<?xml version="1.0" encoding="UTF-8"?><!--
	== Copyright (c) 2002-2010. All rights reserved.
	== Financial Products Markup Language is subject to the FpML public license.
	== A copy of this license is available at http://www.fpml.org/license/license.html
-->
<FpML xmlns="http://www.fpml.org/2010/FpML-4-9" xmlns:fpml="http://www.fpml.org/2010/FpML-4-9" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" version="4-9" xsi:type="ValuationReport" xsi:schemaLocation="http://www.fpml.org/2010/FpML-4-9 ../../fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../xmldsig-core-schema.xsd">
   <header>
      <messageId messageIdScheme="http://www.bbbbbb.org/message-id">RESP003b</messageId>
      <inReplyTo messageIdScheme="http://www.abcdef.org/message-id">VAL003b</inReplyTo>
      <sentBy>BBBBBB</sentBy>
      <sendTo>ABCDEF</sendTo>
      <creationTimestamp>2004-06-14T12:47:50Z</creationTimestamp>
   </header>
   <party id="party1">
      <partyId>ABCDEF</partyId>
   </party>
   <market id="market1"><!--Yield Curve-->
      <yieldCurve id="yc1">
         <currency>USD</currency>
      </yieldCurve><!--Yield Curve Valuation for yc1-vals-->
      <yieldCurveValuation id="yc1-vals">
         <objectReference href="yc1"/>
         <baseDate>2003-10-29</baseDate>
         <buildDateTime>2004-06-14T13:09:07Z</buildDateTime>
         <inputs>
            <instrumentSet>
               <deposit id="ycinput-1">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-DEP-ON</instrumentId>
                  <term>
                     <periodMultiplier>1</periodMultiplier>
                     <period>D</period>
                  </term>
               </deposit>
               <deposit id="ycinput-2">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-DEP-TN</instrumentId>
                  <term>
                     <periodMultiplier>2</periodMultiplier>
                     <period>D</period>
                  </term>
               </deposit>
               <deposit id="ycinput-3">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-DEP-1M</instrumentId>
                  <term>
                     <periodMultiplier>1</periodMultiplier>
                     <period>M</period>
                  </term>
               </deposit>
               <deposit id="ycinput-4">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-DEP-3M</instrumentId>
                  <term>
                     <periodMultiplier>1</periodMultiplier>
                     <period>M</period>
                  </term>
               </deposit>
               <future id="ycinput-5">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-DEC03</instrumentId>
               </future>
               <future id="ycinput-6">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-MAR04</instrumentId>
               </future>
               <future id="ycinput-7">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-JUN04</instrumentId>
               </future>
               <future id="ycinput-8">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SEP04</instrumentId>
               </future>
               <simpleIrSwap id="ycinput-9">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-2Y</instrumentId>
                  <term>
                     <periodMultiplier>2</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
               <simpleIrSwap id="ycinput-10">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-3Y</instrumentId>
                  <term>
                     <periodMultiplier>3</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
               <simpleIrSwap id="ycinput-11">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-4Y</instrumentId>
                  <term>
                     <periodMultiplier>4</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
               <simpleIrSwap id="ycinput-12">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-5Y</instrumentId>
                  <term>
                     <periodMultiplier>5</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
               <simpleIrSwap id="ycinput-13">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-7Y</instrumentId>
                  <term>
                     <periodMultiplier>7</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
               <simpleIrSwap id="ycinput-14">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-10Y</instrumentId>
                  <term>
                     <periodMultiplier>10</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
               <simpleIrSwap id="ycinput-15">
                  <instrumentId instrumentIdScheme="http://fpml.org/instruments-pr-example">USD-SWAP-15Y</instrumentId>
                  <term>
                     <periodMultiplier>15</periodMultiplier>
                     <period>Y</period>
                  </term>
               </simpleIrSwap>
            </instrumentSet>
            <assetQuote>
               <objectReference href="ycinput-1"/>
               <quote>
                  <value>0.0111</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-2"/>
               <quote>
                  <value>0.012</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-3"/>
               <quote>
                  <value>0.013</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-4"/>
               <quote>
                  <value>0.014</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-5"/>
               <quote>
                  <value>9850</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>IRFuturesPrice</quoteUnits>
               </quote>
               <quote>
                  <value>0.0001</value>
                  <measureType>ConvexityAdjustment</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-6"/>
               <quote>
                  <value>9840</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>IRFuturesPrice</quoteUnits>
               </quote>
               <quote>
                  <value>0.00012</value>
                  <measureType>ConvexityAdjustment</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-7"/>
               <quote>
                  <value>9830</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>IRFuturesPrice</quoteUnits>
               </quote>
               <quote>
                  <value>0.00014</value>
                  <measureType>ConvexityAdjustment</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-8"/>
               <quote>
                  <value>9820</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>IRFuturesPrice</quoteUnits>
               </quote>
               <quote>
                  <value>0.00016</value>
                  <measureType>ConvexityAdjustment</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-9"/>
               <quote>
                  <value>0.02</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-10"/>
               <quote>
                  <value>0.021</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-11"/>
               <quote>
                  <value>0.022</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-12"/>
               <quote>
                  <value>0.023</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-13"/>
               <quote>
                  <value>0.024</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-14"/>
               <quote>
                  <value>0.025</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
            <assetQuote>
               <objectReference href="ycinput-15"/>
               <quote>
                  <value>0.026</value>
                  <measureType>MarketQuote</measureType>
                  <quoteUnits>Rate</quoteUnits>
               </quote>
            </assetQuote>
         </inputs>
         <zeroCurve>
            <compoundingFrequency>Annual</compoundingFrequency>
            <rateCurve>
               <point id="yc1-vals-zero-pt1">
                  <term>
                     <date>2003-10-30</date>
                  </term>
                  <mid>0.0112</mid>
               </point>
               <point id="yc1-vals-zero-pt2">
                  <term>
                     <date>2003-10-31</date>
                  </term>
                  <mid>0.0121</mid>
               </point>
               <point id="yc1-vals-zero-pt3">
                  <term>
                     <date>2003-11-30</date>
                  </term>
                  <mid>0.0131</mid>
               </point>
               <point id="yc1-vals-zero-pt4">
                  <term>
                     <date>2004-01-31</date>
                  </term>
                  <mid>0.0141</mid>
               </point>
               <point id="yc1-vals-zero-pt5">
                  <term>
                     <date>2004-03-18</date>
                  </term>
                  <mid>0.0151</mid>
               </point>
               <point id="yc1-vals-zero-pt6">
                  <term>
                     <date>2004-06-15</date>
                  </term>
                  <mid>0.0161</mid>
               </point>
               <point id="yc1-vals-zero-pt7">
                  <term>
                     <date>2004-09-15</date>
                  </term>
                  <mid>0.0171</mid>
               </point>
               <point id="yc1-vals-zero-pt8">
                  <term>
                     <date>2004-12-16</date>
                  </term>
                  <mid>0.0181</mid>
               </point>
               <point id="yc1-vals-zero-pt9">
                  <term>
                     <date>2005-10-31</date>
                  </term>
                  <mid>0.0201</mid>
               </point>
               <point id="yc1-vals-zero-pt10">
                  <term>
                     <date>2006-10-30</date>
                  </term>
                  <mid>0.0211</mid>
               </point>
               <point id="yc1-vals-zero-pt11">
                  <term>
                     <date>2007-10-31</date>
                  </term>
                  <mid>0.0221</mid>
               </point>
               <point id="yc1-vals-zero-pt12">
                  <term>
                     <date>2008-10-31</date>
                  </term>
                  <mid>0.0231</mid>
               </point>
               <point id="yc1-vals-zero-pt13">
                  <term>
                     <date>2010-10-31</date>
                  </term>
                  <mid>0.0241</mid>
               </point>
               <point id="yc1-vals-zero-pt14">
                  <term>
                     <date>2013-10-31</date>
                  </term>
                  <mid>0.0251</mid>
               </point>
               <point id="yc1-vals-zero-pt15">
                  <term>
                     <date>2018-10-31</date>
                  </term>
                  <mid>0.0261</mid>
               </point>
            </rateCurve>
         </zeroCurve>
         <discountFactorCurve>
            <point id="yc1-vals-df-pt1">
               <term>
                  <date>2003-10-30</date>
               </term>
               <mid>0.999869757040574</mid>
            </point>
            <point id="yc1-vals-df-pt2">
               <term>
                  <date>2003-10-31</date>
               </term>
               <mid>0.999934098718365</mid>
            </point>
            <point id="yc1-vals-df-pt3">
               <term>
                  <date>2003-11-30</date>
               </term>
               <mid>0.998859615154173</mid>
            </point>
            <point id="yc1-vals-df-pt4">
               <term>
                  <date>2004-01-31</date>
               </term>
               <mid>0.996400622534765</mid>
            </point>
            <point id="yc1-vals-df-pt5">
               <term>
                  <date>2004-03-18</date>
               </term>
               <mid>0.994227178365835</mid>
            </point>
            <point id="yc1-vals-df-pt6">
               <term>
                  <date>2004-06-15</date>
               </term>
               <mid>0.989986073915221</mid>
            </point>
            <point id="yc1-vals-df-pt7">
               <term>
                  <date>2004-09-15</date>
               </term>
               <mid>0.985153364055606</mid>
            </point>
            <point id="yc1-vals-df-pt8">
               <term>
                  <date>2004-12-16</date>
               </term>
               <mid>0.979859309181877</mid>
            </point>
            <point id="yc1-vals-df-pt9">
               <term>
                  <date>2005-10-31</date>
               </term>
               <mid>0.960823172585937</mid>
            </point>
            <point id="yc1-vals-df-pt10">
               <term>
                  <date>2006-10-30</date>
               </term>
               <mid>0.939172748187296</mid>
            </point>
            <point id="yc1-vals-df-pt11">
               <term>
                  <date>2007-10-31</date>
               </term>
               <mid>0.916111677406541</mid>
            </point>
            <point id="yc1-vals-df-pt12">
               <term>
                  <date>2008-10-31</date>
               </term>
               <mid>0.891868623277781</mid>
            </point>
            <point id="yc1-vals-df-pt13">
               <term>
                  <date>2010-10-31</date>
               </term>
               <mid>0.846233270451626</mid>
            </point>
            <point id="yc1-vals-df-pt14">
               <term>
                  <date>2013-10-31</date>
               </term>
               <mid>0.78017168119187</mid>
            </point>
            <point id="yc1-vals-df-pt15">
               <term>
                  <date>2018-10-31</date>
               </term>
               <mid>0.679157882776367</mid>
            </point>
         </discountFactorCurve>
      </yieldCurveValuation>
   </market>
   <portfolioValuationItem><!--Portfolio of trades -->
      <portfolio id="port1">
         <tradeId id="tid-1" tradeIdScheme="http://party1.com/tids">1234</tradeId>
         <tradeId id="tid-2" tradeIdScheme="http://party1.com/tids">2345</tradeId>
         <tradeId id="tid-3" tradeIdScheme="http://party1.com/tids">3456</tradeId>
         <tradeId id="tid-4" tradeIdScheme="http://party1.com/tids">4576</tradeId>
         <tradeId id="tid-5" tradeIdScheme="http://party1.com/tids">5678</tradeId>
      </portfolio>
      <tradeValuationItem><!--Valuation Set (report)-->
         <valuationSet id="val1">
            <valuationScenario id="valscen1">
               <name>EOD Valuation</name>
               <valuationDate>2003-10-29</valuationDate>
               <marketReference href="market1"/>
            </valuationScenario>
            <baseParty href="party1"/>
            <quotationCharacteristics>
               <side>Mid</side>
               <currency>USD</currency>
            </quotationCharacteristics><!--Definition of Sensitivities-->
            <sensitivitySetDefinition id="sensitivity1">
               <name>USD Curve Risk</name>
               <sensitivityCharacteristics>
                  <measureType>BucketedInterestRateSensitivity</measureType>
                  <quoteUnits>BasisPointValue</quoteUnits>
                  <currency>USD</currency>
               </sensitivityCharacteristics>
               <valuationScenarioReference href="valscen1"/>
               <pricingInputType>YieldCurve</pricingInputType>
               <pricingInputReference href="yc1-vals"/>
               <scale>0.0001</scale>
               <sensitivityDefinition id="sens-pt1">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt1"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt2">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt2"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt3">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative><!-- <parameterReference href="yc1-vals-df-pt3"/> --><!--Rule ref-23 is invalid-->
                     <inputDateReference href="yc1-vals-df-pt3"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt4">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt4"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt5">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt5"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt6">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt6"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt7">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt7"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt8">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt8"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt9">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt9"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt10">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt10"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt11">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt11"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt12">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt12"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt13">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt13"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt14">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt14"/>
                  </partialDerivative>
               </sensitivityDefinition>
               <sensitivityDefinition id="sens-pt15">
                  <valuationScenarioReference href="valscen1"/>
                  <partialDerivative>
                     <parameterReference href="yc1-vals-df-pt15"/>
                  </partialDerivative>
               </sensitivityDefinition>
            </sensitivitySetDefinition><!--results for trade #1-->
            <assetValuation>
               <objectReference href="tid-1"/><!--quote value and NPV-->
               <quote>
                  <value>123000</value>
                  <measureType>NPV</measureType><!--Sensitivities for the NPV-->
                  <sensitivitySet>
                     <name>USD Curve Risk</name>
                     <definitionReference href="sensitivity1"/>
                     <sensitivity name="1D" definitionRef="sens-pt1">111</sensitivity>
                     <sensitivity name="2D" definitionRef="sens-pt2">112</sensitivity>
                     <sensitivity name="1M" definitionRef="sens-pt3">113</sensitivity>
                     <sensitivity name="3M" definitionRef="sens-pt4">114</sensitivity>
                     <sensitivity name="DEC03" definitionRef="sens-pt5">115</sensitivity>
                     <sensitivity name="MAR04" definitionRef="sens-pt6">116</sensitivity>
                     <sensitivity name="JUN04" definitionRef="sens-pt7">117</sensitivity>
                     <sensitivity name="SEP04" definitionRef="sens-pt8">118</sensitivity>
                     <sensitivity name="2Y" definitionRef="sens-pt9">119</sensitivity>
                     <sensitivity name="3Y" definitionRef="sens-pt10">120</sensitivity>
                     <sensitivity name="4Y" definitionRef="sens-pt11">121</sensitivity>
                     <sensitivity name="5Y" definitionRef="sens-pt12">122</sensitivity>
                     <sensitivity name="7Y" definitionRef="sens-pt13">123</sensitivity>
                     <sensitivity name="10Y" definitionRef="sens-pt14">124</sensitivity>
                     <sensitivity name="15Y" definitionRef="sens-pt15">125</sensitivity>
                  </sensitivitySet>
               </quote>
               <quote>
                  <value>123000</value>
                  <measureType>Cash</measureType>
               </quote>
            </assetValuation><!--results for trade #2-->
            <assetValuation>
               <objectReference href="tid-2"/><!--quote value and NPV-->
               <quote>
                  <value>456000</value>
                  <measureType>NPV</measureType><!--Sensitivities for the NPV-->
                  <sensitivitySet>
                     <name>USD Curve Risk</name>
                     <definitionReference href="sensitivity1"/>
                     <sensitivity name="1D" definitionRef="sens-pt1">211</sensitivity>
                     <sensitivity name="2D" definitionRef="sens-pt2">212</sensitivity>
                     <sensitivity name="1M" definitionRef="sens-pt3">213</sensitivity>
                     <sensitivity name="3M" definitionRef="sens-pt4">214</sensitivity>
                     <sensitivity name="DEC03" definitionRef="sens-pt5">215</sensitivity>
                     <sensitivity name="MAR04" definitionRef="sens-pt6">216</sensitivity>
                     <sensitivity name="JUN04" definitionRef="sens-pt7">217</sensitivity>
                     <sensitivity name="SEP04" definitionRef="sens-pt8">218</sensitivity>
                     <sensitivity name="2Y" definitionRef="sens-pt9">219</sensitivity>
                     <sensitivity name="3Y" definitionRef="sens-pt10">220</sensitivity>
                     <sensitivity name="4Y" definitionRef="sens-pt11">221</sensitivity>
                     <sensitivity name="5Y" definitionRef="sens-pt12">222</sensitivity>
                     <sensitivity name="7Y" definitionRef="sens-pt13">223</sensitivity>
                     <sensitivity name="10Y" definitionRef="sens-pt14">224</sensitivity>
                     <sensitivity name="15Y" definitionRef="sens-pt15">225</sensitivity>
                  </sensitivitySet>
               </quote>
               <quote>
                  <value>456000</value>
                  <measureType>Cash</measureType>
               </quote>
            </assetValuation><!--results for trade #3-->
            <assetValuation>
               <objectReference href="tid-3"/><!--quote value and NPV-->
               <quote>
                  <value>789000</value>
                  <measureType>NPV</measureType><!--Sensitivities for the NPV-->
                  <sensitivitySet>
                     <name>USD Curve Risk</name>
                     <definitionReference href="sensitivity1"/>
                     <sensitivity name="1D" definitionRef="sens-pt1">11</sensitivity>
                     <sensitivity name="2D" definitionRef="sens-pt2">12</sensitivity>
                     <sensitivity name="1M" definitionRef="sens-pt3">13</sensitivity>
                     <sensitivity name="3M" definitionRef="sens-pt4">14</sensitivity>
                     <sensitivity name="DEC03" definitionRef="sens-pt5">15</sensitivity>
                     <sensitivity name="MAR04" definitionRef="sens-pt6">16</sensitivity>
                     <sensitivity name="JUN04" definitionRef="sens-pt7">17</sensitivity>
                     <sensitivity name="SEP04" definitionRef="sens-pt8">18</sensitivity>
                     <sensitivity name="2Y" definitionRef="sens-pt9">19</sensitivity>
                     <sensitivity name="3Y" definitionRef="sens-pt10">20</sensitivity>
                     <sensitivity name="4Y" definitionRef="sens-pt11">21</sensitivity>
                     <sensitivity name="5Y" definitionRef="sens-pt12">22</sensitivity>
                     <sensitivity name="7Y" definitionRef="sens-pt13">23</sensitivity>
                     <sensitivity name="10Y" definitionRef="sens-pt14">24</sensitivity>
                     <sensitivity name="15Y" definitionRef="sens-pt15">25</sensitivity>
                  </sensitivitySet>
               </quote>
               <quote>
                  <value>789000</value>
                  <measureType>Cash</measureType>
               </quote>
            </assetValuation><!--results for trade #4-->
            <assetValuation>
               <objectReference href="tid-4"/><!--quote value and NPV-->
               <quote>
                  <value>-123000</value>
                  <measureType>NPV</measureType><!--Sensitivities for the NPV-->
                  <sensitivitySet>
                     <name>USD Curve Risk</name>
                     <definitionReference href="sensitivity1"/>
                     <sensitivity name="1D" definitionRef="sens-pt1">-78</sensitivity>
                     <sensitivity name="2D" definitionRef="sens-pt2">-76</sensitivity>
                     <sensitivity name="1M" definitionRef="sens-pt3">-74</sensitivity>
                     <sensitivity name="3M" definitionRef="sens-pt4">-72</sensitivity>
                     <sensitivity name="DEC03" definitionRef="sens-pt5">-70</sensitivity>
                     <sensitivity name="MAR04" definitionRef="sens-pt6">-68</sensitivity>
                     <sensitivity name="JUN04" definitionRef="sens-pt7">-66</sensitivity>
                     <sensitivity name="SEP04" definitionRef="sens-pt8">-64</sensitivity>
                     <sensitivity name="2Y" definitionRef="sens-pt9">-62</sensitivity>
                     <sensitivity name="3Y" definitionRef="sens-pt10">-60</sensitivity>
                     <sensitivity name="4Y" definitionRef="sens-pt11">-58</sensitivity>
                     <sensitivity name="5Y" definitionRef="sens-pt12">-56</sensitivity>
                     <sensitivity name="7Y" definitionRef="sens-pt13">-54</sensitivity>
                     <sensitivity name="10Y" definitionRef="sens-pt14">-52</sensitivity>
                     <sensitivity name="15Y" definitionRef="sens-pt15">-50</sensitivity>
                  </sensitivitySet>
               </quote>
               <quote>
                  <value>-123000</value>
                  <measureType>Cash</measureType>
               </quote>
            </assetValuation><!--results for trade #5-->
            <assetValuation>
               <objectReference href="tid-5"/><!--quote value and NPV-->
               <quote>
                  <value>-456000</value>
                  <measureType>NPV</measureType><!--Sensitivities for the NPV-->
                  <sensitivitySet>
                     <name>USD Curve Risk</name>
                     <definitionReference href="sensitivity1"/>
                     <sensitivity name="1D" definitionRef="sens-pt1">-11</sensitivity>
                     <sensitivity name="2D" definitionRef="sens-pt2">-12</sensitivity>
                     <sensitivity name="1M" definitionRef="sens-pt3">-13</sensitivity>
                     <sensitivity name="3M" definitionRef="sens-pt4">-14</sensitivity>
                     <sensitivity name="DEC03" definitionRef="sens-pt5">-15</sensitivity>
                     <sensitivity name="MAR04" definitionRef="sens-pt6">-16</sensitivity>
                     <sensitivity name="JUN04" definitionRef="sens-pt7">-17</sensitivity>
                     <sensitivity name="SEP04" definitionRef="sens-pt8">-18</sensitivity>
                     <sensitivity name="2Y" definitionRef="sens-pt9">-19</sensitivity>
                     <sensitivity name="3Y" definitionRef="sens-pt10">-20</sensitivity>
                     <sensitivity name="4Y" definitionRef="sens-pt11">-21</sensitivity>
                     <sensitivity name="5Y" definitionRef="sens-pt12">-22</sensitivity>
                     <sensitivity name="7Y" definitionRef="sens-pt13">-23</sensitivity>
                     <sensitivity name="10Y" definitionRef="sens-pt14">-24</sensitivity>
                     <sensitivity name="15Y" definitionRef="sens-pt15">-25</sensitivity>
                  </sensitivitySet>
               </quote>
               <quote>
                  <value>-456000</value>
                  <measureType>Cash</measureType>
               </quote>
            </assetValuation>
         </valuationSet>
      </tradeValuationItem>
   </portfolioValuationItem>
</FpML>