Use effective duration and effective convexity to calculate the expected bond price under a yield curve shift of -70.00 basis points (bps). Yield Curve Data Par Value: Pmt Frequency: 100.00 2.00 per year 1-Feb-2020 2-Feb-2020 Bond Terms & Conditions Par Value Coupon Rate Pmt Frequency Maturity 100.00 3.000% 2.00 per year 5.00 years Trade Date: Settlement Date: YC Shift (bps): 25.000 Period Maturity Par Value (%) = N W 2-Aug-2020 2-Feb-2021 2-Aug-2021 2-Feb-2022 2-Aug-2022 2-Feb-2023 2-Aug-2023 2-Feb-2024 2-Aug-2024 2-Feb-2025 Coupon (s.a.) 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Price (% of Par) 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Par Rate (BEY) 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% Shift Up (BEY) 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% Shift Dn (BEY) 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 600 V 97.725 100.000 Fair Value: Effective Duration: Effective Convexity: 98.855 4.603 12.177 Use effective duration and effective convexity to calculate the expected bond price under a yield curve shift of -70.00 basis points (bps). Yield Curve Data Par Value: Pmt Frequency: 100.00 2.00 per year 1-Feb-2020 2-Feb-2020 Bond Terms & Conditions Par Value Coupon Rate Pmt Frequency Maturity 100.00 3.000% 2.00 per year 5.00 years Trade Date: Settlement Date: YC Shift (bps): 25.000 Period Maturity Par Value (%) = N W 2-Aug-2020 2-Feb-2021 2-Aug-2021 2-Feb-2022 2-Aug-2022 2-Feb-2023 2-Aug-2023 2-Feb-2024 2-Aug-2024 2-Feb-2025 Coupon (s.a.) 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Price (% of Par) 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 100.000 Par Rate (BEY) 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% Shift Up (BEY) 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% 3.500% Shift Dn (BEY) 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 600 V 97.725 100.000 Fair Value: Effective Duration: Effective Convexity: 98.855 4.603 12.177