ForOfficialUseOnly

Spot FX 1.11 EUR/USD

Notional 1000000000
Coupon rate 0.145%

EUR 3m USD 3m EURUSD

forward EUR 3m forward USD 3m EURUSD basis zero
rates zero rates rates zero rates basis rates
-0.020% -0.020% 0.517% 0.517% 0.053% 0.053%
0.049% 0.015% 0.556% 0.537% 0.020% 0.036%
0.097% 0.042% 0.604% 0.560% -0.018% 0.018%
0.146% 0.068% 0.652% 0.583% -0.063% -0.002%
0.195% 0.093% 0.777% 0.623% -0.070% -0.015%
0.252% 0.120% 0.854% 0.663% -0.153% -0.039%
0.320% 0.149% 0.931% 0.703% -0.112% -0.049%
0.367% 0.176% 1.009% 0.742% -0.119% -0.058%
0.557% 0.218% 1.337% 0.810% -0.155% -0.068%
0.641% 0.261% 1.473% 0.880% -0.177% -0.079%
0.725% 0.304% 1.605% 0.949% -0.199% -0.090%
0.809% 0.347% 1.737% 1.019% -0.220% -0.101%
1.075% 0.403% 1.983% 1.097% -0.192% -0.108%
1.186% 0.461% 2.127% 1.177% -0.205% -0.115%
1.295% 0.518% 2.274% 1.257% -0.219% -0.122%
1.408% 0.575% 2.424% 1.336% -0.233% -0.129%
1.562% 0.635% 2.484% 1.411% -0.198% -0.133%
1.678% 0.696% 2.621% 1.488% -0.207% -0.137%
1.794% 0.757% 2.758% 1.565% -0.215% -0.141%
1.910% 0.817% 2.895% 1.641% -0.223% -0.145%
1.935% 0.874% 2.920% 1.714% -0.248% -0.150%
 ForOfficialUseOnly

Start Date End Date Day count df EUR df USD df EUR+basis

4/6/2017 7/6/2017 0.252777778 1.000051 0.998695 0.999917
7/6/2017 10/6/2017 0.255555556 0.999925 0.997278 0.999740
10/6/2017 1/6/2018 0.255555556 0.999678 0.995741 0.999539
1/6/2018 4/6/2018 0.25 0.999313 0.994120 0.999331
4/6/2018 7/6/2018 0.252777778 0.998820 0.992172 0.999015
7/6/2018 10/6/2018 0.255555556 0.998178 0.990011 0.998762
10/6/2018 1/6/2019 0.255555556 0.997362 0.987661 0.998231
1/6/2019 4/6/2019 0.25 0.996448 0.985176 0.997610
4/6/2019 7/6/2019 0.252777778 0.995047 0.981858 0.996595
7/6/2019 10/6/2019 0.255555556 0.993419 0.978176 0.995410
10/6/2019 1/6/2020 0.255555556 0.991582 0.974180 0.994066
1/6/2020 4/6/2020 0.252777778 0.989559 0.969921 0.992579
4/6/2020 7/6/2020 0.252777778 0.986877 0.965084 0.990355
7/6/2020 10/6/2020 0.255555556 0.983895 0.959866 0.987861
10/6/2020 1/6/2021 0.255555556 0.980649 0.954320 0.985130
1/6/2021 4/6/2021 0.25 0.977210 0.948572 0.982218
4/6/2021 7/6/2021 0.252777778 0.973366 0.942653 0.978812
7/6/2021 10/6/2021 0.255555556 0.969210 0.936381 0.975109
10/6/2021 1/6/2022 0.255555556 0.964787 0.929827 0.971147
1/6/2022 4/6/2022 0.25 0.960202 0.923146 0.967019
4/6/2022 7/6/2022 0.252777778 0.955528 0.916382 0.962855
 ForOfficialUseOnly

EUR leg

FX forward Principal Int cash

f EUR+basis rates exchange flow
4/6/2017 7/6/2017 1.11000 1000000000 416154
7/6/2017 10/6/2017 1.11136 244365
10/6/2017 1/6/2018 1.11274 121706
1/6/2018 4/6/2018 1.11423 -3383
4/6/2018 7/6/2018 1.11582 -127158
7/6/2018 10/6/2018 1.11766 -274009
10/6/2018 1/6/2019 1.11981 -447334
1/6/2019 4/6/2019 1.12188 -554556
4/6/2019 7/6/2019 1.12401 -1038790
7/6/2019 10/6/2019 1.12666 -1262637
10/6/2019 1/6/2020 1.12956 -1474326
1/6/2020 4/6/2020 1.13266 -1666876
4/6/2020 7/6/2020 1.13593 -2329046
7/6/2020 10/6/2020 1.13907 -2628933
10/6/2020 1/6/2021 1.14237 -2896079
1/6/2021 4/6/2021 1.14584 -3102222
4/6/2021 7/6/2021 1.14937 -3506845
7/6/2021 10/6/2021 1.15258 -3821035
10/6/2021 1/6/2022 1.15591 -4093399
1/6/2022 4/6/2022 1.15933 -967018853 -4267826
32981147 -32712229 268918
 ForOfficialUseOnly

USD leg

Principal Int cash

USD notional exchange FX Exch flow
1110000000 -1110000000 1448723
1111357910.1 -1354214 1574817
1112740828.7 -1377029 1710262
1114233501.9 -1483897 1805522
1115818170.2 -1572263 2174404
1117656435.6 -1819903 2414858
1119811689 -2128660 2631407
1121878506.3 -2036179 2787988
1124009777.8 -2092606 3729829
1126660229.6 -2592607 4148565
1129556538.1 -2821525 4513438
1132659054.7 -3009197 4823634
1135929885.5 -3156625 5495131
1139066164.8 -3010408 5943091
1142373733.6 -3156480 6335459
1145835997.7 -3284206 6586661
1149371983.5 -3333207 6803038
1152578390.3 -3002418 7228953
1155909061 -3096949 7575400
1159325945.3 1070227181 -3154283 7745769
-39772818.51 -47482656 87476950 221475.4
 ForOfficialUseOnly

Spot FX 1.11 EUR/USD

Notional 1000000000
Coupon rate 0.145%

EUR 3m USD 3m EURUSD

forward EUR 3m forward USD 3m EURUSD basis zero
rates zero rates rates zero rates basis rates
-0.020% -0.020% 0.517% 0.517% 0.053% 0.053%
0.049% 0.015% 0.556% 0.537% 0.020% 0.036%
0.097% 0.042% 0.604% 0.560% -0.018% 0.018%
0.146% 0.068% 0.652% 0.583% -0.063% -0.002%
0.195% 0.093% 0.777% 0.623% -0.070% -0.015%
0.252% 0.120% 0.854% 0.663% -0.153% -0.039%
0.320% 0.149% 0.931% 0.703% -0.112% -0.049%
0.367% 0.176% 1.009% 0.742% -0.119% -0.058%
0.557% 0.218% 1.337% 0.810% -0.155% -0.068%
0.641% 0.261% 1.473% 0.880% -0.177% -0.079%
0.725% 0.304% 1.605% 0.949% -0.199% -0.090%
0.809% 0.347% 1.737% 1.019% -0.220% -0.101%
1.075% 0.403% 1.983% 1.097% -0.192% -0.108%
1.186% 0.461% 2.127% 1.177% -0.205% -0.115%
1.295% 0.518% 2.274% 1.257% -0.219% -0.122%
1.408% 0.575% 2.424% 1.336% -0.233% -0.129%
1.562% 0.635% 2.484% 1.411% -0.198% -0.133%
1.678% 0.696% 2.621% 1.488% -0.207% -0.137%
1.794% 0.757% 2.758% 1.565% -0.215% -0.141%
1.910% 0.817% 2.895% 1.641% -0.223% -0.145%
1.935% 0.874% 2.920% 1.714% -0.248% -0.150%

Bump 0.000% 0.000% 0.000%

 ForOfficialUseOnly

Start Date End Date Day count df EUR df USD df EUR+basis

4/6/2017 7/6/2017 0.252777778 1.000051 0.998695 0.999917
7/6/2017 10/6/2017 0.255555556 0.999925 0.997278 0.999740
10/6/2017 1/6/2018 0.255555556 0.999678 0.995741 0.999539
1/6/2018 4/6/2018 0.25 0.999313 0.994120 0.999331
4/6/2018 7/6/2018 0.252777778 0.998820 0.992172 0.999015
7/6/2018 10/6/2018 0.255555556 0.998178 0.990011 0.998762
10/6/2018 1/6/2019 0.255555556 0.997362 0.987661 0.998231
1/6/2019 4/6/2019 0.25 0.996448 0.985176 0.997610
4/6/2019 7/6/2019 0.252777778 0.995047 0.981858 0.996595
7/6/2019 10/6/2019 0.255555556 0.993419 0.978176 0.995410
10/6/2019 1/6/2020 0.255555556 0.991582 0.974180 0.994066
1/6/2020 4/6/2020 0.252777778 0.989559 0.969921 0.992579
4/6/2020 7/6/2020 0.252777778 0.986877 0.965084 0.990355
7/6/2020 10/6/2020 0.255555556 0.983895 0.959866 0.987861
10/6/2020 1/6/2021 0.255555556 0.980649 0.954320 0.985130
1/6/2021 4/6/2021 0.25 0.977210 0.948572 0.982218
4/6/2021 7/6/2021 0.252777778 0.973366 0.942653 0.978812
7/6/2021 10/6/2021 0.255555556 0.969210 0.936381 0.975109
10/6/2021 1/6/2022 0.255555556 0.964787 0.929827 0.971147
1/6/2022 4/6/2022 0.25 0.960202 0.923146 0.967019
4/6/2022 7/6/2022 0.252777778 0.955528 0.916382 0.962855
 ForOfficialUseOnly

EUR leg

FX forward Principal Int cash

f EUR+basis rates exchange flow
4/6/2017 7/6/2017 1.11000 1000000000 416154
7/6/2017 10/6/2017 1.11136 244365
10/6/2017 1/6/2018 1.11274 121706
1/6/2018 4/6/2018 1.11423 -3383
4/6/2018 7/6/2018 1.11582 -127158
7/6/2018 10/6/2018 1.11766 -274009
10/6/2018 1/6/2019 1.11981 -447334
1/6/2019 4/6/2019 1.12188 -554556
4/6/2019 7/6/2019 1.12401 -1038790
7/6/2019 10/6/2019 1.12666 -1262637
10/6/2019 1/6/2020 1.12956 -1474326
1/6/2020 4/6/2020 1.13266 -1666876
4/6/2020 7/6/2020 1.13593 -2329046
7/6/2020 10/6/2020 1.13907 -2628933
10/6/2020 1/6/2021 1.14237 -2896079
1/6/2021 4/6/2021 1.14584 -3102222
4/6/2021 7/6/2021 1.14937 -3506845
7/6/2021 10/6/2021 1.15258 -3821035
10/6/2021 1/6/2022 1.15591 -4093399
1/6/2022 4/6/2022 1.15933 -967018853 -4267826
32981147 -32712229 268918
 ForOfficialUseOnly

USD leg

Principal Int cash

USD notional exchange FX Exch flow
1110000000 -1110000000 1448723
1111357910.1 -1354214 1574817
1112740828.7 -1377029 1710262
1114233501.9 -1483897 1805522
1115818170.2 -1572263 2174404
1117656435.6 -1819903 2414858
1119811689 -2128660 2631407
1121878506.3 -2036179 2787988
1124009777.8 -2092606 3729829
1126660229.6 -2592607 4148565
1129556538.1 -2821525 4513438
1132659054.7 -3009197 4823634
1135929885.5 -3156625 5495131
1139066164.8 -3010408 5943091
1142373733.6 -3156480 6335459
1145835997.7 -3284206 6586661
1149371983.5 -3333207 6803038
1152578390.3 -3002418 7228953
1155909061 -3096949 7575400
1159325945.3 1070227181 -3154283 7745769
-39772818.51 -47482656 87476950 221475.4