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Contract 2 - Equity Swap Term: Fixed rate : Equity index at last settlement: Settlement : Opened: National : Position : Current term structure :

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Contract 2 - Equity Swap Term: Fixed rate : Equity index at last settlement: Settlement : Opened: National : Position : Current term structure : Current equity index: 1 year 3.70% 1926.64 quarterly (30/360) 120 days ago $ 250 million Fixed-rate payer LIBOR60 2.70%, LIBOR 150 2.85%, LIBOR5240 2.95% 1892.23 2. The value of GD of contract 2, as described in Exhibit 1, is closest to : Contract 2 - Equity Swap Term: Fixed rate : Equity index at last settlement: Settlement : Opened: National : Position : Current term structure : Current equity index: 1 year 3.70% 1926.64 quarterly (30/360) 120 days ago $ 250 million Fixed-rate payer LIBOR60 2.70%, LIBOR 150 2.85%, LIBOR5240 2.95% 1892.23 2. The value of GD of contract 2, as described in Exhibit 1, is closest to

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