|-----------------------------------------------------------------|
| 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 00:44:46 EST 2020
| Setup Time => Mon Jan 27 00:44:46 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
OVERNIGHT INDEX RUN RECONCILIATION
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[11-DEC-2012 => 12-DEC-2012] = 0.000400 | 0.000400
[11-DEC-2012 => 13-DEC-2012] = 0.000400 | 0.000400
[11-DEC-2012 => 14-DEC-2012] = 0.000400 | 0.000400
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OIS SHORT END INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[13-DEC-2012 => 20-DEC-2012] = 0.000700 | 0.000700 | 0.000700 | 0.00
[13-DEC-2012 => 27-DEC-2012] = 0.000690 | 0.000690 | 0.000690 | 0.00
[13-DEC-2012 => 03-JAN-2013] = 0.000780 | 0.000780 | 0.000780 | -0.00
[13-DEC-2012 => 13-JAN-2013] = 0.000740 | 0.000740 | 0.000740 | -0.00
----------------------------------------------------------------
OIS FUTURE INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[15-JAN-2013 => 15-FEB-2013] = 0.000460 | 0.000460 | 0.000460 | 0.00
[13-FEB-2013 => 13-MAR-2013] = 0.000160 | 0.000160 | 0.000160 | 0.00
[13-MAR-2013 => 13-APR-2013] = -0.000070 | -0.000070 | -0.000070 | 0.00
[15-APR-2013 => 15-MAY-2013] = -0.000130 | -0.000130 | -0.000130 | 0.00
[14-MAY-2013 => 14-JUN-2013] = -0.000140 | -0.000140 | -0.000140 | 0.00
----------------------------------------------------------------
OIS LONG END INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[13-DEC-2012 => 13-MAR-2014] = 0.000020 | 0.000020 | 0.000020 | 0.00
[13-DEC-2012 => 13-JUN-2014] = 0.000080 | 0.000080 | 0.000080 | 0.00
[13-DEC-2012 => 13-SEP-2014] = 0.000210 | 0.000210 | 0.000210 | 0.00
[13-DEC-2012 => 13-DEC-2014] = 0.000360 | 0.000360 | 0.000360 | 0.00
[13-DEC-2012 => 13-DEC-2015] = 0.001270 | 0.001270 | 0.001270 | 0.00
[13-DEC-2012 => 13-DEC-2016] = 0.002740 | 0.002740 | 0.002740 | 0.00
[13-DEC-2012 => 13-DEC-2017] = 0.004560 | 0.004560 | 0.004560 | 0.00
[13-DEC-2012 => 13-DEC-2018] = 0.006470 | 0.006470 | 0.006470 | 0.00
[13-DEC-2012 => 13-DEC-2019] = 0.008270 | 0.008270 | 0.008270 | -0.00
[13-DEC-2012 => 13-DEC-2020] = 0.009960 | 0.009960 | 0.009960 | 0.00
[13-DEC-2012 => 13-DEC-2021] = 0.011470 | 0.011470 | 0.011470 | -0.00
[13-DEC-2012 => 13-DEC-2022] = 0.012800 | 0.012800 | 0.012800 | -0.00
[13-DEC-2012 => 13-DEC-2023] = 0.014040 | 0.014040 | 0.014040 | -0.00
[13-DEC-2012 => 13-DEC-2024] = 0.015160 | 0.015160 | 0.015160 | -0.00
[13-DEC-2012 => 13-DEC-2027] = 0.017640 | 0.017640 | 0.017640 | -0.00
[13-DEC-2012 => 13-DEC-2032] = 0.019390 | 0.019390 | 0.019390 | -0.00
[13-DEC-2012 => 13-DEC-2037] = 0.020030 | 0.020030 | 0.020030 | -0.00
[13-DEC-2012 => 13-DEC-2042] = 0.020380 | 0.020380 | 0.020380 | -0.00
--------------------------------------------------------------------------
FED FUND OIS BASIS COMPARISON
--------------------------------------------------------------------------
Output Order[Effective Date - Maturity Date]
IRS Rate (%)
Fed Fund LIBOR Basis (bp)
OIS Rate Uncompounded (%) (Bloomberg 2010 Methodology)
OIS Rate Daily Compounded (%) (Bloomberg 2010 Methodology)
OIS Rate (%) From Full Calibration
--------------------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] => 0.1840% | 18.5 | 0.3672% | 0.3674% | -0.0013%
[11-DEC-2012 - 11-DEC-2014] => 0.1629% | 12.7 | 0.2877% | 0.2879% | 0.0360%
[11-DEC-2012 - 11-DEC-2015] => 0.2231% | 9.6 | 0.3164% | 0.3165% | 0.1270%
[11-DEC-2012 - 11-DEC-2016] => 0.3526% | 7.9 | 0.4269% | 0.4271% | 0.2740%
[11-DEC-2012 - 11-DEC-2017] => 0.5209% | 6.5 | 0.5796% | 0.5800% | 0.4560%
[11-DEC-2012 - 11-DEC-2018] => 0.7023% | 5.5 | 0.7495% | 0.7502% | 0.6470%
[11-DEC-2012 - 11-DEC-2019] => 0.8746% | 4.8 | 0.9123% | 0.9134% | 0.8270%
[11-DEC-2012 - 11-DEC-2020] => 1.0378% | 4.2 | 1.0683% | 1.0697% | 0.9960%
[11-DEC-2012 - 11-DEC-2021] => 1.1841% | 3.7 | 1.2086% | 1.2104% | 1.1470%
[11-DEC-2012 - 11-DEC-2022] => 1.3123% | 3.2 | 1.3311% | 1.3333% | 1.2800%
[11-DEC-2012 - 11-DEC-2023] => 1.4325% | 2.8 | 1.4466% | 1.4492% | 1.4040%
[11-DEC-2012 - 11-DEC-2024] => 1.5417% | 2.6 | 1.5524% | 1.5554% | 1.5160%
[11-DEC-2012 - 11-DEC-2027] => 1.7830% | 1.9 | 1.7855% | 1.7894% | 1.7640%
[11-DEC-2012 - 11-DEC-2032] => 1.9507% | 1.2 | 1.9452% | 1.9498% | 1.9390%
[11-DEC-2012 - 11-DEC-2037] => 2.0122% | 0.9 | 2.0038% | 2.0088% | 2.0030%
[11-DEC-2012 - 11-DEC-2042] => 2.0450% | 0.7 | 2.0342% | 2.0393% | 2.0380%
--------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 00:44:46 EST 2020
| Setup Time => Mon Jan 27 00:44:46 EST 2020
| Finish Time => Mon Jan 27 00:44:57 EST 2020
| Setup Duration => 0 ms
| Run Duration => 10 s 577 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 00:44:57 EST 2020
| Setup Time => Mon Jan 27 00:44:57 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
Manual Calc Float Accrued (Geometric Compounding): -5.084582836722973E-4
Manual Calc Float Accrued (Arithmetic Compounding): -5.083333333333334E-4
Manual Calc Float Accrued DCF (Arithmetic Compounding): 0.16944444444444445
Machine Calc Float Accrued (Geometric Compounding): -5.084582836722973E-4
Machine Calc Float Accrued (Arithmetic Compounding): -5.083333333333335E-4
Machine Calc Float Accrued DCF (Arithmetic Compounding): 0.16944444444444445
Period #1 Coupon Without Convexity Adjustment: 0.0029999999999999966
Period #1 Coupon With Convexity Adjustment: 0.0029999999999999966
|-----------------------------------------------------------------|
| 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 00:44:57 EST 2020
| Setup Time => Mon Jan 27 00:44:57 EST 2020
| Finish Time => Mon Jan 27 00:45:00 EST 2020
| Setup Duration => 1 ms
| Run Duration => 3 s 227 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 00:45:00 EST 2020
| Setup Time => Mon Jan 27 00:45:00 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
----------------------------------------------------------------
OVERNIGHT INDEX RUN RECONCILIATION
----------------------------------------------------------------
----------------------------------------------------------------
DEPOSIT INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[11-DEC-2012 => 12-DEC-2012] = 0.000400 | 0.000400
[11-DEC-2012 => 13-DEC-2012] = 0.000400 | 0.000400
[11-DEC-2012 => 14-DEC-2012] = 0.000400 | 0.000400
----------------------------------------------------------------
OIS SHORT END INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[13-DEC-2012 => 20-DEC-2012] = 0.000700 | 0.000700 | 0.000700 | 0.00
[13-DEC-2012 => 27-DEC-2012] = 0.000690 | 0.000690 | 0.000690 | 0.00
[13-DEC-2012 => 03-JAN-2013] = 0.000780 | 0.000780 | 0.000780 | -0.00
[13-DEC-2012 => 13-JAN-2013] = 0.000740 | 0.000740 | 0.000740 | -0.00
----------------------------------------------------------------
OIS FUTURE INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[15-JAN-2013 => 15-FEB-2013] = 0.000460 | 0.000460 | 0.000460 | 0.00
[13-FEB-2013 => 13-MAR-2013] = 0.000160 | 0.000160 | 0.000160 | 0.00
[13-MAR-2013 => 13-APR-2013] = -0.000070 | -0.000070 | -0.000070 | 0.00
[15-APR-2013 => 15-MAY-2013] = -0.000130 | -0.000130 | -0.000130 | 0.00
[14-MAY-2013 => 14-JUN-2013] = -0.000140 | -0.000140 | -0.000140 | 0.00
----------------------------------------------------------------
OIS LONG END INSTRUMENTS CALIBRATION RECOVERY
----------------------------------------------------------------
[13-DEC-2012 => 13-MAR-2014] = 0.000020 | 0.000020 | 0.000020 | 0.00
[13-DEC-2012 => 13-JUN-2014] = 0.000080 | 0.000080 | 0.000080 | 0.00
[13-DEC-2012 => 13-SEP-2014] = 0.000210 | 0.000210 | 0.000210 | 0.00
[13-DEC-2012 => 13-DEC-2014] = 0.000360 | 0.000360 | 0.000360 | 0.00
[13-DEC-2012 => 13-DEC-2015] = 0.001270 | 0.001270 | 0.001270 | 0.00
[13-DEC-2012 => 13-DEC-2016] = 0.002740 | 0.002740 | 0.002740 | 0.00
[13-DEC-2012 => 13-DEC-2017] = 0.004560 | 0.004560 | 0.004560 | 0.00
[13-DEC-2012 => 13-DEC-2018] = 0.006470 | 0.006470 | 0.006470 | 0.00
[13-DEC-2012 => 13-DEC-2019] = 0.008270 | 0.008270 | 0.008270 | -0.00
[13-DEC-2012 => 13-DEC-2020] = 0.009960 | 0.009960 | 0.009960 | 0.00
[13-DEC-2012 => 13-DEC-2021] = 0.011470 | 0.011470 | 0.011470 | -0.00
[13-DEC-2012 => 13-DEC-2022] = 0.012800 | 0.012800 | 0.012800 | -0.00
[13-DEC-2012 => 13-DEC-2023] = 0.014040 | 0.014040 | 0.014040 | -0.00
[13-DEC-2012 => 13-DEC-2024] = 0.015160 | 0.015160 | 0.015160 | -0.00
[13-DEC-2012 => 13-DEC-2027] = 0.017640 | 0.017640 | 0.017640 | -0.00
[13-DEC-2012 => 13-DEC-2032] = 0.019390 | 0.019390 | 0.019390 | -0.00
[13-DEC-2012 => 13-DEC-2037] = 0.020030 | 0.020030 | 0.020030 | -0.00
[13-DEC-2012 => 13-DEC-2042] = 0.020380 | 0.020380 | 0.020380 | -0.00
--------------------------------------------------------------------------
FED FUND OIS BASIS COMPARISON
--------------------------------------------------------------------------
Output Order[Effective Date - Maturity Date]
IRS Rate (%)
Fed Fund LIBOR Basis (bp)
OIS Rate Uncompounded (%) (Bloomberg 2010 Methodology)
OIS Rate Daily Compounded (%) (Bloomberg 2010 Methodology)
OIS Rate (%) From Full Calibration
--------------------------------------------------------------------------
[11-DEC-2012 - 11-DEC-2013] => 0.1840% | 18.5 | 0.3672% | 0.3674% | -0.0013%
[11-DEC-2012 - 11-DEC-2014] => 0.1629% | 12.7 | 0.2877% | 0.2879% | 0.0360%
[11-DEC-2012 - 11-DEC-2015] => 0.2231% | 9.6 | 0.3164% | 0.3165% | 0.1270%
[11-DEC-2012 - 11-DEC-2016] => 0.3526% | 7.9 | 0.4269% | 0.4271% | 0.2740%
[11-DEC-2012 - 11-DEC-2017] => 0.5209% | 6.5 | 0.5796% | 0.5800% | 0.4560%
[11-DEC-2012 - 11-DEC-2018] => 0.7023% | 5.5 | 0.7495% | 0.7502% | 0.6470%
[11-DEC-2012 - 11-DEC-2019] => 0.8746% | 4.8 | 0.9123% | 0.9134% | 0.8270%
[11-DEC-2012 - 11-DEC-2020] => 1.0378% | 4.2 | 1.0683% | 1.0697% | 0.9960%
[11-DEC-2012 - 11-DEC-2021] => 1.1841% | 3.7 | 1.2086% | 1.2104% | 1.1470%
[11-DEC-2012 - 11-DEC-2022] => 1.3123% | 3.2 | 1.3311% | 1.3333% | 1.2800%
[11-DEC-2012 - 11-DEC-2023] => 1.4325% | 2.8 | 1.4466% | 1.4492% | 1.4040%
[11-DEC-2012 - 11-DEC-2024] => 1.5417% | 2.6 | 1.5524% | 1.5554% | 1.5160%
[11-DEC-2012 - 11-DEC-2027] => 1.7830% | 1.9 | 1.7855% | 1.7894% | 1.7640%
[11-DEC-2012 - 11-DEC-2032] => 1.9507% | 1.2 | 1.9452% | 1.9498% | 1.9390%
[11-DEC-2012 - 11-DEC-2037] => 2.0122% | 0.9 | 2.0038% | 2.0088% | 2.0030%
[11-DEC-2012 - 11-DEC-2042] => 2.0450% | 0.7 | 2.0342% | 2.0393% | 2.0380%
--------------------------------------------------------------------------
|-----------------------------------------------------------------|
| 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 00:45:00 EST 2020
| Setup Time => Mon Jan 27 00:45:00 EST 2020
| Finish Time => Mon Jan 27 00:45:10 EST 2020
| Setup Duration => 1 ms
| Run Duration => 9 s 679 ms
|-----------------------------------------------------------------|