{"text_format":"1","workbook":"xls","n_sheets":6,"sheets":["Floating Leg","Par Swap","Fixed Leg","Swap","Curve","Holidays"],"not_rendered":{"charts":0,"images":1,"macros":1,"external_links":2,"defined_names":0,"comments":27,"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":"Floating Leg","index":0,"n_rows":32,"n_cols":12,"rows_kept":32,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Fair Value for a Fixed vs. Floating IR Swap"]
[]
[]
[]
[]
[]
[null,"Details",null,null,null,null,null,"Results (aaFRN3)"]
[null,null,null,null,"value (settlement) date","2005-09-24",null,null,null,"fair value",999966.2832662464,1]
[null,null,null,null,"effective date","2005-09-09",null,null,null,"accrued interest",2040.8032355965959,2]
[null,null,null,null,"terminating date","2009-09-09",null,null,null,"value of future cashflows (fair value + accrued)",1002007.0865018431,3]
[null,null,null,null,"pay and reset frequencies",2,null,null,null,"annually compounded yield",0.05003949978466881,4]
[null,null,null,null,"trade position",1,null,null,null,"semi-annually compounded yield",0.049428700672134784,5]
[null,null,null,null,"compounding method",3,null,null,null,"quarterly compounded yield",0.04912701768876104,6]
[null,null,null,null,"notional principal amount",1000000,null,null,null,"monthly compounded yield",0.04892725685889321,7]
[null,null,null,null,"accrual method for coupon payments",5,null,null,null,"money market (actual/ 365) yield",0.05000161540757987,8]
[null,null,null,null,"business day convention for payment dates",5,null,null,null,"money market (actual/ 360) yield",0.04930005034704257,9]
[null,null,null,null,"accrual method for reset rates",5,null,null,null,"next cash flow date","2006-03-09",10]
[null,null,null,null,"business day convention for reset dates",5,null,null,null,"previous cash flow date","2005-09-09",11]
[null,null,null,null,"number of business days prior to the reset date that the rate is fixed",0,null,null,null,"number of days from value date to maturity",1425,12]
[null,null,null,null,"the hour of the day when the rate is reset",0,null,null,null,"years to maturity",3.9583333333333335,13]
[null,null,null,null,"margin above or below compounded rate",0,null,null,null,"number of days from value date to next cash flow",165,14]
[null,null,null,null,"margin above or below a reset rate",0,null,null,null,"number of days of accrued interest",15,15]
[null,null,null,null,"scale factor for forward rates (and reset rates if applicable)",1,null,null,null,"number of remaining cash flows",8,16]
[null,null,null,null,"exchange of principal",3,null,null,null,"basis point value",-0.15810199722182006,17]
[null,null,null,null,"interpolation method",2,null,null,null,"modified duration",0.001577853084590228,18]
[null,null,null,null,null,null,null,null,null,"convexity",-0.017828462189902108,19]
[null,null,null,null,null,null,null,null,null,"current coupon",0.04897927765431831,20]
[null,null,null,null,null,null,null,null,null,"current reset",0.04897927765431831,21]
[null,null,null,null,null,null,null,null,null,"current notional",1000000,22]
[null,"Reset Table (already fixed)"]
[null,"ID","reset date","effective date","terminating date","rate"]
[null,1,"2005-11-09","2005-11-09","2009-09-09",0.035]

{"sheet":"Par Swap","index":1,"n_rows":18,"n_cols":6,"rows_kept":18,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Fair Value for a Fixed vs. Floating IR Swap"]
[]
[]
[]
[]
[]
[null,"Details",null,null,"Results (aaParSwap3)"]
[null,"value (settlement) date","2005-09-09",null,"par swap rate",0.049420467731127966]
[null,"effective date","2005-09-09"]
[null,"terminating date","2009-09-09"]
[null,"date of first coupon after dated date for fixed leg"]
[null,"date of last coupon prior to maturity date for fixed leg"]
[null,"cashflow frequency",2]
[null,"accrual method for coupons",5]
[null,"accrual method for accrued interest",5]
[null,"business day convention",5]
[null,"interpolation method",2]
[null,"scale factor",1]

{"sheet":"Fixed Leg","index":2,"n_rows":26,"n_cols":11,"rows_kept":26,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Fair Value for a Fixed vs. Floating IR Swap"]
[]
[]
[]
[]
[]
[null,"Details",null,null,null,null,null,"Results (aaFixlg2_p)"]
[null,null,null,"settlement date","2005-09-24",null,null,null,"fair value",999947.9003463796,1]
[null,null,null,"terminating date","2009-09-09",null,null,null,"accrued interest",2059.1861554636653,2]
[null,null,null,"effective date","2005-09-09",null,null,null,"value of future cashflows (fair value + accrued)",1002007.0865018433,3]
[null,null,null,"date of first coupon after dated date for fixed leg",null,null,null,null,"annually compounded yield",0.05003946047386344,4]
[null,null,null,"date of last coupon prior to maturity date for fixed leg",null,null,null,null,"semi-annually compounded yield",0.04942866230943821,5]
[null,null,null,"coupon",0.049420467731127966,null,null,null,"quarterly compounded yield",0.049126979791508596,6]
[null,null,null,"principal",1000000,null,null,null,"monthly compounded yield",0.048927219268794175,7]
[null,null,null,"exchange of principal",3,null,null,null,"money market (actual / 365) yield",0.05000161045392725,8]
[null,null,null,"trade position",1,null,null,null,"money market (actual / 360) yield",0.049300045464512436,9]
[null,null,null,"interpolation method",2,null,null,null,"duration",3.6365271963604626,10]
[null,null,null,null,null,null,null,null,"modified duration",3.548820472006644,11]
[null,null,null,null,null,null,null,null,"convexity",15.004377543790218,12]
[null,null,null,null,null,null,null,null,"basis point value",-355.5191537042103,13]
[null,null,null,null,null,null,null,null,"yield value change per 1bp increase in price",-2.8121933518404535e-09,14]
[null,null,null,null,null,null,null,null,"basis point value (new - see note 280)",-355.56600294681266,15]
[]
[null,"Specifications for Fixed Leg"]
[null,"cash flow frequency","accrual method for coupons","accrual method for accrued interest","business day convention","cashflow type"]
[null,2,6,6,5,1]

{"sheet":"Swap","index":3,"n_rows":35,"n_cols":11,"rows_kept":35,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Fair Value for a Fixed vs. Floating IR Swap"]
[]
[]
[]
[]
[]
[null,"Details",null,null,null,null,"Results (aaSwap4_p)"]
[null,null,null,"settlement date","2005-09-24",null,null,"swap","fixed leg","floating leg"]
[null,null,null,"structure",1,null,"fair value",-18.382919866824523,999947.9003463796,-999966.2832662464,1]
[null,null,null,"FX spot - pay / receive",1,null,"accrued interest",18.382919867069404,2059.1861554636653,-2040.8032355965959,2]
[null,null,null,"exchange of principal",3,null,"dirty price",2.3283064365386963e-10,1002007.0865018433,-1002007.0865018431,3]
[null,null,null,"coupon for fixed leg",0.049420467731127966,null,"par swap rate",0.04942563831716025,0.04942563831716025,0.04942563831716025,4]
[null,null,null,"notional principal - fixed leg",1000000,null,"par spread",-5.170586032297768e-06,-5.170586032297768e-06,-5.170586032297768e-06,5]
[null,null,null,"margin above or below a floating rate",0,null,"basis point value",-355.40790094959084,-355.56600294681266,0.15810199722182006,6]
[null,null,null,"scale factor for forward rates (and reset rates if applicable)",1,null,"modified duration",3.546959954049557,3.548537807134147,0.001577853084590228,7]
[null,null,null,"notional principal - floating leg",1000000,null,"convexity",15.026236051279701,15.0084075890898,-0.017828462189902108,8]
[null,null,null,"interpolation method",2,null,"par spread (dirty)",6.472994459601934e-17,6.472994459601934e-17,6.472994459601934e-17,9]
[]
[]
[]
[null,"Swap Dates Table"]
[null,"maturity date","effective date","first payment date for fixed leg (optional)","next to last payment date for fixed leg (optional)","first payment date for floating leg (optional)","next to last payment date for floating leg (optional)"]
[null,"2009-09-09","2005-09-09"]
[]
[null,"Specifications for Fixed Leg"]
[null,"cashflow frequency","accrual method","business day convention","cash flow type"]
[null,2,6,5,1]
[]
[null,"Specifications for Floating Leg"]
[null,"cash flow frequency","accrual method","business day convention","accrual method for reset rates","number of business days prior to reset date that rate is fixed"]
[null,2,6,5,6,0]
[]
[null,"Reset Table (already fixed)"]
[null,"ID","reset date","effective date","terminating date","rate"]
[null,1,"2005-11-09","2005-11-09","2009-09-09",0.035]

{"sheet":"Curve","index":4,"n_rows":28,"n_cols":6,"rows_kept":28,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Curve"]
[]
[]
[null,"Accruing Curve",null,null,"Discounting Curve "]
[null,"grid date","discount factor",null,"grid date","discount factor"]
[null,"2004-09-24",1,null,"2004-09-24",1]
[null,"2004-09-27",0.999599065,null,"2004-09-27",0.999599065]
[null,"2004-10-01",0.999064736,null,"2004-10-01",0.999064736]
[null,"2004-10-24",0.995997879,null,"2004-10-24",0.995997879]
[null,"2004-11-24",0.991879181,null,"2004-11-24",0.991879181]
[null,"2004-12-24",0.987909561,null,"2004-12-24",0.987909561]
[null,"2005-03-16",0.977140137,null,"2005-03-16",0.977140137]
[null,"2005-06-15",0.965326084,null,"2005-06-15",0.965326084]
[null,"2005-09-21",0.952762948,null,"2005-09-21",0.952762948]
[null,"2005-12-21",0.941243626,null,"2005-12-21",0.941243626]
[null,"2006-03-15",0.930734059,null,"2006-03-15",0.930734059]
[null,"2006-06-21",0.918621118,null,"2006-06-21",0.918621118]
[null,"2006-09-20",0.907514585,null,"2006-09-20",0.907514585]
[null,"2006-09-24",0.907029478,null,"2006-09-24",0.907029478]
[null,"2007-09-24",0.863722136,null,"2007-09-24",0.863722136]
[null,"2008-09-24",0.82259251,null,"2008-09-24",0.82259251]
[null,"2009-09-24",0.783421438,null,"2009-09-24",0.783421438]
[null,"2010-09-24",0.746115655,null,"2010-09-24",0.746115655]
[null,"2011-09-24",0.71049136,null,"2011-09-24",0.71049136]
[null,"2012-09-24",0.676658438,null,"2012-09-24",0.676658438]
[null,"2013-09-24",0.644436607,null,"2013-09-24",0.644436607]
[null,"2014-09-24",0.61374915,null,"2014-09-24",0.61374915]
[null,"2015-09-24",0.584444871,null,"2015-09-24",0.584444871]

{"sheet":"Holidays","index":5,"n_rows":152,"n_cols":2,"rows_kept":152,"cut":false,"hidden":false,"merged":[],"flags":["formulas_cached_only"]}
[null,"Holidays"]
[]
[]
[null,"Holidays"]
[null,"date"]
[null,"1999-01-01"]
[null,"1999-04-02"]
[null,"1999-04-05"]
[null,"1999-05-03"]
[null,"1999-05-31"]
[null,"1999-08-30"]
[null,"1999-12-27"]
[null,"1999-12-28"]
[null,"2000-01-03"]
[null,"2000-04-21"]
[null,"2000-04-24"]
[null,"2000-05-01"]
[null,"2000-05-29"]
[null,"2000-08-28"]
[null,"2000-12-25"]
[null,"2000-12-26"]
[null,"2001-01-01"]
[null,"2001-04-13"]
[null,"2001-04-16"]
[null,"2001-05-07"]
[null,"2001-05-28"]
[null,"2001-08-27"]
[null,"2001-12-25"]
[null,"2001-12-26"]
[null,"2002-01-01"]
[null,"2002-03-29"]
[null,"2002-04-01"]
[null,"2002-05-06"]
[null,"2002-05-27"]
[null,"2002-08-26"]
[null,"2002-12-25"]
[null,"2002-12-26"]
[null,"2003-01-01"]
[null,"2003-04-18"]
[null,"2003-04-21"]
[null,"2003-05-05"]
[null,"2003-05-26"]
[null,"2003-08-25"]
[null,"2003-12-25"]
[null,"2003-12-26"]
[null,"2004-01-01"]
[null,"2004-04-09"]
[null,"2004-04-12"]
[null,"2004-05-03"]
[null,"2004-05-31"]
[null,"2004-08-30"]
[null,"2004-12-27"]
[null,"2004-12-28"]
[null,"2005-01-03"]
[null,"2005-03-25"]
[null,"2005-03-28"]
[null,"2005-05-02"]
[null,"2005-05-30"]
[null,"2005-08-29"]
[null,"2005-12-26"]
[null,"2005-12-27"]
[null,"2006-01-02"]
[null,"2006-04-14"]
[null,"2006-04-17"]
[null,"2006-05-01"]
[null,"2006-05-29"]
[null,"2006-08-28"]
[null,"2006-12-25"]
[null,"2006-12-26"]
[null,"2007-01-01"]
[null,"2007-04-06"]
[null,"2007-04-09"]
[null,"2007-05-07"]
[null,"2007-05-28"]
[null,"2007-08-27"]
[null,"2007-12-25"]
[null,"2007-12-26"]
[null,"2008-01-01"]
[null,"2008-12-25"]
[null,"2008-12-26"]
[null,"2009-01-01"]
[null,"2009-12-25"]
[null,"2009-12-28"]
[null,"2010-01-01"]
[null,"2010-12-27"]
[null,"2010-12-28"]
[null,"2011-01-03"]
[null,"2011-12-26"]
[null,"2011-12-27"]
[null,"2012-01-02"]
[null,"2012-12-25"]
[null,"2012-12-26"]
[null,"2013-01-01"]
[null,"2013-12-25"]
[null,"2013-12-26"]
[null,"2014-01-01"]
[null,"2014-12-25"]
[null,"2014-12-26"]
[null,"2015-01-01"]
[null,"2015-12-25"]
[null,"2015-12-28"]
[null,"2016-01-01"]
[null,"2016-12-26"]
[null,"2016-12-27"]
[null,"2017-01-02"]
[null,"2017-12-25"]
[null,"2017-12-26"]
[null,"2018-01-01"]
[null,"2018-12-25"]
[null,"2018-12-26"]
[null,"2019-01-01"]
[null,"2019-12-25"]
[null,"2019-12-26"]
[null,"2020-01-01"]
[null,"2020-12-25"]
[null,"2020-12-28"]
[null,"2021-01-01"]
[null,"2021-12-27"]
[null,"2021-12-28"]
[null,"2022-01-03"]
[null,"2022-12-26"]
[null,"2022-12-27"]
[null,"2023-01-02"]
[null,"2023-12-25"]
[null,"2023-12-26"]
[null,"2024-01-01"]
[null,"2024-12-25"]
[null,"2024-12-26"]
[null,"2025-01-01"]
[null,"2025-12-25"]
[null,"2025-12-26"]
[null,"2026-01-01"]
[null,"2026-12-25"]
[null,"2026-12-28"]
[null,"2027-01-01"]
[null,"2027-12-27"]
[null,"2027-12-28"]
[null,"2028-01-03"]
[null,"2028-12-25"]
[null,"2028-12-26"]
[null,"2029-01-01"]
[null,"2029-12-25"]
[null,"2029-12-26"]
[null,"2030-01-01"]
[null,"2030-12-25"]
[null,"2030-12-26"]
[null,"2031-01-01"]
[null,"2031-12-25"]
[null,"2031-12-26"]
[null,"2032-01-01"]
[null,"2032-12-27"]
[null,"2032-12-28"]