09000

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

4.41719 4.38813 4.38750 4.50000 4.40000 4.35250 4.50000 4.22125
4.38563 4.38938 4.37750 4.42625 4.42250 4.40203 4.43656 4.33656
4.38938 4.38250 4.37938 4.38875 4.40125 4.40328 4.40750 4.37688
4.41000 4.41500 4.41625 4.41875 4.41625 4.41500 4.43125 4.43688
4.44125 4.44000 4.44500 4.44625 4.45125 4.45375 4.47625 4.49250
4.47250 4.47250 4.47750 4.48375 4.49438 4.50438 4.54563 4.56750
4.53125 4.53000 4.54250 4.55750 4.55813 4.56563 4.61375 4.63375
4.59500 4.59750 4.61375 4.63000 4.62688 4.63063 4.69125 4.70750
4.65750 4.66500 4.68875 4.70250 4.69188 4.69125 4.77875 4.78875
4.71000 4.71750 4.75000 4.76875 4.75000 4.75125 4.84750 4.85625
4.75875 4.76875 4.80875 4.83250 4.80625 4.80500 4.91500 4.92250
4.80625 4.82125 4.86750 4.89750 4.85875 4.85375 4.98500 4.98875
4.85625 4.87125 4.91875 4.94625 4.91000 4.90875 5.03625 5.04375
4.90125 4.92000 4.96875 4.99625 4.95500 4.95375 5.08375 5.09000
 4.94250 4.96500 5.02125 5.04625 5.00500 5.00125 5.13375 5.13625

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

0.03250 0.03250 0.03250 0.03125 0.03125 0.03125 0.03125 0.03125
0.03375 0.03375 0.03375 0.03250 0.03250 0.03250 0.03250 0.03250
0.03500 0.03500 0.03500 0.03375 0.03375 0.03375 0.03375 0.03375
0.03750 0.03750 0.03750 0.03750 0.03750 0.03750 0.03750 0.03750
0.04313 0.04313 0.04313 0.04313 0.04313 0.04313 0.04375 0.04375
0.04750 0.04750 0.04750 0.04750 0.04875 0.04875 0.04750 0.04750
0.05075 0.05075 0.04950 0.05075 0.05200 0.05200 0.05200 0.05200
0.05525 0.05525 0.05525 0.05525 0.05525 0.05525 0.05525 0.05525
0.05975 0.05850 0.05850 0.05975 0.05975 0.05975 0.06100 0.06100
0.06250 0.06250 0.06125 0.06250 0.06300 0.06300 0.06425 0.06425
0.06750 0.06625 0.06625 0.06750 0.06625 0.06750 0.06750 0.06750
0.07188 0.07188 0.07063 0.07188 0.07188 0.07188 0.07438 0.07438
0.07750 0.07625 0.07625 0.07750 0.07625 0.07750 0.07875 0.07875
0.08438 0.08438 0.08313 0.08313 0.08313 0.08313 0.08438 0.08438
0.08875 0.08875 0.08875 0.08750 0.08750 0.08750 0.08750 0.08750

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

0.19167 0.15000 0.16000 0.18667 0.19000 0.17500 0.17500 0.16000
0.19667 0.17667 0.17833 0.19833 0.19500 0.17833 0.19333 0.18833
0.19833 0.19500 0.20500 0.20000 0.20500 0.19667 0.19667 0.19833
0.21667 0.21000 0.20833 0.21000 0.21000 0.21000 0.20000 0.20167
0.25000 0.23833 0.24000 0.24083 0.23333 0.23000 0.23000 0.23167
0.28833 0.27000 0.27000 0.27750 0.26000 0.26167 0.26000 0.26000
0.34333 0.33000 0.33000 0.34333 0.31000 0.31000 0.30333 0.30500
0.41333 0.39500 0.40333 0.41500 0.38333 0.37167 0.36833 0.37000
0.47500 0.46333 0.46500 0.47750 0.43500 0.42667 0.42000 0.42000
0.53500 0.52333 0.52833 0.53833 0.49167 0.48000 0.48000 0.48000
0.59667 0.58333 0.59167 0.60333 0.55000 0.54000 0.54000 0.54000
0.65833 0.64333 0.65667 0.66833 0.60167 0.60000 0.60000 0.60000
0.70833 0.69667 0.70833 0.72000 0.66000 0.65167 0.65000 0.65167
0.76667 0.75000 0.75833 0.77667 0.71500 0.70500 0.70000 0.70500
0.82000 0.79667 0.81000 0.83000 0.77333 0.76000 0.75167 0.76000

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

2.12833 2.20000 2.15500 2.13167 2.10833 2.09333 2.08167 2.07167
2.09000 2.14333 2.12667 2.12000 2.10667 2.10167 2.08500 2.08500
2.09333 2.13500 2.12167 2.11833 2.10667 2.10167 2.08667 2.09167
2.09500 2.12167 2.12000 2.12000 2.11333 2.10500 2.10167 2.10167
2.09667 2.12000 2.12167 2.12000 2.11667 2.11500 2.11167 2.11167
2.11167 2.12667 2.12500 2.12333 2.12500 2.12000 2.12833 2.12667
2.13833 2.15167 2.15333 2.15167 2.15500 2.15333 2.16000 2.16167
2.16500 2.17500 2.18000 2.18167 2.18333 2.18333 2.19167 2.19667
2.20000 2.20667 2.21167 2.21833 2.22333 2.21500 2.23000 2.24000
2.23833 2.24500 2.24667 2.25667 2.26333 2.26000 2.28000 2.29333
2.28000 2.28667 2.28833 2.30167 2.30833 2.30833 2.33333 2.34333
2.32667 2.33167 2.33500 2.34833 2.35667 2.35833 2.38667 2.39500
2.36667 2.37167 2.37333 2.39667 2.39833 2.40000 2.43667 2.45167
2.41333 2.41833 2.42167 2.44500 2.44667 2.44667 2.48167 2.50167
 2.46333 2.46333 2.46667 2.49333 2.49500 2.49167 2.53667 2.55667

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

5.29000 5.29750 5.38000 5.36750 5.38500 5.40250 5.35250 5.34500
5.32250 5.31000 5.38500 5.38250 5.38250 5.41250 5.37500 5.36750
5.35750 5.34250 5.40000 5.40250 5.39500 5.43500 5.40750 5.41750
5.40250 5.39000 5.42250 5.42000 5.42750 5.44750 5.43500 5.44500
5.42750 5.42000 5.44750 5.44500 5.45000 5.45750 5.44750 5.45250
5.45250 5.44250 5.47000 5.46750 5.46750 5.47500 5.46250 5.46500
5.48000 5.47250 5.49250 5.49500 5.49250 5.49250 5.49500 5.49000
5.52500 5.49750 5.52250 5.52250 5.50750 5.51250 5.52000 5.51500
5.56000 5.53000 5.55750 5.55250 5.53750 5.53250 5.55000 5.54500
5.59000 5.55000 5.57750 5.58500 5.55500 5.55750 5.57500 5.56500
5.61500 5.57750 5.60500 5.61250 5.58000 5.58000 5.60250 5.59250
5.64500 5.61000 5.63000 5.64500 5.61250 5.60750 5.63250 5.62500
5.67000 5.63500 5.66000 5.67500 5.63250 5.63500 5.65500 5.65750
5.69500 5.66750 5.69000 5.70500 5.65750 5.66500 5.67750 5.68750
5.72000 5.69000 5.71750 5.73750 5.68750 5.69250 5.70250 5.71750

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

2.18250 2.26750 2.19000 2.19250 2.20000 2.26750 2.18750 2.18750
2.19250 2.20250 2.19500 2.19000 2.19500 2.20500 2.19250 2.19250
2.19000 2.19750 2.19250 2.19000 2.19500 2.19750 2.19250 2.19250
2.18000 2.18500 2.18250 2.18250 2.18250 2.18500 2.18250 2.18250
2.19000 2.19250 2.19250 2.19250 2.19000 2.19000 2.19250 2.19000
2.20000 2.20250 2.20250 2.20750 2.20250 2.20000 2.21000 2.20750
2.22000 2.21500 2.22250 2.22750 2.22000 2.22250 2.22000 2.22250
2.24250 2.23500 2.24000 2.25000 2.24000 2.24000 2.24000 2.24000
2.27250 2.25250 2.26750 2.27500 2.25500 2.25500 2.26000 2.26000
2.30000 2.28000 2.29750 2.30500 2.28250 2.28000 2.28750 2.29000
2.32500 2.31000 2.32750 2.34000 2.31250 2.30500 2.31500 2.32250
2.34750 2.33500 2.35250 2.36500 2.33750 2.33000 2.34250 2.35000
2.37750 2.36750 2.38750 2.40500 2.36750 2.36000 2.37250 2.38250
2.41250 2.40500 2.42500 2.44250 2.39750 2.39500 2.40750 2.41500
2.44500 2.43500 2.45500 2.47500 2.43000 2.42750 2.44500 2.45000

11-May-04 12-May-04 13-May-04 14-May-04 17-May-04 18-May-04 19-May-04 20-May-04

5.60750 5.58000 5.60250 5.59000 5.60000 5.61500 5.59500 5.59750
5.62750 5.60000 5.63000 5.62500 5.62000 5.63750 5.60500 5.61750
5.64250 5.61250 5.64750 5.65250 5.64500 5.65250 5.64250 5.64750
5.66500 5.63500 5.68250 5.69000 5.69250 5.67750 5.70000 5.72750
5.71000 5.70750 5.75500 5.75000 5.77500 5.75500 5.76000 5.78250
5.75000 5.76250 5.82000 5.81000 5.83500 5.83250 5.82250 5.86750
5.78750 5.81250 5.87250 5.86500 5.88500 5.87500 5.86500 5.90750
5.84250 5.86500 5.91500 5.92000 5.94250 5.93500 5.92000 5.95250
5.89250 5.91750 5.97250 5.99250 5.99500 5.97750 5.97000 6.00750
5.92500 5.95000 6.01000 6.02500 6.02250 6.01250 6.00250 6.04250
5.96500 5.98750 6.04750 6.06250 6.05500 6.04750 6.03750 6.07750
6.00250 6.03000 6.09000 6.10750 6.09000 6.08250 6.08500 6.11250
6.03500 6.06000 6.12000 6.13250 6.11750 6.11000 6.11250 6.14250
6.06500 6.09250 6.15250 6.16750 6.15250 6.14000 6.14500 6.17250
6.09750 6.13250 6.19250 6.20250 6.18750 6.17500 6.17750 6.21250
 21-May 24-May 25-May
2.03906 2.04406 2.04344
2.05138 2.05413 2.05425
2.05375 2.05500 2.05688
2.06013 2.06163 2.06225
2.07238 2.07313 2.07313
2.08875 2.09225 2.09150
2.10613 2.11188 2.11025
2.12375 2.13156 2.12875
2.13925 2.15050 2.14588
2.16013 2.17669 2.16888
2.18625 2.20738 2.19625
2.21338 2.24325 2.22500
2.24213 2.27325 2.25288
2.27363 2.30738 2.28750
2.31000 2.34238 2.32038

21-May-04 24-May-04 25-May-04

1.04125 1.04875 1.05000
1.08375 1.08375 1.08000
1.09000 1.09000 1.09000
1.10000 1.10000 1.10000
1.18000 1.19000 1.19000
1.28000 1.29000 1.29000
1.37188 1.39000 1.39000
1.47000 1.49000 1.49000
1.56000 1.59000 1.58250
1.64500 1.68250 1.67250
1.73250 1.77938 1.76500
1.81938 1.87000 1.85000
1.90000 1.95750 1.93500
1.98250 2.04125 2.01750
2.07000 2.13000 2.10000

21-May-04 24-May-04 25-May-04

4.14813 4.25375 4.26125
4.30531 4.32438 4.31938
4.37125 4.37563 4.37688
4.43250 4.44313 4.44500
4.50500 4.51313 4.51750
4.59125 4.61813 4.62125
4.65000 4.69063 4.69125
4.72125 4.77063 4.77125
4.79750 4.85125 4.84375
4.86625 4.92000 4.90500
4.92750 4.98875 4.96875
4.99375 5.05500 5.03438
5.04125 5.10625 5.08625
5.09000 5.15750 5.13500
 5.13625 5.20625 5.18250

21-May-04 24-May-04 25-May-04

0.03125 0.03125 0.03125
0.03250 0.03250 0.03250
0.03375 0.03375 0.03375
0.03750 0.03875 0.03875
0.04375 0.04375 0.04375
0.04750 0.04750 0.04750
0.05200 0.05200 0.05200
0.05525 0.05525 0.05525
0.06100 0.05975 0.06100
0.06425 0.06425 0.06300
0.06750 0.06750 0.06875
0.07438 0.07188 0.07188
0.07875 0.07750 0.07875
0.08438 0.08313 0.08313
0.08750 0.08750 0.08875

21-May-04 24-May-04 25-May-04

0.17000 0.18167 0.19333
0.18000 0.19333 0.19833
0.19000 0.20000 0.20000
0.20083 0.20333 0.20333
0.22583 0.23000 0.23167
0.25333 0.25667 0.25167
0.30167 0.31667 0.30833
0.36000 0.36667 0.36000
0.41167 0.42000 0.41833
0.47000 0.47667 0.47500
0.53167 0.53667 0.53500
0.59833 0.59833 0.59833
0.65000 0.65333 0.64833
0.70000 0.70667 0.69833
0.75167 0.76000 0.75167

21-May-04 24-May-04 25-May-04

2.06667 N/A 2.07167
2.08167 2.08500 2.08333
2.08333 2.08833 2.08833
2.09500 2.09833 2.09500
2.10833 2.11167 2.11167
2.12000 2.12333 2.12500
2.15167 2.15667 2.15833
2.18500 2.19000 2.19167
2.22000 2.22333 2.22167
2.27000 2.27167 2.27000
2.32000 2.32333 2.32167
2.37333 2.37667 2.37167
2.42667 2.43667 2.43167
2.47833 2.49167 2.48833
 2.53167 2.55167 2.54667

21-May-04 24-May-04 25-May-04

5.32750 5.33000 5.30000
5.35000 5.35500 5.32250
5.38500 5.39250 5.36250
5.42750 5.42750 5.40000
5.44000 5.45000 5.42500
5.46750 5.46500 5.45500
5.49250 5.49000 5.48500
5.52250 5.52750 5.51750
5.55500 5.56250 5.55000
5.57500 5.60750 5.58000
5.60750 5.63500 5.61500
5.64000 5.66000 5.64500
5.66500 5.69250 5.66500
5.69250 5.71750 5.69750
5.71500 5.74500 5.72250

21-May-04 24-May-04 25-May-04

2.18750 2.21750 2.22500
2.19250 2.19500 2.20250
2.19250 2.19500 2.20250
2.18250 2.18500 2.18750
2.19000 2.19250 2.19250
2.20250 2.20250 2.20250
2.22250 2.22500 2.22250
2.24000 2.24750 2.24250
2.25750 2.27500 2.26250
2.29000 2.31000 2.29250
2.31250 2.34000 2.32000
2.33750 2.36500 2.34750
2.36750 2.39500 2.38000
2.40250 2.42750 2.41000
2.43750 2.45750 2.44250

21-May-04 24-May-04 25-May-04

5.61000 5.61750 5.61750
5.62000 5.63000 5.63250
5.65000 5.66500 5.66500
5.71250 5.72250 5.71500
5.76000 5.78250 5.77000
5.84750 5.86000 5.85500
5.89750 5.91500 5.92000
5.94750 5.96500 5.96750
5.99750 6.02750 6.02750
6.02750 6.05000 6.05750
6.06250 6.08500 6.09500
6.10000 6.12250 6.14000
6.12500 6.15000 6.16250
6.16000 6.18250 6.19500
6.20000 6.21500 6.22500
May 2004 ETTI LIBOR
USD
5-may 14-may 25-may
1d 1.05375 1.05125 1.05000 2.50000
1w 1.07500 1.08000 1.08000
2w 1.08000 1.08750 1.09000
1m 1.10000 1.10000 1.10000
2m 1.13000 1.17000 1.19000 TASA LIBOR
3m 1.18000 1.26000 1.29000 2.00000
4m 1.24000 1.36000 1.39000
5m 1.31000 1.46000 1.49000
6m 1.37813 1.56000 1.58250
7m 1.44750 1.65000 1.67250
8m 1.51875 1.74313 1.76500 1.50000
9m 1.59000 1.84000 1.85000
10m 1.66375 1.92875 1.93500
11m 1.73625 2.01750 2.01750
12m 1.81375 2.10688 2.10000
1.00000
May 2004 ETTI LIBOR
EUR
5-may 14-may 25-may
1d 2.05313 2.04406 2.04344
0.50000
1w 2.06044 2.05225 2.05425
2w 2.06125 2.05313 2.05688
1m 2.06000 2.06225 2.06225
2m 2.06206 2.08000 2.07313
3m 2.07056 2.09306 2.09150
0.00000
4m 2.07875 2.11847 2.11025 1d
5m 2.08750 2.13750 2.12875 1w
2w
1m
6m 2.09556 2.16119 2.14588 2m
3m
7m 2.10556 2.18657 2.16888 HORIZONTE
8m 2.12556 2.21625 2.19625
9m 2.14481 2.24863 2.22500
10m 2.16481 2.28038 2.25288
11m 2.18419 2.31800 2.28750
5-may
12m 2.21156 2.35575 2.32038
 EVOLUCION ETTI LIBOR MAYO 2004

1m
2m
3m
4m
5 25
HORIZONTE TEMPORAL
m 6m
7m -m
8m
9m
14 ay
10 5- - m
m 11 m ay
m 12 ay
m
5-may 14-may 25-may
4

25
14 -m
- m ay
5-
12 m ay
m ay
 ESTRUCTURA TEMPORAL DE TASA
TASA LIBOR MESES 1 mes 2 meses 3 meses

PERIODO EN MESES (t) 1 2 3

DIAS DEL MES 30 60 90
Tasa interés de contado (ETTI=R t) 1.10% 1.19% 1.29%

Tasa interés forward a 30 días (r t,t+1) r (0,1) r (1,2) r (2,3)

1.10% 1.28% 1.49%

Tasa interés forward a 60 días (r t,t+1) r (0,2)

1.19%
Tasa interés forward a 90 días (r t,t+1) r (0,3)
1.29%
Tasa interés forward a 180 días (r t,t+2)
TURA TEMPORAL DE TASA DE INTERES LIBOR-3M 25-05-2004
4 meses 5 meses 6 meses 7 meses 8 meses 9 meses 10 meses

4 5 6 7 8 9 10
120 150 180 210 240 270 300
1.39% 1.49% 1.58% 1.67% 1.77% 1.85% 1.85%

r (3,4) r (4,5) r (5,6) r (6,7) r (7,8) r (8,9) r (9,10)

1.68% 1.88% 2.03% 2.20% 2.39% 2.50% 1.82%

r (2,4) r( 4,6) r (6,8) r (8,10)

1.59% 1.96% 2.29% 2.16%
r (3,6) r (6,9)
1.87% 2.37%
r (0,6)
1.58%
11 meses 12 meses TIR

11 12
330 360
2.02% 2.10% 2.10%

r (10,11) r (11,12)
3.64% 2.95%

r (10,12)
3.30%
r (9,12)
2.81% 41.93%
r (6,12)
2.60%
 ESTRUCTURA TEMPORAL FORWARD DE LA T
TASA LIBOR MESES 1 mes 2 meses 3 meses

PERIODO EN MESES (t) 1 2 3

DIAS DEL MES 30 60 90

Tasa interés de contado (ETTI=R t) 1.10% 1.19% 1.29%

Tasa interés forward a 30 días (r t,t+1) r (0,1) r (1,2) r (2,3)

1.10% 1.28% 1.49%

Tasa interés forward a partir del mes 1 r (1,2) r (1,3)

1.28% 1.38%

Tasa interés forward a partir del mes 2 r (2,3)

1.49%
Tasa interés forward a partir del mes 3

Tasa interés forward a partir del mes 4

Tasa interés forward a partir del mes 5

Tasa interés forward a partir del mes 6

Tasa interés forward a partir del mes 7

Tasa interés forward a partir del mes 8

Tasa interés forward a partir del mes 9

Tasa interés forward a partir del mes 10

Tasa interés forward a partir del mes 11
AL FORWARD DE LA TASA DE INTERES LIBOR-3M 25-05-2004
4 meses 5 meses 6 meses 7 meses 8 meses 9 meses 10 meses

4 5 6 7 8 9 10

120 150 180 210 240 270 300

1.39% 1.49% 1.58% 1.67% 1.77% 1.85% 1.85%

r (3,4) r (4,5) r (5,6) r (6,7) r (7,8) r (8,9) r (9,10)

1.68% 1.88% 2.03% 2.20% 2.39% 2.50% 1.82%

r (1,4) r (1,5) r (1,6) r (1,7) r (1,8) r (1,9) r (1,10)

1.49% 1.59% 1.68% 1.77% 1.86% 1.94% 1.93%

r (2,4) r (2,5) r (2,6) r (2,7) r (2,8) r (2,9) r (2,10)

1.59% 1.69% 1.78% 1.86% 1.95% 2.03% 2.01%
r (3,4) r (3,5) r (3,6) r (3,7) r (3,8) r (3,9) r (3,10)
1.68% 1.78% 1.87% 1.95% 2.04% 2.12% 2.08%
r (4,5) r (4,6) r (4,7) r (4,8) r (4,9) r (4,10)
1.88% 1.96% 2.04% 2.13% 2.21% 2.15%
r (5,6) r (5,7) r (5,8) r (5,9) r (5,10)
2.03% 2.12% 2.21% 2.29% 2.20%

r (6,7) r (6,8) r (6,9) r (6,10)

2.20% 2.29% 2.37% 2.23%

r (7,8) r (7,9) r (7,10)

2.39% 2.45% 2.24%

r (8,9) r (8,10)

2.50% 2.16%

r (9,10)

1.82%
11 meses 12 meses

11 12

330 360

2.02% 2.10%

r (10,11) r (11,12)

3.64% 2.95%

r (1,11) r (1,12)
2.11% 2.19%

r (2,11) r (2,12)
2.20% 2.28%
r (3,11) r (3,12)
2.28% 2.36%
r (4,11) r (4,12)
2.37% 2.44%
r (5,11) r (5,12)
2.44% 2.52%

r (6,11) r (6,12)

2.52% 2.60%

r (7,11) r (7,12)

2.60% 2.67%

r (8,11) r (8,12)

2.66% 2.74%

r (9,11) r (9,12)

2.73% 2.81%
r (10,11) r (10,12)

3.64% 3.30%
r (11,12)

2.95%
 ESTRUCTURA TEMPORAL DE
TASA LIBOR MESES Mes 0 1 mes 2 meses

PERIODO EN MESES (t) 1 2

DIAS DEL MES 30 60
Tasa interés de contado (ETTI=R t) 1.10% 1.19%

Tasa interés forward a 30 días (r t,t+1) r (0,1) r (1,2)

1.10% 1.28%

Tasa interés forward a 60 días (r t,t+1) r (0,2)

1.19%
Tasa interés forward a 90 días (r t,t+1)
TASAS IMPLICITAS
FINANCIACION A UN AÑO -10,000
EXPECTATIVAS TASAS A 3 MESES
FINANCIACION RENOVABLE A 3 MESES -10,000
CANCELACION
RENOVACION
Tasa interés forward a 180 días (r t,t+2)
TRUCTURA TEMPORAL DE TASA DE INTERES LIBOR-3M 25-05-2004
3 meses 4 meses 5 meses 6 meses 7 meses 8 meses 9 meses

3 4 5 6 7 8 9
90 120 150 180 210 240 270
1.29% 1.39% 1.49% 1.58% 1.67% 1.77% 1.85%

r (2,3) r (3,4) r (4,5) r (5,6) r (6,7) r (7,8) r (8,9)

1.49% 1.68% 1.88% 2.03% 2.20% 2.39% 2.50%

r (2,4) r( 4,6) r (6,8)

1.59% 1.96% 2.29%
r (0,3) r (3,6) r (6,9)
1.29% 1.87% 2.37%
32.25 46.72 59.16
1.29% 1.95% 2.45%
32.25 48.75 61.25
10,000 10,000 10,000
-10,000 -10,000 -10,000
r (0,6)
1.58%
10 meses 11 meses 12 meses TIR

10 11 12
300 330 360
1.85% 2.02% 2.10% 2.10%

r (9,10) r (10,11) r (11,12)

1.82% 3.64% 2.95%

r (8,10) r (10,12)
2.16% 3.30%
r (9,12)
2.81% 2.10%
10,070 2.10%
2.90%
10,073 2.16%
10,000
-10,000
r (6,12)
2.60%