DEALING

MID
1Y BROKER GFX 30SEP1615:56
2Y BROKER GFX 30SEP1615:56
3Y BROKER GFX 30SEP1615:56
4Y BROKER GFX 30SEP1615:56
5Y BROKER GFX 30SEP1615:56
6Y BROKER GFX 30SEP1615:56
7Y BROKER GFX 30SEP1615:56
8Y BROKER GFX 30SEP1615:56
9Y BROKER GFX 30SEP1615:56
10Y BROKER GFX 30SEP1615:56

NOTIONAL
EUR

MATURITY
YEARS

SPREAD ON LOAN
Valuation date 17-Apr-18

Seettlement date Tenor Spot rate Discount Factor ZC rate FWD rate
17-Apr-19 1.000 0.0000% 1.00000000 0.0000% 0.0000%
17-Apr-20 2.003 0.0000% 1.00000000 0.0000% 0.0000%
17-Apr-21 3.003 0.0000% 1.00000000 0.0000% 0.0000%
17-Apr-22 4.003 0.0000% 1.00000000 0.0000% 0.0000%
17-Apr-23 5.003 0.0000% 1.00000000 0.0000% 0.0000%
17-Apr-24 6.005 0.0000% 1.00000000 0.0000% 0.0000%
17-Apr-25 7.005 0.0000% 1.00000000 0.0000% 0.0000%
 Curve dominance
100.00%
FWD rate 90.00%
0.0000% 80.00%
0.0000% 70.00%

Yield Curves
0.0000% 60.00%
0.0000% 50.00%
0.0000% 40.00%
0.0000% 30.00%
0.0000% 20.00%
10.00%
0.00%
2019 2020 2021 2022 2023 2024 2025
Spot rate ZC rate
Data
(1 / t)
(1+ iswap t )
-1
t-1

(1 - iswap t x ∑ Fs)
i=1

ZC Bond rate Price Year 1 Year 2 Year 3

1.34% 100.0 101.34 0 0
0.9868 - -
1.76% 100.0 1.76 101.76 0
0.9868 0.9656 -
0.00% 100.0 2.24 2.24 102.24
0.9868 0.9656 0.9353
023 2024 2025
ZC rate
 ZERO Forward rate Forward
Discount Fixed rate PV of interest PV of interest Fixed leg +
DATE COUPON (Variable) Spread rate + 1.0
factor 30/360 @fixed rate @variable rate variable leg
RATE Act/360 spread
0.9
30-Dec-99
0.8
17-Apr-19 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0
17-Apr-20 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0 0.7
17-Apr-21 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0
0.6
17-Apr-22 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0
17-Apr-23 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0 0.5
17-Apr-24 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0
0.4
17-Apr-25 0.000% 1.0000 0.000% 0 0.000% 0.00% 0.00% 0 0
0.3
TOTAL 7.0000 0 0 0
Forward rate + spread
0.2
Fixed rate 30/360
A) PV Asset Leg 0 0.1
B) PV Variable leg 0
0.0
C) Sum of discount factors (Act/360) 7.0000
2019 2020 2021 2022 2023 2024 2025
t-1

∑ Fs(0,t) x fwd rate(t-1,t) x intercoupon period (t-1,t)

Basis point running i=1

0.0000 Swap rate

t-1

∑ Fs(0,t)
i=1
 ZERO Forward rate Forward
Discount Fixed rate PV of interest PV of interest Fixed leg +
DATE COUPON (Variable) Spread rate + 0.0
factor 30/360 @fixed rate @variable rate variable leg
RATE Act/360 spread

30-Dec-99
17-Apr-19 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0
17-Apr-20 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0
17-Apr-21 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0
17-Apr-22 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0
17-Apr-23 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0
17-Apr-24 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0
0.0
17-Apr-25 0.000% 1.0000 1.500% 0 0.000% 1.50% 1.50% 0 0

TOTAL 7.0000 0 0 0.00 Forward rate + spread

Fixed rate 30/360

A) PV Asset Leg 0
B) PV Variable leg 0
0.0
C) Sum of discount factors (Act/360) 7.0000 2019 2020 2021 2022 2023 2024 2025
t-1

∑ Fs(0,t) x fwd rate(t-1,t) x intercoupon period (t-1,t)

Basis point running i=1

Swap rate
t-1

∑ Fs(0,t)
i=1