Face Value € 1,000.00 Coupon Rate 6.0%Yield 8.0%Time to maturity 20 years

t1 € 60.00 0.9259259259 € 55.56 € 55.56 0.79383222 € 60.00 0.8573388203 € 51.44 € 102.88 0.73502993 € 60.00 0.793832241 € 47.63 € 142.89 0.68058324 € 60.00 0.7350298528 € 44.10 € 176.41 0.63016965 € 60.00 0.680583197 € 40.83 € 204.17 0.58349046 € 60.00 0.6301696269 € 37.81 € 226.86 0.54026897 € 60.00 0.5834903953 € 35.01 € 245.07 0.5002498 € 60.00 0.5402688845 € 32.42 € 259.33 0.46319359 € 60.00 0.5002489671 € 30.01 € 270.13 0.4288829

10 € 60.00 0.4631934881 € 27.79 € 277.92 0.397113811 € 60.00 0.4288828593 € 25.73 € 283.06 0.367697912 € 60.00 0.3971137586 € 23.83 € 285.92 0.34046113 € 60.00 0.3676979247 € 22.06 € 286.80 0.315241714 € 60.00 0.3404610414 € 20.43 € 285.99 0.291890515 € 60.00 0.315241705 € 18.91 € 283.72 0.27026916 € 60.00 0.2918904676 € 17.51 € 280.21 0.25024917 € 60.00 0.2702689514 € 16.22 € 275.67 0.231712118 € 60.00 0.2502490291 € 15.01 € 270.27 0.214548219 € 60.00 0.231712064 € 13.90 € 264.15 0.198655720 € 1,060.00 0.2145482074 € 227.42 € 4,548.42 0.1839405

€ 803.64 € 9,025.44

Price € 803.64 Duration 11.23 years

Convexity Approximation 160.40593Theoretical Convexity 160.40588Convexity Difference 0.00479%

CFt DFt CFt x DFt CFt x DFt x t DFt+2

1 bp Change in Yield Bond Price CX Factor € 95.26 7.99% € 804.47 € 264.61 8% € 803.64 160.40593 € 490.02 8.01% € 802.80 € 756.20 € 1,050.28 € 1,361.48 € 1,680.84 € 2,001.00 € 2,315.97 € 2,620.95 € 2,912.17 € 3,186.72 € 3,442.44 € 3,677.82 € 3,891.87 € 4,084.06 € 4,254.23 € 4,402.53 € 4,529.35 € 81,890.31 € 128,908.11

CFt x DFt+2 x t x (t+1)

Actual Bond3.00% € 1,446.32 4.00% € 1,271.81 5.00% € 1,124.62 6.00% € 1,000.00 7.00% € 894.06 8.0% € 803.64

9.00% € 726.14 10.00% € 659.46 11.00% € 601.83 12.00% € 551.83 13.00% € 508.27 14.00% € 470.15

Duration Analysis3.00% € 1,221.48 4.00% € 1,137.91 5.00% € 1,054.34 6.00% € 970.77 7.00% € 887.21 8.0% € 803.64

9.00% € 720.07 10.00% € 636.50 11.00% € 552.93 12.00% € 469.36 13.00% € 385.79 14.00% € 302.22

3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% € -

€ 200.00

€ 400.00

€ 600.00

€ 800.00

€ 1,000.00

€ 1,200.00

€ 1,400.00

€ 1,600.00

Duration Approximation

Actual Bond Duration Approximation

3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% € -

€ 200.00

€ 400.00

€ 600.00

€ 800.00

€ 1,000.00

€ 1,200.00

€ 1,400.00

€ 1,600.00

Duration Approximation

Actual Bond Duration Approximation

Convexity IncludedDuration Analysis Theoretical Convexity Change Convexity Approximation

3.00% € 1,221.48 51.99% € 1,382.62 72.04% -20.05% € 1,382.62 4.00% € 1,137.91 41.60% € 1,241.04 54.43% -12.83% € 1,241.04 5.00% € 1,054.34 31.20% € 1,112.35 38.41% -7.22% € 1,112.35 6.00% € 970.77 20.80% € 996.56 24.01% -3.21% € 996.56 7.00% € 887.21 10.40% € 893.65 11.20% -0.80% € 893.65 8.0% € 803.64 0.00% € 803.64 0.00% 0.00% € 803.64

9.00% € 720.07 -10.40% € 726.51 -9.60% -0.80% € 726.51 10.00% € 636.50 -20.80% € 662.28 -17.59% -3.21% € 662.28 11.00% € 552.93 -31.20% € 610.94 -23.98% -7.22% € 610.94 12.00% € 469.36 -41.60% € 572.49 -28.76% -12.83% € 572.49 13.00% € 385.79 -51.99% € 546.93 -31.94% -20.05% € 546.93 14.00% € 302.22 -62.39% € 534.26 -33.52% -28.87% € 534.26

3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% € -

€ 200.00

€ 400.00

€ 600.00

€ 800.00

€ 1,000.00

€ 1,200.00

€ 1,400.00

€ 1,600.00

Duration & Convexity Approximation

Actual Bond Duration Approximation Convexity Included

Convexity IncludedConvexity Approximation Change

72.04% -20.05%54.43% -12.83%38.41% -7.22%24.01% -3.21%11.20% -0.80%0.00% 0.00%-9.60% -0.80%

-17.59% -3.21%-23.98% -7.22%-28.76% -12.83%-31.94% -20.05%-33.52% -28.87%

3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% € -

€ 200.00

€ 400.00

€ 600.00

€ 800.00

€ 1,000.00

€ 1,200.00

€ 1,400.00

€ 1,600.00

Duration & Convexity Approximation

Actual Bond Duration Approximation Convexity Included

3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00% 12.00% 13.00% 14.00% € -

€ 200.00

€ 400.00

€ 600.00

€ 800.00

€ 1,000.00

€ 1,200.00

€ 1,400.00

€ 1,600.00

Duration & Convexity Approximation

Actual Bond Duration Approximation Convexity Included