|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Gross Exposure ||
| - Path #1 Positive Exposure ||
| - Path #1 Negative Exposure ||
| - Path #2 Gross Exposure ||
| - Path #2 Positive Exposure ||
| - Path #2 Negative Exposure ||
| - Collateral Numeraire ||
| - Bank Survival Probability ||
| - Bank Recovery Rate ||
| - Bank Funding Spread ||
| - Counter Party Survival Probability ||
| - Counter Party Recovery Rate ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 27-JAN-2020 => 1.000000 | 1.000000 | 0.000000 | 1.000000 | 1.000000 | 0.000000 | 0.004000 | 0.927743 | 0.400000 | 0.025000 | 1.000000 | 0.300000 ||
| 27-JUL-2020 => 0.000000 | 1.081004 | 1.081004 | 0.000000 | 1.109851 | 1.109851 | 0.004000 | 0.934728 | 0.400000 | 0.025000 | 0.985112 | 0.300000 ||
| 27-JAN-2021 => 0.000000 | 1.087211 | 1.087211 | 0.000000 | 1.297210 | 1.297210 | 0.004000 | 0.941765 | 0.400000 | 0.025000 | 0.970446 | 0.300000 ||
| 27-JUL-2021 => 0.000000 | 1.014394 | 1.014394 | 0.000000 | 0.943103 | 0.943103 | 0.004000 | 0.948854 | 0.400000 | 0.025000 | 0.955997 | 0.300000 ||
| 27-JAN-2022 => 0.000000 | 1.119212 | 1.119212 | 0.000000 | 0.974811 | 0.974811 | 0.004000 | 0.955997 | 0.400000 | 0.025000 | 0.941765 | 0.300000 ||
| 27-JUL-2022 => 0.000000 | 1.201747 | 1.201747 | 0.000000 | 0.977223 | 0.977223 | 0.004000 | 0.963194 | 0.400000 | 0.025000 | 0.927743 | 0.300000 ||
| 27-JAN-2023 => 0.000000 | 0.954685 | 0.954685 | 0.000000 | 1.026784 | 1.026784 | 0.004000 | 0.970446 | 0.400000 | 0.025000 | 0.913931 | 0.300000 ||
| 27-JUL-2023 => 0.000000 | 0.919940 | 0.919940 | 0.000000 | 1.070225 | 1.070225 | 0.004000 | 0.977751 | 0.400000 | 0.025000 | 0.900325 | 0.300000 ||
| 27-JAN-2024 => 0.000000 | 0.909796 | 0.909796 | 0.000000 | 0.986008 | 0.986008 | 0.004000 | 0.985112 | 0.400000 | 0.025000 | 0.886920 | 0.300000 ||
| 27-JUL-2024 => 0.000000 | 0.899748 | 0.899748 | 0.000000 | 1.081295 | 1.081295 | 0.004000 | 0.992528 | 0.400000 | 0.025000 | 0.873716 | 0.300000 ||
| 27-JAN-2025 => 0.000000 | 0.870148 | 0.870148 | 0.000000 | 1.280332 | 1.280332 | 0.004000 | 1.000000 | 0.400000 | 0.025000 | 0.860708 | 0.300000 ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------||
| PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS ||
|---------------------------------------------------------------------------------------------------------------------------------||
| - Forward Period ||
| - Path #1 Period Unilateral Credit Adjustments ||
| - Path #1 Period Bilateral Credit Adjustments ||
| - Path #1 Period Credit Adjustments ||
| - Path #1 Period Contra-Liability Credit Adjustments ||
| - Path #2 Period Unilateral Credit Adjustments ||
| - Path #2 Period Bilateral Credit Adjustments ||
| - Path #2 Period Credit Adjustments ||
| - Path #2 Period Contra-Liability Credit Adjustments ||
|---------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.005211 | -0.004834 | -0.004834 | -0.000377 ||| -0.005211 | -0.004834 | -0.004834 | -0.000377 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.000000 | -0.000000 | -0.000000 | 0.000000 ||| -0.000000 | -0.000000 | -0.000000 | 0.000000 ||
|---------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Debt Valuation Adjustment ||
| - Path #1 Funding Valuation Adjustment ||
| - Path #1 Funding Debt Adjustment ||
| - Path #1 Funding Cost Adjustment ||
| - Path #1 Funding Benefit Adjustment ||
| - Path #1 Symmatric Funding Valuation Adjustment ||
| - Path #2 Debt Valuation Adjustment ||
| - Path #2 Funding Valuation Adjustment ||
| - Path #2 Funding Debt Adjustment ||
| - Path #2 Funding Cost Adjustment ||
| - Path #2 Funding Benefit Adjustment ||
| - Path #2 Symmatric Funding Valuation Adjustment ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => 0.000000 | 0.005779 | 0.000000 | 0.006229 | 0.000000 | -0.006229 || 0.000000 | 0.005779 | 0.000000 | 0.006229 | 0.000000 | -0.006229 ||
| [27-JUL-2020 -> 27-JAN-2021] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JAN-2021 -> 27-JUL-2021] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JUL-2021 -> 27-JAN-2022] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JAN-2022 -> 27-JUL-2022] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JUL-2022 -> 27-JAN-2023] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JAN-2023 -> 27-JUL-2023] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JUL-2023 -> 27-JAN-2024] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JAN-2024 -> 27-JUL-2024] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
| [27-JUL-2024 -> 27-JAN-2025] => 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 || 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| EXPOSURE => 1.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| POSITIVE EXPOSURE => 1.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| NEGATIVE EXPOSURE => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| EXPOSURE PV => 1.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| POSITIVE EXPOSURE PV => 1.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| NEGATIVE EXPOSURE PV => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-------------------||
|| UCVA => -00.52% ||
|| FTDCVA => -00.48% ||
|| CVA => -00.48% ||
|| CVACL => 00.04% ||
|| DVA => 00.00% ||
|| FVA => -00.62% ||
|| FDA => 00.00% ||
|| FCA => -00.62% ||
|| FBA => 00.00% ||
|| SFVA => -00.62% ||
||-------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -3.834 | 2.764 ||
|| [27-JAN-2021] => -3.838 | 2.763 ||
|| [27-JUL-2021] => -3.565 | 2.561 ||
|| [27-JAN-2022] => -3.916 | 2.808 ||
|| [27-JUL-2022] => -4.186 | 2.995 ||
|| [27-JAN-2023] => -3.310 | 2.364 ||
|| [27-JUL-2023] => -3.175 | 2.264 ||
|| [27-JAN-2024] => -3.126 | 2.224 ||
|| [27-JUL-2024] => -3.078 | 2.186 ||
|| [27-JAN-2025] => -2.963 | 2.100 ||
||----------------------------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -3.936 | 2.838 ||
|| [27-JAN-2021] => -4.580 | 3.296 ||
|| [27-JUL-2021] => -3.314 | 2.381 ||
|| [27-JAN-2022] => -3.410 | 2.445 ||
|| [27-JUL-2022] => -3.404 | 2.436 ||
|| [27-JAN-2023] => -3.560 | 2.543 ||
|| [27-JUL-2023] => -3.694 | 2.634 ||
|| [27-JAN-2024] => -3.388 | 2.411 ||
|| [27-JUL-2024] => -3.699 | 2.627 ||
|| [27-JAN-2025] => -4.360 | 3.090 ||
||----------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Finish Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Gross Exposure ||
| - Path #1 Positive Exposure ||
| - Path #1 Negative Exposure ||
| - Path #2 Gross Exposure ||
| - Path #2 Positive Exposure ||
| - Path #2 Negative Exposure ||
| - Collateral Numeraire ||
| - Bank Survival Probability ||
| - Bank Recovery Rate ||
| - Bank Funding Spread ||
| - Counter Party Survival Probability ||
| - Counter Party Recovery Rate ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 27-JAN-2020 => 1.000000 | 1.000000 | 0.000000 | 1.000000 | 1.000000 | 0.000000 | 0.004000 | 0.927743 | 0.400000 | 0.025000 | 1.000000 | 0.300000 ||
| 27-JUL-2020 => 1.130732 | 1.130732 | 0.000000 | 1.059406 | 1.059406 | 0.000000 | 0.004000 | 0.934728 | 0.400000 | 0.025000 | 0.985112 | 0.300000 ||
| 27-JAN-2021 => 1.129427 | 1.129427 | 0.000000 | 1.378197 | 1.378197 | 0.000000 | 0.004000 | 0.941765 | 0.400000 | 0.025000 | 0.970446 | 0.300000 ||
| 27-JUL-2021 => 1.080210 | 1.080210 | 0.000000 | 1.486774 | 1.486774 | 0.000000 | 0.004000 | 0.948854 | 0.400000 | 0.025000 | 0.955997 | 0.300000 ||
| 27-JAN-2022 => 1.008817 | 1.008817 | 0.000000 | 1.195520 | 1.195520 | 0.000000 | 0.004000 | 0.955997 | 0.400000 | 0.025000 | 0.941765 | 0.300000 ||
| 27-JUL-2022 => 1.004752 | 1.004752 | 0.000000 | 0.974011 | 0.974011 | 0.000000 | 0.004000 | 0.963194 | 0.400000 | 0.025000 | 0.927743 | 0.300000 ||
| 27-JAN-2023 => 0.999947 | 0.999947 | 0.000000 | 0.955653 | 0.955653 | 0.000000 | 0.004000 | 0.970446 | 0.400000 | 0.025000 | 0.913931 | 0.300000 ||
| 27-JUL-2023 => 1.128827 | 1.128827 | 0.000000 | 0.951027 | 0.951027 | 0.000000 | 0.004000 | 0.977751 | 0.400000 | 0.025000 | 0.900325 | 0.300000 ||
| 27-JAN-2024 => 0.961575 | 0.961575 | 0.000000 | 1.082763 | 1.082763 | 0.000000 | 0.004000 | 0.985112 | 0.400000 | 0.025000 | 0.886920 | 0.300000 ||
| 27-JUL-2024 => 1.235857 | 1.235857 | 0.000000 | 1.013285 | 1.013285 | 0.000000 | 0.004000 | 0.992528 | 0.400000 | 0.025000 | 0.873716 | 0.300000 ||
| 27-JAN-2025 => 1.084060 | 1.084060 | 0.000000 | 0.970072 | 0.970072 | 0.000000 | 0.004000 | 1.000000 | 0.400000 | 0.025000 | 0.860708 | 0.300000 ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------||
| PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS ||
|---------------------------------------------------------------------------------------------------------------------------------||
| - Forward Period ||
| - Path #1 Period Unilateral Credit Adjustments ||
| - Path #1 Period Bilateral Credit Adjustments ||
| - Path #1 Period Credit Adjustments ||
| - Path #1 Period Contra-Liability Credit Adjustments ||
| - Path #2 Period Unilateral Credit Adjustments ||
| - Path #2 Period Bilateral Credit Adjustments ||
| - Path #2 Period Credit Adjustments ||
| - Path #2 Period Contra-Liability Credit Adjustments ||
|---------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.011091 | -0.010331 | -0.010331 | -0.000760 ||| -0.010720 | -0.009984 | -0.009984 | -0.000736 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.011567 | -0.010853 | -0.010853 | -0.000714 ||| -0.012474 | -0.011709 | -0.011709 | -0.000765 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.011118 | -0.010509 | -0.010509 | -0.000609 ||| -0.014415 | -0.013628 | -0.013628 | -0.000786 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.010334 | -0.009841 | -0.009841 | -0.000493 ||| -0.013270 | -0.012634 | -0.012634 | -0.000637 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.009793 | -0.009397 | -0.009397 | -0.000396 ||| -0.010552 | -0.010122 | -0.010122 | -0.000430 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.009585 | -0.009267 | -0.009267 | -0.000318 ||| -0.009227 | -0.008920 | -0.008920 | -0.000306 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.010006 | -0.009749 | -0.009749 | -0.000257 ||| -0.008963 | -0.008731 | -0.008731 | -0.000232 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.009662 | -0.009479 | -0.009479 | -0.000182 ||| -0.009399 | -0.009226 | -0.009226 | -0.000172 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.009983 | -0.009876 | -0.009876 | -0.000107 ||| -0.009524 | -0.009416 | -0.009416 | -0.000108 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.010364 | -0.010323 | -0.010323 | -0.000041 ||| -0.008860 | -0.008826 | -0.008826 | -0.000034 ||
|---------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Debt Valuation Adjustment ||
| - Path #1 Funding Valuation Adjustment ||
| - Path #1 Funding Debt Adjustment ||
| - Path #1 Funding Cost Adjustment ||
| - Path #1 Funding Benefit Adjustment ||
| - Path #1 Symmatric Funding Valuation Adjustment ||
| - Path #2 Debt Valuation Adjustment ||
| - Path #2 Funding Valuation Adjustment ||
| - Path #2 Funding Debt Adjustment ||
| - Path #2 Funding Cost Adjustment ||
| - Path #2 Funding Benefit Adjustment ||
| - Path #2 Symmatric Funding Valuation Adjustment ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => 0.000000 | 0.012251 | 0.000000 | 0.013153 | 0.000000 | -0.013257 || 0.000000 | 0.012251 | 0.000000 | 0.013153 | 0.000000 | -0.013257 ||
| [27-JUL-2020 -> 27-JAN-2021] => 0.000000 | 0.013017 | 0.000000 | 0.013875 | 0.000000 | -0.014190 || 0.000000 | 0.013017 | 0.000000 | 0.013875 | 0.000000 | -0.014190 ||
| [27-JAN-2021 -> 27-JUL-2021] => 0.000000 | 0.012402 | 0.000000 | 0.013121 | 0.000000 | -0.013619 || 0.000000 | 0.012402 | 0.000000 | 0.013121 | 0.000000 | -0.013619 ||
| [27-JUL-2021 -> 27-JAN-2022] => 0.000000 | 0.011807 | 0.000000 | 0.012399 | 0.000000 | -0.013063 || 0.000000 | 0.011807 | 0.000000 | 0.012399 | 0.000000 | -0.013063 ||
| [27-JAN-2022 -> 27-JUL-2022] => 0.000000 | 0.011088 | 0.000000 | 0.011555 | 0.000000 | -0.012361 || 0.000000 | 0.011088 | 0.000000 | 0.011555 | 0.000000 | -0.012361 ||
| [27-JUL-2022 -> 27-JAN-2023] => 0.000000 | 0.011116 | 0.000000 | 0.011498 | 0.000000 | -0.012486 || 0.000000 | 0.011116 | 0.000000 | 0.011498 | 0.000000 | -0.012486 ||
| [27-JAN-2023 -> 27-JUL-2023] => 0.000000 | 0.011498 | 0.000000 | 0.011801 | 0.000000 | -0.013015 || 0.000000 | 0.011498 | 0.000000 | 0.011801 | 0.000000 | -0.013015 ||
| [27-JUL-2023 -> 27-JAN-2024] => 0.000000 | 0.011377 | 0.000000 | 0.011596 | 0.000000 | -0.012968 || 0.000000 | 0.011377 | 0.000000 | 0.011596 | 0.000000 | -0.012968 ||
| [27-JAN-2024 -> 27-JUL-2024] => 0.000000 | 0.011706 | 0.000000 | 0.011833 | 0.000000 | -0.013455 || 0.000000 | 0.011706 | 0.000000 | 0.011833 | 0.000000 | -0.013455 ||
| [27-JUL-2024 -> 27-JAN-2025] => 0.000000 | 0.012387 | 0.000000 | 0.012437 | 0.000000 | -0.014335 || 0.000000 | 0.012387 | 0.000000 | 0.012437 | 0.000000 | -0.014335 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| EXPOSURE => 1.0000 | 1.1307 | 1.1294 | 1.0802 | 1.0088 | 1.0048 | 0.9999 | 1.1288 | 0.9616 | 1.2359 | 1.0841 |
| POSITIVE EXPOSURE => 1.0000 | 1.1307 | 1.1294 | 1.0802 | 1.0088 | 1.0048 | 0.9999 | 1.1288 | 0.9616 | 1.2359 | 1.0841 |
| NEGATIVE EXPOSURE => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| EXPOSURE PV => 1.0000 | 1.1285 | 1.1249 | 1.0737 | 1.0008 | 0.9948 | 0.9880 | 1.1131 | 0.9463 | 1.2138 | 1.0626 |
| POSITIVE EXPOSURE PV => 1.0000 | 1.1285 | 1.1249 | 1.0737 | 1.0008 | 0.9948 | 0.9880 | 1.1131 | 0.9463 | 1.2138 | 1.0626 |
| NEGATIVE EXPOSURE PV => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-------------------||
|| UCVA => -10.35% ||
|| FTDCVA => -09.96% ||
|| CVA => -09.96% ||
|| CVACL => 00.39% ||
|| DVA => 00.00% ||
|| FVA => -12.33% ||
|| FDA => 00.00% ||
|| FCA => -12.33% ||
|| FBA => 00.00% ||
|| SFVA => -13.27% ||
||-------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -3.969 | 2.850 ||
|| [27-JAN-2021] => -3.946 | 2.829 ||
|| [27-JUL-2021] => -3.755 | 2.686 ||
|| [27-JAN-2022] => -3.489 | 2.490 ||
|| [27-JUL-2022] => -3.459 | 2.464 ||
|| [27-JAN-2023] => -3.427 | 2.436 ||
|| [27-JUL-2023] => -3.856 | 2.738 ||
|| [27-JAN-2024] => -3.264 | 2.311 ||
|| [27-JUL-2024] => -4.187 | 2.963 ||
|| [27-JAN-2025] => -3.652 | 2.577 ||
||----------------------------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -3.716 | 2.668 ||
|| [27-JAN-2021] => -4.824 | 3.461 ||
|| [27-JUL-2021] => -5.184 | 3.713 ||
|| [27-JAN-2022] => -4.142 | 2.958 ||
|| [27-JUL-2022] => -3.352 | 2.387 ||
|| [27-JAN-2023] => -3.273 | 2.326 ||
|| [27-JUL-2023] => -3.242 | 2.300 ||
|| [27-JAN-2024] => -3.680 | 2.608 ||
|| [27-JUL-2024] => -3.426 | 2.422 ||
|| [27-JAN-2025] => -3.264 | 2.302 ||
||----------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Finish Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 3 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Gross Exposure ||
| - Path #1 Positive Exposure ||
| - Path #1 Negative Exposure ||
| - Path #2 Gross Exposure ||
| - Path #2 Positive Exposure ||
| - Path #2 Negative Exposure ||
| - Collateral Numeraire ||
| - Bank Survival Probability ||
| - Bank Recovery Rate ||
| - Bank Funding Spread ||
| - Counter Party Survival Probability ||
| - Counter Party Recovery Rate ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 27-JAN-2020 => 1.000000 | 1.000000 | 0.000000 | 1.000000 | 1.000000 | 0.000000 | 0.004000 | 1.000000 | 0.400000 | 0.025000 | 1.000000 | 0.300000 ||
| 27-JUL-2020 => 0.980835 | 0.980835 | 0.000000 | 0.934976 | 0.934976 | 0.000000 | 0.004000 | 0.992528 | 0.400000 | 0.025000 | 0.985112 | 0.300000 ||
| 27-JAN-2021 => 0.987076 | 0.987076 | 0.000000 | 0.887019 | 0.887019 | 0.000000 | 0.004000 | 0.985112 | 0.400000 | 0.025000 | 0.970446 | 0.300000 ||
| 27-JUL-2021 => 0.976940 | 0.976940 | 0.000000 | 0.981674 | 0.981674 | 0.000000 | 0.004000 | 0.977751 | 0.400000 | 0.025000 | 0.955997 | 0.300000 ||
| 27-JAN-2022 => 0.924610 | 0.924610 | 0.000000 | 0.943773 | 0.943773 | 0.000000 | 0.004000 | 0.970446 | 0.400000 | 0.025000 | 0.941765 | 0.300000 ||
| 27-JUL-2022 => 1.141249 | 1.141249 | 0.000000 | 0.852795 | 0.852795 | 0.000000 | 0.004000 | 0.963194 | 0.400000 | 0.025000 | 0.927743 | 0.300000 ||
| 27-JAN-2023 => 1.039486 | 1.039486 | 0.000000 | 0.827949 | 0.827949 | 0.000000 | 0.004000 | 0.955997 | 0.400000 | 0.025000 | 0.913931 | 0.300000 ||
| 27-JUL-2023 => 0.847392 | 0.847392 | 0.000000 | 0.809544 | 0.809544 | 0.000000 | 0.004000 | 0.948854 | 0.400000 | 0.025000 | 0.900325 | 0.300000 ||
| 27-JAN-2024 => 0.800205 | 0.800205 | 0.000000 | 0.698355 | 0.698355 | 0.000000 | 0.004000 | 0.941765 | 0.400000 | 0.025000 | 0.886920 | 0.300000 ||
| 27-JUL-2024 => 0.835432 | 0.835432 | 0.000000 | 0.827658 | 0.827658 | 0.000000 | 0.004000 | 0.934728 | 0.400000 | 0.025000 | 0.873716 | 0.300000 ||
| 27-JAN-2025 => 0.964638 | 0.964638 | 0.000000 | 0.835782 | 0.835782 | 0.000000 | 0.004000 | 0.927743 | 0.400000 | 0.025000 | 0.860708 | 0.300000 ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------||
| PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS ||
|---------------------------------------------------------------------------------------------------------------------------------||
| - Forward Period ||
| - Path #1 Period Unilateral Credit Adjustments ||
| - Path #1 Period Bilateral Credit Adjustments ||
| - Path #1 Period Credit Adjustments ||
| - Path #1 Period Contra-Liability Credit Adjustments ||
| - Path #2 Period Unilateral Credit Adjustments ||
| - Path #2 Period Bilateral Credit Adjustments ||
| - Path #2 Period Credit Adjustments ||
| - Path #2 Period Contra-Liability Credit Adjustments ||
|---------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.010312 | -0.010273 | -0.010273 | -0.000038 ||| -0.010073 | -0.010037 | -0.010037 | -0.000036 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.010071 | -0.009959 | -0.009959 | -0.000113 ||| -0.009325 | -0.009222 | -0.009222 | -0.000103 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.009882 | -0.009699 | -0.009699 | -0.000183 ||| -0.009402 | -0.009226 | -0.009226 | -0.000176 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.009407 | -0.009164 | -0.009164 | -0.000243 ||| -0.009525 | -0.009279 | -0.009279 | -0.000246 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.010046 | -0.009709 | -0.009709 | -0.000337 ||| -0.008738 | -0.008450 | -0.008450 | -0.000288 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.010427 | -0.010008 | -0.010008 | -0.000420 ||| -0.008036 | -0.007712 | -0.007712 | -0.000324 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.008871 | -0.008452 | -0.008452 | -0.000419 ||| -0.007698 | -0.007332 | -0.007332 | -0.000366 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.007615 | -0.007199 | -0.007199 | -0.000416 ||| -0.006969 | -0.006590 | -0.006590 | -0.000379 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.007432 | -0.006972 | -0.006972 | -0.000459 ||| -0.006933 | -0.006503 | -0.006503 | -0.000430 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.008041 | -0.007486 | -0.007486 | -0.000555 ||| -0.007431 | -0.006920 | -0.006920 | -0.000511 ||
|---------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Debt Valuation Adjustment ||
| - Path #1 Funding Valuation Adjustment ||
| - Path #1 Funding Debt Adjustment ||
| - Path #1 Funding Cost Adjustment ||
| - Path #1 Funding Benefit Adjustment ||
| - Path #1 Symmatric Funding Valuation Adjustment ||
| - Path #2 Debt Valuation Adjustment ||
| - Path #2 Funding Valuation Adjustment ||
| - Path #2 Funding Debt Adjustment ||
| - Path #2 Funding Cost Adjustment ||
| - Path #2 Funding Benefit Adjustment ||
| - Path #2 Symmatric Funding Valuation Adjustment ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.000000 | 0.012190 | 0.000000 | 0.012235 | 0.000000 | -0.012326 || -0.000000 | 0.011911 | 0.000000 | 0.011954 | 0.000000 | -0.012041 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.000000 | 0.011945 | 0.000000 | 0.012080 | 0.000000 | -0.012355 || -0.000000 | 0.011064 | 0.000000 | 0.011187 | 0.000000 | -0.011439 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.000000 | 0.011445 | 0.000000 | 0.011661 | 0.000000 | -0.012105 || -0.000000 | 0.010882 | 0.000000 | 0.011089 | 0.000000 | -0.011517 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.000000 | 0.010995 | 0.000000 | 0.011286 | 0.000000 | -0.011891 || -0.000000 | 0.011132 | 0.000000 | 0.011427 | 0.000000 | -0.012040 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.000000 | 0.011447 | 0.000000 | 0.011844 | 0.000000 | -0.012681 || -0.000000 | 0.009974 | 0.000000 | 0.010314 | 0.000000 | -0.011029 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.000000 | 0.012009 | 0.000000 | 0.012512 | 0.000000 | -0.013583 || -0.000000 | 0.009252 | 0.000000 | 0.009641 | 0.000000 | -0.010468 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.000000 | 0.009981 | 0.000000 | 0.010475 | 0.000000 | -0.011538 || -0.000000 | 0.008652 | 0.000000 | 0.009083 | 0.000000 | -0.010012 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.000000 | 0.008637 | 0.000000 | 0.009136 | 0.000000 | -0.010221 || -0.000000 | 0.007909 | 0.000000 | 0.008364 | 0.000000 | -0.009355 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.000000 | 0.008271 | 0.000000 | 0.008816 | 0.000000 | -0.010016 || -0.000000 | 0.007711 | 0.000000 | 0.008220 | 0.000000 | -0.009344 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.000000 | 0.008974 | 0.000000 | 0.009639 | 0.000000 | -0.011121 || -0.000000 | 0.008300 | 0.000000 | 0.008913 | 0.000000 | -0.010278 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| EXPOSURE => 1.0000 | 0.9579 | 0.9370 | 0.9793 | 0.9342 | 0.9970 | 0.9337 | 0.8285 | 0.7493 | 0.8315 | 0.9002 |
| POSITIVE EXPOSURE => 1.0000 | 0.9579 | 0.9370 | 0.9793 | 0.9342 | 0.9970 | 0.9337 | 0.8285 | 0.7493 | 0.8315 | 0.9002 |
| NEGATIVE EXPOSURE => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| EXPOSURE PV => 1.0000 | 0.9560 | 0.9333 | 0.9734 | 0.9267 | 0.9871 | 0.9226 | 0.8170 | 0.7374 | 0.8167 | 0.8824 |
| POSITIVE EXPOSURE PV => 1.0000 | 0.9560 | 0.9333 | 0.9734 | 0.9267 | 0.9871 | 0.9226 | 0.8170 | 0.7374 | 0.8167 | 0.8824 |
| NEGATIVE EXPOSURE PV => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-------------------||
|| UCVA => -08.81% ||
|| FTDCVA => -08.51% ||
|| CVA => -08.51% ||
|| CVACL => 00.30% ||
|| DVA => 00.00% ||
|| FVA => -10.49% ||
|| FDA => 00.00% ||
|| FCA => -10.49% ||
|| FBA => 00.00% ||
|| SFVA => -11.27% ||
||-------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -3.479 | 2.510 ||
|| [27-JAN-2021] => -3.485 | 2.510 ||
|| [27-JUL-2021] => -3.434 | 2.468 ||
|| [27-JAN-2022] => -3.235 | 2.320 ||
|| [27-JUL-2022] => -3.975 | 2.846 ||
|| [27-JAN-2023] => -3.604 | 2.575 ||
|| [27-JUL-2023] => -2.925 | 2.085 ||
|| [27-JAN-2024] => -2.750 | 1.957 ||
|| [27-JUL-2024] => -2.858 | 2.029 ||
|| [27-JAN-2025] => -3.285 | 2.328 ||
||----------------------------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -3.316 | 2.393 ||
|| [27-JAN-2021] => -3.132 | 2.255 ||
|| [27-JUL-2021] => -3.451 | 2.480 ||
|| [27-JAN-2022] => -3.302 | 2.369 ||
|| [27-JUL-2022] => -2.970 | 2.126 ||
|| [27-JAN-2023] => -2.871 | 2.051 ||
|| [27-JUL-2023] => -2.794 | 1.992 ||
|| [27-JAN-2024] => -2.400 | 1.708 ||
|| [27-JUL-2024] => -2.831 | 2.011 ||
|| [27-JAN-2025] => -2.846 | 2.017 ||
||----------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Finish Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 3 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Gross Exposure ||
| - Path #1 Positive Exposure ||
| - Path #1 Negative Exposure ||
| - Path #2 Gross Exposure ||
| - Path #2 Positive Exposure ||
| - Path #2 Negative Exposure ||
| - Collateral Numeraire ||
| - Bank Survival Probability ||
| - Bank Recovery Rate ||
| - Bank Funding Spread ||
| - Counter Party Survival Probability ||
| - Counter Party Recovery Rate ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 27-JAN-2020 => 1.000000 | 1.000000 | 0.000000 | 1.000000 | 1.000000 | 0.000000 | 0.004000 | 1.000000 | 0.400000 | 0.025000 | 1.000000 | 0.300000 ||
| 27-JUL-2020 => 0.960492 | 0.960492 | 0.000000 | 1.016593 | 1.016593 | 0.000000 | 0.004000 | 0.992528 | 0.400000 | 0.025000 | 0.985112 | 0.300000 ||
| 27-JAN-2021 => 1.244457 | 1.244457 | 0.000000 | 1.193655 | 1.193655 | 0.000000 | 0.004000 | 0.985112 | 0.400000 | 0.025000 | 0.970446 | 0.300000 ||
| 27-JUL-2021 => 1.201853 | 1.201853 | 0.000000 | 1.240471 | 1.240471 | 0.000000 | 0.004000 | 0.977751 | 0.400000 | 0.025000 | 0.955997 | 0.300000 ||
| 27-JAN-2022 => 1.254437 | 1.254437 | 0.000000 | 1.489978 | 1.489978 | 0.000000 | 0.004000 | 0.970446 | 0.400000 | 0.025000 | 0.941765 | 0.300000 ||
| 27-JUL-2022 => 1.338453 | 1.338453 | 0.000000 | 1.657588 | 1.657588 | 0.000000 | 0.004000 | 0.963194 | 0.400000 | 0.025000 | 0.927743 | 0.300000 ||
| 27-JAN-2023 => 1.302751 | 1.302751 | 0.000000 | 1.671695 | 1.671695 | 0.000000 | 0.004000 | 0.955997 | 0.400000 | 0.025000 | 0.913931 | 0.300000 ||
| 27-JUL-2023 => 1.278700 | 1.278700 | 0.000000 | 1.260686 | 1.260686 | 0.000000 | 0.004000 | 0.948854 | 0.400000 | 0.025000 | 0.900325 | 0.300000 ||
| 27-JAN-2024 => 1.101336 | 1.101336 | 0.000000 | 1.371264 | 1.371264 | 0.000000 | 0.004000 | 0.941765 | 0.400000 | 0.025000 | 0.886920 | 0.300000 ||
| 27-JUL-2024 => 0.959188 | 0.959188 | 0.000000 | 1.310453 | 1.310453 | 0.000000 | 0.004000 | 0.934728 | 0.400000 | 0.025000 | 0.873716 | 0.300000 ||
| 27-JAN-2025 => 0.989188 | 0.989188 | 0.000000 | 1.330689 | 1.330689 | 0.000000 | 0.004000 | 0.927743 | 0.400000 | 0.025000 | 0.860708 | 0.300000 ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------||
| PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS ||
|---------------------------------------------------------------------------------------------------------------------------------||
| - Forward Period ||
| - Path #1 Period Unilateral Credit Adjustments ||
| - Path #1 Period Bilateral Credit Adjustments ||
| - Path #1 Period Credit Adjustments ||
| - Path #1 Period Contra-Liability Credit Adjustments ||
| - Path #2 Period Unilateral Credit Adjustments ||
| - Path #2 Period Bilateral Credit Adjustments ||
| - Path #2 Period Credit Adjustments ||
| - Path #2 Period Contra-Liability Credit Adjustments ||
|---------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.010206 | -0.010168 | -0.010168 | -0.000037 ||| -0.010498 | -0.010458 | -0.010458 | -0.000040 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.011283 | -0.011152 | -0.011152 | -0.000131 ||| -0.011311 | -0.011181 | -0.011181 | -0.000130 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.012309 | -0.012081 | -0.012081 | -0.000228 ||| -0.012247 | -0.012019 | -0.012019 | -0.000228 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.012150 | -0.011835 | -0.011835 | -0.000316 ||| -0.013506 | -0.013151 | -0.013151 | -0.000354 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.012610 | -0.012190 | -0.012190 | -0.000420 ||| -0.015307 | -0.014796 | -0.014796 | -0.000511 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.012629 | -0.012119 | -0.012119 | -0.000510 ||| -0.015919 | -0.015275 | -0.015275 | -0.000643 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.012135 | -0.011558 | -0.011558 | -0.000577 ||| -0.013787 | -0.013138 | -0.013138 | -0.000649 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.011000 | -0.010402 | -0.010402 | -0.000599 ||| -0.012163 | -0.011496 | -0.011496 | -0.000667 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.009363 | -0.008787 | -0.008787 | -0.000576 ||| -0.012185 | -0.011434 | -0.011434 | -0.000751 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.008703 | -0.008105 | -0.008105 | -0.000599 ||| -0.011798 | -0.010987 | -0.010987 | -0.000812 ||
|---------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Debt Valuation Adjustment ||
| - Path #1 Funding Valuation Adjustment ||
| - Path #1 Funding Debt Adjustment ||
| - Path #1 Funding Cost Adjustment ||
| - Path #1 Funding Benefit Adjustment ||
| - Path #1 Symmatric Funding Valuation Adjustment ||
| - Path #2 Debt Valuation Adjustment ||
| - Path #2 Funding Valuation Adjustment ||
| - Path #2 Funding Debt Adjustment ||
| - Path #2 Funding Cost Adjustment ||
| - Path #2 Funding Benefit Adjustment ||
| - Path #2 Symmatric Funding Valuation Adjustment ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.000000 | 0.012066 | 0.000000 | 0.012110 | 0.000000 | -0.012199 || -0.000000 | 0.012407 | 0.000000 | 0.012454 | 0.000000 | -0.012548 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.000000 | 0.013364 | 0.000000 | 0.013521 | 0.000000 | -0.013841 || -0.000000 | 0.013404 | 0.000000 | 0.013559 | 0.000000 | -0.013875 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.000000 | 0.014257 | 0.000000 | 0.014526 | 0.000000 | -0.015078 || -0.000000 | 0.014180 | 0.000000 | 0.014449 | 0.000000 | -0.015002 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.000000 | 0.014194 | 0.000000 | 0.014572 | 0.000000 | -0.015359 || -0.000000 | 0.015764 | 0.000000 | 0.016189 | 0.000000 | -0.017072 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.000000 | 0.014380 | 0.000000 | 0.014875 | 0.000000 | -0.015917 || -0.000000 | 0.017452 | 0.000000 | 0.018054 | 0.000000 | -0.019322 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.000000 | 0.014539 | 0.000000 | 0.015150 | 0.000000 | -0.016450 || -0.000000 | 0.018322 | 0.000000 | 0.019093 | 0.000000 | -0.020735 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.000000 | 0.013639 | 0.000000 | 0.014319 | 0.000000 | -0.015784 || -0.000000 | 0.015518 | 0.000000 | 0.016284 | 0.000000 | -0.017932 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.000000 | 0.012484 | 0.000000 | 0.013202 | 0.000000 | -0.014765 || -0.000000 | 0.013786 | 0.000000 | 0.014585 | 0.000000 | -0.016326 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.000000 | 0.010431 | 0.000000 | 0.011114 | 0.000000 | -0.012619 || -0.000000 | 0.013568 | 0.000000 | 0.014459 | 0.000000 | -0.016422 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.000000 | 0.009720 | 0.000000 | 0.010438 | 0.000000 | -0.012038 || -0.000000 | 0.013178 | 0.000000 | 0.014151 | 0.000000 | -0.016318 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| EXPOSURE => 1.0000 | 0.9885 | 1.2191 | 1.2212 | 1.3722 | 1.4980 | 1.4872 | 1.2697 | 1.2363 | 1.1348 | 1.1599 |
| POSITIVE EXPOSURE => 1.0000 | 0.9885 | 1.2191 | 1.2212 | 1.3722 | 1.4980 | 1.4872 | 1.2697 | 1.2363 | 1.1348 | 1.1599 |
| NEGATIVE EXPOSURE => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| EXPOSURE PV => 1.0000 | 0.9866 | 1.2142 | 1.2139 | 1.3613 | 1.4831 | 1.4695 | 1.2520 | 1.2167 | 1.1146 | 1.1370 |
| POSITIVE EXPOSURE PV => 1.0000 | 0.9866 | 1.2142 | 1.2139 | 1.3613 | 1.4831 | 1.4695 | 1.2520 | 1.2167 | 1.1146 | 1.1370 |
| NEGATIVE EXPOSURE PV => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-------------------||
|| UCVA => -12.06% ||
|| FTDCVA => -11.62% ||
|| CVA => -11.62% ||
|| CVACL => 00.44% ||
|| DVA => 00.00% ||
|| FVA => -14.36% ||
|| FDA => 00.00% ||
|| FCA => -14.36% ||
|| FBA => 00.00% ||
|| SFVA => -15.48% ||
||-------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => 0.587 | -1.592 ||
|| [27-JAN-2021] => 0.757 | -2.050 ||
|| [27-JUL-2021] => 0.728 | -1.968 ||
|| [27-JAN-2022] => 0.757 | -2.042 ||
|| [27-JUL-2022] => 0.805 | -2.166 ||
|| [27-JAN-2023] => 0.780 | -2.096 ||
|| [27-JUL-2023] => 0.763 | -2.045 ||
|| [27-JAN-2024] => 0.654 | -1.751 ||
|| [27-JUL-2024] => 0.567 | -1.516 ||
|| [27-JAN-2025] => 0.583 | -1.554 ||
||----------------------------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => 0.621 | -1.684 ||
|| [27-JAN-2021] => 0.726 | -1.966 ||
|| [27-JUL-2021] => 0.752 | -2.031 ||
|| [27-JAN-2022] => 0.899 | -2.426 ||
|| [27-JUL-2022] => 0.997 | -2.683 ||
|| [27-JAN-2023] => 1.001 | -2.690 ||
|| [27-JUL-2023] => 0.752 | -2.016 ||
|| [27-JAN-2024] => 0.814 | -2.180 ||
|| [27-JUL-2024] => 0.775 | -2.071 ||
|| [27-JAN-2025] => 0.784 | -2.091 ||
||----------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Finish Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Gross Exposure ||
| - Path #1 Positive Exposure ||
| - Path #1 Negative Exposure ||
| - Path #2 Gross Exposure ||
| - Path #2 Positive Exposure ||
| - Path #2 Negative Exposure ||
| - Collateral Numeraire ||
| - Bank Survival Probability ||
| - Bank Recovery Rate ||
| - Bank Funding Spread ||
| - Counter Party Survival Probability ||
| - Counter Party Recovery Rate ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 27-JAN-2020 => 1.000000 | 1.000000 | 0.000000 | 1.000000 | 1.000000 | 0.000000 | 0.004000 | 1.000000 | 0.400000 | 0.025000 | 1.000000 | 0.300000 ||
| 27-JUL-2020 => 1.200025 | 1.200025 | 0.000000 | 1.163947 | 1.163947 | 0.000000 | 0.004000 | 0.992528 | 0.400000 | 0.025000 | 0.985112 | 0.300000 ||
| 27-JAN-2021 => 1.249326 | 1.249326 | 0.000000 | 0.929465 | 0.929465 | 0.000000 | 0.004000 | 0.985112 | 0.400000 | 0.025000 | 0.970446 | 0.300000 ||
| 27-JUL-2021 => 1.266695 | 1.266695 | 0.000000 | 0.991850 | 0.991850 | 0.000000 | 0.004000 | 0.977751 | 0.400000 | 0.025000 | 0.955997 | 0.300000 ||
| 27-JAN-2022 => 1.405502 | 1.405502 | 0.000000 | 1.067807 | 1.067807 | 0.000000 | 0.004000 | 0.970446 | 0.400000 | 0.025000 | 0.941765 | 0.300000 ||
| 27-JUL-2022 => 1.405755 | 1.405755 | 0.000000 | 1.104445 | 1.104445 | 0.000000 | 0.004000 | 0.963194 | 0.400000 | 0.025000 | 0.927743 | 0.300000 ||
| 27-JAN-2023 => 1.273942 | 1.273942 | 0.000000 | 1.290163 | 1.290163 | 0.000000 | 0.004000 | 0.955997 | 0.400000 | 0.025000 | 0.913931 | 0.300000 ||
| 27-JUL-2023 => 1.225872 | 1.225872 | 0.000000 | 1.315908 | 1.315908 | 0.000000 | 0.004000 | 0.948854 | 0.400000 | 0.025000 | 0.900325 | 0.300000 ||
| 27-JAN-2024 => 1.276472 | 1.276472 | 0.000000 | 1.414633 | 1.414633 | 0.000000 | 0.004000 | 0.941765 | 0.400000 | 0.025000 | 0.886920 | 0.300000 ||
| 27-JUL-2024 => 1.378050 | 1.378050 | 0.000000 | 1.586410 | 1.586410 | 0.000000 | 0.004000 | 0.934728 | 0.400000 | 0.025000 | 0.873716 | 0.300000 ||
| 27-JAN-2025 => 1.288261 | 1.288261 | 0.000000 | 1.531332 | 1.531332 | 0.000000 | 0.004000 | 0.927743 | 0.400000 | 0.025000 | 0.860708 | 0.300000 ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------||
| PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS ||
|---------------------------------------------------------------------------------------------------------------------------------||
| - Forward Period ||
| - Path #1 Period Unilateral Credit Adjustments ||
| - Path #1 Period Bilateral Credit Adjustments ||
| - Path #1 Period Credit Adjustments ||
| - Path #1 Period Contra-Liability Credit Adjustments ||
| - Path #2 Period Unilateral Credit Adjustments ||
| - Path #2 Period Bilateral Credit Adjustments ||
| - Path #2 Period Credit Adjustments ||
| - Path #2 Period Contra-Liability Credit Adjustments ||
|---------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.011451 | -0.011405 | -0.011405 | -0.000047 ||| -0.011264 | -0.011219 | -0.011219 | -0.000045 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.012535 | -0.012394 | -0.012394 | -0.000141 ||| -0.010715 | -0.010600 | -0.010600 | -0.000115 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.012660 | -0.012424 | -0.012424 | -0.000235 ||| -0.009667 | -0.009486 | -0.009486 | -0.000181 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.013218 | -0.012873 | -0.012873 | -0.000345 ||| -0.010188 | -0.009923 | -0.009923 | -0.000265 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.013672 | -0.013219 | -0.013219 | -0.000454 ||| -0.010564 | -0.010213 | -0.010213 | -0.000351 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.012813 | -0.012298 | -0.012298 | -0.000515 ||| -0.011449 | -0.010983 | -0.010983 | -0.000466 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.011751 | -0.011193 | -0.011193 | -0.000558 ||| -0.012251 | -0.011667 | -0.011667 | -0.000583 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.011565 | -0.010931 | -0.010931 | -0.000633 ||| -0.012619 | -0.011927 | -0.011927 | -0.000692 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.012061 | -0.011314 | -0.011314 | -0.000746 ||| -0.013635 | -0.012790 | -0.012790 | -0.000845 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.011911 | -0.011093 | -0.011093 | -0.000818 ||| -0.013927 | -0.012971 | -0.012971 | -0.000957 ||
|---------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Debt Valuation Adjustment ||
| - Path #1 Funding Valuation Adjustment ||
| - Path #1 Funding Debt Adjustment ||
| - Path #1 Funding Cost Adjustment ||
| - Path #1 Funding Benefit Adjustment ||
| - Path #1 Symmatric Funding Valuation Adjustment ||
| - Path #2 Debt Valuation Adjustment ||
| - Path #2 Funding Valuation Adjustment ||
| - Path #2 Funding Debt Adjustment ||
| - Path #2 Funding Cost Adjustment ||
| - Path #2 Funding Benefit Adjustment ||
| - Path #2 Symmatric Funding Valuation Adjustment ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.000000 | 0.013522 | 0.000000 | 0.013577 | 0.000000 | -0.013688 || -0.000000 | 0.013303 | 0.000000 | 0.013356 | 0.000000 | -0.013464 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.000000 | 0.014865 | 0.000000 | 0.015033 | 0.000000 | -0.015377 || -0.000000 | 0.012725 | 0.000000 | 0.012863 | 0.000000 | -0.013144 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.000000 | 0.014659 | 0.000000 | 0.014936 | 0.000000 | -0.015507 || -0.000000 | 0.011191 | 0.000000 | 0.011403 | 0.000000 | -0.011842 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.000000 | 0.015436 | 0.000000 | 0.015849 | 0.000000 | -0.016709 || -0.000000 | 0.011899 | 0.000000 | 0.012217 | 0.000000 | -0.012879 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.000000 | 0.015597 | 0.000000 | 0.016132 | 0.000000 | -0.017258 || -0.000000 | 0.012050 | 0.000000 | 0.012463 | 0.000000 | -0.013335 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.000000 | 0.014757 | 0.000000 | 0.015375 | 0.000000 | -0.016690 || -0.000000 | 0.013167 | 0.000000 | 0.013724 | 0.000000 | -0.014913 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.000000 | 0.013209 | 0.000000 | 0.013868 | 0.000000 | -0.015285 || -0.000000 | 0.013766 | 0.000000 | 0.014454 | 0.000000 | -0.015934 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.000000 | 0.013110 | 0.000000 | 0.013869 | 0.000000 | -0.015522 || -0.000000 | 0.014303 | 0.000000 | 0.015132 | 0.000000 | -0.016938 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.000000 | 0.013420 | 0.000000 | 0.014305 | 0.000000 | -0.016255 || -0.000000 | 0.015169 | 0.000000 | 0.016170 | 0.000000 | -0.018376 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.000000 | 0.013310 | 0.000000 | 0.014291 | 0.000000 | -0.016474 || -0.000000 | 0.015560 | 0.000000 | 0.016708 | 0.000000 | -0.019263 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| EXPOSURE => 1.0000 | 1.1820 | 1.0894 | 1.1293 | 1.2367 | 1.2551 | 1.2821 | 1.2709 | 1.3456 | 1.4822 | 1.4098 |
| POSITIVE EXPOSURE => 1.0000 | 1.1820 | 1.0894 | 1.1293 | 1.2367 | 1.2551 | 1.2821 | 1.2709 | 1.3456 | 1.4822 | 1.4098 |
| NEGATIVE EXPOSURE => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| EXPOSURE PV => 1.0000 | 1.1796 | 1.0850 | 1.1225 | 1.2268 | 1.2426 | 1.2668 | 1.2532 | 1.3242 | 1.4558 | 1.3819 |
| POSITIVE EXPOSURE PV => 1.0000 | 1.1796 | 1.0850 | 1.1225 | 1.2268 | 1.2426 | 1.2668 | 1.2532 | 1.3242 | 1.4558 | 1.3819 |
| NEGATIVE EXPOSURE PV => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-------------------||
|| UCVA => -12.00% ||
|| FTDCVA => -11.55% ||
|| CVA => -11.55% ||
|| CVACL => 00.45% ||
|| DVA => 00.00% ||
|| FVA => -14.29% ||
|| FDA => 00.00% ||
|| FCA => -14.29% ||
|| FBA => 00.00% ||
|| SFVA => -15.44% ||
||-------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -1.261 | 0.030 ||
|| [27-JAN-2021] => -1.306 | 0.030 ||
|| [27-JUL-2021] => -1.318 | 0.030 ||
|| [27-JAN-2022] => -1.456 | 0.032 ||
|| [27-JUL-2022] => -1.449 | 0.031 ||
|| [27-JAN-2023] => -1.307 | 0.028 ||
|| [27-JUL-2023] => -1.252 | 0.026 ||
|| [27-JAN-2024] => -1.298 | 0.026 ||
|| [27-JUL-2024] => -1.395 | 0.027 ||
|| [27-JAN-2025] => -1.298 | 0.025 ||
||----------------------------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => -1.223 | 0.029 ||
|| [27-JAN-2021] => -0.972 | 0.023 ||
|| [27-JUL-2021] => -1.032 | 0.023 ||
|| [27-JAN-2022] => -1.106 | 0.024 ||
|| [27-JUL-2022] => -1.139 | 0.025 ||
|| [27-JAN-2023] => -1.324 | 0.028 ||
|| [27-JUL-2023] => -1.344 | 0.028 ||
|| [27-JAN-2024] => -1.438 | 0.029 ||
|| [27-JUL-2024] => -1.605 | 0.031 ||
|| [27-JAN-2025] => -1.542 | 0.030 ||
||----------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Finish Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 5 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| PATH VERTEX EXPOSURES AND NUMERAIRE REALIZATIONS ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Gross Exposure ||
| - Path #1 Positive Exposure ||
| - Path #1 Negative Exposure ||
| - Path #2 Gross Exposure ||
| - Path #2 Positive Exposure ||
| - Path #2 Negative Exposure ||
| - Collateral Numeraire ||
| - Bank Survival Probability ||
| - Bank Recovery Rate ||
| - Bank Funding Spread ||
| - Counter Party Survival Probability ||
| - Counter Party Recovery Rate ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
| 27-JAN-2020 => 1.000000 | 1.000000 | 0.000000 | 1.000000 | 1.000000 | 0.000000 | 0.004000 | 1.000000 | 0.400000 | 0.025000 | 1.000000 | 0.300000 ||
| 27-JUL-2020 => 0.990436 | 0.990436 | 0.000000 | 1.068391 | 1.068391 | 0.000000 | 0.004000 | 0.992528 | 0.400000 | 0.025000 | 0.985112 | 0.300000 ||
| 27-JAN-2021 => 0.851823 | 0.851823 | 0.000000 | 1.089189 | 1.089189 | 0.000000 | 0.004000 | 0.985112 | 0.400000 | 0.025000 | 0.970446 | 0.300000 ||
| 27-JUL-2021 => 0.750937 | 0.750937 | 0.000000 | 1.265219 | 1.265219 | 0.000000 | 0.004000 | 0.977751 | 0.400000 | 0.025000 | 0.955997 | 0.300000 ||
| 27-JAN-2022 => 0.786996 | 0.786996 | 0.000000 | 1.073032 | 1.073032 | 0.000000 | 0.004000 | 0.970446 | 0.400000 | 0.025000 | 0.941765 | 0.300000 ||
| 27-JUL-2022 => 0.801149 | 0.801149 | 0.000000 | 1.025194 | 1.025194 | 0.000000 | 0.004000 | 0.963194 | 0.400000 | 0.025000 | 0.927743 | 0.300000 ||
| 27-JAN-2023 => 0.707889 | 0.707889 | 0.000000 | 1.025462 | 1.025462 | 0.000000 | 0.004000 | 0.955997 | 0.400000 | 0.025000 | 0.913931 | 0.300000 ||
| 27-JUL-2023 => 0.784884 | 0.784884 | 0.000000 | 0.827554 | 0.827554 | 0.000000 | 0.004000 | 0.948854 | 0.400000 | 0.025000 | 0.900325 | 0.300000 ||
| 27-JAN-2024 => 0.862525 | 0.862525 | 0.000000 | 0.700234 | 0.700234 | 0.000000 | 0.004000 | 0.941765 | 0.400000 | 0.025000 | 0.886920 | 0.300000 ||
| 27-JUL-2024 => 0.877263 | 0.877263 | 0.000000 | 0.764699 | 0.764699 | 0.000000 | 0.004000 | 0.934728 | 0.400000 | 0.025000 | 0.873716 | 0.300000 ||
| 27-JAN-2025 => 0.939066 | 0.939066 | 0.000000 | 0.716273 | 0.716273 | 0.000000 | 0.004000 | 0.927743 | 0.400000 | 0.025000 | 0.860708 | 0.300000 ||
|--------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------||
| PERIOD UNILATERAL CREDIT, BILATERAL CREDIT, CREDIT, & CONTRA LIABILITY CREDIT VALUATION ADJUSTMENTS ||
|---------------------------------------------------------------------------------------------------------------------------------||
| - Forward Period ||
| - Path #1 Period Unilateral Credit Adjustments ||
| - Path #1 Period Bilateral Credit Adjustments ||
| - Path #1 Period Credit Adjustments ||
| - Path #1 Period Contra-Liability Credit Adjustments ||
| - Path #2 Period Unilateral Credit Adjustments ||
| - Path #2 Period Bilateral Credit Adjustments ||
| - Path #2 Period Credit Adjustments ||
| - Path #2 Period Contra-Liability Credit Adjustments ||
|---------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.010361 | -0.010323 | -0.010323 | -0.000038 ||| -0.010767 | -0.010725 | -0.010725 | -0.000042 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.009429 | -0.009326 | -0.009326 | -0.000103 ||| -0.011042 | -0.010918 | -0.010918 | -0.000124 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.008065 | -0.007917 | -0.007917 | -0.000148 ||| -0.011846 | -0.011622 | -0.011622 | -0.000223 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.007608 | -0.007410 | -0.007410 | -0.000198 ||| -0.011568 | -0.011272 | -0.011272 | -0.000296 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.007724 | -0.007467 | -0.007467 | -0.000256 ||| -0.010205 | -0.009867 | -0.009867 | -0.000338 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.007216 | -0.006926 | -0.006926 | -0.000290 ||| -0.009805 | -0.009409 | -0.009409 | -0.000396 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.007017 | -0.006682 | -0.006682 | -0.000335 ||| -0.008712 | -0.008301 | -0.008301 | -0.000411 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.007613 | -0.007196 | -0.007196 | -0.000418 ||| -0.007061 | -0.006677 | -0.006677 | -0.000384 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.007905 | -0.007417 | -0.007417 | -0.000488 ||| -0.006656 | -0.006244 | -0.006244 | -0.000412 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.008113 | -0.007555 | -0.007555 | -0.000559 ||| -0.006616 | -0.006162 | -0.006162 | -0.000454 ||
|---------------------------------------------------------------------------------------------------------------------------------||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| DEBT VALUATION, FUNDING VALUATION, FUNDING DEBT, FUNDING COST, FUNDING BENEFIT, & SYMMETRIC FUNDING VALUATION ADJUSTMENTS ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| L -> R: ||
| - Path #1 Debt Valuation Adjustment ||
| - Path #1 Funding Valuation Adjustment ||
| - Path #1 Funding Debt Adjustment ||
| - Path #1 Funding Cost Adjustment ||
| - Path #1 Funding Benefit Adjustment ||
| - Path #1 Symmatric Funding Valuation Adjustment ||
| - Path #2 Debt Valuation Adjustment ||
| - Path #2 Funding Valuation Adjustment ||
| - Path #2 Funding Debt Adjustment ||
| - Path #2 Funding Cost Adjustment ||
| - Path #2 Funding Benefit Adjustment ||
| - Path #2 Symmatric Funding Valuation Adjustment ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
| [27-JAN-2020 -> 27-JUL-2020] => -0.000000 | 0.012248 | 0.000000 | 0.012294 | 0.000000 | -0.012385 || -0.000000 | 0.012722 | 0.000000 | 0.012771 | 0.000000 | -0.012870 ||
| [27-JUL-2020 -> 27-JAN-2021] => -0.000000 | 0.011193 | 0.000000 | 0.011316 | 0.000000 | -0.011567 || -0.000000 | 0.013096 | 0.000000 | 0.013244 | 0.000000 | -0.013546 ||
| [27-JAN-2021 -> 27-JUL-2021] => -0.000000 | 0.009346 | 0.000000 | 0.009520 | 0.000000 | -0.009879 || -0.000000 | 0.013706 | 0.000000 | 0.013969 | 0.000000 | -0.014510 ||
| [27-JUL-2021 -> 27-JAN-2022] => -0.000000 | 0.008887 | 0.000000 | 0.009124 | 0.000000 | -0.009617 || -0.000000 | 0.013529 | 0.000000 | 0.013884 | 0.000000 | -0.014623 ||
| [27-JAN-2022 -> 27-JUL-2022] => -0.000000 | 0.008810 | 0.000000 | 0.009113 | 0.000000 | -0.009749 || -0.000000 | 0.011645 | 0.000000 | 0.012043 | 0.000000 | -0.012881 ||
| [27-JUL-2022 -> 27-JAN-2023] => -0.000000 | 0.008311 | 0.000000 | 0.008659 | 0.000000 | -0.009399 || -0.000000 | 0.011286 | 0.000000 | 0.011761 | 0.000000 | -0.012772 ||
| [27-JAN-2023 -> 27-JUL-2023] => -0.000000 | 0.007881 | 0.000000 | 0.008276 | 0.000000 | -0.009127 || -0.000000 | 0.009802 | 0.000000 | 0.010287 | 0.000000 | -0.011331 ||
| [27-JUL-2023 -> 27-JAN-2024] => -0.000000 | 0.008628 | 0.000000 | 0.009129 | 0.000000 | -0.010219 || -0.000000 | 0.008014 | 0.000000 | 0.008475 | 0.000000 | -0.009478 ||
| [27-JAN-2024 -> 27-JUL-2024] => -0.000000 | 0.008799 | 0.000000 | 0.009378 | 0.000000 | -0.010654 || -0.000000 | 0.007406 | 0.000000 | 0.007894 | 0.000000 | -0.008970 ||
| [27-JUL-2024 -> 27-JAN-2025] => -0.000000 | 0.009059 | 0.000000 | 0.009729 | 0.000000 | -0.011222 || -0.000000 | 0.007393 | 0.000000 | 0.007937 | 0.000000 | -0.009151 ||
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------||
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 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 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| EXPOSURE => 1.0000 | 1.0294 | 0.9705 | 1.0081 | 0.9300 | 0.9132 | 0.8667 | 0.8062 | 0.7814 | 0.8210 | 0.8277 |
| POSITIVE EXPOSURE => 1.0000 | 1.0294 | 0.9705 | 1.0081 | 0.9300 | 0.9132 | 0.8667 | 0.8062 | 0.7814 | 0.8210 | 0.8277 |
| NEGATIVE EXPOSURE => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| EXPOSURE PV => 1.0000 | 1.0274 | 0.9666 | 1.0020 | 0.9226 | 0.9041 | 0.8563 | 0.7950 | 0.7690 | 0.8063 | 0.8113 |
| POSITIVE EXPOSURE PV => 1.0000 | 1.0274 | 0.9666 | 1.0020 | 0.9226 | 0.9041 | 0.8563 | 0.7950 | 0.7690 | 0.8063 | 0.8113 |
| NEGATIVE EXPOSURE PV => 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
||-------------------||
|| UCVA => -08.77% ||
|| FTDCVA => -08.47% ||
|| CVA => -08.47% ||
|| CVACL => 00.30% ||
|| DVA => 00.00% ||
|| FVA => -10.44% ||
|| FDA => 00.00% ||
|| FCA => -10.44% ||
|| FBA => 00.00% ||
|| SFVA => -11.20% ||
||-------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #1 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => 0.605 | -1.641 ||
|| [27-JAN-2021] => 0.518 | -1.403 ||
|| [27-JUL-2021] => 0.455 | -1.230 ||
|| [27-JAN-2022] => 0.475 | -1.281 ||
|| [27-JUL-2022] => 0.482 | -1.297 ||
|| [27-JAN-2023] => 0.424 | -1.139 ||
|| [27-JUL-2023] => 0.468 | -1.255 ||
|| [27-JAN-2024] => 0.512 | -1.371 ||
|| [27-JUL-2024] => 0.519 | -1.386 ||
|| [27-JAN-2025] => 0.553 | -1.475 ||
||----------------------------------------||
||----------------------------------------||
|| BURGARD KJAER REPLICATION PORTFOLIO #2 ||
||----------------------------------------||
|| L -> R: ||
|| - Bank Bond Units ||
|| - Bank Subordinate Units ||
||----------------------------------------||
|| [27-JAN-2020] => -3.556 | 2.558 ||
|| [27-JUL-2020] => 0.653 | -1.770 ||
|| [27-JAN-2021] => 0.663 | -1.794 ||
|| [27-JUL-2021] => 0.767 | -2.072 ||
|| [27-JAN-2022] => 0.648 | -1.747 ||
|| [27-JUL-2022] => 0.616 | -1.659 ||
|| [27-JAN-2023] => 0.614 | -1.650 ||
|| [27-JUL-2023] => 0.494 | -1.324 ||
|| [27-JAN-2024] => 0.416 | -1.113 ||
|| [27-JUL-2024] => 0.452 | -1.209 ||
|| [27-JAN-2025] => 0.422 | -1.125 ||
||----------------------------------------||
|-----------------------------------------------------------------|
| 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 07:31:38 EST 2020
| Setup Time => Mon Jan 27 07:31:38 EST 2020
| Finish Time => Mon Jan 27 07:31:38 EST 2020
| Setup Duration => 1 ms
| Run Duration => 6 ms
|-----------------------------------------------------------------|