Use effective duration to calculate the expected bond price under a yield curve shift of +85 basis points (bps). Yield Curve Data YC Shift (bps): 25.000 Par Value: Pmt Frequency: Trade Date: Settlement Date: 100.000 2 per year 1-Feb-2020 2-Feb-2020 Bond Terms & Conditions Par Value: Coupon Rate: Pmt Frequency: Maturity: 100.000 3.000% 2 per year 5 years Period Maturity Coupon (s.a.) 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 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 Par Value (%) 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) 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% Shift Up (BEY) 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% Shift Dn (BEY) 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 5 6 98.855 101.160 Fair Value: Effective Duration: 100.000 4.611 Use effective duration to calculate the expected bond price under a yield curve shift of +85 basis points (bps). Yield Curve Data YC Shift (bps): 25.000 Par Value: Pmt Frequency: Trade Date: Settlement Date: 100.000 2 per year 1-Feb-2020 2-Feb-2020 Bond Terms & Conditions Par Value: Coupon Rate: Pmt Frequency: Maturity: 100.000 3.000% 2 per year 5 years Period Maturity Coupon (s.a.) 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 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 Par Value (%) 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) 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% 3.000% Shift Up (BEY) 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% 3.250% Shift Dn (BEY) 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 2.750% 5 6 98.855 101.160 Fair Value: Effective Duration: 100.000 4.611