Basis Swap Floats

On April 30, 2003, you enter into a swap to pay one million USD at set at the Corporate A Yield Curve rate and receive one million USD set at the LIBOR.

Page	Field	Field Value
Deal Detail page
	Unit	US001
	Deal ID	364
	Instrument Type	IRSWAP
	Transaction Date	04/30/2003
	Instrument Base Type	Interest Rate Swap
Interest Rate Swap Details
	Commencement Date	04/30/2003
	Term	366
	Maturity Date	04/30/2004
	Amort Method	Non Amortizing
	Swap Principals	Don't Swap
	Forward Rate Options	Not a Forward Rate Agreement
	Pay (group box)
	Rate Type	Floating
	Rate	5.1
	Interest Calculation	Interest Bearing
	Day/Count Basis	30/360.
	Notional Amount	1,000,000.00
	Currency	USD
	Reset Index	CP2YC
	Receive (group box)
	Rate Type	Floating
	Rate	5.0
	Interest Calculation	Interest Bearing
	Day Count Basis	Actual/360
	Notional Amount	1,000,000.00
	Currency	USD
	Reset Index	LIBOR
Interest Dates and Calculation
	Repeat Interest Dates	Selected
	Pay (group box)
	Interest Frequency	Semi-Annual
	Reset Frequency	Semi-Annual
	Reset Rate Index Tenor	6 Month
	Business Day Convention	Modified Following
	Receive (group box)
	Interest Frequency	Semi-Annual
	Reset Frequency	Semi-Annual
	Reset Rate Index Tenor	6 Month
	Business Day Convention	Modified Following
	Interest Calculation Pay	Day Counted Interest Use Actual Interest Dates
	Interest Calculation Receive	Day Counted Interest Use Actual Interest Dates
	Interest Date Rule — Pay	Forwards from Issue Date
	Interest Date Rule — Receive	Forwards from Issue Date
	Pay +/- Date Rules (group box)
	Payment Date	Business Days-Paid in Arrears
	+/-Payment Days	0
	Reset Date	Set in Advance
	+/-Reset Date	0
	Receive +/- Date Rules (group box)
	Payment Date	Business Days-Paid in Arrears
	+/-Payment Days	0
	Reset Date	Set in Advance
	+/-Reset Date	0
	Portfolio	DEMO
	Accounting Treatment	Other
	Counterparty	USBNK
	Issuer	USBNK
	Guarantor	USBNK
	Description	1 Year to 2004–04–30 Pay USD 1.0m. @ CP2YC Receive USD 1.0m. @ LIBOR
	Deal Status	Open
	Net Deal Settlements	Selected

Page	Field	Field Value
Settlement Instructions page
Payment Information
	Our Settle Thru SetID	SHARE
	Our Settle Thru Bank	USBNK
	Our Settle Thru Account	CHCK
	Counterparty's Instructions	USBKS
	Payment Method	Electronic Funds Transfer
	Layout	UFF
Receipt Information
	Our Settle Into SetID	SHARE
	Our Settle Into Bank	USBNK
	Our Settle Into Account	CHCK
	Our Settlement Instructions	TUS01

Page	Field	Field Value
Interest and Payment Dates page
	Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency	Pay Interest 10/30/2003 04/30/2003 10/30/2003 –25,500.00 -1,000,000.00 Selected 5.1 –25,500.00 00.00 USD
	Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency	Receive Interest 10/30/2003 04/30/2003 10/30/2003 25,416.67 1,000,000.00 Selected 5.0 25,416.67 00.00 USD
	Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency	Pay Interest 04/30/2004 10/30/2003 04/30/2004 –30,000.00 -1,000,000.00 Selected 6.0 –30,000.00 00.00 USD
	Leg Type Period End Date Reset Date Payment Date Amount Principal Balance Rate Set Rate Interest Payment Principal Payment Currency	Receive Interest 04/30/2004 10/30/2003 04/30/2004 31,008.33 1,000,000.00 Selected 6.1 31,008.33 00.00 USD

Page	Field	Field Value
Cash Flows
	Settlement Date Description Amount Currency Nominal Date Interest Date	10/30/2003 Pay -83.33 USD 10/30/2003 10/30/2003
	Settlement Date Description Amount Currency Nominal Date Interest Date	04/30/2004 Receive 1008.33 USD 04/30/2004 04/30/2004