|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:01 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Setup Duration => 2 s 912 ms
|-----------------------------------------------------------------|
11-AUG-2014 | 1.0
03-MAR-2016 | 1.0
03-SEP-2016 | 0.970903241
03-MAR-2017 | 0.942322722
03-SEP-2017 | 0.913786792
03-MAR-2018 | 0.885297621
03-SEP-2018 | 0.857293406
03-MAR-2019 | 0.829340734
03-SEP-2019 | 0.801442245
03-MAR-2020 | 0.77360076
03-SEP-2020 | 0.7458193
03-MAR-2021 | 0.718101103
03-SEP-2021 | 0.690449645
03-MAR-2022 | 0.66286866
03-SEP-2022 | 0.635362168
03-MAR-2023 | 0.607934498
03-SEP-2023 | 0.580590323
03-MAR-2024 | 0.553334692
03-SEP-2024 | 0.526173071
03-MAR-2025 | 0.499111382
03-SEP-2025 | 0.472156058
03-MAR-2026 | 0.445314095
||-------------------------------------------------------------------------------------------------------------------||
|| BOND CASH FLOW PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2014/08/11 => 2015/03/03 | 2015/03/03 | 2015/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2015/03/03 => 2015/09/03 | 2015/09/03 | 2015/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2015/09/03 => 2016/03/03 | 2016/03/03 | 2016/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2016/03/03 => 2016/09/03 | 2016/09/03 | 2016/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.9709 | 1.0000 ||
|| 2016/09/03 => 2017/03/03 | 2017/03/03 | 2017/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.9423 | 1.0000 ||
|| 2017/03/03 => 2017/09/03 | 2017/09/03 | 2017/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.9138 | 1.0000 ||
|| 2017/09/03 => 2018/03/03 | 2018/03/03 | 2018/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.8853 | 1.0000 ||
|| 2018/03/03 => 2018/09/03 | 2018/09/03 | 2018/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.8573 | 1.0000 ||
|| 2018/09/03 => 2019/03/03 | 2019/03/03 | 2019/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.8293 | 1.0000 ||
|| 2019/03/03 => 2019/09/03 | 2019/09/03 | 2019/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.8014 | 1.0000 ||
|| 2019/09/03 => 2020/03/03 | 2020/03/03 | 2020/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.7736 | 1.0000 ||
|| 2020/03/03 => 2020/09/03 | 2020/09/03 | 2020/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.7458 | 1.0000 ||
|| 2020/09/03 => 2021/03/03 | 2021/03/03 | 2021/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.7181 | 1.0000 ||
|| 2021/03/03 => 2021/09/03 | 2021/09/03 | 2021/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.6904 | 1.0000 ||
|| 2021/09/03 => 2022/03/03 | 2022/03/03 | 2022/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.6629 | 1.0000 ||
|| 2022/03/03 => 2022/09/03 | 2022/09/03 | 2022/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.6354 | 1.0000 ||
|| 2022/09/03 => 2023/03/03 | 2023/03/03 | 2023/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.6079 | 1.0000 ||
|| 2023/03/03 => 2023/09/03 | 2023/09/03 | 2023/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.5806 | 1.0000 ||
|| 2023/09/03 => 2024/03/03 | 2024/03/03 | 2024/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.5533 | 1.0000 ||
|| 2024/03/03 => 2024/09/03 | 2024/09/03 | 2024/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.5262 | 1.0000 ||
|| 2024/09/03 => 2025/03/03 | 2025/03/03 | 2025/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.4991 | 1.0000 ||
|| 2025/03/03 => 2025/09/03 | 2025/09/03 | 2025/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.4722 | 1.0000 ||
|| 2025/09/03 => 2026/03/03 | 2026/03/03 | 2026/03/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.4453 | 1.0000 ||
|| 2026/03/03 => 2026/09/03 | 2026/09/03 | 2026/09/03 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 0.4186 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||-------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||-------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||-------------------------------------------------------------------------------------------------------||
|| 2014/08/11 => 2015/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5611 | 0.0210 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/03/03 => 2015/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0188 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/09/03 => 2016/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0188 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/03/03 => 2016/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0182 | 0.0291 | 1.0000 | 1.0000 | 40% ||
|| 2016/09/03 => 2017/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0177 | 0.0286 | 1.0000 | 1.0000 | 40% ||
|| 2017/03/03 => 2017/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0171 | 0.0285 | 0.9940 | 0.9952 | 40% ||
|| 2017/09/03 => 2018/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0166 | 0.0285 | 0.9864 | 0.9902 | 40% ||
|| 2018/03/03 => 2018/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0161 | 0.0280 | 0.9771 | 0.9853 | 40% ||
|| 2018/09/03 => 2019/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0156 | 0.0280 | 0.9671 | 0.9804 | 40% ||
|| 2019/03/03 => 2019/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0150 | 0.0279 | 0.9561 | 0.9755 | 40% ||
|| 2019/09/03 => 2020/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0145 | 0.0278 | 0.9443 | 0.9706 | 40% ||
|| 2020/03/03 => 2020/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0140 | 0.0278 | 0.9321 | 0.9657 | 40% ||
|| 2020/09/03 => 2021/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0135 | 0.0277 | 0.9199 | 0.9610 | 40% ||
|| 2021/03/03 => 2021/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0129 | 0.0277 | 0.9074 | 0.9561 | 40% ||
|| 2021/09/03 => 2022/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0124 | 0.0276 | 0.8950 | 0.9514 | 40% ||
|| 2022/03/03 => 2022/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0119 | 0.0275 | 0.8825 | 0.9466 | 40% ||
|| 2022/09/03 => 2023/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0114 | 0.0274 | 0.8702 | 0.9420 | 40% ||
|| 2023/03/03 => 2023/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0109 | 0.0273 | 0.8577 | 0.9372 | 40% ||
|| 2023/09/03 => 2024/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0104 | 0.0273 | 0.8454 | 0.9326 | 40% ||
|| 2024/03/03 => 2024/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0099 | 0.0272 | 0.8329 | 0.9279 | 40% ||
|| 2024/09/03 => 2025/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0094 | 0.0271 | 0.8207 | 0.9233 | 40% ||
|| 2025/03/03 => 2025/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0089 | 0.0270 | 0.8084 | 0.9187 | 40% ||
|| 2025/09/03 => 2026/03/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0083 | 0.0268 | 0.7964 | 0.9141 | 40% ||
|| 2026/03/03 => 2026/09/03 | CC::USD::SENIOR | USD | 3.75% | 0.5000 | 0.0078 | 0.0267 | 0.7843 | 0.9095 | 40% ||
|| 2014/08/11 => 2026/09/03 | CC::USD::SENIOR | USD | 0.00% | 0.0000 | 0.0000 | 0.4186 | 0.7843 | 0.9095 | 40% ||
||-------------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2014/08/11 => 2015/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2015/03/03 => 2015/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2015/09/03 => 2016/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2016/03/03 => 2016/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2016/09/03 => 2017/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/03 => 2017/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/03 => 2018/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/03 => 2018/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/03 => 2019/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/03 => 2019/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/03 => 2020/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/03 => 2020/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/03 => 2021/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/03 => 2021/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/03 => 2022/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/03 => 2022/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/03 => 2023/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/03 => 2023/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/03 => 2024/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/03 => 2024/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/03 => 2025/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2025/03/03 => 2025/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2025/09/03 => 2026/03/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2026/03/03 => 2026/09/03 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:01 EST 2020
| Setup Time => Mon Jan 27 00:35:04 EST 2020
| Finish Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 2 s 912 ms
| Run Duration => 2 s 156 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 4 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period Index Reference Start Date ||
|| - Period Index Reference End Date ||
|| - Period Reset Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/12 | 2017/03/10 | 2017/06/12 | 2017/03/10 | 2017/06/12 | 2017/06/12 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/12 | USD | USD-LIBOR-3M | 1.13% | 0.2611 | 0.0030 | 0.0000 | 0.9971 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/12 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Finish Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 4 ms
| Run Duration => 788 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 11 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| BOND CASH FLOW PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2015/11/30 => 2016/11/15 | 2016/11/15 | 2016/11/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2016/11/15 => 2017/05/15 | 2017/05/15 | 2017/05/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/05/15 => 2017/11/15 | 2017/11/15 | 2017/11/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/11/15 => 2018/05/15 | 2018/05/15 | 2018/05/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/05/15 => 2018/11/15 | 2018/11/15 | 2018/11/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/11/15 => 2019/05/15 | 2019/05/15 | 2019/05/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/05/15 => 2019/11/15 | 2019/11/15 | 2019/11/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/11/15 => 2020/05/15 | 2020/05/15 | 2020/05/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||-------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||-------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||-------------------------------------------------------------------------------------------------------||
|| 2015/11/30 => 2016/11/15 | CC::USD::SENIOR | USD | 6.37% | 0.9583 | 0.0611 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/11/15 => 2017/05/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9980 | 0.9982 | 40% ||
|| 2017/05/15 => 2017/11/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9911 | 0.9932 | 40% ||
|| 2017/11/15 => 2018/05/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9829 | 0.9883 | 40% ||
|| 2018/05/15 => 2018/11/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9729 | 0.9833 | 40% ||
|| 2018/11/15 => 2019/05/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9629 | 0.9784 | 40% ||
|| 2019/05/15 => 2019/11/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9514 | 0.9735 | 40% ||
|| 2019/11/15 => 2020/05/15 | CC::USD::SENIOR | USD | 6.38% | 0.5000 | 0.0319 | 0.0000 | 0.9394 | 0.9687 | 40% ||
|| 2015/11/30 => 2020/05/15 | CC::USD::SENIOR | USD | 0.00% | 0.0000 | 0.0000 | 1.0319 | 0.8158 | 0.9214 | 40% ||
||-------------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2015/11/30 => 2016/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2016/11/15 => 2017/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/05/15 => 2017/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/11/15 => 2018/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/05/15 => 2018/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/11/15 => 2019/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/05/15 => 2019/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/11/15 => 2020/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/05/15 => 2020/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/11/15 => 2021/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/05/15 => 2021/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/11/15 => 2022/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/05/15 => 2022/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/11/15 => 2023/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/05/15 => 2023/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/11/15 => 2024/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/05/15 => 2024/11/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/11/15 => 2025/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 11 ms
| Run Duration => 447 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Setup Duration => 197 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| BOND CASH FLOW PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2015/05/04 => 2015/11/04 | 2015/11/04 | 2015/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2015/11/04 => 2016/05/04 | 2016/05/04 | 2016/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2016/05/04 => 2016/11/04 | 2016/11/04 | 2016/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2016/11/04 => 2017/05/04 | 2017/05/04 | 2017/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/05/04 => 2017/11/04 | 2017/11/04 | 2017/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/11/04 => 2018/05/04 | 2018/05/04 | 2018/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/05/04 => 2018/11/04 | 2018/11/04 | 2018/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/11/04 => 2019/05/04 | 2019/05/04 | 2019/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/05/04 => 2019/11/04 | 2019/11/04 | 2019/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/11/04 => 2020/05/04 | 2020/05/04 | 2020/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/05/04 => 2020/11/04 | 2020/11/04 | 2020/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/11/04 => 2021/05/04 | 2021/05/04 | 2021/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/05/04 => 2021/11/04 | 2021/11/04 | 2021/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/11/04 => 2022/05/04 | 2022/05/04 | 2022/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/05/04 => 2022/11/04 | 2022/11/04 | 2022/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/11/04 => 2023/05/04 | 2023/05/04 | 2023/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/05/04 => 2023/11/04 | 2023/11/04 | 2023/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/11/04 => 2024/05/04 | 2024/05/04 | 2024/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/05/04 => 2024/11/04 | 2024/11/04 | 2024/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/11/04 => 2025/05/04 | 2025/05/04 | 2025/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2025/05/04 => 2025/11/04 | 2025/11/04 | 2025/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2025/11/04 => 2026/05/04 | 2026/05/04 | 2026/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2026/05/04 => 2026/11/04 | 2026/11/04 | 2026/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2026/11/04 => 2027/05/04 | 2027/05/04 | 2027/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2027/05/04 => 2027/11/04 | 2027/11/04 | 2027/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2027/11/04 => 2028/05/04 | 2028/05/04 | 2028/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2028/05/04 => 2028/11/04 | 2028/11/04 | 2028/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2028/11/04 => 2029/05/04 | 2029/05/04 | 2029/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2029/05/04 => 2029/11/04 | 2029/11/04 | 2029/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2029/11/04 => 2030/05/04 | 2030/05/04 | 2030/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2030/05/04 => 2030/11/04 | 2030/11/04 | 2030/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2030/11/04 => 2031/05/04 | 2031/05/04 | 2031/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2031/05/04 => 2031/11/04 | 2031/11/04 | 2031/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2031/11/04 => 2032/05/04 | 2032/05/04 | 2032/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2032/05/04 => 2032/11/04 | 2032/11/04 | 2032/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2032/11/04 => 2033/05/04 | 2033/05/04 | 2033/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2033/05/04 => 2033/11/04 | 2033/11/04 | 2033/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2033/11/04 => 2034/05/04 | 2034/05/04 | 2034/05/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2034/05/04 => 2034/11/04 | 2034/11/04 | 2034/11/04 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2034/11/04 => 2035/05/15 | 2035/05/15 | 2035/05/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||-------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||-------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||-------------------------------------------------------------------------------------------------------||
|| 2015/05/04 => 2015/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2015/11/04 => 2016/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/05/04 => 2016/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/11/04 => 2017/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9983 | 0.9985 | 40% ||
|| 2017/05/04 => 2017/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9916 | 0.9935 | 40% ||
|| 2017/11/04 => 2018/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9834 | 0.9886 | 40% ||
|| 2018/05/04 => 2018/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9735 | 0.9836 | 40% ||
|| 2018/11/04 => 2019/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9635 | 0.9787 | 40% ||
|| 2019/05/04 => 2019/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9521 | 0.9738 | 40% ||
|| 2019/11/04 => 2020/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9402 | 0.9690 | 40% ||
|| 2020/05/04 => 2020/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9279 | 0.9641 | 40% ||
|| 2020/11/04 => 2021/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9157 | 0.9593 | 40% ||
|| 2021/05/04 => 2021/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.9032 | 0.9545 | 40% ||
|| 2021/11/04 => 2022/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8908 | 0.9498 | 40% ||
|| 2022/05/04 => 2022/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8783 | 0.9450 | 40% ||
|| 2022/11/04 => 2023/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8660 | 0.9404 | 40% ||
|| 2023/05/04 => 2023/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8535 | 0.9356 | 40% ||
|| 2023/11/04 => 2024/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8412 | 0.9310 | 40% ||
|| 2024/05/04 => 2024/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8287 | 0.9263 | 40% ||
|| 2024/11/04 => 2025/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8165 | 0.9217 | 40% ||
|| 2025/05/04 => 2025/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.8043 | 0.9171 | 40% ||
|| 2025/11/04 => 2026/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7923 | 0.9126 | 40% ||
|| 2026/05/04 => 2026/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7802 | 0.9080 | 40% ||
|| 2026/11/04 => 2027/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7685 | 0.9035 | 40% ||
|| 2027/05/04 => 2027/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7567 | 0.8989 | 40% ||
|| 2027/11/04 => 2028/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7452 | 0.8945 | 40% ||
|| 2028/05/04 => 2028/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7336 | 0.8900 | 40% ||
|| 2028/11/04 => 2029/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7224 | 0.8856 | 40% ||
|| 2029/05/04 => 2029/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7112 | 0.8811 | 40% ||
|| 2029/11/04 => 2030/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.7005 | 0.8768 | 40% ||
|| 2030/05/04 => 2030/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6898 | 0.8724 | 40% ||
|| 2030/11/04 => 2031/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6794 | 0.8681 | 40% ||
|| 2031/05/04 => 2031/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6690 | 0.8637 | 40% ||
|| 2031/11/04 => 2032/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6590 | 0.8594 | 40% ||
|| 2032/05/04 => 2032/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6489 | 0.8551 | 40% ||
|| 2032/11/04 => 2033/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6392 | 0.8509 | 40% ||
|| 2033/05/04 => 2033/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6295 | 0.8466 | 40% ||
|| 2033/11/04 => 2034/05/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6201 | 0.8424 | 40% ||
|| 2034/05/04 => 2034/11/04 | CC::USD::SENIOR | USD | 4.50% | 0.5000 | 0.0225 | 0.0000 | 0.6107 | 0.8382 | 40% ||
|| 2034/11/04 => 2035/05/15 | CC::USD::SENIOR | USD | 4.50% | 0.5306 | 0.0239 | 0.0000 | 0.6011 | 0.8338 | 40% ||
|| 2015/05/04 => 2035/05/15 | CC::USD::SENIOR | USD | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.6011 | 0.8338 | 40% ||
||-------------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2015/05/04 => 2015/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2015/11/04 => 2016/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2016/05/04 => 2016/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2016/11/04 => 2017/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/05/04 => 2017/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/11/04 => 2018/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/05/04 => 2018/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/11/04 => 2019/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/05/04 => 2019/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/11/04 => 2020/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/05/04 => 2020/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/11/04 => 2021/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/05/04 => 2021/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/11/04 => 2022/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/05/04 => 2022/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/11/04 => 2023/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/05/04 => 2023/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/11/04 => 2024/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/05/04 => 2024/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/11/04 => 2025/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2025/05/04 => 2025/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2025/11/04 => 2026/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2026/05/04 => 2026/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2026/11/04 => 2027/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2027/05/04 => 2027/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2027/11/04 => 2028/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2028/05/04 => 2028/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2028/11/04 => 2029/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2029/05/04 => 2029/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2029/11/04 => 2030/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2030/05/04 => 2030/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2030/11/04 => 2031/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2031/05/04 => 2031/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2031/11/04 => 2032/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2032/05/04 => 2032/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2032/11/04 => 2033/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2033/05/04 => 2033/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2033/11/04 => 2034/05/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2034/05/04 => 2034/11/04 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2034/11/04 => 2035/05/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:07 EST 2020
| Setup Time => Mon Jan 27 00:35:07 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 197 ms
| Run Duration => 696 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | 2017/09/15 | 2017/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/15 => 2018/03/15 | 2018/03/15 | 2018/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/15 => 2018/09/15 | 2018/09/15 | 2018/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/15 => 2019/03/15 | 2019/03/15 | 2019/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/15 => 2019/09/15 | 2019/09/15 | 2019/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/15 => 2020/03/15 | 2020/03/15 | 2020/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/15 => 2020/09/15 | 2020/09/15 | 2020/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/09/15 => 2021/03/15 | 2021/03/15 | 2021/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/15 => 2021/09/15 | 2021/09/15 | 2021/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/09/15 => 2022/03/15 | 2022/03/15 | 2022/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/15 => 2022/09/15 | 2022/09/15 | 2022/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/09/15 => 2023/03/15 | 2023/03/15 | 2023/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/15 => 2023/09/15 | 2023/09/15 | 2023/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/09/15 => 2024/03/15 | 2024/03/15 | 2024/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/15 => 2024/09/15 | 2024/09/15 | 2024/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/09/15 => 2025/03/15 | 2025/03/15 | 2025/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9936 ||
|| 2017/09/15 => 2018/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9858 ||
|| 2018/03/15 => 2018/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9765 ||
|| 2018/09/15 => 2019/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9664 ||
|| 2019/03/15 => 2019/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9553 ||
|| 2019/09/15 => 2020/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9435 ||
|| 2020/03/15 => 2020/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9313 ||
|| 2020/09/15 => 2021/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9191 ||
|| 2021/03/15 => 2021/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9066 ||
|| 2021/09/15 => 2022/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8942 ||
|| 2022/03/15 => 2022/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8817 ||
|| 2022/09/15 => 2023/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8694 ||
|| 2023/03/15 => 2023/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8569 ||
|| 2023/09/15 => 2024/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8445 ||
|| 2024/03/15 => 2024/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8321 ||
|| 2024/09/15 => 2025/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8199 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | 2017/03/15 | 2017/09/15 | 2017/03/15 | 2017/09/15 | 2017/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/09/15 => 2018/03/15 | 2017/09/15 | 2018/03/15 | 2017/09/15 | 2018/03/15 | 2018/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/15 => 2018/09/15 | 2018/03/15 | 2018/09/15 | 2018/03/15 | 2018/09/15 | 2018/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/09/15 => 2019/03/15 | 2018/09/15 | 2019/03/15 | 2018/09/14 | 2019/03/15 | 2019/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/15 => 2019/09/15 | 2019/03/15 | 2019/09/15 | 2019/03/15 | 2019/09/15 | 2019/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/09/15 => 2020/03/15 | 2019/09/15 | 2020/03/15 | 2019/09/13 | 2020/03/15 | 2020/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/15 => 2020/09/15 | 2020/03/15 | 2020/09/15 | 2020/03/13 | 2020/09/15 | 2020/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/09/15 => 2021/03/15 | 2020/09/15 | 2021/03/15 | 2020/09/15 | 2021/03/15 | 2021/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/15 => 2021/09/15 | 2021/03/15 | 2021/09/15 | 2021/03/15 | 2021/09/15 | 2021/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/09/15 => 2022/03/15 | 2021/09/15 | 2022/03/15 | 2021/09/15 | 2022/03/15 | 2022/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/15 => 2022/09/15 | 2022/03/15 | 2022/09/15 | 2022/03/15 | 2022/09/15 | 2022/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/09/15 => 2023/03/15 | 2022/09/15 | 2023/03/15 | 2022/09/15 | 2023/03/15 | 2023/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/15 => 2023/09/15 | 2023/03/15 | 2023/09/15 | 2023/03/15 | 2023/09/15 | 2023/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/09/15 => 2024/03/15 | 2023/09/15 | 2024/03/15 | 2023/09/15 | 2024/03/15 | 2024/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/15 => 2024/09/15 | 2024/03/15 | 2024/09/15 | 2024/03/15 | 2024/09/15 | 2024/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/09/15 => 2025/03/15 | 2024/09/15 | 2025/03/15 | 2024/09/13 | 2025/03/15 | 2025/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | USD | USD-LIBOR-6M | 1.24% | 0.5111 | -0.0063 | 0.0000 | 0.9936 ||
|| 2017/09/15 => 2018/03/15 | USD | USD-LIBOR-6M | 1.57% | 0.5028 | -0.0079 | 0.0000 | 0.9858 ||
|| 2018/03/15 => 2018/09/15 | USD | USD-LIBOR-6M | 1.86% | 0.5111 | -0.0095 | 0.0000 | 0.9765 ||
|| 2018/09/15 => 2019/03/15 | USD | USD-LIBOR-6M | 2.08% | 0.5028 | -0.0104 | 0.0000 | 0.9664 ||
|| 2019/03/15 => 2019/09/15 | USD | USD-LIBOR-6M | 2.28% | 0.5111 | -0.0116 | 0.0000 | 0.9553 ||
|| 2019/09/15 => 2020/03/15 | USD | USD-LIBOR-6M | 2.48% | 0.5056 | -0.0125 | 0.0000 | 0.9435 ||
|| 2020/03/15 => 2020/09/15 | USD | USD-LIBOR-6M | 2.57% | 0.5111 | -0.0131 | 0.0000 | 0.9313 ||
|| 2020/09/15 => 2021/03/15 | USD | USD-LIBOR-6M | 2.63% | 0.5028 | -0.0132 | 0.0000 | 0.9191 ||
|| 2021/03/15 => 2021/09/15 | USD | USD-LIBOR-6M | 2.70% | 0.5111 | -0.0138 | 0.0000 | 0.9066 ||
|| 2021/09/15 => 2022/03/15 | USD | USD-LIBOR-6M | 2.75% | 0.5028 | -0.0138 | 0.0000 | 0.8942 ||
|| 2022/03/15 => 2022/09/15 | USD | USD-LIBOR-6M | 2.78% | 0.5111 | -0.0142 | 0.0000 | 0.8817 ||
|| 2022/09/15 => 2023/03/15 | USD | USD-LIBOR-6M | 2.82% | 0.5028 | -0.0142 | 0.0000 | 0.8694 ||
|| 2023/03/15 => 2023/09/15 | USD | USD-LIBOR-6M | 2.85% | 0.5111 | -0.0146 | 0.0000 | 0.8569 ||
|| 2023/09/15 => 2024/03/15 | USD | USD-LIBOR-6M | 2.89% | 0.5056 | -0.0146 | 0.0000 | 0.8445 ||
|| 2024/03/15 => 2024/09/15 | USD | USD-LIBOR-6M | 2.93% | 0.5111 | -0.0150 | 0.0000 | 0.8321 ||
|| 2024/09/15 => 2025/03/15 | USD | USD-LIBOR-6M | 2.96% | 0.5028 | -0.0149 | 0.0000 | 0.8199 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/15 => 2018/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/15 => 2018/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/15 => 2019/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/15 => 2019/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/15 => 2020/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/15 => 2020/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/15 => 2021/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/15 => 2021/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/15 => 2022/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/15 => 2022/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/15 => 2023/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/15 => 2023/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/15 => 2024/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/15 => 2024/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/15 => 2025/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/15 => 2017/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/15 => 2018/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/15 => 2018/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/15 => 2019/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/15 => 2019/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/15 => 2020/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/15 => 2020/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/15 => 2021/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/15 => 2021/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/15 => 2022/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/15 => 2022/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/15 => 2023/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/15 => 2023/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/15 => 2024/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/15 => 2024/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/15 => 2025/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 2 ms
| Run Duration => 276 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/14 => 2017/09/14 | 2017/09/14 | 2017/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/14 => 2018/03/14 | 2018/03/14 | 2018/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/14 => 2018/09/14 | 2018/09/14 | 2018/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/14 => 2019/03/14 | 2019/03/14 | 2019/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/14 => 2019/09/14 | 2019/09/14 | 2019/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/14 => 2020/03/14 | 2020/03/14 | 2020/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/14 => 2020/09/14 | 2020/09/14 | 2020/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/09/14 => 2021/03/14 | 2021/03/14 | 2021/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/14 => 2021/09/14 | 2021/09/14 | 2021/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/09/14 => 2022/03/14 | 2022/03/14 | 2022/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/14 => 2022/09/14 | 2022/09/14 | 2022/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/09/14 => 2023/03/14 | 2023/03/14 | 2023/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/14 => 2023/09/14 | 2023/09/14 | 2023/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/09/14 => 2024/03/14 | 2024/03/14 | 2024/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/14 => 2024/09/14 | 2024/09/14 | 2024/09/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/09/14 => 2025/03/14 | 2025/03/14 | 2025/03/14 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/14 => 2017/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9936 ||
|| 2017/09/14 => 2018/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9859 ||
|| 2018/03/14 => 2018/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9766 ||
|| 2018/09/14 => 2019/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9665 ||
|| 2019/03/14 => 2019/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9554 ||
|| 2019/09/14 => 2020/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9435 ||
|| 2020/03/14 => 2020/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9313 ||
|| 2020/09/14 => 2021/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9192 ||
|| 2021/03/14 => 2021/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.9066 ||
|| 2021/09/14 => 2022/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8943 ||
|| 2022/03/14 => 2022/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8818 ||
|| 2022/09/14 => 2023/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8695 ||
|| 2023/03/14 => 2023/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8570 ||
|| 2023/09/14 => 2024/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8446 ||
|| 2024/03/14 => 2024/09/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8322 ||
|| 2024/09/14 => 2025/03/14 | USD | 2.47% | 0.5000 | 0.0123 | 0.0000 | 0.8200 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/14 => 2017/06/14 | 2017/03/14 | 2017/06/14 | 2017/03/14 | 2017/06/14 | 2017/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/06/14 => 2017/09/14 | 2017/06/14 | 2017/09/14 | 2017/06/14 | 2017/09/14 | 2017/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/09/14 => 2017/12/14 | 2017/09/14 | 2017/12/14 | 2017/09/14 | 2017/12/14 | 2017/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/12/14 => 2018/03/14 | 2017/12/14 | 2018/03/14 | 2017/12/14 | 2018/03/14 | 2018/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/14 => 2018/06/14 | 2018/03/14 | 2018/06/14 | 2018/03/14 | 2018/06/14 | 2018/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/06/14 => 2018/09/14 | 2018/06/14 | 2018/09/14 | 2018/06/14 | 2018/09/14 | 2018/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/09/14 => 2018/12/14 | 2018/09/14 | 2018/12/14 | 2018/09/14 | 2018/12/14 | 2018/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/12/14 => 2019/03/14 | 2018/12/14 | 2019/03/14 | 2018/12/14 | 2019/03/14 | 2019/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/14 => 2019/06/14 | 2019/03/14 | 2019/06/14 | 2019/03/14 | 2019/06/14 | 2019/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/06/14 => 2019/09/14 | 2019/06/14 | 2019/09/14 | 2019/06/14 | 2019/09/14 | 2019/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/09/14 => 2019/12/14 | 2019/09/14 | 2019/12/14 | 2019/09/13 | 2019/12/14 | 2019/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/12/14 => 2020/03/14 | 2019/12/14 | 2020/03/14 | 2019/12/13 | 2020/03/14 | 2020/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/14 => 2020/06/14 | 2020/03/14 | 2020/06/14 | 2020/03/13 | 2020/06/14 | 2020/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/06/14 => 2020/09/14 | 2020/06/14 | 2020/09/14 | 2020/06/12 | 2020/09/14 | 2020/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/09/14 => 2020/12/14 | 2020/09/14 | 2020/12/14 | 2020/09/14 | 2020/12/14 | 2020/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/12/14 => 2021/03/14 | 2020/12/14 | 2021/03/14 | 2020/12/14 | 2021/03/14 | 2021/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/14 => 2021/06/14 | 2021/03/14 | 2021/06/14 | 2021/03/12 | 2021/06/14 | 2021/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/06/14 => 2021/09/14 | 2021/06/14 | 2021/09/14 | 2021/06/14 | 2021/09/14 | 2021/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/09/14 => 2021/12/14 | 2021/09/14 | 2021/12/14 | 2021/09/14 | 2021/12/14 | 2021/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/12/14 => 2022/03/14 | 2021/12/14 | 2022/03/14 | 2021/12/14 | 2022/03/14 | 2022/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/14 => 2022/06/14 | 2022/03/14 | 2022/06/14 | 2022/03/14 | 2022/06/14 | 2022/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/06/14 => 2022/09/14 | 2022/06/14 | 2022/09/14 | 2022/06/14 | 2022/09/14 | 2022/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/09/14 => 2022/12/14 | 2022/09/14 | 2022/12/14 | 2022/09/14 | 2022/12/14 | 2022/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/12/14 => 2023/03/14 | 2022/12/14 | 2023/03/14 | 2022/12/14 | 2023/03/14 | 2023/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/14 => 2023/06/14 | 2023/03/14 | 2023/06/14 | 2023/03/14 | 2023/06/14 | 2023/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/06/14 => 2023/09/14 | 2023/06/14 | 2023/09/14 | 2023/06/14 | 2023/09/14 | 2023/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/09/14 => 2023/12/14 | 2023/09/14 | 2023/12/14 | 2023/09/14 | 2023/12/14 | 2023/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/12/14 => 2024/03/14 | 2023/12/14 | 2024/03/14 | 2023/12/14 | 2024/03/14 | 2024/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/14 => 2024/06/14 | 2024/03/14 | 2024/06/14 | 2024/03/14 | 2024/06/14 | 2024/06/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/06/14 => 2024/09/14 | 2024/06/14 | 2024/09/14 | 2024/06/14 | 2024/09/14 | 2024/09/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/09/14 => 2024/12/14 | 2024/09/14 | 2024/12/14 | 2024/09/13 | 2024/12/14 | 2024/12/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/12/14 => 2025/03/14 | 2024/12/14 | 2025/03/14 | 2024/12/13 | 2025/03/14 | 2025/03/14 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/14 => 2017/06/14 | USD | USD-LIBOR-3M | 1.13% | 0.2556 | -0.0029 | 0.0000 | 0.9970 ||
|| 2017/06/14 => 2017/09/14 | USD | USD-LIBOR-3M | 1.33% | 0.2556 | -0.0034 | 0.0000 | 0.9936 ||
|| 2017/09/14 => 2017/12/14 | USD | USD-LIBOR-3M | 1.48% | 0.2528 | -0.0037 | 0.0000 | 0.9899 ||
|| 2017/12/14 => 2018/03/14 | USD | USD-LIBOR-3M | 1.64% | 0.2500 | -0.0041 | 0.0000 | 0.9859 ||
|| 2018/03/14 => 2018/06/14 | USD | USD-LIBOR-3M | 1.78% | 0.2556 | -0.0046 | 0.0000 | 0.9814 ||
|| 2018/06/14 => 2018/09/14 | USD | USD-LIBOR-3M | 1.93% | 0.2556 | -0.0049 | 0.0000 | 0.9766 ||
|| 2018/09/14 => 2018/12/14 | USD | USD-LIBOR-3M | 2.10% | 0.2528 | -0.0053 | 0.0000 | 0.9714 ||
|| 2018/12/14 => 2019/03/14 | USD | USD-LIBOR-3M | 2.04% | 0.2500 | -0.0051 | 0.0000 | 0.9665 ||
|| 2019/03/14 => 2019/06/14 | USD | USD-LIBOR-3M | 2.20% | 0.2556 | -0.0056 | 0.0000 | 0.9611 ||
|| 2019/06/14 => 2019/09/14 | USD | USD-LIBOR-3M | 2.34% | 0.2556 | -0.0060 | 0.0000 | 0.9554 ||
|| 2019/09/14 => 2019/12/14 | USD | USD-LIBOR-3M | 2.44% | 0.2528 | -0.0062 | 0.0000 | 0.9495 ||
|| 2019/12/14 => 2020/03/14 | USD | USD-LIBOR-3M | 2.50% | 0.2528 | -0.0063 | 0.0000 | 0.9435 ||
|| 2020/03/14 => 2020/06/14 | USD | USD-LIBOR-3M | 2.54% | 0.2556 | -0.0065 | 0.0000 | 0.9375 ||
|| 2020/06/14 => 2020/09/14 | USD | USD-LIBOR-3M | 2.58% | 0.2556 | -0.0066 | 0.0000 | 0.9313 ||
|| 2020/09/14 => 2020/12/14 | USD | USD-LIBOR-3M | 2.61% | 0.2528 | -0.0066 | 0.0000 | 0.9252 ||
|| 2020/12/14 => 2021/03/14 | USD | USD-LIBOR-3M | 2.64% | 0.2500 | -0.0066 | 0.0000 | 0.9192 ||
|| 2021/03/14 => 2021/06/14 | USD | USD-LIBOR-3M | 2.67% | 0.2556 | -0.0068 | 0.0000 | 0.9129 ||
|| 2021/06/14 => 2021/09/14 | USD | USD-LIBOR-3M | 2.70% | 0.2556 | -0.0069 | 0.0000 | 0.9066 ||
|| 2021/09/14 => 2021/12/14 | USD | USD-LIBOR-3M | 2.73% | 0.2528 | -0.0069 | 0.0000 | 0.9004 ||
|| 2021/12/14 => 2022/03/14 | USD | USD-LIBOR-3M | 2.75% | 0.2500 | -0.0069 | 0.0000 | 0.8943 ||
|| 2022/03/14 => 2022/06/14 | USD | USD-LIBOR-3M | 2.76% | 0.2556 | -0.0071 | 0.0000 | 0.8880 ||
|| 2022/06/14 => 2022/09/14 | USD | USD-LIBOR-3M | 2.78% | 0.2556 | -0.0071 | 0.0000 | 0.8818 ||
|| 2022/09/14 => 2022/12/14 | USD | USD-LIBOR-3M | 2.80% | 0.2528 | -0.0071 | 0.0000 | 0.8756 ||
|| 2022/12/14 => 2023/03/14 | USD | USD-LIBOR-3M | 2.81% | 0.2500 | -0.0070 | 0.0000 | 0.8695 ||
|| 2023/03/14 => 2023/06/14 | USD | USD-LIBOR-3M | 2.83% | 0.2556 | -0.0072 | 0.0000 | 0.8632 ||
|| 2023/06/14 => 2023/09/14 | USD | USD-LIBOR-3M | 2.85% | 0.2556 | -0.0073 | 0.0000 | 0.8570 ||
|| 2023/09/14 => 2023/12/14 | USD | USD-LIBOR-3M | 2.87% | 0.2528 | -0.0073 | 0.0000 | 0.8508 ||
|| 2023/12/14 => 2024/03/14 | USD | USD-LIBOR-3M | 2.89% | 0.2528 | -0.0073 | 0.0000 | 0.8446 ||
|| 2024/03/14 => 2024/06/14 | USD | USD-LIBOR-3M | 2.91% | 0.2556 | -0.0074 | 0.0000 | 0.8384 ||
|| 2024/06/14 => 2024/09/14 | USD | USD-LIBOR-3M | 2.92% | 0.2556 | -0.0075 | 0.0000 | 0.8322 ||
|| 2024/09/14 => 2024/12/14 | USD | USD-LIBOR-3M | 2.94% | 0.2528 | -0.0074 | 0.0000 | 0.8260 ||
|| 2024/12/14 => 2025/03/14 | USD | USD-LIBOR-3M | 2.95% | 0.2500 | -0.0074 | 0.0000 | 0.8200 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/14 => 2017/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/14 => 2018/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/14 => 2018/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/14 => 2019/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/14 => 2019/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/14 => 2020/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/14 => 2020/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/14 => 2021/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/14 => 2021/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/14 => 2022/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/14 => 2022/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/14 => 2023/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/14 => 2023/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/14 => 2024/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/14 => 2024/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/14 => 2025/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/14 => 2017/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/06/14 => 2017/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/14 => 2017/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/12/14 => 2018/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/14 => 2018/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/06/14 => 2018/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/14 => 2018/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/12/14 => 2019/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/14 => 2019/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/06/14 => 2019/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/14 => 2019/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/12/14 => 2020/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/14 => 2020/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/06/14 => 2020/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/14 => 2020/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/12/14 => 2021/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/14 => 2021/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/06/14 => 2021/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/14 => 2021/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/12/14 => 2022/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/14 => 2022/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/06/14 => 2022/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/14 => 2022/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/12/14 => 2023/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/14 => 2023/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/06/14 => 2023/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/14 => 2023/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/12/14 => 2024/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/14 => 2024/06/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/06/14 => 2024/09/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/14 => 2024/12/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/12/14 => 2025/03/14 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:08 EST 2020
| Setup Time => Mon Jan 27 00:35:08 EST 2020
| Finish Time => Mon Jan 27 00:35:09 EST 2020
| Setup Duration => 2 ms
| Run Duration => 922 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:09 EST 2020
| Setup Time => Mon Jan 27 00:35:09 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | 2017/09/15 | 2017/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/15 => 2018/03/15 | 2018/03/15 | 2018/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/15 => 2018/09/15 | 2018/09/15 | 2018/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/15 => 2019/03/15 | 2019/03/15 | 2019/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/15 => 2019/09/15 | 2019/09/15 | 2019/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/15 => 2020/03/15 | 2020/03/15 | 2020/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/15 => 2020/09/15 | 2020/09/15 | 2020/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/09/15 => 2021/03/15 | 2021/03/15 | 2021/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/15 => 2021/09/15 | 2021/09/15 | 2021/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/09/15 => 2022/03/15 | 2022/03/15 | 2022/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/15 => 2022/09/15 | 2022/09/15 | 2022/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/09/15 => 2023/03/15 | 2023/03/15 | 2023/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/15 => 2023/09/15 | 2023/09/15 | 2023/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/09/15 => 2024/03/15 | 2024/03/15 | 2024/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/15 => 2024/09/15 | 2024/09/15 | 2024/09/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/09/15 => 2025/03/15 | 2025/03/15 | 2025/03/15 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9936 ||
|| 2017/09/15 => 2018/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9858 ||
|| 2018/03/15 => 2018/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9765 ||
|| 2018/09/15 => 2019/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9664 ||
|| 2019/03/15 => 2019/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9553 ||
|| 2019/09/15 => 2020/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9435 ||
|| 2020/03/15 => 2020/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9313 ||
|| 2020/09/15 => 2021/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9191 ||
|| 2021/03/15 => 2021/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9066 ||
|| 2021/09/15 => 2022/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8942 ||
|| 2022/03/15 => 2022/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8817 ||
|| 2022/09/15 => 2023/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8694 ||
|| 2023/03/15 => 2023/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8569 ||
|| 2023/09/15 => 2024/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8445 ||
|| 2024/03/15 => 2024/09/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8321 ||
|| 2024/09/15 => 2025/03/15 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8199 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | 2017/09/15 | 2018/03/15 | 2017/09/15 | 2017/09/15 | 2017/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/09/15 => 2018/03/15 | 2018/03/15 | 2018/09/15 | 2018/03/15 | 2018/03/15 | 2018/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/15 => 2018/09/15 | 2018/09/15 | 2019/03/15 | 2018/09/14 | 2018/09/15 | 2018/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/09/15 => 2019/03/15 | 2019/03/15 | 2019/09/15 | 2019/03/15 | 2019/03/15 | 2019/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/15 => 2019/09/15 | 2019/09/15 | 2020/03/15 | 2019/09/13 | 2019/09/15 | 2019/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/09/15 => 2020/03/15 | 2020/03/15 | 2020/09/15 | 2020/03/13 | 2020/03/15 | 2020/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/15 => 2020/09/15 | 2020/09/15 | 2021/03/15 | 2020/09/15 | 2020/09/15 | 2020/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/09/15 => 2021/03/15 | 2021/03/15 | 2021/09/15 | 2021/03/15 | 2021/03/15 | 2021/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/15 => 2021/09/15 | 2021/09/15 | 2022/03/15 | 2021/09/15 | 2021/09/15 | 2021/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/09/15 => 2022/03/15 | 2022/03/15 | 2022/09/15 | 2022/03/15 | 2022/03/15 | 2022/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/15 => 2022/09/15 | 2022/09/15 | 2023/03/15 | 2022/09/15 | 2022/09/15 | 2022/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/09/15 => 2023/03/15 | 2023/03/15 | 2023/09/15 | 2023/03/15 | 2023/03/15 | 2023/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/15 => 2023/09/15 | 2023/09/15 | 2024/03/15 | 2023/09/15 | 2023/09/15 | 2023/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/09/15 => 2024/03/15 | 2024/03/15 | 2024/09/15 | 2024/03/15 | 2024/03/15 | 2024/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/15 => 2024/09/15 | 2024/09/15 | 2025/03/15 | 2024/09/13 | 2024/09/15 | 2024/09/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/09/15 => 2025/03/15 | 2025/03/15 | 2025/09/15 | 2025/03/14 | 2025/03/15 | 2025/03/15 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | USD | USD-LIBOR-6M | 1.57% | 0.5111 | -0.0080 | 0.0000 | 0.9936 ||
|| 2017/09/15 => 2018/03/15 | USD | USD-LIBOR-6M | 1.86% | 0.5028 | -0.0094 | 0.0000 | 0.9858 ||
|| 2018/03/15 => 2018/09/15 | USD | USD-LIBOR-6M | 2.08% | 0.5111 | -0.0106 | 0.0000 | 0.9765 ||
|| 2018/09/15 => 2019/03/15 | USD | USD-LIBOR-6M | 2.28% | 0.5028 | -0.0114 | 0.0000 | 0.9664 ||
|| 2019/03/15 => 2019/09/15 | USD | USD-LIBOR-6M | 2.48% | 0.5111 | -0.0127 | 0.0000 | 0.9553 ||
|| 2019/09/15 => 2020/03/15 | USD | USD-LIBOR-6M | 2.57% | 0.5056 | -0.0130 | 0.0000 | 0.9435 ||
|| 2020/03/15 => 2020/09/15 | USD | USD-LIBOR-6M | 2.63% | 0.5111 | -0.0135 | 0.0000 | 0.9313 ||
|| 2020/09/15 => 2021/03/15 | USD | USD-LIBOR-6M | 2.70% | 0.5028 | -0.0136 | 0.0000 | 0.9191 ||
|| 2021/03/15 => 2021/09/15 | USD | USD-LIBOR-6M | 2.75% | 0.5111 | -0.0140 | 0.0000 | 0.9066 ||
|| 2021/09/15 => 2022/03/15 | USD | USD-LIBOR-6M | 2.78% | 0.5028 | -0.0140 | 0.0000 | 0.8942 ||
|| 2022/03/15 => 2022/09/15 | USD | USD-LIBOR-6M | 2.82% | 0.5111 | -0.0144 | 0.0000 | 0.8817 ||
|| 2022/09/15 => 2023/03/15 | USD | USD-LIBOR-6M | 2.85% | 0.5028 | -0.0143 | 0.0000 | 0.8694 ||
|| 2023/03/15 => 2023/09/15 | USD | USD-LIBOR-6M | 2.89% | 0.5111 | -0.0148 | 0.0000 | 0.8569 ||
|| 2023/09/15 => 2024/03/15 | USD | USD-LIBOR-6M | 2.93% | 0.5056 | -0.0148 | 0.0000 | 0.8445 ||
|| 2024/03/15 => 2024/09/15 | USD | USD-LIBOR-6M | 2.96% | 0.5111 | -0.0151 | 0.0000 | 0.8321 ||
|| 2024/09/15 => 2025/03/15 | USD | USD-LIBOR-6M | 2.98% | 0.5028 | -0.0150 | 0.0000 | 0.8199 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/15 => 2017/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/15 => 2018/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/15 => 2018/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/15 => 2019/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/15 => 2019/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/15 => 2020/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/15 => 2020/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/15 => 2021/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/15 => 2021/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/15 => 2022/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/15 => 2022/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/15 => 2023/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/15 => 2023/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/15 => 2024/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/15 => 2024/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/15 => 2025/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/15 => 2017/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/15 => 2018/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/15 => 2018/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/15 => 2019/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/15 => 2019/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/15 => 2020/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/15 => 2020/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/15 => 2021/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/15 => 2021/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/15 => 2022/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/15 => 2022/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/15 => 2023/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/15 => 2023/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/15 => 2024/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/15 => 2024/09/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/15 => 2025/03/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:09 EST 2020
| Setup Time => Mon Jan 27 00:35:09 EST 2020
| Finish Time => Mon Jan 27 00:35:09 EST 2020
| Setup Duration => 1 ms
| Run Duration => 336 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:09 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 3 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/09/10 | 2017/09/10 | 2017/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/10 => 2018/03/10 | 2018/03/10 | 2018/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/10 => 2018/09/10 | 2018/09/10 | 2018/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/10 => 2019/03/10 | 2019/03/10 | 2019/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/10 => 2019/09/10 | 2019/09/10 | 2019/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/10 => 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/10 => 2020/09/10 | 2020/09/10 | 2020/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/09/10 => 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/10 => 2021/09/10 | 2021/09/10 | 2021/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/09/10 => 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/10 => 2022/09/10 | 2022/09/10 | 2022/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/09/10 => 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/10 => 2023/09/10 | 2023/09/10 | 2023/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/09/10 => 2024/03/10 | 2024/03/10 | 2024/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/10 => 2024/09/10 | 2024/09/10 | 2024/09/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/09/10 => 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 6M | 2 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9938 ||
|| 2017/09/10 => 2018/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2018/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9768 ||
|| 2018/09/10 => 2019/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2019/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9556 ||
|| 2019/09/10 => 2020/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2020/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9316 ||
|| 2020/09/10 => 2021/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2021/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.9069 ||
|| 2021/09/10 => 2022/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2022/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8820 ||
|| 2022/09/10 => 2023/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2023/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8572 ||
|| 2023/09/10 => 2024/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2024/09/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8324 ||
|| 2024/09/10 => 2025/03/10 | USD | 0.00% | 0.5000 | 0.0000 | 0.0000 | 0.8202 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/09/10 | 2017/09/10 | 2018/03/10 | 2017/09/08 | 2017/09/10 | 2017/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/09/10 => 2018/03/10 | 2018/03/10 | 2018/09/10 | 2018/03/09 | 2018/03/10 | 2018/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/10 => 2018/09/10 | 2018/09/10 | 2019/03/10 | 2018/09/10 | 2018/09/10 | 2018/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/09/10 => 2019/03/10 | 2019/03/10 | 2019/09/10 | 2019/03/08 | 2019/03/10 | 2019/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/10 => 2019/09/10 | 2019/09/10 | 2020/03/10 | 2019/09/10 | 2019/09/10 | 2019/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/09/10 => 2020/03/10 | 2020/03/10 | 2020/09/10 | 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/10 => 2020/09/10 | 2020/09/10 | 2021/03/10 | 2020/09/10 | 2020/09/10 | 2020/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/09/10 => 2021/03/10 | 2021/03/10 | 2021/09/10 | 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/10 => 2021/09/10 | 2021/09/10 | 2022/03/10 | 2021/09/10 | 2021/09/10 | 2021/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/09/10 => 2022/03/10 | 2022/03/10 | 2022/09/10 | 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/10 => 2022/09/10 | 2022/09/10 | 2023/03/10 | 2022/09/09 | 2022/09/10 | 2022/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/09/10 => 2023/03/10 | 2023/03/10 | 2023/09/10 | 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/10 => 2023/09/10 | 2023/09/10 | 2024/03/10 | 2023/09/08 | 2023/09/10 | 2023/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/09/10 => 2024/03/10 | 2024/03/10 | 2024/09/10 | 2024/03/08 | 2024/03/10 | 2024/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/10 => 2024/09/10 | 2024/09/10 | 2025/03/10 | 2024/09/10 | 2024/09/10 | 2024/09/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/09/10 => 2025/03/10 | 2025/03/10 | 2025/09/10 | 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 6M | 2 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/09/10 | USD | USD-LIBOR-6M | 1.56% | 0.5111 | -0.0080 | 0.0000 | 0.9938 ||
|| 2017/09/10 => 2018/03/10 | USD | USD-LIBOR-6M | 1.86% | 0.5028 | -0.0093 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2018/09/10 | USD | USD-LIBOR-6M | 2.07% | 0.5111 | -0.0106 | 0.0000 | 0.9768 ||
|| 2018/09/10 => 2019/03/10 | USD | USD-LIBOR-6M | 2.27% | 0.5028 | -0.0114 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2019/09/10 | USD | USD-LIBOR-6M | 2.48% | 0.5111 | -0.0127 | 0.0000 | 0.9556 ||
|| 2019/09/10 => 2020/03/10 | USD | USD-LIBOR-6M | 2.57% | 0.5056 | -0.0130 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2020/09/10 | USD | USD-LIBOR-6M | 2.63% | 0.5111 | -0.0135 | 0.0000 | 0.9316 ||
|| 2020/09/10 => 2021/03/10 | USD | USD-LIBOR-6M | 2.70% | 0.5028 | -0.0136 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2021/09/10 | USD | USD-LIBOR-6M | 2.75% | 0.5111 | -0.0140 | 0.0000 | 0.9069 ||
|| 2021/09/10 => 2022/03/10 | USD | USD-LIBOR-6M | 2.78% | 0.5028 | -0.0140 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2022/09/10 | USD | USD-LIBOR-6M | 2.81% | 0.5111 | -0.0144 | 0.0000 | 0.8820 ||
|| 2022/09/10 => 2023/03/10 | USD | USD-LIBOR-6M | 2.85% | 0.5028 | -0.0143 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2023/09/10 | USD | USD-LIBOR-6M | 2.89% | 0.5111 | -0.0148 | 0.0000 | 0.8572 ||
|| 2023/09/10 => 2024/03/10 | USD | USD-LIBOR-6M | 2.93% | 0.5056 | -0.0148 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2024/09/10 | USD | USD-LIBOR-6M | 2.96% | 0.5111 | -0.0151 | 0.0000 | 0.8324 ||
|| 2024/09/10 => 2025/03/10 | USD | USD-LIBOR-6M | 2.98% | 0.5028 | -0.0150 | 0.0000 | 0.8202 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2018/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2019/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2020/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2021/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2022/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2023/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2024/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/10 => 2017/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2018/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2019/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2020/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2021/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2022/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2023/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2024/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:09 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Finish Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 3 ms
| Run Duration => 235 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 6 ms
|-----------------------------------------------------------------|
||-----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| BOND CASH FLOW PERIOD DATES AND FACTORS ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2016/10/18 => 2016/12/18 | 2016/10/18 | 2016/12/18 | 2016/10/18 | 2016/12/18 | 2016/12/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2016/12/18 => 2017/03/18 | 2016/12/18 | 2017/03/18 | 2016/12/16 | 2017/03/18 | 2017/03/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/03/18 => 2017/06/18 | 2017/03/18 | 2017/06/18 | 2017/03/17 | 2017/06/18 | 2017/06/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/06/18 => 2017/09/18 | 2017/06/18 | 2017/09/18 | 2017/06/16 | 2017/09/18 | 2017/09/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/18 => 2017/12/18 | 2017/09/18 | 2017/12/18 | 2017/09/18 | 2017/12/18 | 2017/12/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/12/18 => 2018/03/18 | 2017/12/18 | 2018/03/18 | 2017/12/18 | 2018/03/18 | 2018/03/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/18 => 2018/06/18 | 2018/03/18 | 2018/06/18 | 2018/03/16 | 2018/06/18 | 2018/06/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/06/18 => 2018/09/18 | 2018/06/18 | 2018/09/18 | 2018/06/18 | 2018/09/18 | 2018/09/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/18 => 2018/12/18 | 2018/09/18 | 2018/12/18 | 2018/09/18 | 2018/12/18 | 2018/12/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/12/18 => 2019/03/18 | 2018/12/18 | 2019/03/18 | 2018/12/18 | 2019/03/18 | 2019/03/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/18 => 2019/06/18 | 2019/03/18 | 2019/06/18 | 2019/03/18 | 2019/06/18 | 2019/06/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/06/18 => 2019/09/18 | 2019/06/18 | 2019/09/18 | 2019/06/18 | 2019/09/18 | 2019/09/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/18 => 2019/10/18 | 2019/09/18 | 2019/10/18 | 2019/09/18 | 2019/10/18 | 2019/10/18 | true | 3M | 4 | USD | USD | 91 | 1.0000 | 1.0000 | 1.0000 ||
||-----------------------------------------------------------------------------------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||----------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Credit Label ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
|| - Period Survival Probability ||
|| - Period Recovery ||
||----------------------------------------------------------------------------------------------------------------------||
|| 2016/10/18 => 2016/12/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 0.91% | 0.1694 | 0.0015 | 0.0000 | 1.0000 | 1.0000 | 40% ||
|| 2016/12/18 => 2017/03/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.00% | 0.2500 | 0.0050 | 0.0000 | 0.9998 | 0.9998 | 40% ||
|| 2017/03/18 => 2017/06/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.05% | 0.2556 | 0.0052 | 0.0000 | 0.9968 | 0.9973 | 40% ||
|| 2017/06/18 => 2017/09/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.25% | 0.2556 | 0.0058 | 0.0000 | 0.9934 | 0.9948 | 40% ||
|| 2017/09/18 => 2017/12/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.39% | 0.2528 | 0.0061 | 0.0000 | 0.9897 | 0.9923 | 40% ||
|| 2017/12/18 => 2018/03/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.56% | 0.2500 | 0.0064 | 0.0000 | 0.9857 | 0.9898 | 40% ||
|| 2018/03/18 => 2018/06/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.70% | 0.2556 | 0.0069 | 0.0000 | 0.9812 | 0.9873 | 40% ||
|| 2018/06/18 => 2018/09/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 3.03% | 0.2556 | 0.0078 | 0.0000 | 0.9759 | 0.9849 | 40% ||
|| 2018/09/18 => 2018/12/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.81% | 0.2528 | 0.0071 | 0.0000 | 0.9712 | 0.9824 | 40% ||
|| 2018/12/18 => 2019/03/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 2.96% | 0.2500 | 0.0074 | 0.0000 | 0.9662 | 0.9800 | 40% ||
|| 2019/03/18 => 2019/06/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 3.12% | 0.2556 | 0.0080 | 0.0000 | 0.9608 | 0.9775 | 40% ||
|| 2019/06/18 => 2019/09/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 3.25% | 0.2556 | 0.0083 | 0.0000 | 0.9551 | 0.9751 | 40% ||
|| 2019/09/18 => 2019/10/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 3.32% | 0.0833 | 0.0028 | 0.0000 | 0.9532 | 0.9743 | 40% ||
|| 2016/10/18 => 2019/10/18 | CC::USD::SENIOR | USD | USD-LIBOR-3M | 0.00% | 0.0000 | 0.0000 | 1.0000 | 0.9532 | 0.9743 | 40% ||
||----------------------------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2016/10/18 => 2016/12/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2016/12/18 => 2017/03/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/18 => 2017/06/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/06/18 => 2017/09/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/18 => 2017/12/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/12/18 => 2018/03/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/18 => 2018/06/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/06/18 => 2018/09/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/18 => 2018/12/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/12/18 => 2019/03/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/18 => 2019/06/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/06/18 => 2019/09/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/18 => 2019/10/18 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Finish Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 6 ms
| Run Duration => 207 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 4 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Index Reference Start Date ||
|| - Period Index Reference End Date ||
|| - Period Reset Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2019/03/15 => 2019/06/15 | 2019/03/15 | 2019/06/15 | 2019/03/15 | 2019/06/15 | 2019/06/15 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2019/03/15 => 2019/06/15 | USD | USD-LIBOR-3M | 2.20% | 0.2556 | 0.0056 | 0.0000 | 0.9610 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2019/03/15 => 2019/06/15 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Finish Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 4 ms
| Run Duration => 225 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 4 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Index Reference Start Date ||
|| - Period Index Reference End Date ||
|| - Period Reset Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2019/03/11 => 2019/06/11 | 2019/03/11 | 2019/06/11 | 2019/03/11 | 2019/06/11 | 2019/06/11 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2019/03/11 => 2019/06/11 | USD | USD-LIBOR-3M | 2.20% | 0.2556 | 0.0056 | 0.0000 | 0.9613 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2019/03/11 => 2019/06/11 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Finish Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 4 ms
| Run Duration => 173 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Index Reference Start Date ||
|| - Period Index Reference End Date ||
|| - Period Reset Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2019/03/11 => 2019/06/11 | 2019/03/11 | 2019/06/11 | 2019/03/11 | 2019/06/11 | 2019/06/11 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2019/03/11 => 2019/06/11 | USD | USD-LIBOR-3M | 2.20% | 0.2556 | 0.0056 | 0.0000 | 0.9613 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2019/03/11 => 2019/06/11 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:10 EST 2020
| Setup Time => Mon Jan 27 00:35:10 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 146 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | 2018/03/10 | 2018/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/10 => 2019/03/10 | 2019/03/10 | 2019/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/10 => 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/10 => 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/10 => 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/10 => 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/10 => 2024/03/10 | 2024/03/10 | 2024/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/10 => 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2019/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2020/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2021/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2022/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2023/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2024/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2025/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8202 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | 2017/12/11 | 2018/03/10 | 2017/12/11 | 2018/03/10 | 2018/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/10 => 2019/03/10 | 2018/12/10 | 2019/03/10 | 2018/12/10 | 2019/03/10 | 2019/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/10 => 2020/03/10 | 2019/12/10 | 2020/03/10 | 2019/12/10 | 2020/03/10 | 2020/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/10 => 2021/03/10 | 2020/12/10 | 2021/03/10 | 2020/12/10 | 2021/03/10 | 2021/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/10 => 2022/03/10 | 2021/12/10 | 2022/03/10 | 2021/12/10 | 2022/03/10 | 2022/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/10 => 2023/03/10 | 2022/12/12 | 2023/03/10 | 2022/12/12 | 2023/03/10 | 2023/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/10 => 2024/03/10 | 2023/12/11 | 2024/03/10 | 2023/12/11 | 2024/03/10 | 2024/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/10 => 2025/03/10 | 2024/12/10 | 2025/03/10 | 2024/12/10 | 2025/03/10 | 2025/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | USD | USD-LIBOR-3M | 1.64% | 1.0139 | -0.0166 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2019/03/10 | USD | USD-LIBOR-3M | 2.04% | 1.0139 | -0.0206 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2020/03/10 | USD | USD-LIBOR-3M | 2.50% | 1.0167 | -0.0254 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2021/03/10 | USD | USD-LIBOR-3M | 2.64% | 1.0139 | -0.0268 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2022/03/10 | USD | USD-LIBOR-3M | 2.75% | 1.0139 | -0.0279 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2023/03/10 | USD | USD-LIBOR-3M | 2.81% | 1.0139 | -0.0285 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2024/03/10 | USD | USD-LIBOR-3M | 2.89% | 1.0167 | -0.0294 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2025/03/10 | USD | USD-LIBOR-3M | 2.95% | 1.0139 | -0.0299 | 0.0000 | 0.8202 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 2 ms
| Run Duration => 153 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 28 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | 2017/06/10 | 2017/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/06/10 => 2017/09/10 | 2017/09/10 | 2017/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/10 => 2017/12/10 | 2017/12/10 | 2017/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/12/10 => 2018/03/10 | 2018/03/10 | 2018/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/10 => 2018/06/10 | 2018/06/10 | 2018/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/06/10 => 2018/09/10 | 2018/09/10 | 2018/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/10 => 2018/12/10 | 2018/12/10 | 2018/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/12/10 => 2019/03/10 | 2019/03/10 | 2019/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/10 => 2019/06/10 | 2019/06/10 | 2019/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/06/10 => 2019/09/10 | 2019/09/10 | 2019/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/10 => 2019/12/10 | 2019/12/10 | 2019/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/12/10 => 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/10 => 2020/06/10 | 2020/06/10 | 2020/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/06/10 => 2020/09/10 | 2020/09/10 | 2020/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/09/10 => 2020/12/10 | 2020/12/10 | 2020/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/12/10 => 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/10 => 2021/06/10 | 2021/06/10 | 2021/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/06/10 => 2021/09/10 | 2021/09/10 | 2021/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/09/10 => 2021/12/10 | 2021/12/10 | 2021/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/12/10 => 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/10 => 2022/06/10 | 2022/06/10 | 2022/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/06/10 => 2022/09/10 | 2022/09/10 | 2022/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/09/10 => 2022/12/10 | 2022/12/10 | 2022/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/12/10 => 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/10 => 2023/06/10 | 2023/06/10 | 2023/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/06/10 => 2023/09/10 | 2023/09/10 | 2023/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/09/10 => 2023/12/10 | 2023/12/10 | 2023/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/12/10 => 2024/03/10 | 2024/03/10 | 2024/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/10 => 2024/06/10 | 2024/06/10 | 2024/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/06/10 => 2024/09/10 | 2024/09/10 | 2024/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/09/10 => 2024/12/10 | 2024/12/10 | 2024/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/12/10 => 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9971 ||
|| 2017/06/10 => 2017/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9938 ||
|| 2017/09/10 => 2017/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9901 ||
|| 2017/12/10 => 2018/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2018/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9816 ||
|| 2018/06/10 => 2018/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9768 ||
|| 2018/09/10 => 2018/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9716 ||
|| 2018/12/10 => 2019/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2019/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9613 ||
|| 2019/06/10 => 2019/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9556 ||
|| 2019/09/10 => 2019/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9498 ||
|| 2019/12/10 => 2020/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2020/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9377 ||
|| 2020/06/10 => 2020/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9316 ||
|| 2020/09/10 => 2020/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9255 ||
|| 2020/12/10 => 2021/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2021/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9132 ||
|| 2021/06/10 => 2021/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9069 ||
|| 2021/09/10 => 2021/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9007 ||
|| 2021/12/10 => 2022/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2022/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8883 ||
|| 2022/06/10 => 2022/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8820 ||
|| 2022/09/10 => 2022/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8758 ||
|| 2022/12/10 => 2023/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2023/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8635 ||
|| 2023/06/10 => 2023/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8572 ||
|| 2023/09/10 => 2023/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8510 ||
|| 2023/12/10 => 2024/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2024/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8386 ||
|| 2024/06/10 => 2024/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8324 ||
|| 2024/09/10 => 2024/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8263 ||
|| 2024/12/10 => 2025/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8202 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | 2016/06/10 | 2017/06/10 | 2016/06/10 | 2017/06/10 | 2017/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/06/10 => 2017/09/10 | 2016/09/12 | 2017/09/10 | 2016/09/12 | 2017/09/10 | 2017/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/09/10 => 2017/12/10 | 2016/12/12 | 2017/12/10 | 2016/12/12 | 2017/12/10 | 2017/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/12/10 => 2018/03/10 | 2017/03/10 | 2018/03/10 | 2017/03/10 | 2018/03/10 | 2018/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/10 => 2018/06/10 | 2017/06/12 | 2018/06/10 | 2017/06/12 | 2018/06/10 | 2018/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/06/10 => 2018/09/10 | 2017/09/11 | 2018/09/10 | 2017/09/11 | 2018/09/10 | 2018/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/09/10 => 2018/12/10 | 2017/12/11 | 2018/12/10 | 2017/12/11 | 2018/12/10 | 2018/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/12/10 => 2019/03/10 | 2018/03/12 | 2019/03/10 | 2018/03/12 | 2019/03/10 | 2019/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/10 => 2019/06/10 | 2018/06/11 | 2019/06/10 | 2018/06/11 | 2019/06/10 | 2019/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/06/10 => 2019/09/10 | 2018/09/10 | 2019/09/10 | 2018/09/10 | 2019/09/10 | 2019/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/09/10 => 2019/12/10 | 2018/12/10 | 2019/12/10 | 2018/12/10 | 2019/12/10 | 2019/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/12/10 => 2020/03/10 | 2019/03/11 | 2020/03/10 | 2019/03/11 | 2020/03/10 | 2020/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/10 => 2020/06/10 | 2019/06/10 | 2020/06/10 | 2019/06/10 | 2020/06/10 | 2020/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/06/10 => 2020/09/10 | 2019/09/10 | 2020/09/10 | 2019/09/10 | 2020/09/10 | 2020/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/09/10 => 2020/12/10 | 2019/12/10 | 2020/12/10 | 2019/12/10 | 2020/12/10 | 2020/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/12/10 => 2021/03/10 | 2020/03/10 | 2021/03/10 | 2020/03/10 | 2021/03/10 | 2021/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/10 => 2021/06/10 | 2020/06/10 | 2021/06/10 | 2020/06/10 | 2021/06/10 | 2021/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/06/10 => 2021/09/10 | 2020/09/10 | 2021/09/10 | 2020/09/10 | 2021/09/10 | 2021/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/09/10 => 2021/12/10 | 2020/12/10 | 2021/12/10 | 2020/12/10 | 2021/12/10 | 2021/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/12/10 => 2022/03/10 | 2021/03/10 | 2022/03/10 | 2021/03/10 | 2022/03/10 | 2022/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/10 => 2022/06/10 | 2021/06/10 | 2022/06/10 | 2021/06/10 | 2022/06/10 | 2022/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/06/10 => 2022/09/10 | 2021/09/10 | 2022/09/10 | 2021/09/10 | 2022/09/10 | 2022/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/09/10 => 2022/12/10 | 2021/12/10 | 2022/12/10 | 2021/12/10 | 2022/12/10 | 2022/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/12/10 => 2023/03/10 | 2022/03/10 | 2023/03/10 | 2022/03/10 | 2023/03/10 | 2023/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/10 => 2023/06/10 | 2022/06/10 | 2023/06/10 | 2022/06/10 | 2023/06/10 | 2023/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/06/10 => 2023/09/10 | 2022/09/12 | 2023/09/10 | 2022/09/12 | 2023/09/10 | 2023/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/09/10 => 2023/12/10 | 2022/12/12 | 2023/12/10 | 2022/12/12 | 2023/12/10 | 2023/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/12/10 => 2024/03/10 | 2023/03/10 | 2024/03/10 | 2023/03/10 | 2024/03/10 | 2024/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/10 => 2024/06/10 | 2023/06/12 | 2024/06/10 | 2023/06/12 | 2024/06/10 | 2024/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/06/10 => 2024/09/10 | 2023/09/11 | 2024/09/10 | 2023/09/11 | 2024/09/10 | 2024/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/09/10 => 2024/12/10 | 2023/12/11 | 2024/12/10 | 2023/12/11 | 2024/12/10 | 2024/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/12/10 => 2025/03/10 | 2024/03/11 | 2025/03/10 | 2024/03/11 | 2025/03/10 | 2025/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | USD | USD-LIBOR-12M | 1.13% | 0.2556 | -0.0029 | 0.0000 | 0.9971 ||
|| 2017/06/10 => 2017/09/10 | USD | USD-LIBOR-12M | 1.23% | 0.2556 | -0.0031 | 0.0000 | 0.9938 ||
|| 2017/09/10 => 2017/12/10 | USD | USD-LIBOR-12M | 1.31% | 0.2528 | -0.0033 | 0.0000 | 0.9901 ||
|| 2017/12/10 => 2018/03/10 | USD | USD-LIBOR-12M | 1.40% | 0.2500 | -0.0035 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2018/06/10 | USD | USD-LIBOR-12M | 1.56% | 0.2556 | -0.0040 | 0.0000 | 0.9816 ||
|| 2018/06/10 => 2018/09/10 | USD | USD-LIBOR-12M | 1.72% | 0.2556 | -0.0044 | 0.0000 | 0.9768 ||
|| 2018/09/10 => 2018/12/10 | USD | USD-LIBOR-12M | 1.87% | 0.2528 | -0.0047 | 0.0000 | 0.9716 ||
|| 2018/12/10 => 2019/03/10 | USD | USD-LIBOR-12M | 1.97% | 0.2500 | -0.0049 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2019/06/10 | USD | USD-LIBOR-12M | 2.08% | 0.2556 | -0.0053 | 0.0000 | 0.9613 ||
|| 2019/06/10 => 2019/09/10 | USD | USD-LIBOR-12M | 2.18% | 0.2556 | -0.0056 | 0.0000 | 0.9556 ||
|| 2019/09/10 => 2019/12/10 | USD | USD-LIBOR-12M | 2.27% | 0.2528 | -0.0057 | 0.0000 | 0.9498 ||
|| 2019/12/10 => 2020/03/10 | USD | USD-LIBOR-12M | 2.39% | 0.2528 | -0.0060 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2020/06/10 | USD | USD-LIBOR-12M | 2.48% | 0.2556 | -0.0063 | 0.0000 | 0.9377 ||
|| 2020/06/10 => 2020/09/10 | USD | USD-LIBOR-12M | 2.54% | 0.2556 | -0.0065 | 0.0000 | 0.9316 ||
|| 2020/09/10 => 2020/12/10 | USD | USD-LIBOR-12M | 2.58% | 0.2528 | -0.0065 | 0.0000 | 0.9255 ||
|| 2020/12/10 => 2021/03/10 | USD | USD-LIBOR-12M | 2.62% | 0.2500 | -0.0065 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2021/06/10 | USD | USD-LIBOR-12M | 2.65% | 0.2556 | -0.0068 | 0.0000 | 0.9132 ||
|| 2021/06/10 => 2021/09/10 | USD | USD-LIBOR-12M | 2.68% | 0.2556 | -0.0069 | 0.0000 | 0.9069 ||
|| 2021/09/10 => 2021/12/10 | USD | USD-LIBOR-12M | 2.71% | 0.2528 | -0.0069 | 0.0000 | 0.9007 ||
|| 2021/12/10 => 2022/03/10 | USD | USD-LIBOR-12M | 2.74% | 0.2500 | -0.0069 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2022/06/10 | USD | USD-LIBOR-12M | 2.76% | 0.2556 | -0.0071 | 0.0000 | 0.8883 ||
|| 2022/06/10 => 2022/09/10 | USD | USD-LIBOR-12M | 2.78% | 0.2556 | -0.0071 | 0.0000 | 0.8820 ||
|| 2022/09/10 => 2022/12/10 | USD | USD-LIBOR-12M | 2.80% | 0.2528 | -0.0071 | 0.0000 | 0.8758 ||
|| 2022/12/10 => 2023/03/10 | USD | USD-LIBOR-12M | 2.82% | 0.2500 | -0.0070 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2023/06/10 | USD | USD-LIBOR-12M | 2.84% | 0.2556 | -0.0072 | 0.0000 | 0.8635 ||
|| 2023/06/10 => 2023/09/10 | USD | USD-LIBOR-12M | 2.85% | 0.2556 | -0.0073 | 0.0000 | 0.8572 ||
|| 2023/09/10 => 2023/12/10 | USD | USD-LIBOR-12M | 2.87% | 0.2528 | -0.0073 | 0.0000 | 0.8510 ||
|| 2023/12/10 => 2024/03/10 | USD | USD-LIBOR-12M | 2.89% | 0.2528 | -0.0073 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2024/06/10 | USD | USD-LIBOR-12M | 2.91% | 0.2556 | -0.0074 | 0.0000 | 0.8386 ||
|| 2024/06/10 => 2024/09/10 | USD | USD-LIBOR-12M | 2.93% | 0.2556 | -0.0075 | 0.0000 | 0.8324 ||
|| 2024/09/10 => 2024/12/10 | USD | USD-LIBOR-12M | 2.95% | 0.2528 | -0.0075 | 0.0000 | 0.8263 ||
|| 2024/12/10 => 2025/03/10 | USD | USD-LIBOR-12M | 2.96% | 0.2500 | -0.0074 | 0.0000 | 0.8202 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/06/10 => 2017/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/10 => 2017/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/12/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2018/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/06/10 => 2018/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/10 => 2018/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/12/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2019/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/06/10 => 2019/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/10 => 2019/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/12/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2020/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/06/10 => 2020/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/10 => 2020/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/12/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2021/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/06/10 => 2021/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/10 => 2021/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/12/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2022/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/06/10 => 2022/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/10 => 2022/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/12/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2023/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/06/10 => 2023/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/10 => 2023/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/12/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2024/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/06/10 => 2024/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/10 => 2024/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/12/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/10 => 2017/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/06/10 => 2017/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/10 => 2017/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/12/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2018/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/06/10 => 2018/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/10 => 2018/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/12/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2019/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/06/10 => 2019/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/10 => 2019/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/12/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2020/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/06/10 => 2020/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/10 => 2020/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/12/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2021/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/06/10 => 2021/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/10 => 2021/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/12/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2022/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/06/10 => 2022/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/10 => 2022/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/12/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2023/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/06/10 => 2023/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/10 => 2023/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/12/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2024/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/06/10 => 2024/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/10 => 2024/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/12/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 28 ms
| Run Duration => 147 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | 2018/03/10 | 2018/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/10 => 2019/03/10 | 2019/03/10 | 2019/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/10 => 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/10 => 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/10 => 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/10 => 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/10 => 2024/03/10 | 2024/03/10 | 2024/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/10 => 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 12M | 1 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2019/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2020/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2021/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2022/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2023/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2024/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2025/03/10 | USD | 0.00% | 1.0000 | 0.0000 | 0.0000 | 0.8202 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | 2018/03/11 | 2018/06/10 | 2018/03/09 | 2018/03/10 | 2018/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/10 => 2019/03/10 | 2019/03/10 | 2019/06/10 | 2019/03/08 | 2019/03/10 | 2019/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/10 => 2020/03/10 | 2020/03/10 | 2020/06/10 | 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/10 => 2021/03/10 | 2021/03/10 | 2021/06/10 | 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/10 => 2022/03/10 | 2022/03/10 | 2022/06/10 | 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/10 => 2023/03/10 | 2023/03/12 | 2023/06/10 | 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/10 => 2024/03/10 | 2024/03/11 | 2024/06/10 | 2024/03/11 | 2024/03/10 | 2024/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/10 => 2025/03/10 | 2025/03/10 | 2025/06/10 | 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 12M | 1 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | USD | USD-LIBOR-3M | 1.78% | 1.0139 | -0.0180 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2019/03/10 | USD | USD-LIBOR-3M | 2.19% | 1.0139 | -0.0223 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2020/03/10 | USD | USD-LIBOR-3M | 2.54% | 1.0167 | -0.0258 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2021/03/10 | USD | USD-LIBOR-3M | 2.67% | 1.0139 | -0.0271 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2022/03/10 | USD | USD-LIBOR-3M | 2.76% | 1.0139 | -0.0280 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2023/03/10 | USD | USD-LIBOR-3M | 2.83% | 1.0139 | -0.0287 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2024/03/10 | USD | USD-LIBOR-3M | 2.91% | 1.0167 | -0.0296 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2025/03/10 | USD | USD-LIBOR-3M | 2.96% | 1.0139 | -0.0301 | 0.0000 | 0.8202 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 96 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
||-------------------------------------------------------------------------------------------------------------------||
|| FIXED PERIOD DATES AND FACTORS ||
||-------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||-------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | 2017/06/10 | 2017/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/06/10 => 2017/09/10 | 2017/09/10 | 2017/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/09/10 => 2017/12/10 | 2017/12/10 | 2017/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2017/12/10 => 2018/03/10 | 2018/03/10 | 2018/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/03/10 => 2018/06/10 | 2018/06/10 | 2018/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/06/10 => 2018/09/10 | 2018/09/10 | 2018/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/09/10 => 2018/12/10 | 2018/12/10 | 2018/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2018/12/10 => 2019/03/10 | 2019/03/10 | 2019/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/03/10 => 2019/06/10 | 2019/06/10 | 2019/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/06/10 => 2019/09/10 | 2019/09/10 | 2019/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/09/10 => 2019/12/10 | 2019/12/10 | 2019/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2019/12/10 => 2020/03/10 | 2020/03/10 | 2020/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/03/10 => 2020/06/10 | 2020/06/10 | 2020/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/06/10 => 2020/09/10 | 2020/09/10 | 2020/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/09/10 => 2020/12/10 | 2020/12/10 | 2020/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2020/12/10 => 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/03/10 => 2021/06/10 | 2021/06/10 | 2021/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/06/10 => 2021/09/10 | 2021/09/10 | 2021/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/09/10 => 2021/12/10 | 2021/12/10 | 2021/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2021/12/10 => 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/03/10 => 2022/06/10 | 2022/06/10 | 2022/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/06/10 => 2022/09/10 | 2022/09/10 | 2022/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/09/10 => 2022/12/10 | 2022/12/10 | 2022/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2022/12/10 => 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/03/10 => 2023/06/10 | 2023/06/10 | 2023/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/06/10 => 2023/09/10 | 2023/09/10 | 2023/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/09/10 => 2023/12/10 | 2023/12/10 | 2023/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2023/12/10 => 2024/03/10 | 2024/03/10 | 2024/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/03/10 => 2024/06/10 | 2024/06/10 | 2024/06/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/06/10 => 2024/09/10 | 2024/09/10 | 2024/09/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/09/10 => 2024/12/10 | 2024/12/10 | 2024/12/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
|| 2024/12/10 => 2025/03/10 | 2025/03/10 | 2025/03/10 | true | 3M | 4 | USD | USD | 0 | 1.0000 | 1.0000 | 1.0000 ||
||-------------------------------------------------------------------------------------------------------------------||
||---------------------------------------------------------------------------------||
|| FIXED PERIOD LABELS AND CURVE FACTORS ||
||---------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||---------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9971 ||
|| 2017/06/10 => 2017/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9938 ||
|| 2017/09/10 => 2017/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9901 ||
|| 2017/12/10 => 2018/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2018/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9816 ||
|| 2018/06/10 => 2018/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9768 ||
|| 2018/09/10 => 2018/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9716 ||
|| 2018/12/10 => 2019/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2019/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9613 ||
|| 2019/06/10 => 2019/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9556 ||
|| 2019/09/10 => 2019/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9498 ||
|| 2019/12/10 => 2020/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2020/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9377 ||
|| 2020/06/10 => 2020/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9316 ||
|| 2020/09/10 => 2020/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9255 ||
|| 2020/12/10 => 2021/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2021/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9132 ||
|| 2021/06/10 => 2021/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9069 ||
|| 2021/09/10 => 2021/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.9007 ||
|| 2021/12/10 => 2022/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2022/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8883 ||
|| 2022/06/10 => 2022/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8820 ||
|| 2022/09/10 => 2022/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8758 ||
|| 2022/12/10 => 2023/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2023/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8635 ||
|| 2023/06/10 => 2023/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8572 ||
|| 2023/09/10 => 2023/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8510 ||
|| 2023/12/10 => 2024/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2024/06/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8386 ||
|| 2024/06/10 => 2024/09/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8324 ||
|| 2024/09/10 => 2024/12/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8263 ||
|| 2024/12/10 => 2025/03/10 | USD | 0.00% | 0.2500 | 0.0000 | 0.0000 | 0.8202 ||
||---------------------------------------------------------------------------------||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD DATES AND FACTORS ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Reference Index Start Date ||
|| - Reference Index End Date ||
|| - Reference Index Fixing Date ||
|| - Period Pay Date ||
|| - Period FX Fixing Date ||
|| - Period Is FX MTM? ||
|| - Period Tenor ||
|| - Period Coupon Frequency ||
|| - Period Pay Currency ||
|| - Period Coupon Currency ||
|| - Period Basis ||
|| - Period Base Notional ||
|| - Period Notional ||
|| - Period Coupon Factor ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | 2017/06/10 | 2018/06/10 | 2017/06/09 | 2017/06/10 | 2017/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/06/10 => 2017/09/10 | 2017/09/12 | 2018/09/10 | 2017/09/12 | 2017/09/10 | 2017/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/09/10 => 2017/12/10 | 2017/12/12 | 2018/12/10 | 2017/12/12 | 2017/12/10 | 2017/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2017/12/10 => 2018/03/10 | 2018/03/10 | 2019/03/10 | 2018/03/09 | 2018/03/10 | 2018/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/03/10 => 2018/06/10 | 2018/06/12 | 2019/06/10 | 2018/06/12 | 2018/06/10 | 2018/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/06/10 => 2018/09/10 | 2018/09/11 | 2019/09/10 | 2018/09/11 | 2018/09/10 | 2018/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/09/10 => 2018/12/10 | 2018/12/11 | 2019/12/10 | 2018/12/11 | 2018/12/10 | 2018/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2018/12/10 => 2019/03/10 | 2019/03/12 | 2020/03/10 | 2019/03/12 | 2019/03/10 | 2019/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/03/10 => 2019/06/10 | 2019/06/11 | 2020/06/10 | 2019/06/11 | 2019/06/10 | 2019/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/06/10 => 2019/09/10 | 2019/09/10 | 2020/09/10 | 2019/09/10 | 2019/09/10 | 2019/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/09/10 => 2019/12/10 | 2019/12/10 | 2020/12/10 | 2019/12/10 | 2019/12/10 | 2019/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2019/12/10 => 2020/03/10 | 2020/03/11 | 2021/03/10 | 2020/03/11 | 2020/03/10 | 2020/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/03/10 => 2020/06/10 | 2020/06/10 | 2021/06/10 | 2020/06/10 | 2020/06/10 | 2020/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/06/10 => 2020/09/10 | 2020/09/10 | 2021/09/10 | 2020/09/10 | 2020/09/10 | 2020/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/09/10 => 2020/12/10 | 2020/12/10 | 2021/12/10 | 2020/12/10 | 2020/12/10 | 2020/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2020/12/10 => 2021/03/10 | 2021/03/10 | 2022/03/10 | 2021/03/10 | 2021/03/10 | 2021/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/03/10 => 2021/06/10 | 2021/06/10 | 2022/06/10 | 2021/06/10 | 2021/06/10 | 2021/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/06/10 => 2021/09/10 | 2021/09/10 | 2022/09/10 | 2021/09/10 | 2021/09/10 | 2021/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/09/10 => 2021/12/10 | 2021/12/10 | 2022/12/10 | 2021/12/10 | 2021/12/10 | 2021/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2021/12/10 => 2022/03/10 | 2022/03/10 | 2023/03/10 | 2022/03/10 | 2022/03/10 | 2022/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/03/10 => 2022/06/10 | 2022/06/10 | 2023/06/10 | 2022/06/10 | 2022/06/10 | 2022/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/06/10 => 2022/09/10 | 2022/09/10 | 2023/09/10 | 2022/09/09 | 2022/09/10 | 2022/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/09/10 => 2022/12/10 | 2022/12/10 | 2023/12/10 | 2022/12/09 | 2022/12/10 | 2022/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2022/12/10 => 2023/03/10 | 2023/03/10 | 2024/03/10 | 2023/03/10 | 2023/03/10 | 2023/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/03/10 => 2023/06/10 | 2023/06/10 | 2024/06/10 | 2023/06/09 | 2023/06/10 | 2023/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/06/10 => 2023/09/10 | 2023/09/12 | 2024/09/10 | 2023/09/12 | 2023/09/10 | 2023/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/09/10 => 2023/12/10 | 2023/12/12 | 2024/12/10 | 2023/12/12 | 2023/12/10 | 2023/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2023/12/10 => 2024/03/10 | 2024/03/10 | 2025/03/10 | 2024/03/08 | 2024/03/10 | 2024/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/03/10 => 2024/06/10 | 2024/06/12 | 2025/06/10 | 2024/06/12 | 2024/06/10 | 2024/06/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/06/10 => 2024/09/10 | 2024/09/11 | 2025/09/10 | 2024/09/11 | 2024/09/10 | 2024/09/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/09/10 => 2024/12/10 | 2024/12/11 | 2025/12/10 | 2024/12/11 | 2024/12/10 | 2024/12/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
|| 2024/12/10 => 2025/03/10 | 2025/03/11 | 2026/03/10 | 2025/03/11 | 2025/03/10 | 2025/03/10 | true | 3M | 4 | USD | USD | 0 | -1.0000 | -1.0000 | 1.0000 ||
||----------------------------------------------------------------------------------------------------------------------------------------------------------||
||------------------------------------------------------------------------------------------------||
|| FLOATING PERIOD LABELS AND CURVE FACTORS ||
||------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Period Start Date ||
|| - Period End Date ||
|| - Period Funding Label ||
|| - Period Forward Label ||
|| - Period Coupon Rate (%) ||
|| - Period Coupon Year Fraction ||
|| - Period Coupon Amount ||
|| - Period Principal Amount ||
|| - Period Discount Factor ||
||------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | USD | USD-LIBOR-12M | 1.56% | 0.2556 | -0.0040 | 0.0000 | 0.9971 ||
|| 2017/06/10 => 2017/09/10 | USD | USD-LIBOR-12M | 1.72% | 0.2556 | -0.0044 | 0.0000 | 0.9938 ||
|| 2017/09/10 => 2017/12/10 | USD | USD-LIBOR-12M | 1.87% | 0.2528 | -0.0047 | 0.0000 | 0.9901 ||
|| 2017/12/10 => 2018/03/10 | USD | USD-LIBOR-12M | 1.97% | 0.2500 | -0.0049 | 0.0000 | 0.9860 ||
|| 2018/03/10 => 2018/06/10 | USD | USD-LIBOR-12M | 2.08% | 0.2556 | -0.0053 | 0.0000 | 0.9816 ||
|| 2018/06/10 => 2018/09/10 | USD | USD-LIBOR-12M | 2.18% | 0.2556 | -0.0056 | 0.0000 | 0.9768 ||
|| 2018/09/10 => 2018/12/10 | USD | USD-LIBOR-12M | 2.27% | 0.2528 | -0.0057 | 0.0000 | 0.9716 ||
|| 2018/12/10 => 2019/03/10 | USD | USD-LIBOR-12M | 2.39% | 0.2500 | -0.0060 | 0.0000 | 0.9667 ||
|| 2019/03/10 => 2019/06/10 | USD | USD-LIBOR-12M | 2.48% | 0.2556 | -0.0063 | 0.0000 | 0.9613 ||
|| 2019/06/10 => 2019/09/10 | USD | USD-LIBOR-12M | 2.54% | 0.2556 | -0.0065 | 0.0000 | 0.9556 ||
|| 2019/09/10 => 2019/12/10 | USD | USD-LIBOR-12M | 2.58% | 0.2528 | -0.0065 | 0.0000 | 0.9498 ||
|| 2019/12/10 => 2020/03/10 | USD | USD-LIBOR-12M | 2.62% | 0.2528 | -0.0066 | 0.0000 | 0.9438 ||
|| 2020/03/10 => 2020/06/10 | USD | USD-LIBOR-12M | 2.65% | 0.2556 | -0.0068 | 0.0000 | 0.9377 ||
|| 2020/06/10 => 2020/09/10 | USD | USD-LIBOR-12M | 2.68% | 0.2556 | -0.0069 | 0.0000 | 0.9316 ||
|| 2020/09/10 => 2020/12/10 | USD | USD-LIBOR-12M | 2.71% | 0.2528 | -0.0069 | 0.0000 | 0.9255 ||
|| 2020/12/10 => 2021/03/10 | USD | USD-LIBOR-12M | 2.74% | 0.2500 | -0.0069 | 0.0000 | 0.9194 ||
|| 2021/03/10 => 2021/06/10 | USD | USD-LIBOR-12M | 2.76% | 0.2556 | -0.0071 | 0.0000 | 0.9132 ||
|| 2021/06/10 => 2021/09/10 | USD | USD-LIBOR-12M | 2.78% | 0.2556 | -0.0071 | 0.0000 | 0.9069 ||
|| 2021/09/10 => 2021/12/10 | USD | USD-LIBOR-12M | 2.80% | 0.2528 | -0.0071 | 0.0000 | 0.9007 ||
|| 2021/12/10 => 2022/03/10 | USD | USD-LIBOR-12M | 2.82% | 0.2500 | -0.0070 | 0.0000 | 0.8946 ||
|| 2022/03/10 => 2022/06/10 | USD | USD-LIBOR-12M | 2.84% | 0.2556 | -0.0072 | 0.0000 | 0.8883 ||
|| 2022/06/10 => 2022/09/10 | USD | USD-LIBOR-12M | 2.85% | 0.2556 | -0.0073 | 0.0000 | 0.8820 ||
|| 2022/09/10 => 2022/12/10 | USD | USD-LIBOR-12M | 2.87% | 0.2528 | -0.0073 | 0.0000 | 0.8758 ||
|| 2022/12/10 => 2023/03/10 | USD | USD-LIBOR-12M | 2.89% | 0.2500 | -0.0072 | 0.0000 | 0.8697 ||
|| 2023/03/10 => 2023/06/10 | USD | USD-LIBOR-12M | 2.91% | 0.2556 | -0.0074 | 0.0000 | 0.8635 ||
|| 2023/06/10 => 2023/09/10 | USD | USD-LIBOR-12M | 2.93% | 0.2556 | -0.0075 | 0.0000 | 0.8572 ||
|| 2023/09/10 => 2023/12/10 | USD | USD-LIBOR-12M | 2.95% | 0.2528 | -0.0075 | 0.0000 | 0.8510 ||
|| 2023/12/10 => 2024/03/10 | USD | USD-LIBOR-12M | 2.96% | 0.2528 | -0.0075 | 0.0000 | 0.8449 ||
|| 2024/03/10 => 2024/06/10 | USD | USD-LIBOR-12M | 2.98% | 0.2556 | -0.0076 | 0.0000 | 0.8386 ||
|| 2024/06/10 => 2024/09/10 | USD | USD-LIBOR-12M | 2.99% | 0.2556 | -0.0076 | 0.0000 | 0.8324 ||
|| 2024/09/10 => 2024/12/10 | USD | USD-LIBOR-12M | 3.00% | 0.2528 | -0.0076 | 0.0000 | 0.8263 ||
|| 2024/12/10 => 2025/03/10 | USD | USD-LIBOR-12M | 3.01% | 0.2500 | -0.0075 | 0.0000 | 0.8202 ||
||------------------------------------------------------------------------------------------------||
||--------------------------------------------------------------------------------------------------------------------||
|| CASH FLOW PERIODS CONVEXITY CORRECTION ||
||--------------------------------------------------------------------------------------------------------------------||
|| L -> R: ||
|| - Collateral Credit Adjustment ||
|| - Collateral Forward Adjustment ||
|| - Collateral Funding Adjustment ||
|| - Collateral FX Adjustment ||
|| - Credit Forward Adjustment ||
|| - Credit Funding Adjustment ||
|| - Credit FX Adjustment ||
|| - Forward Funding Adjustment ||
|| - Forward FX Adjustment ||
|| - Funding FX Adjustment ||
||--------------------------------------------------------------------------------------------------------------------||
|| 2017/03/10 => 2017/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/06/10 => 2017/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/10 => 2017/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/12/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2018/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/06/10 => 2018/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/10 => 2018/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/12/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2019/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/06/10 => 2019/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/10 => 2019/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/12/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2020/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/06/10 => 2020/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/10 => 2020/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/12/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2021/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/06/10 => 2021/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/10 => 2021/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/12/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2022/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/06/10 => 2022/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/10 => 2022/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/12/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2023/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/06/10 => 2023/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/10 => 2023/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/12/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2024/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/06/10 => 2024/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/10 => 2024/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/12/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/03/10 => 2017/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/06/10 => 2017/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/09/10 => 2017/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2017/12/10 => 2018/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/03/10 => 2018/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/06/10 => 2018/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/09/10 => 2018/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2018/12/10 => 2019/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/03/10 => 2019/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/06/10 => 2019/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/09/10 => 2019/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2019/12/10 => 2020/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/03/10 => 2020/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/06/10 => 2020/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/09/10 => 2020/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2020/12/10 => 2021/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/03/10 => 2021/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/06/10 => 2021/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/09/10 => 2021/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2021/12/10 => 2022/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/03/10 => 2022/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/06/10 => 2022/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/09/10 => 2022/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2022/12/10 => 2023/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/03/10 => 2023/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/06/10 => 2023/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/09/10 => 2023/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2023/12/10 => 2024/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/03/10 => 2024/06/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/06/10 => 2024/09/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/09/10 => 2024/12/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
|| 2024/12/10 => 2025/03/10 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 ||
||--------------------------------------------------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:11 EST 2020
| Setup Time => Mon Jan 27 00:35:11 EST 2020
| Finish Time => Mon Jan 27 00:35:11 EST 2020
| Setup Duration => 1 ms
| Run Duration => 147 ms
|-----------------------------------------------------------------|