Spot date 10/3/2012

Maturity Dates Market Quotes Source Tenor

10/4/2012 0.095 LIBOR o/n 10/4/2012
11/5/2012 0.116 LIBOR 11/5/2012
1/3/2013 0.223 LIBOR 1/3/2013
4/3/2013 0.438 LIBOR 3/20/2013
6/19/2013 99.786 Futures 4/3/2013
9/18/2013 99.752 Futures 6/19/2013
12/18/2013 99.723 Futures 9/18/2013
3/19/2014 99.669 Futures 1 10/3/2013
10/3/2014 0.475 Swap 12/18/2013
10/5/2015 0.586 Swap 3/19/2014
10/3/2016 0.752 Swap 2 10/3/2014
10/3/2017 0.942 Swap 3 10/5/2015
10/3/2019 1.324 Swap 4 10/3/2016
10/3/2022 1.739 Swap 5 10/3/2017
10/4/2027 2.165 Swap 6 10/3/2018
10/4/2032 2.280 Swap 7 10/3/2019
10/3/2042 2.332 Swap 8 10/3/2020
9 10/3/2021
Remark: The maturity dates of the futures 10 10/3/2022
instrument correspond to the end dates of their 11 10/3/2023
reference period. This means that the 12 10/3/2024
corresponding reset date (i.e. the beginning of the 13 10/3/2025
reference period) is three months earlier. 14 10/3/2026
15 10/4/2027
16 10/4/2028
17 10/4/2029
18 10/4/2030
19 10/4/2031
20 10/4/2032
21 10/4/2033
22 10/4/2034
23 10/4/2035
24 10/4/2036
25 10/4/2037
26 10/4/2038
27 10/4/2039
28 10/4/2040
29 10/4/2041
30 10/3/2042
Cash 4
Discount bond price
0.095000000
0.116000000
0.223000000
0.404555556 0.16
0.438000000
99.786000000
99.752000000
99.747219780 0.84
99.723000000
99.669000000
0.475000000
0.586000000
0.752000000
0.942000000
1.133200000 0.50
1.324400000 0.50
1.462852190 0.67
1.600926095 0.50
1.739000000 0.50
1.824106732 0.80
1.909446634 0.75
1.994553366 0.67
2.079660099 0.50
2.165000000 0.50
2.188037767 0.80
2.211012589 0.75
2.233987411 0.67
2.256962233 0.50
2.280000000 0.50
2.285198576 0.90
2.290397151 0.89
2.295595727 0.88
2.300808546 0.86
2.306007121 0.83
2.311205697 0.80
2.316404273 0.75
2.321617091 0.67
2.326815667 0.50
2.332000000