2

IR Swap with Em

Hedge Description Hedge Entity Hedge Start Date Hedge End Date

IR Swap with
2967aca94c 2019-12-11 2026-12-11
Embedded Floor

Transaction Details: 2019-12-11

Key Hedge Considera
Objective Obj

Hedge Amount USD 100,000,000

Hedge Tenor 7.0 years

Hedge Instrument IR Swap with Embedded Floor

Savings USD 12,331,231

Strategy Rationale Ration

Execution Details

2.5%

2.0%

1.5%

1.0%
1.5%

1.0%

0.5%

0.0%
43 43 43 43 43 43 43 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44
80 83 86 89 92 95 98 01 04 07 10 13 16 19 22 25 28 31 34 37 40 44 47 50 53 56 59 62 65 68 71
0 1 2 1 2 2 3 3 4 5 5 6 6 7 8 6 7 7 8 8 9 0 0 1 1 2 3 1 2 2 3
 2967aca94c - Executive Summary
IR Swap with Embedded Floor - Live Execution Trade Details - 2019-12-11

Currency Initial Notional Counterparty Allocation

USD 100,000,000.00 8106c5e5aa

Key Hedge Considerations (full detailed summary provided in the Deal Summary tab)

Forward Implied Curves

44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 44 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45 45
4 5 5 5 5 6 6 6 7 7 7 8 8 8 8 9 9 9 0 0 0 1 1 1 2 2 2 2 3 3 3 4 4 4 5 5 5 5 6 6
0 70 01 31 62 93 21 52 82 13 43 74 05 35 66 96 27 58 86 17 47 78 08 39 70 00 31 61 92 23 52 83 13 44 74 05 36 66 97 27 58

Fwd Implied USD 3M LIBOR

(11-Dec-2019)
019-12-11

Mid Market Vanilla Total Credit &

Floor Premium Executed Level
Swap Rate Execution Charges

1.7150%

l Summary tab)
53 454 454 454 455 455 455 455 456 456 456 457 457 457 458 458 458 459 459 459 459 460 460 460 461 461 461 462 462 462
83 13 44 74 05 36 66 97 27 58 89 17 48 78 09 39 70 01 31 62 92 23 54 82 13 43 74 04 35 66
 IR Swap with Em

Hedge Description Hedge Entity Hedge Start Date Hedge End Date

IR Swap with
2967aca94c 2019-12-11 2026-12-11
Embedded Floor

-Background

-Strategy Rationale

-Documentation / Confirmation / Regulatory / KYC

-Dry Run Pricing

-Live Execution

PMC Contacts:
Contact Telephone Email
asd
 2967aca94c - Deal Summary
IR Swap with Embedded Floor - Live Execution Trade Details - 2019-12-11

Currency Initial Notional Counterparty Allocation

USD 100,000,000.00 8106c5e5aa

Client Contacts:
Email Contact
asd S
019-12-11

Mid Market Vanilla Total Credit &

Floor Premium Executed Level
Swap Rate Execution Charges

1.7150%

Contact Telephone Email

S S d
Counterparty Name

Legal Identification Reference

Instrument

Documentation

Term Sheet Definition Reference

Trade Date

Effective Date

Termination Date

Notional Amount

Fixed Rate Payer

All-in Fixed Rate

Business Day Convention for Fixed

Leg

Interest Payment Dates for Fixed

Leg

Business Days for Fixed Leg

Day Count Fraction for Fixed Leg

Floating Rate Payer

Floating Rate Option

Designated Maturity

Spread

Business Day Convention for

Floating Leg

Interest Payment Dates for

Floating Leg
Business Days for Floating Leg

Day Count Fraction for Floating

Leg
2967aca94c

IR Swap with Embedded Floor

ISDA 2002 Master Agreement and Schedule

2021 ISDA Definitions

Wednesday December 11, 2019

Wednesday December 11, 2019

Friday December 11, 2026

USD 100,000,000.00

2967aca94c

1.7150%

Modified Following

See Notional Schedule

London, United States

Act/360

8106c5e5aa

The greater of USD - LIBOR or 0.0000%

3 Month(s)

0.00 Basis Points

Modified Following

See Notional Schedule

London

Act/360
 From To USD Notional Amount

Wednesday December 11, 2019 Wednesday March 11, 2020 100,000,000.00

Wednesday March 11, 2020 Thursday June 11, 2020 100,000,000.00

Thursday June 11, 2020 Friday September 11, 2020 100,000,000.00

Friday September 11, 2020 Friday December 11, 2020 100,000,000.00

Friday December 11, 2020 Thursday March 11, 2021 100,000,000.00

Thursday March 11, 2021 Friday June 11, 2021 100,000,000.00

Friday June 11, 2021 Monday September 13, 2021 100,000,000.00

Monday September 13, 2021 Monday December 13, 2021 100,000,000.00

Monday December 13, 2021 Friday March 11, 2022 99,750,000.00

Friday March 11, 2022 Monday June 13, 2022 99,500,000.00

Monday June 13, 2022 Monday September 12, 2022 99,250,000.00

Monday September 12, 2022 Monday December 12, 2022 99,000,000.00

Monday December 12, 2022 Monday March 13, 2023 97,750,000.00

Monday March 13, 2023 Monday June 12, 2023 96,500,000.00

Monday June 12, 2023 Monday September 11, 2023 95,250,000.00

Monday September 11, 2023 Monday December 11, 2023 94,000,000.00

Monday December 11, 2023 Monday March 11, 2024 92,750,000.00

Monday March 11, 2024 Tuesday June 11, 2024 91,500,000.00

Tuesday June 11, 2024 Wednesday September 11, 2024 90,250,000.00

Wednesday September 11, 2024 Wednesday December 11, 2024 89,000,000.00

Wednesday December 11, 2024 Tuesday March 11, 2025 87,750,000.00

Tuesday March 11, 2025 Wednesday June 11, 2025 86,500,000.00

Wednesday June 11, 2025 Thursday September 11, 2025 85,250,000.00

Thursday September 11, 2025 Thursday December 11, 2025 84,000,000.00

Thursday December 11, 2025 Wednesday March 11, 2026 82,750,000.00

Wednesday March 11, 2026 Thursday June 11, 2026 81,500,000.00

Thursday June 11, 2026 Friday September 11, 2026 80,250,000.00

Friday September 11, 2026 Friday December 11, 2026 79,000,000.00

 Debt & Hedge Schedule

5c4338d597 / 5c4338d597 / USD

Description:
Spread / Coupon:
Floor:
Type:
Frequency:

Current Hedge
Date Total Fixed Debt Total Float Debt Total USD Debt Total USD Hedge
Percentage

30 Sep 2023 350,000,000 350,000,000

31 Oct 2023 350,000,000 350,000,000
30 Nov 2023 350,000,000 350,000,000
31 Dec 2023 350,000,000 350,000,000
31 Jan 2024 350,000,000 350,000,000
29 Feb 2024 350,000,000 350,000,000
31 Mar 2024 350,000,000 350,000,000
30 Apr 2024 350,000,000 350,000,000
31 May 2024 350,000,000 350,000,000
30 Jun 2024 350,000,000 350,000,000
31 Jul 2024 350,000,000 350,000,000
31 Aug 2024 350,000,000 350,000,000
30 Sep 2024 350,000,000 350,000,000
31 Oct 2024 350,000,000 350,000,000
30 Nov 2024 350,000,000 350,000,000
31 Dec 2024 350,000,000 350,000,000
31 Jan 2025 350,000,000 350,000,000
28 Feb 2025 350,000,000 350,000,000
31 Mar 2025 350,000,000 350,000,000
30 Apr 2025 350,000,000 350,000,000
31 May 2025 350,000,000 350,000,000
30 Jun 2025 350,000,000 350,000,000
31 Jul 2025 350,000,000 350,000,000
31 Aug 2025 350,000,000 350,000,000
30 Sep 2025 350,000,000 350,000,000
31 Oct 2025 350,000,000 350,000,000
30 Nov 2025 350,000,000 350,000,000
31 Dec 2025 350,000,000 350,000,000
31 Jan 2026 350,000,000 350,000,000
28 Feb 2026 350,000,000 350,000,000
31 Mar 2026 350,000,000 350,000,000
30 Apr 2026 350,000,000 350,000,000
31 May 2026 350,000,000 350,000,000
30 Jun 2026 350,000,000 350,000,000
31 Jul 2026 350,000,000 350,000,000
31 Aug 2026 350,000,000 350,000,000
30 Sep 2026 350,000,000 350,000,000
31 Oct 2026 350,000,000 350,000,000
30 Nov 2026 350,000,000 350,000,000
31 Dec 2026 350,000,000 350,000,000
31 Jan 2027 350,000,000 350,000,000
28 Feb 2027 350,000,000 350,000,000
31 Mar 2027 350,000,000 350,000,000
30 Apr 2027 350,000,000 350,000,000
31 May 2027 350,000,000 350,000,000
30 Jun 2027 350,000,000 350,000,000
31 Jul 2027 350,000,000 350,000,000
31 Aug 2027 350,000,000 350,000,000
30 Sep 2027 350,000,000 350,000,000
31 Oct 2027 350,000,000 350,000,000
30 Nov 2027 350,000,000 350,000,000
31 Dec 2027 350,000,000 350,000,000
31 Jan 2028 350,000,000 350,000,000
29 Feb 2028 350,000,000 350,000,000
31 Mar 2028 350,000,000 350,000,000
30 Apr 2028 350,000,000 350,000,000
31 May 2028 350,000,000 350,000,000
30 Jun 2028 350,000,000 350,000,000
31 Jul 2028 350,000,000 350,000,000
31 Aug 2028 350,000,000 350,000,000
30 Sep 2028 350,000,000 350,000,000
31 Oct 2028 350,000,000 350,000,000
30 Nov 2028 350,000,000 350,000,000
31 Dec 2028 350,000,000 350,000,000
31 Jan 2029 350,000,000 350,000,000
28 Feb 2029 350,000,000 350,000,000
31 Mar 2029 350,000,000 350,000,000
30 Apr 2029 350,000,000 350,000,000
31 May 2029 350,000,000 350,000,000
30 Jun 2029 350,000,000 350,000,000
31 Jul 2029 350,000,000 350,000,000
31 Aug 2029 350,000,000 350,000,000
30 Sep 2029 350,000,000 350,000,000
31 Oct 2029 350,000,000 350,000,000
30 Nov 2029 350,000,000 350,000,000
31 Dec 2029 350,000,000 350,000,000
31 Jan 2030 350,000,000 350,000,000
28 Feb 2030 350,000,000 350,000,000
31 Mar 2030 350,000,000 350,000,000
Market Data Date: 06-Sep-2023

Trade ID Instrument Type

20631 Cross-Currency Swap

20633 FX Forward

20637 IR Swap with Embedded Floor

20644 IR Cap

1
Mark to Market values are mid-market and do not include execution costs
or an adjustment for non-performance risk and are not in compliance with ASC 820/IFRS 13.
Clean Value excludes accrued interest
Total Value includes accrued interest
All values shown are from the Client's perspective (a negative value means the Client owes the Bank)

2
To receive ASC 820/IFRS 13 compliant valuations please contact info@pmcanalytics.com

This report is governed by the PMC Analytics terms of business which form part of the terms
of engagement expressly agreed between PMC Analytics and its Client and a copy of which can be found athttps://www.pmcanalytics.com/terms. The
attention is particularly drawn to the disclaimers and
restrictions applicable to this report which are set out in Clause 2 of the terms of business.
 Description Counterparty

Pay EUR Fixed 1.0900% / Receive USD Fixed 2.9650% 8106c5e5aa

Pay EUR 45,069,406 / Receive USD 50,000,000 de106908ff

Pay USD Fixed 1.7150% / Receive USD 3M LIBOR (0.% Floor) 8106c5e5aa

USD 3M LIBOR Strike 1.% 6de7434469

market and do not include execution costs

ormance risk and are not in compliance with ASC 820/IFRS 13.

ent's perspective (a negative value means the Client owes the Bank)

pliant valuations please contact info@pmcanalytics.com

MC Analytics terms of business which form part of the terms

agreed between PMC Analytics and its Client and a copy of which can be found athttps://www.pmcanalytics.com/terms. The Client’s
the disclaimers and
s report which are set out in Clause 2 of the terms of business.
 2967aca94c - Transaction Values Report

Current Notional 1 Current Notional 2 Trade Date Effective Date Maturity Date

(EUR 85,864,959.88) USD 95,250,000.00 11-Dec-2019 11-Dec-2019 11-Dec-2026

(EUR 45,069,406.89) USD 50,000,000.00 11-Dec-2019 18-Jan-2024 18-Jan-2024

USD 95,250,000.00 0 11-Dec-2019 11-Dec-2019 11-Dec-2026

USD 95,250,000.00 0 11-Dec-2019 11-Dec-2019 11-Dec-2026

es Report

Mark to Market1

Coupon/Strike/Rate Underlying Value Date Currency Clean Value

2.9650% 07-Sep-2023 EUR No value

1.1094 EUR/USD 07-Sep-2023 EUR No value

1.7150% USD 3M LIBOR / USD 3M LIBOR 07-Sep-2023 USD No value

1.0000% USD 3M LIBOR 07-Sep-2023 USD No value

Mark to Market1

Accrued Total Value Credit Adjustment

Fair Value2

No value No value

No value No value

No value No value

No value No value
 2967aca94c - Valuation Detail Report

2967aca94c / 8106c5e5aa
TradeID #20631: Pay EUR 90,146,939 Coupon: 1.09% / Receive USD 100,000,000 Coupon: 2.965%
Valuation Date 2023-Sep-06

This transaction was not revalued on this valuation date (2023-Sep-06)

2967aca94c / de106908ff
TradeID #20633: Pay EUR 45,069,406 / Receive USD 50,000,000
Valuation Date 2023-Sep-06

This transaction was not revalued on this valuation date (2023-Sep-06)

2967aca94c / 8106c5e5aa
TradeID #20637: Pay USD 100,000,000 Coupon: 1.715% / Receive USD 100,000,000 USD 3M LIBOR / Receive USD 100,000,000 USD 3M LIBOR 0
Valuation Date 2023-Sep-06

This transaction was not revalued on this valuation date (2023-Sep-06)

2967aca94c / 6de7434469
TradeID #20644: Receive USD 100,000,000 USD 3M LIBOR 1.% Cap / Pay USD 100,000,000
Valuation Date 2023-Sep-06

This transaction was not revalued on this valuation date (2023-Sep-06)

rt

D 100,000,000 USD 3M LIBOR 0.0% Floor

 [INSERT TITLE HERE]
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CHALLENGES SOLUTIONS
RE] Industry
Region
[INSERT INDUSTRY HERE]
[INSERT REGION HERE]
] PMC Service [INSERT PMC SERVICE HERE]

[INSERT OVERVIEW HERE]

SOLUTIONS BENEFITS
STRY HERE]
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ERVICE HERE]
 Tombstone

2967aca94c, 5c4338d597
Hedge Advisor: PMC Treasury

2967aca94c: USD 100,000,000 Interest Rate Hedging

Hedging