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23822IN 221 Ref Bond Fields

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23822IN 221 Ref Bond Fields Powered By Docstoc
					DTCC Short Form spreadsheet upload record format
This version: 1.3.3
The following points are explanatory only.
Status of this document


This document should be used alongside Appendix F of the Operating Procedures and relates specifically to the Interest Rates Derivatives service.


Key notes

Basics
The initial IRS service will deliver support for "New" trades confirmation, of IRS and Swaption trades.
We will support any Floating Rate Option (index) defined using Defaults (see tab). New ones can be added at your request.
Customers can send trades using this format, or FpML. The FpML will be validated to contain the defaults defined here, plus any other rules implied by this sheet.


Reference Banks
ISDA and FpML state that where parties elect to use Reference Banks for pricing an ETC or Swaption cash settlement, if the Reference Banks are not agreed in the initial
confirmation then the parties are agreeing to leave that choice until the relevant Exercise Date, which in some cases could be many years in the future.
We have removed an earlier section on reference banks at the request of Working Group members to allow for the above.


Horizontal format
The file format used to load trades into the DTCC service will actually be aligned horizontally with one trade per row, with a row of field headings at the top.
Look at the "Example Records" tab.


Exercise / Valuation dates & times
For an Exercise or Valuation event, there is both a Valuation Business Days and Valuation Time Business Days. The former is used to arrive at the good business day on which
Exercise is eligible, the latter is the single location on the planet (e.g. Brussels) to which the Earliest and Latest Exercise Times refer. Exercise must take place between
an Earliest and Latest time specific to a single location, having two places for Time (e.g. GBLO, USNY) makes no sense due to the time zone differences.
Find the good date first using as many calendars as required, then pick one of them as the reference point for exercise timing.


Swaption & ETC relative dates
For an ETC (Early Termination Clause), the customer specifies a single (European style) or multiple (Bermuda style) Cash Settlement Payment Date(s). The Exercise Date and
Valuation date are then relative to the CSPD.
For a Swaption, the customer specifies the Swaption Expiration Date and the Valuation Date and Cash Settlement Payment Date are determined relevative to that date.


Reference Bond on the Fixed Leg
This concept means the payments on the fixed leg should exactly match those on the referenced bond. There is no contractual connection between the Swap and the
Bond, neither when the trade is first booked, nor at any time later. Should some event happen to the bond such as re-structuring, redemption or any corporate action,
it will require the parties to this swap to decide whether or not the IRS should be amended to reflect the action on the bond, or not, using an amendment, termination,
etc.


Time Equivalence
Seven days (7D) = one week (1W) and twelve months (12M) = one year (1Y) for matching on time periods, but 365D and 52W will not be treated as 1Y.


Effective Date and Termination Date
The defaults for Effective Date are currently NONE/empty for the BDC and Business Centres, therefore not applying any adjustment to Effective Date.
Termination Date conversely has defaults which specify the appropriate adjustment for the date.
     DTCC Deriv/SERV Trade Upload - Short Form Field Parameters
                                                                                                                                                                  Applicable
                                        Cell                                                                                                             Matching Transactio
Ref      Data         Field            Format          Example                                   Valid Entry                                 Weighting      ?      n Types                InterestSwap                           InterestSwaption
 1 Comment                           Text                               * (i.e. the asterisk character) When an asterisk is present the         N/A         No        All      Optional                                  Optional
                                                                        entire line is treated as a comment
2    Activity                        Text                        New    New, Modify, Cancel, DK                                                 N/A        Yes        All      Required                                  Required
3    Transaction Type                Text                       Trade   Trade, Exit                                                             N/A        Yes        All      Required                                  Required
4    Product Type                    Text               InterestSwap    InterestSwap, InterestSwaption                                          N/A        Yes        All      Required, must be "InterestSwap"          Required, must be "InterestSwaption"
5    Originator ID                   Text                   0000xxxx    Your 8-Character DTCC Participant ID (e.g., 00006443).                  N/A        Yes        All      Required                                  Required
6    Trade Reference Number          Text                DTCCEX-01      Up to 40 alphanumeric characters Contains the Originator's              N/A        No         All      Required                                  Required
                                                                        Trade Reference Number. When Activity is DK, this field contains
                                                                        the Counterparty's Trade Reference Number.
7 Counterparty ID                    Text                   0000yyyy    Counter party 8-Character DTCC Participant ID (e.g., 00006440).         N/A        Yes       Trade     Required                                  Required

8    Trade Date                      YYYY-MM-DD          2003-09-01     Any valid date.                                                          5         Yes       Trade     Required                                  Required
9    Effective Date (Adjusted)       YYYY-MM-DD          2004-11-03     Any valid date.                                                          5         Yes       Trade     Required                                  Required
10   Termination Date                YYYY-MM-DD          2006-11-03     Any valid date.                                                          5         Yes       Trade     Required                                  Required
11   Notional Currency               Text                      EUR      Valid ISO 3-character currency code.                                     5         Yes       Trade     Required                                  Required
12   Notional                        Number with 0       200000000      Matching will be with a tolerance of one currency unit                   5         Yes       Trade     Required                                  Required
                                     to 2 decimal
                                     places
13 Master Agreement Date             YYYY-MM-DD          1992-01-01 Any valid date.                                                              3          Yes      Trade     Required                                  Required
14 Master Agreement Type             Text                 ISDA2002 ISDA2002, ISDA1987, ISDA1992                                                  3          Yes      Trade     Required                                  Required
15 Master Supplement Date            YYYY-MM-DD          2003-07-01 Any valid date.                                                              3       Yes when    Trade     Optional                                  Optional
                                                                                                                                                          present
16 Definitions Type                  Text                  ISDA2000 ISDA2000                                                                     3       Yes when    Trade     Required                                  Required
                                                                                                                                                          present
17 Independent Amount Payer          Text                  0000zzzz 8-Character Participant ID (e.g., 00006103)                                  3       Yes when    Trade     Optional                                  Optional
                                                                                                                                                          present
18 Independent Amount Currency       Text                       USD Valid ISO 3-character currency code.                                         1       Yes when    Trade     Conditional, required if Independent      Conditional, required if Independent
                                                                                                                                                          present              Amount is entered, not allowed            Amount is entered, not allowed
                                                                                                                                                                               otherwise                                 otherwise
19 Independent Amount                Number with 0            100000 Matching will be with a tolerance of one currency unit                      3       Yes when    Trade     Conditional, required if Independent      Conditional, required if Independent
                                     to 2 decimal                                                                                                         present              Amount Payer is entered and               Amount Payer is entered and
                                     places                                                                                                                                    Independent Amount Percent is not         Independent Amount Percent is not
                                                                                                                                                                               entered, not allowed otherwise            entered, not allowed otherwise
20 Independent Amount                Number with 0                      Enter 1.50000 for 1.5% Do not enter % sign in cell. Zero is not a        3       Yes when    Trade     Conditional, required if Independent      Conditional, required if Independent
   Percentage                        to 5 decimal                       valid input.                                                                      present              Amount Payer is entered and               Amount Payer is entered and
                                     places                                                                                                                                    Independent Amount is not entered, not    Independent Amount is not entered, not
                                                                                                                                                                               allowed otherwise                         allowed otherwise
21 Floating Rate Payer               Text                  0000xxxx Floating Rate Payer 8-Character DTCC Participant ID (e.g.,                   5         Yes       Trade     Required                                  Required
                                                                     00006440).
22 Floating Rate Option              Text                     EUR- Any floating rate option supported by DTCC , See list                         5         Yes       Trade     Required                                  For InterestSwaption, the following are
                                                          EURIBOR-                                                                                                                                                       not allowed: GBP-WMBA-SONIA-
                                                            Telerate                                                                                                                                                     COMPOUND, EUR-EONIA-OIS-
                                                                                                                                                                                                                         COMPOUND, and USD-Federal
                                                                                                                                                                                                                         Funds-H.15
23 Floating Rate Spread              Number with 0           0.00000 Enter 1.50000 for 1.5% Do not enter % sign in cell. Zero is valid           3         Yes       Trade     Required                                  Required
                                     to 5 decimal                    input.
                                     places
24 Floating Leg Roll Convention      Text                           3 Any supported FpML roll convention including: "EOM", "FRN",                1         Yes       Trade     Required                                  Required
                                                                      "IMM", "IMMCAD", "SFE", "NONE", "TBILL", "MON", "TUE",
                                                                      "WED", "THU", "FRI", "SAT", "SUN", or any integer from 1 to 30.

25 Floating Leg Payment              Text                         6M Specified as an an integer multiplier of a period D, W, M, Y or T           5         Yes       Trade     Required                                  Required
   Frequency                                                          (e.g. 1M for 1 month). For matching, 7D=1W and 12M=1Y
26 Floating Leg Reset Frequency      Text                         6M Specified as an an integer multiplier of a period D, W, M, Y or T           5         Yes       Trade     Required                                  Required
                                                                      (e.g. 1M for 1 month). For matching, 7D=1W and 12M=1Y
27 Floating Leg Pay Relative To      Text             CalculationPeri CalculationPeriodStartDate, CalculationPeriodEndDate                       1         Yes       Trade     Required                                  Required
                                                         odEndDate
28 Floating Rate Designated          Text                         6M Specified as an an integer multiplier of a period D, W, M, Y or T           5         Yes       Trade     Conditional, required if Floating Rate    Conditional, required if Floating Rate
   Maturity                                                           (e.g. 1M for 1 month). For matching, 7D=1W and 12M=1Y.                                                   Option contains any value except GBP-     Option contains any value except GBP-
                                                                                                                                                                               WMBA-SONIA-COMPOUND, EUR-                 WMBA-SONIA-COMPOUND, EUR-
                                                                                                                                                                               EONIA-OIS-COMPOUND, or USD-               EONIA-OIS-COMPOUND, or USD-
                                                                                                                                                                               Federal Funds-H.15. Not allowed when      Federal Funds-H.15. Not allowed when
                                                                                                                                                                               Floating Rate Option contains one of      Floating Rate Option contains one of
                                                                                                                                                                               these values.                             these values.
29 Floating Leg Daycount Fraction    Text                   ACT/360 1/1, ACT/365.ISDA, ACT/ACT.ISMA, ACT/ACT.AFB,                                1         Yes       Trade     Required                                  Required
                                                                      ACT/365.FIXED, ACT/360, 30/360, 30E/360
30 Floating Leg Reset Relative To    Text             CalculationPeri CalculationPeriodStartDate, CalculationPeriodEndDate                       1         Yes       Trade     Required                                  Required
                                                         odStartDate
31 Floating Leg Compounding          Text                             Flat, Straight, None. Only include if the calculation period is more       1       Yes when    Trade     Optional                                  Optional
   Method                                                             frequent than the payment period.                                                   present
32 Floating Leg Calculation Period   Text                         6M Specified as an an integer multiplier of a period D, W, M, Y or T           5          Yes      Trade     Required                                  Required
   Frequency                                                          (e.g. 1M for 1 month). For matching, 7D=1W and 12M=1Y
33 Floating Leg Averaging Method     Text                             Unweighted, Weighted                                                       1       Yes when    Trade     Optional                                  Optional
                                                                                                                                                          present
34 Floating Leg Rate Cut Off Days    Number with 0                      A negative integer number of days. Zero is not a valid value             1       Yes when    Trade     Optional                                  Optional
                                     decimal places                                                                                                       present
35 Floating Leg Initial Rate         Number with 0           0.00000 Enter 1.50000 for 1.5% Do not enter % sign in cell. Zero is not             1       Yes when    Trade     Optional                                  Optional
                                     to 5 decimal                    valid input.                                                                         present
                                     places
36 Fixed Rate Payer                  Text                   0000yyyy Fixed Rate Payer 8-Character DTCC Participant ID (e.g.,                     5         Yes       Trade     Required                                  Required
                                                                     00006443).
37 Fixed Rate                        Number with 0           4.32430 Enter 1.50000 for 1.5% Do not enter % sign in cell. Zero is not             5         Yes       Trade     Required                                  Required
                                     to 5 decimal                    valid input.
                                     places
38 Fixed Leg Roll Convention         Text                           3 Any supported FpML roll convention including: "EOM", "FRN",                1         Yes       Trade     Required                                  Required
                                                                      "IMM", "IMMCAD", "SFE", "NONE", "TBILL", "MON", "TUE",
                                                                      "WED", "THU", "FRI", "SAT", "SUN", or any integer from 1 to 30.

39 Fixed Leg Calculation Period      Text                        12M Specified as an an integer multiplier of a period D, W, M, Y or T           5         Yes       Trade     Required                                  Required
   Frequency                                                          (e.g. 1M for 1 month). For matching, 7D=1W and 12M=1Y
40 Fixed Leg Daycount Fraction       Text                      30/360 1/1, ACT/365.ISDA, ACT/ACT.ISMA, ACT/ACT.AFB,                              1         Yes       Trade     Required                                  Required
                                                                      ACT/365.FIXED, ACT/360, 30/360, 30E/360
41 Fixed Leg Payment Frequency       Text                        12M Specified as an an integer multiplier of a period D, W, M, Y or T           5         Yes       Trade     Required                                  Required
                                                                      (e.g. 1M for 1 month). For matching, 7D=1W and 12M=1Y
42 Fixed Leg Pay Relative To         Text             CalculationPeri CalculationPeriodStartDate, CalculationPeriodEndDate                       1         Yes       Trade     Required                                  Required
                                                         odEndDate
43 ETC or Swaption Follow Up         Text                           N Y or N                                                                     1       Yes when    Trade     Conditional, required if ETC First Cash Required
   Confirmation                                                                                                                                           present              Settlement Payment Date is entered,
                                                                                                                                                                               not allowed otherwise
44 ETC First Cash Settlement         YYYY-MM-DD          2005-05-03 Any valid date.                                                              5       Yes when    Trade     Not allowed when Floating Rate Option     Not allowed when Floating Rate Option
   Payment Date                                                                                                                                           present              is GBP-WMBA-SONIA-COMPOUND,               is GBP-WMBA-SONIA-COMPOUND,
                                                                                                                                                                               EUR-EONIA-OIS-COMPOUND, or                EUR-EONIA-OIS-COMPOUND, or
                                                                                                                                                                               USD-Federal Funds-H.15                    USD-Federal Funds-H.15
45 ETC Cash Settlement Repeat        Text                         1Y For a Bermuda-style ETC, specify the integer multiplier of a                5       Yes when    Trade     Conditional. Required if ETC First        Conditional. Required if ETC First
   Period                                                            period D, W, M, or Y (e.g. 1M for 1 month). For matching, 7D=1W                      present              Cash Settlement Payment Date is           Cash Settlement Payment Date is
                                                                     and 12M=1Y. For an American-style ETC, always specify 1D. Not                                             entered and this is a Bermudan or         entered and this is a Bermudan or
                                                                     used for a European-style option.                                                                         American style ETC, not allowed           American style ETC, not allowed
                                                                                                                                                                               otherwise                                 otherwise
46 ETC Last Cash Settlement          YYYY-MM-DD          2016-11-02 Any valid date. Used for a Bermudan or American style ETC.                   5       Yes when    Trade     Conditional. Required if ETC First        Conditional. Required if ETC First
   Payment Date                                                                                                                                           present              Cash Settlement Payment Date is           Cash Settlement Payment Date is
                                                                                                                                                                               entered and this is a Bermudan or         entered and this is a Bermudan or
                                                                                                                                                                               American style ETC, not allowed           American style ETC, not allowed
                                                                                                                                                                               otherwise                                 otherwise
47 ETC Cash Settlement Method        Text                 CashPrice CashPrice, CashPriceAlternate, ParYieldCurveAdjusted,                        3       Yes when    Trade     Conditional, required if ETC First Cash   Conditional, required if ETC First Cash
                                                                    ParYieldCurveUnadjusted, or ZeroCouponYieldAdjusted                                   present              Settlement Payment Date is entered,       Settlement Payment Date is entered,
                                                                                                                                                                               not allowed otherwise                     not allowed otherwise
48 ETC Quotation Rate Type           Text                          id Bid, Mid, Ask, or ExercisingPartyPays                                      3       Yes when    Trade     Conditional, required if ETC First Cash   Conditional, required if ETC First Cash
                                                                                                                                                          present              Settlement Payment Date is entered.       Settlement Payment Date is entered.
                                                                                                                                                                               Not allowed otherwise                     Not allowed otherwise
49 ETC Rate Source                   Text                               BankOfCanada, BankOfJapan, Bloomberg, FederalReserve,                    1       Yes when    Trade     Optional, allowed only if ETC Cash        Optional, allowed only if ETC Cash
                                                                        FHLBSF, ISDA, Reuters, SAFEX, or Telerate                                         present              Settlement Method is                      Settlement Method is
                                                                                                                                                                               ParYieldCurveAdjusted,                    ParYieldCurveAdjusted,
                                                                                                                                                                               ParYieldCurveUnadjusted, or               ParYieldCurveUnadjusted, or
                                                                                                                                                                               ZeroCouponYieldAdjusted, not allowed      ZeroCouponYieldAdjusted, not allowed
                                                                                                                                                                               otherwise                                 otherwise
50 ETC Page                          Text                               Up to 255 alphanumeric characters                                        1       Yes when    Trade     Optional, allowed only if ETC Rate        Optional, allowed only if ETC Rate
                                                                                                                                                          present              Source is entered                         Source is entered
51 ETC Page Heading                  Text                               Up to 255 alphanumeric characters                                        1       Yes when    Trade     Optional, allowed only if ETC Rate        Optional, allowed only if ETC Rate
                                                                                                                                                          present              Source is entered                         Source is entered
52 Swaption Buyer                    Text                   0000xxxx Buyer's 8-Character DTCC Participant ID (e.g., 00006443).                   5       Yes when    Trade     Not Allowed                               Required
                                                                                                                                                          present
53 Swaption Straddle                 Text                          N Y or N                                                                      3       Yes when    Trade     Not Allowed                               Required
                                                                                                                                                          present
54 Swaption Expiration Date          YYYY-MM-DD          2004-11-01 Any valid date                                                               5       Yes when    Trade     Not Allowed                               Required
                                                                                                                                                          present



                                                                                                                                                                                                                                              Upload Field Parameters
    DTCC Deriv/SERV Trade Upload - Short Form Field Parameters
                                                                                                                                                             Applicable
                                        Cell                                                                                                        Matching Transactio
Ref         Data Field                 Format         Example                                 Valid Entry                            Weighting         ?      n Types                InterestSwap                           InterestSwaption
 55 Swaption Premium Amount          Number with 0       100000.00 Matching will be with a tolerance of one currency unit.                5          Yes when    Trade    Not Allowed                               Required
                                     to 2 decimal                                                                                                     present
                                     places
56 Swaption Premium Currency         Text                      EUR Valid ISO 3-character currency code.                                   3          Yes when    Trade    Not Allowed                               Required
                                                                                                                                                      present
57 Swaption Premium Payment          YYYY-MM-DD         2004-09-03 Any valid date.                                                        5          Yes when    Trade    Not Allowed                               Required
   Date (Adjusted)                                                                                                                                    present
58 Swaption Settlement Type          Text                     Cash Cash or Physical                                                       5          Yes when    Trade    Not Allowed                               Required
                                                                                                                                                      present
59 Swaption Cash Settlement          Text                CashPrice CashPrice, CashPriceAlternate, ParYieldCurveAdjusted,                  1          Yes when    Trade    Not Allowed                               Conditional: Required if Swaption
   Method                                                          ParYieldCurveUnadjusted, or ZeroCouponYieldAdjusted                                present                                                       Settlement Type is Cash, not allowed
                                                                                                                                                                                                                    otherwise
60 Swaption Quotation Rate Type      Text                       Mid Bid, Mid, Ask, or ExercisingPartyPays                                 1          Yes when    Trade    Not Allowed                               Conditional: Required if Swaption
                                                                                                                                                      present                                                       Settlement Type is Cash, not allowed
                                                                                                                                                                                                                    otherwise
61 Swaption Rate Source              Text                            BankOfCanada, BankOfJapan, Bloomberg, FederalReserve,                1          Yes when    Trade    Not Allowed                               Optional, allowed only if Swaption
                                                                     FHLBSF, ISDA, Reuters, SAFEX, or Telerate                                        present                                                       Cash Settlement Method is
                                                                                                                                                                                                                    ParYieldCurveAdjusted,
                                                                                                                                                                                                                    ParYieldCurveUnadjusted, or
                                                                                                                                                                                                                    ZeroCouponYieldAdjusted, not allowed
                                                                                                                                                                                                                    otherwise
62 Swaption Page                     Text                            Up to 255 alphanumeric characters                                    1          Yes when    Trade    Not Allowed                               Optional, allowed only if Swaption Rate
                                                                                                                                                      present                                                       Source is entered
63 Swaption Page Heading             Text                            Up to 255 alphanumeric characters                                    1          Yes when    Trade    Not Allowed                               Optional, allowed only if Swaption Rate
                                                                                                                                                      present                                                       Source is entered
64 Additional Payment Amount         Number with 0          1000.00 Matching will be with a tolerance of one currency unit                5          Yes when    Trade    Optional                                  Optional
                                     to 2 decimal                                                                                                     present
                                     places
65 Additional Payment Currency       Text                      GBP Valid ISO 3-character currency code.                                   3          Yes when    Trade    Conditional: required if Additional       Conditional: required if Additional
                                                                                                                                                      present             Payment Amount is entered, not            Payment Amount is entered, not
                                                                                                                                                                          allowed otherwise                         allowed otherwise
66 Additional Payment Payer          Text                  0000yyyy Payer's 8-Character DTCC Participant ID (e.g., 00006443).             5          Yes when    Trade    Conditional: required if Additional       Conditional: required if Additional
                                                                                                                                                      present             Payment Amount is entered, not            Payment Amount is entered, not
                                                                                                                                                                          allowed otherwise                         allowed otherwise
67 Additional Payment Pay Date       YYYY-MM-DD         2005-04-18 Any valid date.                                                        3          Yes when    Trade    Conditional: required if Additional       Conditional: required if Additional
   (Adjusted)                                                                                                                                         present             Payment Amount is entered, not            Payment Amount is entered, not
                                                                                                                                                                          allowed otherwise                         allowed otherwise
68 Reference Bond Identifier         Text             US3136F32J4 Bond Identifier (up to 12 Characters)                                   5          Yes when    Trade    Optional                                  Optional
                                                                 9                                                                                    present
69 Reference Bond Identifier Type    Text                     ISIN Bloomberg, CUSIP, ISIN, RIC, RED, SEDOL, Sicovam                       5          Yes when    Trade    Conditional - required if Reference       Conditional - required if Reference
                                                                                                                                                      present             Bond Identifier is entered, not allowed   Bond Identifier is entered, not allowed
                                                                                                                                                                          otherwise                                 otherwise
70 DK Reason                         Text                            Up to 255 alphanumeric characters                                    0             No       Trade    Optional when Activity is "DK"; not       Optional when Activity is "DK"; not
                                                                                                                                                                          allowed otherwise                         allowed otherwise
71 Exit Message                      Text                            "1" (Novation Outside DTCC), "2" (Partial Termination Outside        5             Yes      Exit     Required when Transaction Type is         Required when Transaction Type is
                                                                     DTCC), "3" (Additional Documents Outside DTCC) , or "4"                                              Exit; not allowed otherwise               Exit; not allowed otherwise
                                                                     (Other)
72 Exit Additional Message           Text                            Up to 255 alphanumeric characters                                    0             No       Exit     Optional when Transaction Type is         Optional when Transaction Type is
                                                                                                                                                                          Exit; not allowed otherwise               Exit; not allowed otherwise

                             NOTE: Every column above is required in the spreadsheet (see the examples on the "Trade Upload Template" sheet in this workbook.)
                                   When the data is "Not Allowed" or is Optional and not provide the column must appear but these cells will be empty.
                                   All dates are unadjusted unless otherwise noted.




                                                                                                                                                                                                                                          Upload Field Parameters
In all cases these lists follow the FpML 4.1 definition.


Roll Convention
                   EOM
                   FRN


                   IMM


                  IMMCAD




                  NONE
                   SFE


                  TBILL


                   MON
                   TUE
                   WED
                   THU
                   FRI
                   SAT
                   SUN
                    1
                    2
                    3
                    4
                    5
                    6
                    7
                    8
                    9
                    10
                    11
                    12
                    13
                    14
                    15
                    16
                    17
                    18
                    19
                    20
                    21
                    22
                    23
                    24
                    25
                    26
                    27
                    28
                    29
                    30
                    31


Daycount Fraction
          1/1



          ACT/365.ISDA




          ACT/ACT.ISMA




          ACT/ACT.AFB



          ACT/365.FIXED




          ACT/360




          30/360




          30E/360




Floating Rate Option (contact DTCC to request additions)
Cash Settlement Method




Rate Source




Bond Identifier Type




Business Centres
          Code
          ARBA
          ATVI
          AUME
          AUSY
          BEBR
          BRSP
          CAMO
          CATO
          CHGE
          CHZU
          CLSA
          CNBE
CZPR
DEFR
DKCO
EETA
ESMA
EUTA
FIHE
FRPA
GBLO
GRAT
HKHK
HUBU
IDJA
ILTA
ITMI
ITRO
JPTO
KRSE
LBBE
LULU
MXMC
MYKL
NLAM
NOOS
NZAU
NZWE
PAPC
PHMA
PLWA
RUMO
SARI
SEST
SGSI
SKBR
THBA
TRAN
TWTA
USCH
USLA
USNY
ZAJO
ll cases these lists follow the FpML 4.1 definition.



                            Rolls on month end dates irrespective of the length of the month and the previous roll day.
                            Rolls days are determined according to the FRN Convention or Eurodollar Convention. Per 2000 ISDA Definitions, Section 4.11. FRN
                            Convention; Eurodollar Convention.
                            IMM Settlement Dates. The third Wednesday of the (delivery) month. Per 2000 ISDA Definitions, Section 4.17. IMM Settlement
                            Dates.
                            The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montréal Inc) Three-month Canadian Bankers'
                            Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If
                            the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business
                            day. Per Canadian Derivatives Exchange BAX contract specification.

                            The roll convention is not required. For example, in the case of a daily calculation frequency.
                            Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month. Per
                            Sydney Futures Exchange Contract Specification.
                            13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a
                            Tuesday.
                            Rolls weekly on a Monday.
                            Rolls weekly on a Tuesday.
                            Rolls weekly on a Wednesday.
                            Rolls weekly on a Thursday.
                            Rolls weekly on a Friday.
                            Rolls weekly on a Saturday.
                            Rolls weekly on a Sunday.
                            Rolls on the 1st day of the month.
                            Rolls on the 2nd day of the month.
                            Rolls on the 3rd day of the month.
                            Rolls on the 4th day of the month.
                            Rolls on the 5th day of the month.
                            Rolls on the 6thday of the month.
                            Rolls on the 7th day of the month.
                            Rolls on the 8th day of the month.
                            Rolls on the 9th day of the month.
                            Rolls on the 10th day of the month.
                            Rolls on the 11th day of the month.
                            Rolls on the 12th day of the month.
                            Rolls on the 13th day of the month.
                            Rolls on the 14th day of the month.
                            Rolls on the 15th day of the month.
                            Rolls on the 16th day of the month.
                            Rolls on the 17thday of the month.
                            Rolls on the 18th day of the month.
                            Rolls on the 19th day of the month.
                            Rolls on the 20th day of the month.
                            Rolls on the 21st day of the month.
                            Rolls on the 22nd day of the month.
                            Rolls on the 23rd day of the month.
                            Rolls on the 24th day of the month.
                            Rolls on the 25th day of the month.
                            Rolls on the 26th day of the month.
                            Rolls on the 27th day of the month.
                            Rolls on the 28th day of the month.
                            Rolls on the 29th day of the month.
                         Rolls on the 30th day of the month.
                         Rolls on the 3st day of the month.



                         Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a), i.e.


                         if "1/1" is specified, 1.
                         Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (b), i.e.


                         If "Actual/365", "Act/365", "A/365", "Actual/Actual" or "Act/Act" is specified, the actual number of days in the Calculation Period or
                         Compounding Period in respect of which the payment is being made divided by 365 (or, if any portion of that Calculation Period or
                         Compounding Period falls in a leap year, the sum of (i) the actual number of days in that portion of the Calculation Period or
                         Compounding Period falling in a leap year divided by 366 and (ii) the actual number of days in that portion of the Calculation
                         Period or Compounding Period falling in a non-leap year divided by 365).

                         The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of
                         the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after
                         December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond.


                         The Fixed/Floating Amount will be calculated in accordance with the "BASE EXACT/EXACT" day count fraction, as defined in the
                         "Definitions Communes à plusieurs Additifs Techniques" published by the Association Française des Banques in September 1994.


                         Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (c), i.e.


                         if "Actual/365 (Fixed)", "Act/365 (Fixed)", "A/365 (Fixed)" or "A/365F" is specified, the actual number of days in the Calculation
                         Period or Compounding Period in respect of which payment is being made divided by 365.
                         Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (d), i.e.


                         if "Actual/360", "Act/360" or "A/360" is specified, the actual number of days in the Calculation Period or Compounding Period in
                         respect of which payment is being made divided by 360.
                         Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (e), i.e.


                         if "30/360", "360/360" or "Bond Basis" is specified, the number of days in the Calculation Period or Compounding Period in respect
                         of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30-
                         day months (unless (i) the last day of the Calculation Period or Compounding Period is the 31st day of a month but the first day of
                         the Calculation Period or Compounding Period is a day other than the 30th or 31st day of a month, in which case the month that
                         includes that last day shall not be considered to be shortened to a 30-day month, or (ii) the last day of the Calculation Period or
                         Compounding Period is the last day of the month of February, in which case the month of February shall not be considered to be
                         lengthened to a 30-day month)).

                         Per Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (f), i.e.


                         if "30E/360" or "Eurobond Basis" is specified, the number of days in the Calculation Period or Compounding Period in respect of
                         which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30-day
                         months, without regard to the date of the first day or last day of the Calculation Period or Compounding Period unless, in the case
                         of the final Calculation Period or Compounding Period, the Termination Date is the last day of the month of February, in which
                         case the month of February shall not be considered to be lengthened to a 30-day month).




ating Rate Option (contact DTCC to request additions)
                         USD-LIBOR-BBA
                         GBP-LIBOR-BBA
                         EUR-EURIBOR-Telerate
                         EUR-LIBOR-BBA
                         JPY-LIBOR-BBA
                         CAD-LIBOR-BBA
                         CAD-BA-CDOR
                         DKK-CIBOR-DKNA13
NOK-NIBOR-NIBR
SEK-STIBOR-SIDE
CHF-LIBOR-BBA
AUD-BBR-BBSW
NZD-BBR-FRA
ZAR-JIBAR-SAFEX
MXN-TIIE-Banxico
HUF-BUBOR-Reuters
PLZ-WIBOR-WIBO
GBP-WMBA-SONIA-COMPOUND
EUR-EONIA-OIS-COMPOUND
USD-Federal Funds-H.15



CashPrice
CashPriceAlternate
ParYieldCurveAdjusted
ParYieldCurveUnadjusted
ZeroCouponYieldAdjusted



BankOfCanada
BankOfJapan
Bloomberg
FederalReserve
FHLBSF
ISDA
Reuters
SAFEX
Telerate



Bloomberg
CUSIP
ISIN
RIC
RED
SEDOL
SICOVAM



Meaning
Buenos Aires
Vienna
Melbourne
Sydney
Brussels
São Paulo
Montreal
Toronto
Geneva
Zürich
Santiago
Beijing
Prague
Frankfurt
Copenhagen
Tallinn
Madrid
TARGET (euro 'Business Center')
Helsinki
Paris
London
Athens
Hong Kong
Budapest
Jakarta
Tel Aviv
Milan
Rome
Tokyo
Seoul
Beirut
Luxembourg
Mexico City
Kuala Lumpur
Amsterdam
Oslo
Auckland
Wellington
Panama City
Manila
Warsaw
Moscow
Riyadh
Stockholm
Singapore
Bratislava
Bangkok
Ankara
Taipei
Chicago
Los Angeles
New York
Johannesburg
Short Form - Defaults
         Block          Ref Weight Field                                                      DTCC Example            USD-LIBOR-BBA                 GBP-LIBOR-BBA               EUR-EURIBOR-Telerate

DEFAULTED FIELDS

        Block           Ref         Field
Termination Date         1    N/A   Business Day Convention                                MODFOLLOWING              MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                         2    N/A   Business Days                                             EUTA, USNY              GBLO, USNY                        GBLO                           EUTA
Fixed Leg Payments       3    N/A   Business Day Convention                                MODFOLLOWING              MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                         4    N/A   Business Days                                             EUTA, USNY              GBLO, USNY                        GBLO                           EUTA
Fixed Leg Calc Period    5    N/A   Business Day Convention                                MODFOLLOWING              MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                         6    N/A   Business Days                                             EUTA, USNY              GBLO, USNY                        GBLO                           EUTA
Float Leg Payments       7    N/A   Business Day Convention                                MODFOLLOWING              MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                         8    N/A   Business Days                                             EUTA, USNY              GBLO, USNY                        GBLO                           EUTA
Float Leg Calc Period    9    N/A   Business Day Convention                                MODFOLLOWING              MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                        10    N/A   Business Days                                             EUTA, USNY              GBLO, USNY                        GBLO                           EUTA
Reset Dates             11    N/A   Business Day Convention                                MODFOLLOWING              MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                        12    N/A   Business Days                                             EUTA, USNY              GBLO, USNY                        GBLO                           EUTA
Initial Fixing Date     13    N/A   Business Day Convention                                        NONE                  NONE                           NONE                           NONE
                        14    N/A   Business Days                                                   EUTA                 GBLO                           empty                          EUTA
                        15    N/A   Lag (Days)                                                         -2                 -2                              0                             -2
Fixing Dates            16    N/A   Business Day Convention                                        NONE                  NONE                           NONE                           NONE
                        17    N/A   Business Days                                                   EUTA                 GBLO                           empty                          EUTA
                        18    N/A   Lag (Days)                                                         -2                 -2                              0                             -2

        Block           Ref         Field
      Early Term.       19    N/A   Type                                                             Optional              Optional                       Optional                       Optional
                        20    N/A        Exercise Rights                                                 Both                Both                           Both                           Both
                        21    N/A        Exercise Dates (Days)                                             -5                 -5                             -5                             -5
                        22    N/A        Exercise Business Days                           GBLO, EUTA, USNY              USNY, GBLO                         GBLO                       GBLO, EUTA
                        23    N/A        Exercise Business Days Convention                  MODFOLLOWING             MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                        24    N/A        Exercise Time Business Days                                   BEBR                 USNY                           GBLO                           BEBR
                        25    N/A        Earliest exercise time                                          9:00                9:00                           9:00                           9:00
                        26    N/A        Expiration time                                                11:00               11:00                          11:00                          11:00
                        27    N/A        Valuation Days                                                    -2                 -2                              0                             -2
                        28    N/A        Valuation Business Days                                GBLO, EUTA              USNY, GBLO                         GBLO                       GBLO, EUTA
                        29    N/A        Valuation Business Days Convention                      PRECEDING               PRECEDING                         NONE                        PRECEDING
                        30    N/A        Valuation Time Business Days                                  BEBR                 USNY                           GBLO                           BEBR
                        31    N/A        Valuation time                                                 11:00               11:00                          11:00                          11:00
                        32    N/A        Cash Settlement Business Days Convention           MODFOLLOWING             MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                        33    N/A        Cash Settlement Business Days                    GBLO, EUTA, USNY              USNY, GBLO                         GBLO                       GBLO, EUTA
                        34    N/A   Calculation Agent                           AsSpecifiedInMasterAgreement    AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement
                        35    N/A        Cash settlement currency                                        EUR                 USD                            GBP                            EUR
        Swaption        36    N/A        Exercise Business Days                           GBLO, EUTA, USNY              USNY, GBLO                         GBLO                       GBLO, EUTA
                        37    N/A        Exercise Business Days Convention                  MODFOLLOWING             MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
                        38    N/A        Exercise Time Business Days                                   BEBR                 USNY                           GBLO                           BEBR
                        39    N/A        Earliest exercise time                                          9:00                9:00                           9:00                           9:00
                        40    N/A        Expiration time                                                11:00               11:00                          11:00                          11:00
                        41    N/A        Valuation Days                                                     0                  0                              0                              0
                        42    N/A        Valuation Time Business Days                                  BEBR                 USNY                           GBLO                           BEBR
                        43    N/A        Valuation Business Days Convention                            NONE                 NONE                           NONE                           NONE
                        44    N/A        Valuation Time                                                 11:00               11:00                          11:00                          11:00
                        45    N/A        Cash Settlement Business Days Convention           MODFOLLOWING             MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
46   N/A       Cash Settlement Business Days                   GBLO, EUTA, USNY              USNY, GBLO                         GBLO                       GBLO, EUTA
47   N/A       Cash Settlement Payment Date (Days)                               2                  2                              0                              2
48   N/A       Cash Settlement Currency                                       EUR                 USD                            GBP                            EUR
49   N/A   Calculation Agent                         AsSpecifiedInMasterAgreement    AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement
50   N/A   Exercise method                                               Automatic              Manual                        Automatic                      Automatic
51             Fallback applicable?                                         empty                 true                          empty                          empty
52   N/A       Threshold for Auto Exercise                                  0.00%                empty                          0.00%                          0.00%
      EUR-LIBOR-BBA                  JPY-LIBOR-BBA                 CAD-LIBOR-BBA                   CAD-BA-CDOR                 DKK-CIBOR-DKNA13                 NOK-NIBOR-NIBR




     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
      EUTA, GBLO                      JPTO, GBLO                    CATO, GBLO                        CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
      EUTA, GBLO                      JPTO, GBLO                    CATO, GBLO                        CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
      EUTA, GBLO                      JPTO, GBLO                    CATO, GBLO                        CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
      EUTA, GBLO                      JPTO, GBLO                    CATO, GBLO                        CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
      EUTA, GBLO                      JPTO, GBLO                    CATO, GBLO                        CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
      EUTA, GBLO                      JPTO, GBLO                    CATO, GBLO                        CATO                           DKCO                           NOOS
         NONE                            NONE                          NONE                           NONE                           NONE                           NONE
         GBLO                            GBLO                          GBLO                           empty                          empty                          NOOS
          -2                              -2                            -2                              0                              0                             -2
         NONE                            NONE                          NONE                           NONE                           NONE                           NONE
         GBLO                            GBLO                          GBLO                           empty                          empty                          NOOS
          -2                              -2                            -2                              0                              0                             -2


           Optional                       Optional                       Optional                       Optional                       Optional                       Optional
             Both                           Both                           Both                           Both                           Both                           Both
              -5                             -5                             -5                             -5                             -5                             -5
        GBLO, EUTA                      GBLO, JPTO                    GBLO, CATO                         CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
            GBLO                           JPTO                           CATO                           CATO                           DKCO                           NOOS
             9:00                           9:00                           9:00                           9:00                           9:00                           9:00
            11:00                          15:00                          16:00                          16:00                          11:00                          12:00
              -2                             -2                              0                              0                             -2                             -2
        GBLO, EUTA                      JPTO, GBLO                    CATO, GBLO                         CATO                           DKCO                           NOOS
         PRECEDING                         NONE                           NONE                           NONE                           NONE                        PRECEDING
            GBLO                           JPTO                           CATO                           CATO                           DKCO                           NOOS
            11:00                          15:00                          16:00                          16:00                          11:00                          12:00
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
        GBLO, EUTA                      GBLO, JPTO                    GBLO, CATO                         CATO                           DKCO                           NOOS
AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement
             EUR                            JPY                            CAD                            CAD                            DKK                            NOK
        GBLO, EUTA                      GBLO, JPTO                    GBLO, CATO                         CATO                           DKCO                           NOOS
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
            GBLO                           JPTO                           CATO                           CATO                           DKCO                           NOOS
             9:00                           9:00                           9:00                           9:00                           9:00                           9:00
            11:00                          15:00                          16:00                          16:00                          11:00                          12:00
               0                              0                              0                              0                              0                              0
            GBLO                           JPTO                           CATO                           CATO                           DKCO                           NOOS
            NONE                           NONE                           NONE                           NONE                           NONE                           NONE
            11:00                          15:00                          16:00                          16:00                          11:00                          12:00
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
        GBLO, EUTA                      GBLO, JPTO                    GBLO, CATO                         CATO                           DKCO                           NOOS
               2                              2                              1                              1                              2                              2
             EUR                            JPY                            CAD                            CAD                            DKK                            NOK
AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement
          Automatic                       Manual                         Manual                         Manual                        Automatic                      Automatic
            empty                           true                           true                           true                          empty                          empty
            0.00%                          empty                          empty                          empty                          0.00%                          0.00%
     SEK-STIBOR-SIDE                 CHF-LIBOR-BBA                 AUD-BBR-BBSW                     NZD-BBR-FRA                  ZAR-JIBAR-SAFEX                MXN-TIIE-Banxico




     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
         SEST                        CHZU, GBLO                        AUSY                           NZWE                           ZAJO                           MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
         SEST                        CHZU, GBLO                        AUSY                           NZWE                           ZAJO                           MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
         SEST                        CHZU, GBLO                        AUSY                           NZWE                           ZAJO                           MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
         SEST                        CHZU, GBLO                        AUSY                           NZWE                           ZAJO                           MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
         SEST                        CHZU, GBLO                        AUSY                           NZWE                           ZAJO                           MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
         SEST                        CHZU, GBLO                        AUSY                           NZWE                           ZAJO                           MXMC
         NONE                           NONE                           NONE                           NONE                           NONE                           NONE
         SEST                           GBLO                           empty                          empty                          empty                          empty
          -2                             -2                              0                              0                              0                              0
         NONE                           NONE                           NONE                           NONE                           NONE                           NONE
         SEST                           GBLO                           empty                          empty                          empty                          empty
          -2                             -2                              0                              0                              0                              0


           Optional                       Optional                       Optional                       Optional                       Optional                       Optional
             Both                           Both                           Both                           Both                           Both                           Both
              -5                             -5                             -5                             -5                             -5                             -5
            SEST                       GBLO, CHZU                         AUSY                       NZWE, NZAU                      ZAJO, GBLO                        MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
            SEST                           GBLO                           AUSY                           NZWE                           ZAJO                           MXMC
             9:00                           9:00                           9:00                           9:00                           9:00                           9:00
            11:00                          11:00                          11:00                          11:00                          11:00                          11:00
              -2                             -2                             -2                             -2                             -2                             -2
            SEST                       GBLO, CHZU                         AUSY                       NZWE, NZAU                      ZAJO, GBLO                        MXMC
         PRECEDING                      PRECEDING                      PRECEDING                      PRECEDING                      PRECEDING                      PRECEDING
            SEST                           GBLO                           AUSY                           NZWE                           ZAJO                           MXMC
            11:00                          11:00                          11:00                          11:00                          11:00                          11:00
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
            SEST                       GBLO, CHZU                         AUSY                       NZWE, NZAU                      ZAJO, GBLO                        MXMC
AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement
             SEK                            CHF                            AUD                            NZD                            ZAR                            MXN
            SEST                       GBLO, CHZU                         AUSY                       NZWE, NZAU                      ZAJO, GBLO                        MXMC
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
            SEST                           GBLO                           AUSY                           NZWE                           ZAJO                           MXMC
             9:00                           9:00                           9:00                           9:00                           9:00                           9:00
            11:00                          11:00                          10:00                          11:00                          11:00                          11:00
               0                              0                              0                              0                              0                              0
            SEST                           GBLO                           AUSY                           NZWE                           ZAJO                           MXMC
            NONE                           NONE                           NONE                           NONE                           NONE                           NONE
            11:00                          11:00                          10:00                          11:00                          11:00                          11:00
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING
            SEST                       GBLO, CHZU                         AUSY                       NZWE, NZAU                      ZAJO, GBLO                        MXMC
               2                              2                              2                              2                              0                              0
             SEK                            CHF                            AUD                            NZD                            ZAR                            MXN
AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement
          Automatic                      Automatic                      Automatic                      Automatic                       Manual                        Automatic
            empty                          empty                          empty                          empty                           true                          empty
            0.00%                          0.00%                          0.00%                          0.00%                          empty                          0.00%
                                                              OIS Defaults
   HUF-BUBOR-Reuters                PLZ-WIBOR-WIBO            GBP-WMBA-SONIA-COMPOUND       EUR-EONIA-OIS-COMPOUND       USD-Federal Funds-H.15




     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                 MODFOLLOWING                MODFOLLOWING
         HUBU                           PLWA                           GBLO                         EUTA                        USNY
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                 MODFOLLOWING                MODFOLLOWING
         HUBU                           PLWA                           GBLO                         EUTA                        USNY
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                 MODFOLLOWING                MODFOLLOWING
         HUBU                           PLWA                           GBLO                         EUTA                        USNY
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                 MODFOLLOWING                MODFOLLOWING
         HUBU                           PLWA                           GBLO                         EUTA                        USNY
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                 MODFOLLOWING                MODFOLLOWING
         HUBU                           PLWA                           GBLO                         EUTA                        USNY
     MODFOLLOWING                   MODFOLLOWING                   MODFOLLOWING                 MODFOLLOWING                MODFOLLOWING
         HUBU                           PLWA                           GBLO                         EUTA                        USNY
         NONE                           NONE                           NONE                         NONE                        NONE
         empty                          PLWA                           empty                        empty                       empty
           0                              -2                             0                            0                           0
         NONE                           NONE                           NONE                         NONE                        NONE
         empty                          PLWA                           empty                        empty                       empty
           0                              -2                             0                            0                           0


           Optional                       Optional                N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
             Both                           Both                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
              -5                             -5                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
     MODFOLLOWING                   MODFOLLOWING                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
             9:00                           9:00                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            11:00                          11:00                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
              -2                             -2                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
         PRECEDING                      PRECEDING                 N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            11:00                          11:00                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
     MODFOLLOWING                   MODFOLLOWING                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement       N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
             HUF                            PLZ                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
     MODFOLLOWING                   MODFOLLOWING                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
             9:00                           9:00                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            11:00                          11:00                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
               0                              0                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            NONE                           NONE                   N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            11:00                          11:00                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
     MODFOLLOWING                   MODFOLLOWING                  N/A - Reject if present      N/A - Reject if present    N/A - Reject if present
            HUBU                           PLWA               N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
               0                              0               N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
             HUF                            PLZ               N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
AsSpecifiedInMasterAgreement   AsSpecifiedInMasterAgreement   N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
          Automatic                      Automatic            N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
            empty                          empty              N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
            0.00%                          0.00%              N/A - Reject if present   N/A - Reject if present   N/A - Reject if present
                                                            DTCC Deriv/SERV

                                                          Trade Upload Procedures
             The following points are explanatory only.

DTCC Deriv/SERV participants will have the option to submit trade data to DTCC through its web upload facility, which can be accomplished as follows:

             Enter the trade details on an Excel spreadsheet using DTCC's prescribed format. Rules for data entry are specified in the
   Step 1:   attached "Upload Field Parameters" worksheet. Also attached is a pre-formatted spreadsheet, "Example Records," which
             contains sample data to illustrate how the fields should be populated. (These examples must be deleted before participants use
             the template.)


   Step 2:   After entering all trade data, save the spreadsheet as a ".CSV" file.

             Log onto the DTCC Deriv/SERV URL and access the "Upload" option on the menu bar. Select the CSV file to be transmitted to
   Step 3:
             DTCC and submit. Participants will receive immediate notification of the status of each transmission.

             Notes:
             (1) Only eligible users, i.e., those with data entry capability, will have access to the DTCC Deriv/SERV Upload facility.
             (2) Only rows with valid trade data will be reported and counted as successfully accepted transactions. Rows containing non-
             valid trade data will be classified as rejects.



   The features described here will be available in February, 2005. This spreadsheet format supports all the features documented in
   DTCC Deriv/SERV User Technical Specification for Interest Rates Version 1.0.
     Activity (New,                                                                                                                                       Effective Date                                           Master Agreement                                                      Independent     Independent                 Independent
        Modify,                                                           Originator ID                trade Ref Nbr        Counterparty ID   Trade Date Adjusted (YYYY- Termination Date   Notional                Date (YYYY-MM- Master Agreement     Master                         Amount Payer (8      Amount     Independent     Amount       Floating
*     Cancel, DK)     Transaction Type            Product Type              (8 Chars.)               (Up to 40 Chars.)        (8 Chars.)    (YYYY-MM-DD)     MM-DD)       (YYYY-MM-DD)      Currency   Notional           DD)            Type       Supplement Date   Definitions Type      Chars.)        Currency      Amount       Percentage   Rate Payer
*   This line is a comment - since there is an asterisk in the first column everything will be ignored on this row
*   The following are examples of Interest Rate Swap trades
           New               Trade                 InterestSwap              00006443         trade_1_Reference_Upto40Chars   00006444        2005-11-01   2004-11-03       2016-11-03        EUR       25000000      2003-01-20       ISDA2002        2004-11-03        ISDA2000         00006443          USD           3000                     00006444
           New               Trade                 InterestSwap              00006443                  trade_2_6443           00006444        2005-11-02   2004-10-17       2014-11-01        USD         250000      2003-01-20       ISDA2002        2004-10-17        ISDA2000                                                                  00006444
           New               Trade                 InterestSwap              00006443         trade_3_Reference_Upto40Chars   00006444        2005-11-03   2004-11-04       2016-11-04        GBP         395000      2003-01-20       ISDA2002        2004-11-04        ISDA2000                                                                  00006444
           New               Trade                 InterestSwap              00006443                  trade_4_6443           00006444        2005-11-04   2004-10-18       2014-11-02        EUR        4000000      2003-01-20       ISDA2002        2004-10-18        ISDA2000                                                                  00006444
           New               Trade                 InterestSwap              00006443         trade_5_Reference_Upto40Chars   00006444        2005-11-05   2004-11-05       2016-11-05        JPY      350000000      2003-01-20       ISDA2002        2004-11-05        ISDA2000                                                                  00006444
*   The following are examples of Interest Rate Swaption trades
           New               Trade               InterestSwaption            00006443         trade_6_Reference_Upto40Chars   00006444        2005-11-01   2004-11-03       2016-11-03        EUR       25000000      2003-01-20       ISDA2002        2004-11-03        ISDA2000         00006443          USD                        1.50000     00006444
           New               Trade               InterestSwaption            00006443                  trade_7_6443           00006444        2005-11-02   2004-10-17       2014-11-01        USD         250000      2003-01-20       ISDA2002        2004-10-17        ISDA2000                                                                  00006444
           New               Trade               InterestSwaption            00006443         trade_8_Reference_Upto40Chars   00006444        2005-11-03   2004-11-04       2016-11-04        GBP         395000      2003-01-20       ISDA2002        2004-11-04        ISDA2000                                                                  00006444
           New               Trade               InterestSwaption            00006443                  trade_9_6443           00006444        2005-11-04   2004-10-18       2014-11-02        EUR        4000000      2003-01-20       ISDA2002        2004-10-18        ISDA2000                                                                  00006444
           New               Trade               InterestSwaption            00006443        trade_10_Reference_Upto40Chars   00006444        2005-11-05   2004-11-05       2016-11-05        JPY      350000000      2003-01-20       ISDA2002        2004-11-05        ISDA2000                                                                  00006444
*   The following are examples of a Cancel for Trades
        Cancel               Trade                 InterestSwap              00006443         trade_1_Reference_Upto40Chars   00006444
        Cancel               Trade               InterestSwaption            00006443         trade_6_Reference_Upto40Chars   00006444
*   The following are examples of a DK for Trades
            DK               Trade                 InterestSwap              00006443                Cptytrade_A_6444         00006444
            DK               Trade               InterestSwaption            00006443                Cptytrade_B_6444         00006444
*   The following are examples of an Exit for Trades
           New                 Exit                InterestSwap              00006443                  trade_2_6443           00006444
           New                 Exit              InterestSwaption            00006443                  trade_7_6443           00006444
*   Key
*   Green = Required
*   Blue = Conditionally Required
*   Yellow = Optional
*   Red = Not Allowed
                                                                                                                                                                                                                                                                                                                      Fixed Leg
                                        Floating Leg   Floating Leg   Floating Leg                                                                                                          Floating Leg     Floating Leg       Floating Leg   Floating Leg                   Fixed Rate                 Fixed Leg   Calculation
                           Floating         Roll         Payment         Reset     Floating Leg Pay Relative Floating Rate Designated Floating Leg Daycount      Floating Leg Reset        Compounding     Calculation Period    Averaging     Rate Cut Off   Floating Leg     Payer (8                     Roll        Period
   Floating Rate Option   Rate Spread   Convention      Frequency      Frequency              To                      Maturity               Fraction                Relative To               Method          Frequency           Method         Days         Initial Rate     Chars.)    Fixed Rate   Convention   Frequency



   EUR-EURIBOR-Telerate     0.00000         8              1M             1M       CalculationPeriodStartDate          1M                   30/360            CalculationPeriodStartDate                          1M             Weighted           5           1.50000       00006443      5.20000         8            1M
      USD-LIBOR-BBA         0.00008         9              2M             2M       CalculationPeriodStartDate          2M                   30/360            CalculationPeriodStartDate        Flat              1M                                                          00006443      2.50000         9            1M
GBP-WMBA-SONIA-COMPOUND     1.00000         10             3M             3M       CalculationPeriodStartDate          3M                ACT/365.FIXED        CalculationPeriodStartDate                          3M                                                          00006443      3.49000         10           3M
 EUR-EONIA-OIS-COMPOUND     0.01200        EOM             4M             4M       CalculationPeriodEndDate            4M                ACT/365.FIXED        CalculationPeriodEndDate        Straight            1M                                                          00006443      1.85000        EOM           1M
      JPY-LIBOR-BBA         0.00008         11             1T             1T       CalculationPeriodEndDate            1T                ACT/365.FIXED        CalculationPeriodEndDate                            1T                                                          00006443      2.95000         11           1T

   EUR-EURIBOR-Telerate     0.50000         8              1Y             1Y       CalculationPeriodStartDate          1Y                   30/360            CalculationPeriodStartDate                          1Y             Weighted           5           1.50000       00006443      5.20000         8            1Y
     USD-LIBOR-BBA          0.00008         9              2Y             2Y       CalculationPeriodStartDate          2Y                   30/360            CalculationPeriodStartDate        Flat              1M                                                          00006443      1.12345         9            1M
     GBP-LIBOR-BBA          1.00000         10             3Y             3Y       CalculationPeriodStartDate          3Y                ACT/365.FIXED        CalculationPeriodStartDate                          3Y                                                          00006443      0.50000         10           3Y
   EUR-EURIBOR-Telerate     1.20000        EOM             4Y             4Y       CalculationPeriodEndDate            4Y                ACT/365.FIXED        CalculationPeriodEndDate        Straight            3M                                                          00006443      1.85000        EOM           3M
      JPY-LIBOR-BBA         0.00008         11             1T             1T       CalculationPeriodEndDate            1T                ACT/365.FIXED        CalculationPeriodEndDate                            1T                                                          00006443      2.95000         11           1T
                                                                                   ETC First
                                                                   ETC or            Cash                  ETC Last Cash                                                                                                                                        Swaption Premium
  Fixed Leg                                                       Swaption        Settlement  ETC Cash       Settlement                            ETC                                         Swaption                Swaption        Swaption     Swaption       Payment Date      Swaption
  Daycount      Fixed Leg Payment                                 Follow Up      Payment Date Settlement    Payment Date ETC Cash Settlement     Quotation   ETC Rate               ETC Page   Buyer (8   Swaption   Expiration Date   Premium      Premium    (Adjusted) (YYYY-MM- Settlement
   Fraction         Frequency       Fixed Leg Pay Relative To    Confirmation   (YYYY-MM-DD) Repeat Period (YYYY-MM-DD)        Method            Rate Type    Source     ETC Page    Heading    Chars.)   Straddle   (YYYY-MM-DD)       Amount      Currency           DD)             Type



   30/360              1M           CalculationPeriodStartDate        Y          2007-10-28       1D        2016-11-02        CashPrice             Mid
   30/360              2M           CalculationPeriodStartDate
ACT/365.FIXED          3M           CalculationPeriodStartDate
ACT/365.FIXED          4M           CalculationPeriodEndDate          Y          2009-04-10       1D        2001-12-20   ParYieldCurveAdjusted               Bloomberg    BBW97
ACT/365.FIXED          1T           CalculationPeriodEndDate

   30/360              1Y           CalculationPeriodStartDate        Y                                                                                                                        00006444      N         2004-11-01       100000.50     EUR          2004-09-03         Cash
   30/360              2Y           CalculationPeriodStartDate        Y                                                                                                                        00006444      N         2004-11-02         100000      USD          2004-09-04        Physical
ACT/365.FIXED          3Y           CalculationPeriodStartDate        Y                                                                                                                        00006444      Y         2004-11-03       100000.25     GBP          2004-09-05         Cash
ACT/365.FIXED          4Y           CalculationPeriodEndDate          N                                                                                                                        00006444      N         2004-11-04         100000      EUR          2004-09-06        Physical
ACT/365.FIXED          1T           CalculationPeriodEndDate          N                                                                                                                        00006444      N         2004-11-05       100000.10     JPY          2004-09-07         Cash
                            Swaption                                                       Additional   Additional     Additional  Additional Payment                                                                   Exit
   Swaption Cash          Quotation Rate   Swaption Rate                   Swaption Page   Payment      Payment      Payment Payer Pay Date (Adjusted)   Reference Bond   Reference Bond        DK           Exit     Additional
  Settlement Method           Type            Source       Swaption Page     Heading        Amount      Currency       (8 Chars.)    (YYYY-MM-DD)           Identifier     Identifier Type    Reason       Message    Message



                                                                                            1000.00       EUR          00006443         2006-04-18         3134A4AA2           CUSIP
                                                                                              500         USD          00006443         2008-01-15




      CashPrice                Mid                                                          1000.00       EUR          00006443         2007-07-05

ParYieldCurveUnadjusted                       Reuters           45

      CashPrice                Bid




                                                                                                                                                                                             Reason Text
                                                                                                                                                                                             Reason Text


                                                                                                                                                                                                              1      Msg Text
                                                                                                                                                                                                              1      Msg Text
DTCC Deriv/SERV Interest Rates Download - Field Parameters

                       UPLOAD                                                        DOWNLOAD
                                                  Comment
                                                                Submit Date
                                                                Submit Time
                                                    Activity    Activity
                                          Transaction Type      Transaction Type
                                                                Status
                                              Product Type      Product Type
                                              Originator ID     Originator ID
                                                                Originator Name
                                             Trade Ref Nbr      Trade Ref Nbr
                                            Counterparty ID     Counterparty ID
                                                                Counterparty Name
                                                                Contra Reference
                                                                Confirmed Date
                                                Trade Date      Trade Date
                                   Effective Date Adjusted      Effective Date Adjusted
                                          Termination Date      Termination Date
                                         Notional Currency      Notional Currency
                                                    Notional    Notional
                                  Master Agreement Date         Master Agreement Date
                                  Master Agreement Type         Master Agreement Type
                                 Master Supplement Date         Master Supplement Date
                                           Definitions Type     Definitions Type
                               Independent Amount Payer         Independent Amount Payer
                                                                Independent Amount Receiver
                           Independent Amount Currency          Independent Amount Currency
                                   Independent Amount           Independent Amount
                         Independent Amount Percentage          Independent Amount Percentage
                                     Floating Rate Payer        Floating Rate Payer
                                                                Floating Rate Receiver
                                       Floating Rate Option     Floating Rate Option
                                      Floating Rate Spread      Floating Rate Spread
                              Floating Leg Roll Convention      Floating Leg Roll Convention
                          Floating Leg Payment Frequency        Floating Leg Payment Frequency
                             Floating Leg Reset Frequency       Floating Leg Reset Frequency
                              Floating Leg Pay Relative To      Floating Leg Pay Relative To
                         Floating Rate Designated Maturity      Floating Rate Designated Maturity
                            Floating Leg Daycount Fraction      Floating Leg Daycount Fraction
                            Floating Leg Reset Relative To      Floating Leg Reset Relative To
                       Floating Leg Compounding Method          Floating Leg Compounding Method
                Floating Leg Calculation Period Frequency       Floating Leg Calculation Period Frequency
                            Floating Leg Averaging Method       Floating Leg Averaging Method
                            Floating Leg Rate Cut Off Days      Floating Leg Rate Cut Off Days
                                    Floating Leg Initial Rate   Floating Leg Initial Rate
                                           Fixed Rate Payer     Fixed Rate Payer
                                                                Fixed Rate Receiver
                                               Fixed Rate       Fixed Rate
                               Fixed Leg Roll Convention        Fixed Leg Roll Convention
                  Fixed Leg Calculation Period Frequency        Fixed Leg Calculation Period Frequency
                             Fixed Leg Daycount Fraction        Fixed Leg Daycount Fraction
                           Fixed Leg Payment Frequency          Fixed Leg Payment Frequency
                               Fixed Leg Pay Relative To        Fixed Leg Pay Relative To
                 ETC or Swaption Follow Up Confirmation         ETC or Swaption Follow Up Confirmation
                ETC First Cash Settlement Payment Date          ETC First Cash Settlement Payment Date
                     ETC Cash Settlement Repeat Period          ETC Cash Settlement Repeat Period
                ETC Last Cash Settlement Payment Date           ETC Last Cash Settlement Payment Date
                           ETC Cash Settlement Method           ETC Cash Settlement Method
                                ETC Quotation Rate Type         ETC Quotation Rate Type
                                        ETC Rate Source         ETC Rate Source
                                               ETC Page         ETC Page
                                      ETC Page Heading          ETC Page Heading
                                         Swaption Buyer         Swaption Buyer
                                                                Swaption Seller
                                     Swaption Straddle          Swaption Straddle
                               Swaption Expiration Date         Swaption Expiration Date
                             Swaption Premium Amount            Swaption Premium Amount
                            Swaption Premium Currency           Swaption Premium Currency
              Swaption Premium Payment Date (Adjusted)          Swaption Premium Payment Date (Adjusted)
                               Swaption Settlement Type      Swaption Settlement Type
                        Swaption Cash Settlement Method      Swaption Cash Settlement Method
                           Swaption Quotation Rate Type      Swaption Quotation Rate Type
                                    Swaption Rate Source     Swaption Rate Source
                                           Swaption Page     Swaption Page
                                  Swaption Page Heading      Swaption Page Heading
                              Additional Payment Amount      Additional Payment Amount
                            Additional Payment Currency      Additional Payment Currency
                                Additional Payment Payer     Additional Payment Payer
                                                             Additional Payment Receiver
                   Additional Payment Pay Date (Adjusted)    Additional Payment Pay Date (Adjusted)
                                 Reference Bond Identifier   Reference Bond Identifier
                            Reference Bond Identifier Type   Reference Bond Identifier Type
                                               DK Reason     DK Reason
                                             Exit Message    Exit Message
                                  Exit Additional Message    Exit Additional Message
                                                             Termination Date BD Convention
                                                             Termination Date Business Days
                                                             Float Pymt BD Convention
                                                             Float Pymt Business Days
                                                             Float Calc Period BD Convention
                                                             Float Calc Period Business Days
                                                             Float Reset BD Convention
                                                             Float Reset Business Days
                                                             Float Initial Fixing BD Convention
                                                             Float Initial Fixing Business Days
                                                             Float Initial Fixing Lag
                                                             Float Fixing Dates BD Convention
                                                             Float Fixing Dates Business Days
                                                             Float Fixing Dates Lag
                                                             Fixed Pymt BD Convention
                                                             Fixed Pymt Business Days
                                                             Fixed Calc Period BD Convention
                                                             Fixed Calc Period Business Days
                                                             ETC Type
                                                             ETC Exercise Rights
                                                             ETC Exercise Dates (Days)
                                                             ETC Exercise Business Days
                                                             ETC Exercise BD Convention
                                                             ETC Exercise Time Business Days
                                                             ETC Earliest Exercise Time
                                                             ETC Latest Exercise Time
                                                             ETC Valuation Days
                                                             ETC Valuation Business Days
                                                             ETC Valuation BD Convention
                                                             ETC Valuation Time Business Days
                                                             ETC Valuation Time
                                                             ETC Settlement BD Convention
                                                             ETC Settlement Business Days
                                                             ETC Calculation Agent
                                                             ETC Settlement Currency
                                                             Swptn Exercise Business Days
                                                             Swptn Exercise BD Convention
                                                             Swptn Exercise Time Business Days
                                                             Swptn Earliest Exercise Time
                                                             Swptn Latest Exercise Time
                                                             Swptn Valuation Days
                                                             Swptn Valuation Time Business Days
                                                             Swptn Valuation BD Convention
                                                             Swptn Valuation Time
                                                             Swptn Settlement BD Convention
                                                             Swptn Settlement Business Days
                                                             Swptn Settlement Pymt Date (Days)
                                                             Swptn Settlement Currency
                                                             Swptn Calculation Agent
                                                             Swptn Exercise Method
                                                             Swptn Fallback Applicable
                                                             Swptn Threshold for Auto Exercise


Key:
Grey = Does Not Apply for Format
Reference Bond Fields
The following points are explanatory only
Assumes the bond pays a fixed rate, and is therefore always associated with the Fixed Leg of the Swap


Bond fields                       Example
Issue date                        30-Jul-03
Maturity Date                     30-Jan-06
Issue size                         250,000,000
Currency                             USD
ISIN or CUSIP                   US3136F32J49
Coupon Rate                          2%
Coupon Frequency                     6M
Coupon Day Count Fraction          30/360



                             Definition of a Bond Reference (See Appendix F to the Operating Procedures (including relevant portions of
Part A "Field Descriptions") for more details




The stream of payments on the Fixed leg of the swap are intended to exactly replicate the corresponding payments on the Bond.
The stream of payments is defined using the fields shown above.
Should there be any dispute on the payments of the Swap in relation to the payments on the Bond, the Bond payments
       always override those on the swap.
There is no contractual link between the Swap and the Bond.
Any change in the Bond has no direct effect on the Swap.
Any redemption, restructuring or default on the Bond has no direct effect on the Swap.
Any of the above business events may be reflected in the Swap but only by the parties using normal
       Swap features such as Early Termination, Full or Partial Termination, or Assignment, whether within or outside the DTCC service.
The confirmation of the Swap is not conditional on the issuance of the Bond.
 a fixed rate, and is therefore always associated with the Fixed Leg of the Swap


                           IRS Short Form Fields
                           Effective Date
                           Termination Date
                           Notional
                           Currency
                           Bond Identifier
                           Fixed Rate
                           Payment Frequency & Calculation Period Frequency
                           Fixed Leg Day Count Fraction



      Definition of a Bond Reference (See Appendix F to the Operating Procedures (including relevant portions of




 s on the Fixed leg of the swap are intended to exactly replicate the corresponding payments on the Bond.
 s is defined using the fields shown above.
 pute on the payments of the Swap in relation to the payments on the Bond, the Bond payments


 link between the Swap and the Bond.
 has no direct effect on the Swap.
 cturing or default on the Bond has no direct effect on the Swap.
ess events may be reflected in the Swap but only by the parties using normal
uch as Early Termination, Full or Partial Termination, or Assignment, whether within or outside the DTCC service.
e Swap is not conditional on the issuance of the Bond.

				
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