|-----------------------------------------------------------------|
| 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 01:02:50 EST 2020
| Setup Time => Mon Jan 27 01:02:50 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0026 | -00.0044 | -00.0008 | 00.0020 | -00.0010 | -00.0006 | 00.0005 | -00.0012 | 00.0007 | 00.0000 |
| MAXIMUM => 00.0000 | 00.7800 | 00.7724 | 00.6354 | 00.5488 | 00.5131 | 00.4626 | 00.3627 | 00.2517 | 00.2165 | 00.1262 |
| MINIMUM => 00.0000 | -00.8511 | -00.7213 | -00.6406 | -00.5792 | -00.5767 | -00.4640 | -00.3940 | -00.2928 | -00.2241 | -00.1519 |
| ERROR => 00.0000 | 00.2522 | 00.1978 | 00.1693 | 00.1454 | 00.1269 | 00.1067 | 00.0914 | 00.0758 | 00.0609 | 00.0033 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0177 | -00.0522 | -00.0500 | -00.0156 | -00.0141 | -00.0115 | -00.0018 | -00.0069 | 00.0026 | 00.0000 |
| MAXIMUM => 00.0000 | 08.8403 | 12.5197 | 11.7706 | 13.4369 | 12.1029 | 11.4262 | 08.6258 | 05.9413 | 03.3103 | 00.0000 |
| MINIMUM => 00.0000 | -09.7642 | -11.3199 | -11.9665 | -12.4013 | -11.9273 | -09.6559 | -09.3525 | -06.9803 | -02.9723 | 00.0000 |
| ERROR => 00.0000 | 02.0037 | 02.5365 | 02.7190 | 02.7033 | 02.5188 | 02.1902 | 01.7808 | 01.2651 | 00.6678 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0026 | -00.0044 | -00.0008 | 00.0020 | -00.0010 | -00.0006 | 00.0005 | -00.0012 | 00.0007 | 00.0000 |
| MAXIMUM => 00.0000 | 00.7785 | 00.7693 | 00.6316 | 00.5444 | 00.5079 | 00.4571 | 00.3577 | 00.2477 | 00.2127 | 00.1237 |
| MINIMUM => 00.0000 | -00.8494 | -00.7184 | -00.6368 | -00.5746 | -00.5710 | -00.4585 | -00.3885 | -00.2881 | -00.2201 | -00.1489 |
| ERROR => 00.0000 | 00.2517 | 00.1970 | 00.1683 | 00.1442 | 00.1257 | 00.1054 | 00.0901 | 00.0746 | 00.0598 | 00.0032 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0177 | -00.0520 | -00.0497 | -00.0155 | -00.0140 | -00.0114 | -00.0018 | -00.0068 | 00.0026 | 00.0000 |
| MAXIMUM => 00.0000 | 08.8226 | 12.4697 | 11.7002 | 13.3298 | 11.9824 | 11.2899 | 08.5059 | 05.8470 | 03.2512 | 00.0000 |
| MINIMUM => 00.0000 | -09.7447 | -11.2747 | -11.8949 | -12.3025 | -11.8086 | -09.5407 | -09.2225 | -06.8695 | -02.9193 | 00.0000 |
| ERROR => 00.0000 | 01.9997 | 02.5263 | 02.7027 | 02.6818 | 02.4937 | 02.1640 | 01.7561 | 01.2451 | 00.6558 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.1248 | 00.0967 | 00.0842 | 00.0737 | 00.0630 | 00.0530 | 00.0460 | 00.0373 | 00.0308 | 00.0016 |
| MAXIMUM => 00.0000 | 00.7800 | 00.7724 | 00.6354 | 00.5488 | 00.5131 | 00.4626 | 00.3627 | 00.2517 | 00.2165 | 00.1262 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 00.1295 | 00.1110 | 00.0971 | 00.0843 | 00.0731 | 00.0605 | 00.0521 | 00.0429 | 00.0347 | 00.0031 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.9930 | 01.2424 | 01.3346 | 01.3439 | 01.2524 | 01.0894 | 00.8895 | 00.6292 | 00.3352 | 00.0000 |
| MAXIMUM => 00.0000 | 08.8403 | 12.5197 | 11.7706 | 13.4369 | 12.1029 | 11.4262 | 08.6258 | 05.9413 | 03.3103 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 01.1586 | 01.4545 | 01.5626 | 01.5623 | 01.4594 | 01.2673 | 01.0304 | 00.7312 | 00.3880 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1274 | -00.1012 | -00.0851 | -00.0717 | -00.0640 | -00.0537 | -00.0454 | -00.0385 | -00.0301 | -00.0016 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -00.8511 | -00.7213 | -00.6406 | -00.5792 | -00.5767 | -00.4640 | -00.3940 | -00.2928 | -00.2241 | -00.1519 |
| ERROR => 00.0000 | 00.1293 | 00.1133 | 00.0968 | 00.0828 | 00.0732 | 00.0617 | 00.0519 | 00.0436 | 00.0340 | 00.0030 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -01.0108 | -01.2946 | -01.3846 | -01.3595 | -01.2665 | -01.1009 | -00.8913 | -00.6360 | -00.3326 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -09.7642 | -11.3199 | -11.9665 | -12.4013 | -11.9273 | -09.6559 | -09.3525 | -06.9803 | -02.9723 | 00.0000 |
| ERROR => 00.0000 | 01.1590 | 01.4815 | 01.5898 | 01.5622 | 01.4578 | 01.2668 | 01.0297 | 00.7336 | 00.3862 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-----------------------------------------------------||
|| UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||
||-----------------------------------------------------||
|| L -> R: ||
|| - Path Average ||
|| - Path Maximum ||
|| - Path Minimum ||
|| - Monte Carlo Error ||
||-----------------------------------------------------||
|| UCVA => -000.60% | 000.00% | -001.49% | 000.33% ||
|| FTDCVA => -000.58% | 000.00% | -001.47% | 000.32% ||
|| CVA => -000.60% | 000.00% | -001.49% | 000.33% ||
|| CVACL => 000.02% | 000.04% | 000.00% | 000.01% ||
|| DVA => 000.27% | 000.65% | 000.00% | 000.14% ||
|| FVA => -000.59% | 000.00% | -001.75% | 000.39% ||
|| FDA => 000.27% | 000.65% | 000.00% | 000.14% ||
|| FCA => -000.59% | 000.00% | -001.75% | 000.39% ||
|| FBA => 000.27% | 000.65% | 000.00% | 000.14% ||
|| SFVA => 000.01% | 001.33% | -001.35% | 000.81% ||
||-----------------------------------------------------||
|| Total => -000.84% | 030.23% | -038.76% | 007.62% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:50 EST 2020
| Setup Time => Mon Jan 27 01:02:50 EST 2020
| Finish Time => Mon Jan 27 01:02:56 EST 2020
| Setup Duration => 0 ms
| Run Duration => 6 s 144 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 01:02:56 EST 2020
| Setup Time => Mon Jan 27 01:02:56 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0142 | -00.0082 | -00.0048 | 00.0031 | -00.0048 | 00.0050 | 00.0006 | 00.0034 | 00.0016 | 00.0030 |
| MAXIMUM => 00.0000 | 02.5275 | 02.5442 | 01.8793 | 01.7478 | 01.2191 | 01.1715 | 01.0412 | 00.8388 | 00.6797 | 00.6819 |
| MINIMUM => 00.0000 | -02.4546 | -02.1471 | -01.8349 | -01.7660 | -01.4953 | -01.1036 | -01.0144 | -00.7422 | -00.6535 | -00.6247 |
| ERROR => 00.0000 | 00.5907 | 00.4797 | 00.4179 | 00.3567 | 00.3059 | 00.2512 | 00.2077 | 00.1569 | 00.1232 | 00.0796 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1650 | -00.2458 | -00.2827 | -00.2240 | -00.2555 | -00.1748 | -00.1473 | -00.0859 | -00.0518 | 00.0000 |
| MAXIMUM => 00.0000 | 31.5575 | 41.0861 | 48.1338 | 43.3530 | 37.3629 | 32.6205 | 25.0017 | 19.3202 | 09.5247 | 00.0000 |
| MINIMUM => 00.0000 | -30.6102 | -42.0872 | -39.1440 | -42.5863 | -36.7283 | -32.3910 | -26.0281 | -19.1347 | -10.2767 | 00.0000 |
| ERROR => 00.0000 | 06.3872 | 08.0724 | 08.6374 | 08.5003 | 07.8499 | 06.8432 | 05.5306 | 03.9418 | 02.0846 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0140 | -00.0084 | -00.0046 | 00.0032 | -00.0049 | 00.0052 | 00.0007 | 00.0032 | 00.0015 | 00.0028 |
| MAXIMUM => 00.0000 | 02.4971 | 02.5668 | 01.8576 | 01.6468 | 01.3309 | 01.2415 | 00.9877 | 00.8121 | 00.6969 | 00.7098 |
| MINIMUM => 00.0000 | -02.4333 | -02.2291 | -01.9518 | -01.7369 | -01.6955 | -01.1159 | -00.9795 | -00.7313 | -00.6336 | -00.7132 |
| ERROR => 00.0000 | 00.5875 | 00.4746 | 00.4115 | 00.3497 | 00.2983 | 00.2438 | 00.2005 | 00.1508 | 00.1179 | 00.0758 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1622 | -00.2471 | -00.2798 | -00.2197 | -00.2507 | -00.1659 | -00.1353 | -00.0775 | -00.0478 | 00.0000 |
| MAXIMUM => 00.0000 | 31.1781 | 42.5587 | 49.8043 | 44.6022 | 37.5294 | 31.8903 | 25.8801 | 19.9676 | 11.1170 | 00.0000 |
| MINIMUM => 00.0000 | -30.2985 | -44.6138 | -42.2786 | -46.3232 | -37.9538 | -33.0370 | -27.5571 | -21.2324 | -11.0940 | 00.0000 |
| ERROR => 00.0000 | 06.3526 | 07.9850 | 08.5030 | 08.3301 | 07.6579 | 06.6447 | 05.3424 | 03.7891 | 01.9948 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.2883 | 00.2357 | 00.2066 | 00.1799 | 00.1505 | 00.1281 | 00.1042 | 00.0802 | 00.0624 | 00.0407 |
| MAXIMUM => 00.0000 | 02.5275 | 02.5442 | 01.8793 | 01.7478 | 01.2191 | 01.1715 | 01.0412 | 00.8388 | 00.6797 | 00.6819 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 00.3163 | 00.2734 | 00.2413 | 00.2060 | 00.1747 | 00.1471 | 00.1193 | 00.0924 | 00.0720 | 00.0591 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 03.1117 | 03.9142 | 04.1786 | 04.1391 | 03.7987 | 03.3346 | 02.6920 | 01.9282 | 01.0165 | 00.0000 |
| MAXIMUM => 00.0000 | 31.5575 | 41.0861 | 48.1338 | 43.3530 | 37.3629 | 32.6205 | 25.0017 | 19.3202 | 09.5247 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 03.6411 | 04.5947 | 04.8790 | 04.8370 | 04.4463 | 03.8915 | 03.1380 | 02.2422 | 01.1841 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.3026 | -00.2440 | -00.2114 | -00.1768 | -00.1553 | -00.1231 | -00.1035 | -00.0767 | -00.0608 | -00.0378 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -02.4546 | -02.1471 | -01.8349 | -01.7660 | -01.4953 | -01.1036 | -01.0144 | -00.7422 | -00.6535 | -00.6247 |
| ERROR => 00.0000 | 00.3244 | 00.2796 | 00.2422 | 00.2059 | 00.1795 | 00.1433 | 00.1206 | 00.0893 | 00.0709 | 00.0551 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -03.2767 | -04.1600 | -04.4613 | -04.3631 | -04.0542 | -03.5093 | -02.8393 | -02.0141 | -01.0684 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -30.6102 | -42.0872 | -39.1440 | -42.5863 | -36.7283 | -32.3910 | -26.0281 | -19.1347 | -10.2767 | 00.0000 |
| ERROR => 00.0000 | 03.7487 | 04.7745 | 05.0998 | 05.0023 | 04.6165 | 04.0269 | 03.2670 | 02.3167 | 01.2317 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-----------------------------------------------------||
|| UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||
||-----------------------------------------------------||
|| L -> R: ||
|| - Path Average ||
|| - Path Maximum ||
|| - Path Minimum ||
|| - Monte Carlo Error ||
||-----------------------------------------------------||
|| UCVA => -001.44% | 001.80% | -010.25% | 000.83% ||
|| FTDCVA => -001.39% | 001.70% | -009.86% | 000.80% ||
|| CVA => -001.44% | 001.80% | -010.25% | 000.83% ||
|| CVACL => 000.04% | 000.65% | -000.13% | 000.03% ||
|| DVA => 000.62% | 003.69% | -000.37% | 000.28% ||
|| FVA => -001.25% | 000.00% | -005.06% | 000.51% ||
|| FDA => 000.62% | 003.69% | -000.37% | 000.28% ||
|| FCA => -001.25% | 000.00% | -005.06% | 000.51% ||
|| FBA => 000.62% | 003.69% | -000.37% | 000.28% ||
|| SFVA => 000.02% | 001.98% | -002.07% | 000.89% ||
||-----------------------------------------------------||
|| Total => -001.30% | 099.98% | -117.34% | 022.62% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:02:56 EST 2020
| Setup Time => Mon Jan 27 01:02:56 EST 2020
| Finish Time => Mon Jan 27 01:03:02 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 s 135 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 01:03:02 EST 2020
| Setup Time => Mon Jan 27 01:03:02 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0002 | -00.0075 | 00.0358 | 00.0242 | 00.0349 | 00.0205 | 00.0145 | 00.0165 | 00.0055 | 00.0000 |
| MAXIMUM => 00.0000 | 09.8902 | 11.6741 | 14.5341 | 12.5229 | 11.9836 | 10.8940 | 08.9711 | 05.9978 | 03.3722 | 00.0000 |
| MINIMUM => 00.0000 | -10.6204 | -11.6084 | -11.3006 | -12.1537 | -12.3135 | -10.2371 | -08.4560 | -05.9084 | -03.1785 | 00.0000 |
| ERROR => 00.0000 | 02.0165 | 02.5131 | 02.7207 | 02.6953 | 02.5113 | 02.1875 | 01.7826 | 01.2553 | 00.6700 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0002 | -00.0075 | 00.0358 | 00.0242 | 00.0349 | 00.0205 | 00.0145 | 00.0165 | 00.0055 | 00.0000 |
| MAXIMUM => 00.0000 | 09.8902 | 11.6741 | 14.5341 | 12.5229 | 11.9836 | 10.8940 | 08.9711 | 05.9978 | 03.3722 | 00.0000 |
| MINIMUM => 00.0000 | -10.6204 | -11.6084 | -11.3006 | -12.1537 | -12.3135 | -10.2371 | -08.4560 | -05.9084 | -03.1785 | 00.0000 |
| ERROR => 00.0000 | 02.0165 | 02.5131 | 02.7207 | 02.6953 | 02.5113 | 02.1875 | 01.7826 | 01.2553 | 00.6700 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0002 | -00.0075 | 00.0353 | 00.0237 | 00.0340 | 00.0198 | 00.0140 | 00.0158 | 00.0052 | 00.0000 |
| MAXIMUM => 00.0000 | 09.8409 | 11.5580 | 14.3177 | 12.2749 | 11.6877 | 10.5720 | 08.6625 | 05.7626 | 03.2238 | 00.0000 |
| MINIMUM => 00.0000 | -10.5674 | -11.4929 | -11.1323 | -11.9131 | -12.0095 | -09.9345 | -08.1652 | -05.6768 | -03.0386 | 00.0000 |
| ERROR => 00.0000 | 02.0064 | 02.4880 | 02.6802 | 02.6419 | 02.4493 | 02.1229 | 01.7213 | 01.2061 | 00.6405 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0002 | -00.0075 | 00.0353 | 00.0237 | 00.0340 | 00.0198 | 00.0140 | 00.0158 | 00.0052 | 00.0000 |
| MAXIMUM => 00.0000 | 09.8409 | 11.5580 | 14.3177 | 12.2749 | 11.6877 | 10.5720 | 08.6625 | 05.7626 | 03.2238 | 00.0000 |
| MINIMUM => 00.0000 | -10.5674 | -11.4929 | -11.1323 | -11.9131 | -12.0095 | -09.9345 | -08.1652 | -05.6768 | -03.0386 | 00.0000 |
| ERROR => 00.0000 | 02.0064 | 02.4880 | 02.6802 | 02.6419 | 02.4493 | 02.1229 | 01.7213 | 01.2061 | 00.6405 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 01.0083 | 01.2527 | 01.3782 | 01.3597 | 01.2730 | 01.1040 | 00.8986 | 00.6359 | 00.3378 | 00.0000 |
| MAXIMUM => 00.0000 | 09.8902 | 11.6741 | 14.5341 | 12.5229 | 11.9836 | 10.8940 | 08.9711 | 05.9978 | 03.3722 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 01.1712 | 01.4487 | 01.5928 | 01.5737 | 01.4726 | 01.2723 | 01.0350 | 00.7337 | 00.3886 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 01.0083 | 01.2527 | 01.3782 | 01.3597 | 01.2730 | 01.1040 | 00.8986 | 00.6359 | 00.3378 | 00.0000 |
| MAXIMUM => 00.0000 | 09.8902 | 11.6741 | 14.5341 | 12.5229 | 11.9836 | 10.8940 | 08.9711 | 05.9978 | 03.3722 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 01.1712 | 01.4487 | 01.5928 | 01.5737 | 01.4726 | 01.2723 | 01.0350 | 00.7337 | 00.3886 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -01.0082 | -01.2603 | -01.3424 | -01.3355 | -01.2381 | -01.0836 | -00.8840 | -00.6194 | -00.3323 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -10.6204 | -11.6084 | -11.3006 | -12.1537 | -12.3135 | -10.2371 | -08.4560 | -05.9084 | -03.1785 | 00.0000 |
| ERROR => 00.0000 | 01.1642 | 01.4607 | 01.5527 | 01.5362 | 01.4334 | 01.2596 | 01.0240 | 00.7192 | 00.3860 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -01.0082 | -01.2603 | -01.3424 | -01.3355 | -01.2381 | -01.0836 | -00.8840 | -00.6194 | -00.3323 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -10.6204 | -11.6084 | -11.3006 | -12.1537 | -12.3135 | -10.2371 | -08.4560 | -05.9084 | -03.1785 | 00.0000 |
| ERROR => 00.0000 | 01.1642 | 01.4607 | 01.5527 | 01.5362 | 01.4334 | 01.2596 | 01.0240 | 00.7192 | 00.3860 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-----------------------------------------------------||
|| UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||
||-----------------------------------------------------||
|| L -> R: ||
|| - Path Average ||
|| - Path Maximum ||
|| - Path Minimum ||
|| - Monte Carlo Error ||
||-----------------------------------------------------||
|| UCVA => -008.91% | 000.00% | -073.61% | 008.40% ||
|| FTDCVA => -008.63% | 000.00% | -071.27% | 008.13% ||
|| CVA => -008.91% | 000.00% | -073.61% | 008.40% ||
|| CVACL => 000.28% | 002.34% | 000.00% | 000.28% ||
|| DVA => 003.88% | 031.65% | 000.00% | 003.66% ||
|| FVA => -010.26% | 000.00% | -087.62% | 010.09% ||
|| FDA => 003.88% | 031.65% | 000.00% | 003.66% ||
|| FCA => -010.26% | 000.00% | -087.62% | 010.09% ||
|| FBA => 003.88% | 031.65% | 000.00% | 003.66% ||
|| SFVA => -000.18% | 091.02% | -093.55% | 019.27% ||
||-----------------------------------------------------||
|| Total => -015.28% | 031.65% | -161.24% | 021.13% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:03:02 EST 2020
| Setup Time => Mon Jan 27 01:03:02 EST 2020
| Finish Time => Mon Jan 27 01:03:08 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 s 871 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 01:03:08 EST 2020
| Setup Time => Mon Jan 27 01:03:08 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1254 | -00.1924 | -00.1325 | -00.0943 | 00.0375 | 00.0145 | -00.0155 | -00.0053 | -00.0148 | 00.0000 |
| MAXIMUM => 00.0000 | 28.5367 | 35.4767 | 39.4909 | 36.4700 | 37.1906 | 39.1060 | 29.3280 | 21.8607 | 10.3142 | 00.0000 |
| MINIMUM => 00.0000 | -28.9496 | -35.6133 | -38.6949 | -40.0779 | -38.3624 | -32.2972 | -25.3212 | -18.4234 | -10.3463 | 00.0000 |
| ERROR => 00.0000 | 06.2851 | 07.9273 | 08.5421 | 08.4372 | 07.8597 | 06.8594 | 05.5582 | 03.9589 | 02.1067 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1254 | -00.1924 | -00.1325 | -00.0943 | 00.0375 | 00.0145 | -00.0155 | -00.0053 | -00.0148 | 00.0000 |
| MAXIMUM => 00.0000 | 28.5367 | 35.4767 | 39.4909 | 36.4700 | 37.1906 | 39.1060 | 29.3280 | 21.8607 | 10.3142 | 00.0000 |
| MINIMUM => 00.0000 | -28.9496 | -35.6133 | -38.6949 | -40.0779 | -38.3624 | -32.2972 | -25.3212 | -18.4234 | -10.3463 | 00.0000 |
| ERROR => 00.0000 | 06.2851 | 07.9273 | 08.5421 | 08.4372 | 07.8597 | 06.8594 | 05.5582 | 03.9589 | 02.1067 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1256 | -00.1927 | -00.1314 | -00.0924 | 00.0392 | 00.0169 | -00.0111 | -00.0030 | -00.0136 | 00.0000 |
| MAXIMUM => 00.0000 | 28.0382 | 34.9523 | 37.5429 | 36.3244 | 36.4750 | 37.2707 | 28.0753 | 21.0844 | 09.7728 | 00.0000 |
| MINIMUM => 00.0000 | -29.4821 | -35.5091 | -38.3841 | -40.4098 | -39.2316 | -31.6992 | -25.3945 | -17.9477 | -09.6952 | 00.0000 |
| ERROR => 00.0000 | 06.2720 | 07.8933 | 08.4893 | 08.3678 | 07.7766 | 06.7745 | 05.4795 | 03.8976 | 02.0691 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.1256 | -00.1927 | -00.1314 | -00.0924 | 00.0392 | 00.0169 | -00.0111 | -00.0030 | -00.0136 | 00.0000 |
| MAXIMUM => 00.0000 | 28.0382 | 34.9523 | 37.5429 | 36.3244 | 36.4750 | 37.2707 | 28.0753 | 21.0844 | 09.7728 | 00.0000 |
| MINIMUM => 00.0000 | -29.4821 | -35.5091 | -38.3841 | -40.4098 | -39.2316 | -31.6992 | -25.3945 | -17.9477 | -09.6952 | 00.0000 |
| ERROR => 00.0000 | 06.2720 | 07.8933 | 08.4893 | 08.3678 | 07.7766 | 06.7745 | 05.4795 | 03.8976 | 02.0691 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 03.0803 | 03.8682 | 04.2055 | 04.1714 | 03.9488 | 03.4370 | 02.7713 | 01.9768 | 01.0459 | 00.0000 |
| MAXIMUM => 00.0000 | 28.5367 | 35.4767 | 39.4909 | 36.4700 | 37.1906 | 39.1060 | 29.3280 | 21.8607 | 10.3142 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 03.5907 | 04.5304 | 04.9074 | 04.8398 | 04.5343 | 03.9462 | 03.1879 | 02.2739 | 01.2075 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 03.0803 | 03.8682 | 04.2055 | 04.1714 | 03.9488 | 03.4370 | 02.7713 | 01.9768 | 01.0459 | 00.0000 |
| MAXIMUM => 00.0000 | 28.5367 | 35.4767 | 39.4909 | 36.4700 | 37.1906 | 39.1060 | 29.3280 | 21.8607 | 10.3142 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 03.5907 | 04.5304 | 04.9074 | 04.8398 | 04.5343 | 03.9462 | 03.1879 | 02.2739 | 01.2075 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -03.2057 | -04.0605 | -04.3380 | -04.2658 | -03.9114 | -03.4225 | -02.7868 | -01.9821 | -01.0607 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -28.9496 | -35.6133 | -38.6949 | -40.0779 | -38.3624 | -32.2972 | -25.3212 | -18.4234 | -10.3463 | 00.0000 |
| ERROR => 00.0000 | 03.6832 | 04.6441 | 05.0103 | 04.9400 | 04.5780 | 03.9981 | 03.2412 | 02.3005 | 01.2267 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -03.2057 | -04.0605 | -04.3380 | -04.2658 | -03.9114 | -03.4225 | -02.7868 | -01.9821 | -01.0607 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -28.9496 | -35.6133 | -38.6949 | -40.0779 | -38.3624 | -32.2972 | -25.3212 | -18.4234 | -10.3463 | 00.0000 |
| ERROR => 00.0000 | 03.6832 | 04.6441 | 05.0103 | 04.9400 | 04.5780 | 03.9981 | 03.2412 | 02.3005 | 01.2267 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-----------------------------------------------------||
|| UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||
||-----------------------------------------------------||
|| L -> R: ||
|| - Path Average ||
|| - Path Maximum ||
|| - Path Minimum ||
|| - Monte Carlo Error ||
||-----------------------------------------------------||
|| UCVA => -027.89% | 029.44% | -593.61% | 029.41% ||
|| FTDCVA => -026.91% | 027.19% | -563.28% | 028.28% ||
|| CVA => -027.89% | 029.44% | -593.61% | 029.41% ||
|| CVACL => 000.99% | 045.98% | -002.25% | 001.17% ||
|| DVA => 012.15% | 187.12% | -005.71% | 012.03% ||
|| FVA => -031.94% | 000.00% | -269.33% | 031.30% ||
|| FDA => 012.15% | 187.12% | -005.71% | 012.03% ||
|| FCA => -031.94% | 000.00% | -269.33% | 031.30% ||
|| FBA => 012.15% | 187.12% | -005.71% | 012.03% ||
|| SFVA => 000.65% | 300.31% | -278.80% | 061.03% ||
||-----------------------------------------------------||
|| Total => -047.68% | 187.12% | -780.14% | 066.85% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:03:08 EST 2020
| Setup Time => Mon Jan 27 01:03:08 EST 2020
| Finish Time => Mon Jan 27 01:03:14 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 s 607 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 01:03:14 EST 2020
| Setup Time => Mon Jan 27 01:03:14 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0003 | 00.0007 | -00.0002 | -00.0020 | 00.0008 | -00.0001 | -00.0003 | 00.0005 | 00.0007 | 00.0001 |
| MAXIMUM => 00.0000 | 00.6787 | 00.6573 | 00.6068 | 00.4862 | 00.5069 | 00.3748 | 00.2919 | 00.3326 | 00.2249 | 00.2633 |
| MINIMUM => 00.0000 | -00.6215 | -00.6483 | -00.5499 | -00.5031 | -00.4537 | -00.4058 | -00.3518 | -00.2736 | -00.2510 | -00.2509 |
| ERROR => 00.0000 | 00.1553 | 00.1366 | 00.1243 | 00.1066 | 00.0932 | 00.0782 | 00.0664 | 00.0564 | 00.0513 | 00.0504 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0039 | 00.0051 | 00.0025 | -00.0234 | -00.0133 | -00.0142 | -00.0175 | -00.0107 | -00.0011 | 00.0000 |
| MAXIMUM => 00.0000 | 08.8228 | 14.0075 | 12.7283 | 13.1153 | 11.0423 | 10.2068 | 08.5271 | 06.5603 | 03.2970 | 00.0000 |
| MINIMUM => 00.0000 | -08.0795 | -10.9637 | -11.8210 | -11.6171 | -10.9350 | -10.7378 | -08.6551 | -06.3261 | -03.4605 | 00.0000 |
| ERROR => 00.0000 | 02.0193 | 02.5166 | 02.6983 | 02.6808 | 02.4667 | 02.1633 | 01.7504 | 01.2482 | 00.6621 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0003 | 00.0007 | -00.0002 | -00.0019 | 00.0008 | -00.0001 | -00.0002 | 00.0005 | 00.0007 | 00.0001 |
| MAXIMUM => 00.0000 | 00.6753 | 00.6508 | 00.5977 | 00.4766 | 00.4944 | 00.3637 | 00.2818 | 00.3195 | 00.2150 | 00.2505 |
| MINIMUM => 00.0000 | -00.6184 | -00.6418 | -00.5417 | -00.4932 | -00.4425 | -00.3938 | -00.3397 | -00.2629 | -00.2400 | -00.2386 |
| ERROR => 00.0000 | 00.1546 | 00.1352 | 00.1225 | 00.1045 | 00.0909 | 00.0759 | 00.0641 | 00.0542 | 00.0490 | 00.0479 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0039 | 00.0051 | 00.0024 | -00.0230 | -00.0130 | -00.0138 | -00.0169 | -00.0103 | -00.0011 | 00.0000 |
| MAXIMUM => 00.0000 | 08.7788 | 13.8682 | 12.5388 | 12.8556 | 10.7697 | 09.9052 | 08.2338 | 06.3031 | 03.1520 | 00.0000 |
| MINIMUM => 00.0000 | -08.0392 | -10.8546 | -11.6450 | -11.3870 | -10.6650 | -10.4205 | -08.3574 | -06.0780 | -03.3082 | 00.0000 |
| ERROR => 00.0000 | 02.0093 | 02.4915 | 02.6581 | 02.6278 | 02.4058 | 02.0994 | 01.6902 | 01.1992 | 00.6330 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0775 | 00.0686 | 00.0621 | 00.0523 | 00.0470 | 00.0391 | 00.0331 | 00.0285 | 00.0260 | 00.0252 |
| MAXIMUM => 00.0000 | 00.6787 | 00.6573 | 00.6068 | 00.4862 | 00.5069 | 00.3748 | 00.2919 | 00.3326 | 00.2249 | 00.2633 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 00.0897 | 00.0791 | 00.0720 | 00.0607 | 00.0545 | 00.0452 | 00.0385 | 00.0328 | 00.0300 | 00.0291 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 01.0077 | 01.2608 | 01.3504 | 01.3288 | 01.2268 | 01.0746 | 00.8665 | 00.6188 | 00.3305 | 00.0000 |
| MAXIMUM => 00.0000 | 08.8228 | 14.0075 | 12.7283 | 13.1153 | 11.0423 | 10.2068 | 08.5271 | 06.5603 | 03.2970 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 01.1664 | 01.4495 | 01.5544 | 01.5417 | 01.4295 | 01.2528 | 01.0165 | 00.7229 | 00.3833 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.0778 | -00.0679 | -00.0623 | -00.0543 | -00.0462 | -00.0391 | -00.0333 | -00.0280 | -00.0253 | -00.0251 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -00.6215 | -00.6483 | -00.5499 | -00.5031 | -00.4537 | -00.4058 | -00.3518 | -00.2736 | -00.2510 | -00.2509 |
| ERROR => 00.0000 | 00.0894 | 00.0790 | 00.0718 | 00.0628 | 00.0535 | 00.0453 | 00.0383 | 00.0325 | 00.0295 | 00.0292 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -01.0116 | -01.2557 | -01.3479 | -01.3522 | -01.2401 | -01.0888 | -00.8840 | -00.6294 | -00.3316 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -08.0795 | -10.9637 | -11.8210 | -11.6171 | -10.9350 | -10.7378 | -08.6551 | -06.3261 | -03.4605 | 00.0000 |
| ERROR => 00.0000 | 01.1624 | 01.4562 | 01.5636 | 01.5606 | 01.4231 | 01.2518 | 01.0164 | 00.7268 | 00.3830 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-----------------------------------------------------||
|| UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||
||-----------------------------------------------------||
|| L -> R: ||
|| - Path Average ||
|| - Path Maximum ||
|| - Path Minimum ||
|| - Monte Carlo Error ||
||-----------------------------------------------------||
|| UCVA => -000.43% | -000.10% | -001.10% | 000.10% ||
|| FTDCVA => -000.42% | -000.10% | -001.09% | 000.10% ||
|| CVA => -000.43% | -000.10% | -001.10% | 000.10% ||
|| CVACL => 000.01% | 000.04% | 000.00% | 000.00% ||
|| DVA => 000.19% | 000.43% | 000.04% | 000.04% ||
|| FVA => -000.38% | -000.07% | -001.12% | 000.11% ||
|| FDA => 000.19% | 000.43% | 000.04% | 000.04% ||
|| FCA => -000.38% | -000.07% | -001.12% | 000.11% ||
|| FBA => 000.19% | 000.43% | 000.04% | 000.04% ||
|| SFVA => 000.00% | 000.19% | -000.18% | 000.04% ||
||-----------------------------------------------------||
|| Total => -000.59% | 029.86% | -032.82% | 006.90% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:03:14 EST 2020
| Setup Time => Mon Jan 27 01:03:14 EST 2020
| Finish Time => Mon Jan 27 01:03:20 EST 2020
| Setup Duration => 0 ms
| Run Duration => 5 s 734 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 01:03:20 EST 2020
| Setup Time => Mon Jan 27 01:03:20 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0050 | -00.0084 | -00.0038 | -00.0043 | 00.0034 | 00.0071 | -00.0009 | -00.0009 | 00.0010 | 00.0018 |
| MAXIMUM => 00.0000 | 02.1925 | 01.9730 | 01.7514 | 01.5106 | 01.3933 | 01.2258 | 01.0674 | 00.8837 | 00.8067 | 00.7663 |
| MINIMUM => 00.0000 | -02.1983 | -01.9891 | -01.7203 | -01.5459 | -01.2130 | -01.2644 | -01.1322 | -00.8331 | -00.8614 | -00.7397 |
| ERROR => 00.0000 | 00.4903 | 00.4351 | 00.3821 | 00.3384 | 00.2913 | 00.2450 | 00.2090 | 00.1758 | 00.1628 | 00.1610 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0654 | -00.0447 | -00.0936 | -00.1506 | -00.1067 | -00.0132 | -00.0248 | -00.0370 | -00.0242 | 00.0000 |
| MAXIMUM => 00.0000 | 28.5027 | 34.0099 | 38.0803 | 35.8170 | 38.6300 | 36.2881 | 26.3867 | 19.6449 | 09.7221 | 00.0000 |
| MINIMUM => 00.0000 | -28.5775 | -39.3450 | -44.2722 | -45.1897 | -42.2486 | -37.3529 | -28.6668 | -19.5524 | -10.0709 | 00.0000 |
| ERROR => 00.0000 | 06.3738 | 07.9980 | 08.5212 | 08.4134 | 07.8191 | 06.8099 | 05.5620 | 03.9914 | 02.1155 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0050 | -00.0084 | -00.0038 | -00.0047 | 00.0035 | 00.0072 | -00.0009 | -00.0008 | 00.0010 | 00.0018 |
| MAXIMUM => 00.0000 | 02.2277 | 01.9517 | 01.7200 | 01.5378 | 01.4134 | 01.2410 | 01.0492 | 00.9106 | 00.8298 | 00.7762 |
| MINIMUM => 00.0000 | -02.1838 | -02.0075 | -01.7251 | -01.5703 | -01.2809 | -01.3287 | -01.1202 | -00.8892 | -00.8541 | -00.7715 |
| ERROR => 00.0000 | 00.4893 | 00.4334 | 00.3796 | 00.3356 | 00.2884 | 00.2421 | 00.2060 | 00.1729 | 00.1599 | 00.1578 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.0646 | -00.0461 | -00.0922 | -00.1533 | -00.1088 | -00.0150 | -00.0261 | -00.0380 | -00.0239 | 00.0000 |
| MAXIMUM => 00.0000 | 28.9601 | 35.0523 | 37.3572 | 35.4774 | 37.9804 | 36.1582 | 25.9564 | 19.2311 | 10.0142 | 00.0000 |
| MINIMUM => 00.0000 | -28.3892 | -37.9762 | -42.7605 | -42.3699 | -38.9867 | -33.7901 | -26.1844 | -18.4040 | -09.9766 | 00.0000 |
| ERROR => 00.0000 | 06.3608 | 07.9650 | 08.4682 | 08.3428 | 07.7401 | 06.7259 | 05.4827 | 03.9278 | 02.0783 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 00.2477 | 00.2134 | 00.1892 | 00.1670 | 00.1473 | 00.1261 | 00.1040 | 00.0874 | 00.0819 | 00.0814 |
| MAXIMUM => 00.0000 | 02.1925 | 01.9730 | 01.7514 | 01.5106 | 01.3933 | 01.2258 | 01.0674 | 00.8837 | 00.8067 | 00.7663 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 00.2838 | 00.2510 | 00.2195 | 00.1944 | 00.1713 | 00.1441 | 00.1204 | 00.1024 | 00.0947 | 00.0938 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED POSITIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | 03.2199 | 03.9767 | 04.2140 | 04.1316 | 03.8559 | 03.3983 | 02.7684 | 01.9772 | 01.0457 | 00.0000 |
| MAXIMUM => 00.0000 | 28.5027 | 34.0099 | 38.0803 | 35.8170 | 38.6300 | 36.2881 | 26.3867 | 19.6449 | 09.7221 | 00.0000 |
| MINIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| ERROR => 00.0000 | 03.6897 | 04.6111 | 04.9077 | 04.8160 | 04.4708 | 03.9150 | 03.1663 | 02.2889 | 01.2134 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| COLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -00.2427 | -00.2218 | -00.1929 | -00.1714 | -00.1439 | -00.1190 | -00.1049 | -00.0884 | -00.0809 | -00.0796 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -02.1983 | -01.9891 | -01.7203 | -01.5459 | -01.2130 | -01.2644 | -01.1322 | -00.8331 | -00.8614 | -00.7397 |
| ERROR => 00.0000 | 00.2827 | 00.2535 | 00.2223 | 00.1969 | 00.1662 | 00.1396 | 00.1217 | 00.1008 | 00.0938 | 00.0923 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| UNCOLLATERALIZED NEGATIVE EXPOSURE PV |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| DATE => 27-JAN-2020 | 27-JUL-2020 | 27-JAN-2021 | 27-JUL-2021 | 27-JAN-2022 | 27-JUL-2022 | 27-JAN-2023 | 27-JUL-2023 | 27-JAN-2024 | 27-JUL-2024 | 27-JAN-2025 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| AVERAGE => 00.0000 | -03.1545 | -04.0214 | -04.3077 | -04.2822 | -03.9626 | -03.4115 | -02.7932 | -02.0142 | -01.0699 | 00.0000 |
| MAXIMUM => 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 | 00.0000 |
| MINIMUM => 00.0000 | -28.5775 | -39.3450 | -44.2722 | -45.1897 | -42.2486 | -37.3529 | -28.6668 | -19.5524 | -10.0709 | 00.0000 |
| ERROR => 00.0000 | 03.6757 | 04.6361 | 04.9706 | 04.9261 | 04.5917 | 03.9883 | 03.2761 | 02.3299 | 01.2333 | 00.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-----------------------------------------------------||
|| UCVA CVA FTDCVA DVA FCA UNIVARIATE THIN STATISTICS ||
||-----------------------------------------------------||
|| L -> R: ||
|| - Path Average ||
|| - Path Maximum ||
|| - Path Minimum ||
|| - Monte Carlo Error ||
||-----------------------------------------------------||
|| UCVA => -001.39% | 003.24% | -011.06% | 000.78% ||
|| FTDCVA => -001.34% | 003.02% | -010.37% | 000.74% ||
|| CVA => -001.39% | 003.24% | -011.06% | 000.78% ||
|| CVACL => 000.05% | 001.22% | -000.22% | 000.04% ||
|| DVA => 000.60% | 002.99% | -000.48% | 000.26% ||
|| FVA => -001.21% | -000.12% | -003.58% | 000.36% ||
|| FDA => 000.60% | 002.99% | -000.48% | 000.26% ||
|| FCA => -001.21% | -000.12% | -003.58% | 000.36% ||
|| FBA => 000.60% | 002.99% | -000.48% | 000.26% ||
|| SFVA => 000.00% | 001.12% | -001.25% | 000.13% ||
||-----------------------------------------------------||
|| Total => -001.75% | 114.74% | -110.08% | 022.20% ||
||-----------------------------------------------------||
|-----------------------------------------------------------------|
| 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 01:03:20 EST 2020
| Setup Time => Mon Jan 27 01:03:20 EST 2020
| Finish Time => Mon Jan 27 01:03:26 EST 2020
| Setup Duration => 0 ms
| Run Duration => 6 s 76 ms
|-----------------------------------------------------------------|