{"text_format":"1","workbook":"xls","n_sheets":3,"sheets":["Main","Curve","Holidays"],"not_rendered":{"charts":0,"images":1,"macros":1,"external_links":2,"defined_names":0,"comments":11,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900","formulas":"cached_only"}

{"sheet":"Main","index":0,"n_rows":36,"n_cols":16,"rows_kept":36,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Fair Value for the Fixed Leg"]
[]
[]
[]
[]
[]
[]
[]
[null,"Details",null,null,null,null,null,null,"Results (aaFixlg2_p)"]
[null,null,null,"settlement date","2005-09-24",null,null,null,null,null,"fair value",993880.8132000878,1]
[null,null,null,"terminating date","2009-09-09",null,null,null,null,null,"accrued interest",0,2]
[null,null,null,"effective date","2005-11-09",null,null,null,null,null,"value of future cashflows (fair value + accrued)",993880.8132000878,3]
[null,null,null,"date of first coupon after dated date for fixed leg",null,null,null,null,null,null,"annually compounded yield",0.05003990273520073,4]
[null,null,null,"date of last coupon prior to maturity date for fixed leg",null,null,null,null,null,null,"semi-annually compounded yield",0.049429093904154175,5]
[null,null,null,"coupon",0.0494,null,null,null,null,null,"quarterly compounded yield",0.04912740614977906,6]
[null,null,null,"principal",1000000,null,null,null,null,null,"monthly compounded yield",0.04892764217144574,7]
[null,null,null,"exchange of principal",3,null,null,null,null,null,"money market (actual / 365) yield",0.0500016114246843,8]
[null,null,null,"trade position",1,null,null,null,null,null,"money market (actual / 360) yield",0.04930004642133178,9]
[null,null,null,"interpolation method",2,null,null,null,null,null,"duration",3.662382991045552,10]
[null,null,null,null,null,null,null,null,null,null,"modified duration",3.5740519171304697,11]
[null,null,null,null,null,null,null,null,null,null,"convexity",15.123145848426365,12]
[null,null,null,null,null,null,null,null,null,null,"basis point value",-355.1430095592265,13]
[null,null,null,null,null,null,null,null,null,null,"yield value change per 1bp increase in price",-2.815171366047508e-09,14]
[null,null,null,null,null,null,null,null,null,null,"basis point value (new - see note 280)",-355.1901811462594,15]
[]
[]
[null,"Specifications for Fixed Leg",null,null,null,null,null,null,"Cashflow Table (aaFixlg2_cfx)"]
[null,"cash flow frequency","accrual method for coupons","accrual method for accrued interest","business day convention","cashflow type",null,null,"date","interest","principal payment","total cash flow","PV of interest","PV of principal payment","PV of total cashflow","accrued interest"]
[null,2,6,6,5,1,null,null,"2006-03-09",16466.666666666664,0,16466.666666666664,16105.30362215536,0,16105.30362215536,0]
[null,null,null,null,null,null,null,null,"2006-09-09",24700,0,24700,23571.02319963822,0,23571.02319963822,0]
[null,null,null,null,null,null,null,null,"2007-03-09",24700,0,24700,23006.3412239326,0,23006.3412239326,0]
[null,null,null,null,null,null,null,null,"2007-09-09",24700,0,24700,22445.637053964827,0,22445.637053964827,0]
[null,null,null,null,null,null,null,null,"2008-03-09",24700,0,24700,21906.998379259618,0,21906.998379259618,0]
[null,null,null,null,null,null,null,null,"2008-09-09",24700,0,24700,21376.648397613244,0,21376.648397613244,0]
[null,null,null,null,null,null,null,null,"2009-03-09",24700,0,24700,20866.10688472589,0,20866.10688472589,0]
[null,null,null,null,null,null,null,null,"2009-09-09",24700,1000000,1024700,20358.82505576101,824243.9293830369,844602.754438798,0]

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[null,"Curve"]
[]
[]
[null,"Discount Factor Curve"]
[null,"grid date","discount factor"]
[null,"2004-09-24",1]
[null,"2004-09-27",0.999599065]
[null,"2004-10-01",0.999064736]
[null,"2004-10-24",0.995997879]
[null,"2004-11-24",0.991879181]
[null,"2004-12-24",0.987909561]
[null,"2005-03-16",0.977140137]
[null,"2005-06-15",0.965326084]
[null,"2005-09-21",0.952762948]
[null,"2005-12-21",0.941243626]
[null,"2006-03-15",0.930734059]
[null,"2006-06-21",0.918621118]
[null,"2006-09-20",0.907514585]
[null,"2006-09-24",0.907029478]
[null,"2007-09-24",0.863722136]
[null,"2008-09-24",0.82259251]
[null,"2009-09-24",0.783421438]
[null,"2010-09-24",0.746115655]
[null,"2011-09-24",0.71049136]
[null,"2012-09-24",0.676658438]
[null,"2013-09-24",0.644436607]
[null,"2014-09-24",0.61374915]
[null,"2015-09-24",0.584444871]

{"sheet":"Holidays","index":2,"n_rows":29,"n_cols":2,"rows_kept":29,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Holidays"]
[]
[]
[null,"Holidays"]
[null,"date"]
[null,"2007-01-01"]
[null,"2007-04-21"]
[null,"2007-05-01"]
[null,"2007-09-07"]
[null,"2007-10-12"]
[null,"2007-11-02"]
[null,"2007-11-15"]
[null,"2007-12-25"]
[null,"2008-01-01"]
[null,"2008-04-21"]
[null,"2008-05-01"]
[null,"2008-09-07"]
[null,"2008-10-12"]
[null,"2008-11-02"]
[null,"2008-11-15"]
[null,"2008-12-25"]
[null,"2009-01-01"]
[null,"2009-04-21"]
[null,"2009-05-01"]
[null,"2009-09-07"]
[null,"2009-10-12"]
[null,"2009-11-02"]
[null,"2009-11-15"]
[null,"2009-12-25"]