<?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">RESP003a</messageId>
      <inReplyTo messageIdScheme="http://www.abcdef.org/message-id">VAL003a</inReplyTo>
      <sentBy>BBBBBB</sentBy>
      <sendTo>ABCDEF</sendTo>
      <creationTimestamp>2004-06-14T12:47:50Z</creationTimestamp>
   </header>
   <party id="party1">
      <partyId>ABCDEF</partyId>
   </party>
   <portfolioValuationItem><!--Portfolio of trades -->
      <portfolio id="port1">
         <tradeId id="tid-1" tradeIdScheme="http://bbbbbb.com/tids">1234</tradeId>
         <tradeId id="tid-2" tradeIdScheme="http://bbbbbb.com/tids">2345</tradeId>
         <tradeId id="tid-3" tradeIdScheme="http://bbbbbb.com/tids">3456</tradeId>
         <tradeId id="tid-4" tradeIdScheme="http://bbbbbb.com/tids">4576</tradeId>
         <tradeId id="tid-5" tradeIdScheme="http://bbbbbb.com/tids">5678</tradeId>
      </portfolio>
      <tradeValuationItem><!--Valuation Set (report)-->
         <valuationSet id="val1">
            <valuationScenario id="valscen1">
               <name>EOD Valuation</name>
               <valuationDate>2004-05-01Z</valuationDate>
            </valuationScenario>
            <baseParty href="party1"/>
            <quotationCharacteristics>
               <side>Mid</side>
               <currency>USD</currency>
            </quotationCharacteristics><!--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>Interest Rate Delta Sensitivity in $/bp</name>
                     <sensitivity name="1D">111</sensitivity>
                     <sensitivity name="2D">112</sensitivity>
                     <sensitivity name="1M">113</sensitivity>
                     <sensitivity name="3M">114</sensitivity>
                     <sensitivity name="DEC03">115</sensitivity>
                     <sensitivity name="MAR04">116</sensitivity>
                     <sensitivity name="JUN04">117</sensitivity>
                     <sensitivity name="SEP04">118</sensitivity>
                     <sensitivity name="2Y">119</sensitivity>
                     <sensitivity name="3Y">120</sensitivity>
                     <sensitivity name="4Y">121</sensitivity>
                     <sensitivity name="5Y">122</sensitivity>
                     <sensitivity name="7Y">123</sensitivity>
                     <sensitivity name="10Y">124</sensitivity>
                     <sensitivity name="15Y">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>Interest Rate Delta Sensitivity in $/bp</name>
                     <sensitivity name="1D">211</sensitivity>
                     <sensitivity name="2D">212</sensitivity>
                     <sensitivity name="1M">213</sensitivity>
                     <sensitivity name="3M">214</sensitivity>
                     <sensitivity name="DEC03">215</sensitivity>
                     <sensitivity name="MAR04">216</sensitivity>
                     <sensitivity name="JUN04">217</sensitivity>
                     <sensitivity name="SEP04">218</sensitivity>
                     <sensitivity name="2Y">219</sensitivity>
                     <sensitivity name="3Y">220</sensitivity>
                     <sensitivity name="4Y">221</sensitivity>
                     <sensitivity name="5Y">222</sensitivity>
                     <sensitivity name="7Y">223</sensitivity>
                     <sensitivity name="10Y">224</sensitivity>
                     <sensitivity name="15Y">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>Interest Rate Delta Sensitivity in $/bp</name>
                     <sensitivity name="1D">11</sensitivity>
                     <sensitivity name="2D">12</sensitivity>
                     <sensitivity name="1M">13</sensitivity>
                     <sensitivity name="3M">14</sensitivity>
                     <sensitivity name="DEC03">15</sensitivity>
                     <sensitivity name="MAR04">16</sensitivity>
                     <sensitivity name="JUN04">17</sensitivity>
                     <sensitivity name="SEP04">18</sensitivity>
                     <sensitivity name="2Y">19</sensitivity>
                     <sensitivity name="3Y">20</sensitivity>
                     <sensitivity name="4Y">21</sensitivity>
                     <sensitivity name="5Y">22</sensitivity>
                     <sensitivity name="7Y">23</sensitivity>
                     <sensitivity name="10Y">24</sensitivity>
                     <sensitivity name="15Y">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>Interest Rate Delta Sensitivity in $/bp</name>
                     <sensitivity name="1D">-78</sensitivity>
                     <sensitivity name="2D">-76</sensitivity>
                     <sensitivity name="1M">-74</sensitivity>
                     <sensitivity name="3M">-72</sensitivity>
                     <sensitivity name="DEC03">-70</sensitivity>
                     <sensitivity name="MAR04">-68</sensitivity>
                     <sensitivity name="JUN04">-66</sensitivity>
                     <sensitivity name="SEP04">-64</sensitivity>
                     <sensitivity name="2Y">-62</sensitivity>
                     <sensitivity name="3Y">-60</sensitivity>
                     <sensitivity name="4Y">-58</sensitivity>
                     <sensitivity name="5Y">-56</sensitivity>
                     <sensitivity name="7Y">-54</sensitivity>
                     <sensitivity name="10Y">-52</sensitivity>
                     <sensitivity name="15Y">-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>Interest Rate Delta Sensitivity in $/bp</name>
                     <sensitivity name="1D">-11</sensitivity>
                     <sensitivity name="2D">-12</sensitivity>
                     <sensitivity name="1M">-13</sensitivity>
                     <sensitivity name="3M">-14</sensitivity>
                     <sensitivity name="DEC03">-15</sensitivity>
                     <sensitivity name="MAR04">-16</sensitivity>
                     <sensitivity name="JUN04">-17</sensitivity>
                     <sensitivity name="SEP04">-18</sensitivity>
                     <sensitivity name="2Y">-19</sensitivity>
                     <sensitivity name="3Y">-20</sensitivity>
                     <sensitivity name="4Y">-21</sensitivity>
                     <sensitivity name="5Y">-22</sensitivity>
                     <sensitivity name="7Y">-23</sensitivity>
                     <sensitivity name="10Y">-24</sensitivity>
                     <sensitivity name="15Y">-25</sensitivity>
                  </sensitivitySet>
               </quote>
               <quote>
                  <value>-456000</value>
                  <measureType>Cash</measureType>
               </quote>
            </assetValuation>
         </valuationSet>
      </tradeValuationItem>
   </portfolioValuationItem>
</FpML>