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Floating Rate Note

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					                                           FRN Example


ValueDate        4-Jan-00    Dirty Price         99.31       Cash Flow
Maturity        29-Sep-02    AccruedInterest      0.06   29-Mar-00     0.87
Index                  3m    Margin CP           42.18   29-Jun-00     0.99
Spread               15.00   Margin DP           42.18   29-Sep-00     0.98
ActualRate            3.43   Clean Price         99.25   29-Dec-00     0.99
DCM                Act/360   Dirty Price         99.31   29-Mar-01     0.98
Clean Price          99.25   Duration            0.233   29-Jun-01     1.01
FinancialCenter     Zurich   ModDuration         0.231    1-Oct-01     1.03
RedemptionValue     100.00   Risk                0.229   31-Dec-01     1.03
                             MarginRisk          2.592    2-Apr-02     1.01
                                                           1-Jul-02    1.04
                                                         30-Sep-02   101.05




                                               Page 1
                               CHF
Actual Date               26-Sep-00, Tue
Days to Settlement                2
SpotDate                  03-Jan-00, Mon
FinancialCenter               Zurich
SwapBDA                       ModFoll
SwapFrequency                   Ann
Cash Day Count Method         Act/360
Swap Day Count Method        30E/360
 S/N                            3.44
 1 Mth Cash                     3.33
 2 Mth Cash                     3.37
 3 Mth Cash                     3.43
 6 Mth Cash                     3.60
 9 Mth Cash                     3.65
12 Mth Cash                     3.71
 2 Yr Swap                      3.86
 3 Yr Swap                      3.92
 4 Yr Swap                      3.98
 5 Yr Swap                      4.04
 6 Yr Swap                      4.10
 7 Yr Swap                      4.16
 8 Yr Swap                      4.22
 9 Yr Swap                      4.27
10 Yr Swap                      4.31
Fut 1                           0.00
Fut 2                          97.63
Fut 3                          97.39
Fut 4                          97.10
Fut 5                          96.85
Fut 6                          96.85
Discount Curve                 CHF




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4/14/2013 2:26 PM

				
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