Factor Loadings Scheduled for October 4

Please be advised that factor loadings will occur this Thursday, October 4. Curves which qualify to be set up as primary curves should be submitted to the Risk Analytics group by Wednesday afternoon so that they can be processed during the factor loading process. In order for curves to qualify to be primary curves, the following conditions must be met:

(1) Must have been created 3 calendar months ago (approx. 60 business days).
(2) Should have preferably 60 forward months.
(3) should be frequently updated across the entire curve (preferably daily).

Risk Analytics Group
Keith Considine
Zakiyyah McClure
Burton McIntyre
Susan Trevino
Jennifer Velasco
Tom Victorio

Regards,
Susan Trevino
x3-1462