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<fxrevalrate1>421.303</fxrevalrate1>
<hedgevbudget>184.296</hedgevbudget>
<impliedVolatility>579.518</impliedVolatility>
<intPaymentIndicator>N</intPaymentIndicator>
<knockin>201.902</knockin>
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<netcashflwsNxtPmt>727.175</netcashflwsNxtPmt>
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<optiondescr>S</optiondescr>
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<pool>1</pool>
<premium>556.354</premium>
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<putCallFlag>CALL</putCallFlag>
<pAccrualMeth>DA97</pAccrualMeth>
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<rCouponType>F</rCouponType>
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<rDayConv>WO65</rDayConv>
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<tickSize>227.211</tickSize>
<underlyingCusip>UST</underlyingCusip>
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<underlyingTicker>U</underlyingTicker>
<underlyingCpnRt>574.806</underlyingCpnRt>
<adjustedFlag>N</adjustedFlag>
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<derivChar9>TICKER2</derivChar9>
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<derivChar19>TICKER4</derivChar19>
<derivChar20>REUTERS4</derivChar20>
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<derivDate3>2015-05-21</derivDate3>
<derivDate4>2015-05-21</derivDate4>
<derivDate5>2015-05-21</derivDate5>
<pmtAtIndicator>N</pmtAtIndicator>
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<premiumType>C</premiumType>
<pRollConvention>LM</pRollConvention>
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<rArrearsFlag>N</rArrearsFlag>
<rCalcMethod>R</rCalcMethod>
<rCompoundingInd>Y</rCompoundingInd>
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<underlyingSecid>U</underlyingSecid>
<clearedSecurity>N</clearedSecurity>
<calcMethod>UPFRONT</calcMethod>
<compoundAccrMethod>NPU</compoundAccrMethod>
<compoundIndicator>N</compoundIndicator>
<finalExchangeOfPrincipal>Y</finalExchangeOfPrincipal>
<initialExchangeOfPrincipal>A</initialExchangeOfPrincipal>
<swapType/>
<payRecIndicator>P</payRecIndicator>
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<legMultiplier>354.48</legMultiplier>
<nonLocalCurrency>PHP</nonLocalCurrency>
<resetRateType>S</resetRateType>
<rollConvention>F</rollConvention>
<swapFeePaid>C</swapFeePaid>
<swapSettleCurrency>DDM</swapSettleCurrency>
<notionalResetType>R</notionalResetType>
<accrualStartDate>2015-05-21</accrualStartDate>
<openPrice>857.19</openPrice>
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<tradeDate>2015-05-21</tradeDate>
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<expectedMaturity>2015-05-21</expectedMaturity>
<dfltThreshold>650.951</dfltThreshold>
<oblCategory>O</oblCategory>
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<putMandatory>PUT_M_T</putMandatory>
<knockinLow>321.438</knockinLow>
<knockinHigh>426.597</knockinHigh>
<maturityDate>2015-05-21</maturityDate>
<convertibleStartDate>2015-05-21</convertibleStartDate>
<convertibleUntilDate>2015-05-21</convertibleUntilDate>
<analystCode>C</analystCode>
<endAdjFlag>N</endAdjFlag>
<resetFreqDtl>6_M</resetFreqDtl>
<adrAdsGdrFlag>ADR</adrAdsGdrFlag>
<strikePrice>264.065</strikePrice>
<callIndicator>N</callIndicator>
<putIndicator>N</putIndicator>
<isStructuredAsset/>
<parAmount>227.897</parAmount>
<isFixed>N</isFixed>
<accountant>A</accountant>
<accountId>TS210</accountId>
<affliatedCompanyFlag>N</affliatedCompanyFlag>
<closedEndFundFlag>N</closedEndFundFlag>
<couponFractionalIndicator>N</couponFractionalIndicator>
<couponMonth>1</couponMonth>
<cusipChange>N</cusipChange>
<defPriceSource>DEF</defPriceSource>
<dummySwitch>N</dummySwitch>
<foreignSharesFlag>N</foreignSharesFlag>
<isissuercorrect>B</isissuercorrect>
<smIssuerId>ON</smIssuerId>
<issuerInd>TR826574A</issuerInd>
<smIssueAmount>293.234</smIssueAmount>
<issueId>TSR80A</issueId>
<legalStatusCode>ACTV</legalStatusCode>
<minorInd>N</minorInd>
<payCoupon>2</payCoupon>
<payPrinCurr>CAD</payPrinCurr>
<payVrrstadj>CG</payVrrstadj>
<payVrrstbase>VB</payVrrstbase>
<recCoupon>488.515</recCoupon>
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<recCouponTypeCode>FIXED</recCouponTypeCode>
<recPrinCurr>CAD</recPrinCurr>
<recVrrstbase>DO</recVrrstbase>
<recVrrstdadj>DI</recVrrstdadj>
<redemptionCurrency>USD</redemptionCurrency>
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<secRelatedCompanyFlag>N</secRelatedCompanyFlag>
<tier2Ind>4200</tier2Ind>
<userTag>971060</userTag>
<coaName>STAR</coaName>
<currencyEndDate>2015-05-21</currencyEndDate>
<currencyStartDate>2015-05-21</currencyStartDate>
<pficFlag>N</pficFlag>
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<altInvestmentType>PB</altInvestmentType>
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<altTier2Ind>8</altTier2Ind>
<completeddate>2015-05-21</completeddate>
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<recentPriceSource>EAGLE</recentPriceSource>
<recentYield>338.286</recentYield>
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<startdate>2015-05-21</startdate>
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<ttscreateuser>TT_USER</ttscreateuser>
<ttsupdateuser>TT_DATE</ttsupdateuser>
<updUser>IDOROSH</updUser>
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<crossown>999.229</crossown>
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<copyOfStmtToCustAddr>COPY STMT CUST</copyOfStmtToCustAddr>
<copyStmtSpecialAddr>30 Robbins Rd</copyStmtSpecialAddr>
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<restructured>Y</restructured>
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<FixedIncomeModel>
<stateCode>IN</stateCode>
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<issueDate>2015-05-21</issueDate>
<datedDate>2015-05-21</datedDate>
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<marketIssue>Y</marketIssue>
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<isMtn>N</isMtn>
<putTyp>7</putTyp>
<zeroCouponIndicator>N</zeroCouponIndicator>
<convertibleIndicator>N</convertibleIndicator>
<sinkFundIndicator>N</sinkFundIndicator>
<uSFederalTaxIndicator>N</uSFederalTaxIndicator>
<amtIndicator>N</amtIndicator>
<insuredIndicator>N</insuredIndicator>
<defaultIndicator>N</defaultIndicator>
<defaultDate>2015-05-21</defaultDate>
<ioPoIndicator>I</ioPoIndicator>
<eusdEligible>N</eusdEligible>
<financialInnovation>N</financialInnovation>
<govtBondIndicator>N</govtBondIndicator>
<timeSensitiveIndicator>N</timeSensitiveIndicator>
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<underwriter>DUMMY</underwriter>
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<prplFlag>N</prplFlag>
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<seasoned>N</seasoned>
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<advRefundedDate>2015-05-21</advRefundedDate>
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<attachedTreasury>FRS</attachedTreasury>
<basisInd>N</basisInd>
<bradyBond>BV</bradyBond>
<callPartial>N</callPartial>
<dtm>751.989</dtm>
<govtIdxRatio>320.656</govtIdxRatio>
<fiIncomeCurrency>USD</fiIncomeCurrency>
<insurer>TA</insurer>
<interestAccrualDate>2015-05-21</interestAccrualDate>
<matrixPricingCategory>3</matrixPricingCategory>
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<matYears>973.053</matYears>
<obligor>BIVANOV</obligor>
<onOffRun>24</onOffRun>
<outstandingAmount>132.71</outstandingAmount>
<principalCurrency>P</principalCurrency>
<principalType>U</principalType>
<redemptionCode>51</redemptionCode>
<redemptionFlag>N</redemptionFlag>
<fiSinkFreq>9</fiSinkFreq>
<spreadToTreasury>796.322</spreadToTreasury>
<taxStatusDescrip>D</taxStatusDescrip>
<variableRateAdj>630.128</variableRateAdj>
<varRateFreqCode>1_M</varRateFreqCode>
<varRateTypeCode>46</varRateTypeCode>
<floaterMultiple>238620</floaterMultiple>
<couponWeekOfMonth>774153</couponWeekOfMonth>
<rstBusinesDayConvention>A</rstBusinesDayConvention>
<resetInverseFlag>N</resetInverseFlag>
<resetLagBusinessDays>7</resetLagBusinessDays>
<resetLockoutBusinessDays>29</resetLockoutBusinessDays>
<resetLockoutDays>364987</resetLockoutDays>
<resetMarginMultFlag>N</resetMarginMultFlag>
<resetWeekOfMonth>896402</resetWeekOfMonth>
<proRataSink>D</proRataSink>
<lotteryBondFlag>N</lotteryBondFlag>
<wam2a7>D</wam2a7>
<marginSecurityAlias>245813</marginSecurityAlias>
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<undlSecAlInflLinkBond>678243</undlSecAlInflLinkBond>
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<maturityDelayDaysType>B</maturityDelayDaysType>
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<secondCouponDate>2015-05-21</secondCouponDate>
<secondCouponExDate>2015-05-21</secondCouponExDate>
<basicSpread>436.894</basicSpread>
<brady>S</brady>
<bullet>D</bullet>
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<calledDt>2015-05-21</calledDt>
<calledPartial>771059</calledPartial>
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<convertible>N</convertible>
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<sinkable>N</sinkable>
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<xoRedempFlag>N</xoRedempFlag>
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<cityOfTheUnderwriter>Seattle</cityOfTheUnderwriter>
<completelyCalled>S</completelyCalled>
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<guaranteedInvestContract>N5</guaranteedInvestContract>
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<muniRegistrar>AFASTOVICH</muniRegistrar>
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<sinkingFundExpired>N</sinkingFundExpired>
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<stateOfTheTrustee>MA</stateOfTheTrustee>
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<fixingDtBusinessCenter>FIXING_DT_BUSINESS_CENTER</fixingDtBusinessCenter>
<igFlag>N</igFlag>
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<indexResetTerm>976.347</indexResetTerm>
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<deal>35</deal>
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<cpnDelayDays>892100</cpnDelayDays>
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<restructIndicator>N</restructIndicator>
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<assetStatus>maintenance</assetStatus>
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<prvtPlace>YY</prvtPlace>
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<smSecType>CMPLX FLOAT</smSecType>
<wiFlag>Y</wiFlag>
<smSecurityType>CS</smSecurityType>
<naicCode>WN</naicCode>
<naicDate>2015-05-21</naicDate>
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<liquidity>N</liquidity>
<pricingCusip>PR CUSIP</pricingCusip>
<remicEligibleInd>N</remicEligibleInd>
<cdInstmtType>64</cdInstmtType>
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<assetBenchmark>undergoin</assetBenchmark>
<granularityCategory>AAA</granularityCategory>
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<blpYellowKey>49</blpYellowKey>
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<industrySubgroup>25301010</industrySubgroup>
<industrySubgroupNumber>25201010</industrySubgroupNumber>
<issuerIndustry>403010</issuerIndustry>
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<smdeNaicCode>CU</smdeNaicCode>
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<icbSupersector>40</icbSupersector>
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<baselIII>Tier 1</baselIII >
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<mbsChar1>M</mbsChar1>
<mbsChar2>M</mbsChar2>
<mbsChar3>M</mbsChar3>
<mbsChar4>M</mbsChar4>
<mbsChar5>M</mbsChar5>
<mbsChar6>M</mbsChar6>
<mbsChar7>M</mbsChar7>
<mbsChar8>M</mbsChar8>
<mbsChar9>M</mbsChar9>
<mbsChar10>M</mbsChar10>
<mbsDate1>2015-05-21</mbsDate1>
<mbsDate2>2015-05-21</mbsDate2>
<mbsDate3>2015-05-21</mbsDate3>
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<mbsDate5>2015-05-21</mbsDate5>
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<mbsDate7>2015-05-21</mbsDate7>
<mbsDate8>2015-05-21</mbsDate8>
<mbsDate9>2015-05-21</mbsDate9>
<mbsDate10>2015-05-21</mbsDate10>
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<genericFactor>502.216</genericFactor>
<issueBenchmark>853687</issueBenchmark>
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<mortgage1985TaxIndicator>Y</mortgage1985TaxIndicator>
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<mortgageCmoGroup>2008</mortgageCmoGroup>
<mortgCollateralAsOfDate>2015-05-21</mortgCollateralAsOfDate>
<mortgageComplianceCode>GB</mortgageComplianceCode>
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<mortgDealCallPercentage>250.786</mortgDealCallPercentage>
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<mortgageFinalPaymentDate>2015-05-21</mortgageFinalPaymentDate>
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<mortgageOidClassType>42</mortgageOidClassType>
<mortgOidDiscountStatus>undergoing</mortgOidDiscountStatus>
<mortgageOidRetailFlag>Y</mortgageOidRetailFlag>
<mortgOriginalPacCollars>WK</mortgOriginalPacCollars>
<mortgageOriginalWam>159.902</mortgageOriginalWam>
<mortgagePacCollars>N</mortgagePacCollars>
<mortgagePacUpdateDate>2015-05-21</mortgagePacUpdateDate>
<mortgagePreviousBalance>41</mortgagePreviousBalance>
<mortgPreviousFactorDate>20130301</mortgPreviousFactorDate>
<mortgagePricingSpeed>62</mortgagePricingSpeed>
<mortgagePricingSpeedDate>2015-05-21</mortgagePricingSpeedDate>
<mortgagePrincipalWindow>M</mortgagePrincipalWindow>
<mortgageRecordDate>2015-05-21</mortgageRecordDate>
<mortgageSmmeaStatus>undergoing</mortgageSmmeaStatus>
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<mtgEndPripalWndw4Matu>2015-05-21</mtgEndPripalWndw4Matu>
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<remicFlag>N</remicFlag>
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<primaryAssetId>T821A</primaryAssetId>
<primaryAssetType>SWAPID</primaryAssetType>
<issueName>SWTEST5206</issueName>
<unicodeIssueName>StrX</unicodeIssueName>
<issueDescription>StrX</issueDescription>
<ticker>TICKER_ID</ticker>
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<cusipPay/>
<cusipReceive/>
<isin>ISIN_ID</isin>
<sedol>SEDOL_ID</sedol>
<reuters/>
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<xId>TSTR826</xId>
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<xUpdateTimestamp>2015-05-21T03:08:56</xUpdateTimestamp>
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<reasonDescription>REASON DESCRIPTION</reasonDescription>
<underlyingChar1>UNDERLYING CHAR1</underlyingChar1>
<underlyingChar2>UNDERLYING CHAR2</underlyingChar2>
<underlyingChar3>UNDERLYING CHAR3</underlyingChar3>
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<beginDate>2015-05-21</beginDate>
<endDate>2015-05-21</endDate>
</UnderlyingModel-->
<!--ForwardModel>
<sellCurrency>KES</sellCurrency>
<buyCurrency>KES</buyCurrency>
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</ForwardModel>
<MultipleLegSwapModel>
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<CapsAndFloorsModel>
<rateResetFlag>Y</rateResetFlag>
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<IndexModel>
<essentialFlag>N</essentialFlag>
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<EarningsTimePeriodModel>
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<endDate>2015-05-21</endDate>
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<FloaterModel>
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<UnderlyingModel>
<primaryAssetId>T210A</primaryAssetId>
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</FloaterModel-->
<mtgLoanModel>
<dscrNext12>850.193</dscrNext12>
<dscrNext12Date>2015-05-21</dscrNext12Date>
<dscrTrail12>667.966</dscrTrail12>
<dscrTrail12Date>2015-05-21</dscrTrail12Date>
<lossGivenDefault>543.802</lossGivenDefault>
<loanToValue>120.651</loanToValue>
<strategy>Core</strategy>
</mtgLoanModel>
<realEstateModel>
<reAddressLine1>R1</reAddressLine1>
<reAddressLine2>R2</reAddressLine2>
<reCity>RC</reCity>
<impairedFlag>N</impairedFlag>
<netLeasableArea>12345</netLeasableArea>
<propertyType>PT</propertyType>
<reState>RS</reState>
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<numberOfUnits>654.149</numberOfUnits>
<unitOfMeasure>U</unitOfMeasure>
</realEstateModel>
</genericSMF>
</referenceTransaction>
</EagleML> | 