Cdn$/US$

year CF (Bond) Mid Bid Ask Forward Swap

0.0 150,000,000 1.2470 1.2466 1.2475 186,985,789 187,500,000
0.5 7,687,500 1.2740 1.2732 1.2750 9,801,734 11,381,250
1.0 7,687,500 1.2967 1.2893 1.2918 9,930,887 11,381,250
1.5 7,687,500 1.3110 1.3080 1.3110 10,078,002 11,381,250
2.0 7,687,500 1.3256 1.3264 1.3301 10,225,459 11,381,250
2.5 7,687,500 1.3407 1.3452 1.3492 10,371,695 11,381,250
3.0 7,687,500 1.3559 1.3635 1.3686 10,520,734 11,381,250
3.5 7,687,500 1.3680 1.3731 1.3789 10,600,524 11,381,250
4.0 7,687,500 1.3805 1.3820 1.3900 10,685,988 11,381,250
4.5 7,687,500 1.3930 1.3916 1.4004 10,765,299 11,381,250
5.0 7,687,500 1.4059 1.4010 1.4108 10,845,796 11,381,250
5.5 7,687,500 1.4098 1.4039 1.4160 10,885,726 11,381,250
6.0 7,687,500 1.4138 1.4071 1.4211 10,924,400 11,381,250
6.5 7,687,500 1.4180 1.4106 1.4255 10,958,660 11,381,250
7.0 7,687,500 1.4221 1.4140 1.4300 10,993,136 11,381,250
7.5 7,687,500 1.4286 1.4190 1.4378 11,053,199 11,381,250
8.0 7,687,500 1.4351 1.4253 1.4453 11,110,710 11,381,250
8.5 7,687,500 1.4418 1.4310 1.4520 11,162,335 11,381,250
9.0 7,687,500 1.4486 1.4378 1.4599 11,222,628 11,381,250
9.5 7,687,500 1.4554 1.4438 1.4669 11,276,955 11,381,250
10.0 157,687,500 1.4622 1.4501 1.4741 232,440,301 198,881,250
12.14% -1,829,926 -
PV Forward Swap
1.0000 186,985,789 187,500,000
0.9428 9,240,816 10,729,942
0.8888 8,826,793 10,115,907
0.8380 8,444,943 9,537,010
0.7900 8,078,162 8,991,242
0.7448 7,724,793 8,476,706
0.7022 7,387,383 7,991,615
0.6620 7,017,450 7,534,284
0.6241 6,669,206 7,103,124
0.5884 6,334,218 6,696,638
0.5547 6,016,387 6,313,414
0.5230 5,692,973 5,952,120
0.4930 5,386,253 5,611,502
0.4648 5,093,943 5,290,376
0.4382 4,817,543 4,987,627
0.4132 4,566,668 4,702,204
0.3895 4,327,735 4,433,114
0.3672 4,099,033 4,179,423
0.3462 3,885,334 3,940,250
0.3264 3,680,722 3,714,763
0.3077 71,525,360 61,198,738
 Swap
120,000,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
7,284,000
127,284,000