# DG300

#### Short Description

Options Futures and Other Derivatives 9th edition work sheet...

#### Description

DerivaGem - Version 3.00 For Excel 2000 and more recent versions of Excel

This is the Options Calculator Software that has been designed to accompany John Hull's book:

"Options, Futures and Other Derivatives" 9/E Important: Do not forget to enable Macros. If you are using Office 2007 you will have to click on the Options button and choose "Enable this content" © A-J Financial Systems, Inc., 2013

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Equity_FX_Indx_Fut_Opts_Calc

Underlying Type:

Time (Yrs)

Dividend

At each node: Upper value = Underlying Asset Price Lower value = Option Price Values in red are a result of early exercise.

Equity

Stock Price: Volatility (% per year): Risk-Free Rate (% per year):

50.00 40.00% 10.00%

Strike price = 50 Discount factor per step = 0.9917 Time step, dt = 0.0833 years, 30.42 days Growth factor per step, a = 1.0084 Probability of up move, p = 0.5073 Up step size, u = 1.1224 Down step size, d = 0.8909 62.98919 0.635984 56.12005 2.162519 50 50 4.488459 3.771142 44.54736 6.959743 39.68935 10.36129

Option Type: Imply Volatility

Binomial: American

Life (Years): Strike Price: Tree Steps:

0.4167 50.00 5

Put

Call

Results: Price: 4.48845853 Delta (per \$): -0.4145299 Gamma (per \$ per \$): 0.03414557 Vega (per %): 0.1312765 Theta (per day): -0.0117915 Rho (per %): -0.0840234

89.06561 0 79.35276 0 70.69912 0

70.69912 0 62.98919 0

56.12005 1.301666

56.12005 0 50 2.664116

44.54736 6.378043

44.54736 5.452637 39.68935 10.31065

35.36112 14.63888

35.36112 14.63888 31.50489 18.49511 28.0692 21.9308

Node Time: 0.0000

Page 3

0.0833

0.1667

0.2500

0.3333

0.4167

Equity_FX_Indx_Fut_Opts_Chart

Underlying Type:

Time (Yrs)

Equity

Dividend

Chart: Vertical (Y) Axis:

Progress: Time to Expiry 0.0100 0.0120 0.0141 0.0161 0.0182 0.0202 0.0223 0.0243 0.0263 0.0284 0.0304 0.0325 0.0345 0.0366 0.0386 0.0407 0.0427 0.0447 0.0468 0.0488 0.0509 0.0529 0.0550 0.0570 0.0590 0.0611 0.0631 0.0652 0.0672 0.0693 0.0713 0.0734 0.0754 0.0774 0.0795 0.0815 0.0836 0.0856 0.0877 0.0897 0.0917 0.0938 0.0958 0.0979 0.0999 0.1020 0.1040 0.1060 0.1081 0.1101 0.1122 0.1142 0.1163 0.1183 0.1204 0.1224 0.1244 0.1265 0.1285 0.1306 0.1326 0.1347 0.1367 0.1387 0.1408 0.1428 0.1449 0.1469 0.1490 0.1510 0.1530 0.1551 0.1571 0.1592 0.1612 0.1633 0.1653 0.1674 0.1694 0.1714 0.1735 0.1755 0.1776 0.1796 0.1817 0.1837 0.1857 0.1878 0.1898 0.1919 0.1939 0.1960 0.1980 0.2001 0.2021 0.2041 0.2062 0.2082 0.2103 0.2123 0.2144 0.2164 0.2184 0.2205 0.2225 0.2246 0.2266 0.2287 0.2307 0.2327 0.2348 0.2368 0.2389 0.2409 0.2430 0.2450 0.2471 0.2491 0.2511 0.2532 0.2552 0.2573 0.2593 0.2614 0.2634 0.2654 0.2675 0.2695 0.2716 0.2736 0.2757 0.2777 0.2797 0.2818 0.2838 0.2859 0.2879 0.2900 0.2920 0.2941 0.2961 0.2981 0.3002 0.3022 0.3043 0.3063 0.3084 0.3104 0.3124 0.3145 0.3165 0.3186 0.3206 0.3227 0.3247 0.3268 0.3288 0.3308 0.3329 0.3349 0.3370 0.3390 0.3411 0.3431 0.3451 0.3472 0.3492 0.3513 0.3533 0.3554 0.3574 0.3594 0.3615 0.3635 0.3656 0.3676 0.3697 0.3717 0.3738 0.3758 0.3778 0.3799 0.3819 0.3840 0.3860 0.3881 0.3901 0.3921 0.3942 0.3962 0.3983 0.4003 0.4024 0.4044 0.4064 0.4085 0.4105 0.4126 0.4146 0.4167

Option price Life (Years) Binomial:Put American Call

Stock Price: Volatility (% per year): Risk-Free Rate (% per year):

50.00 40.00% 10.00%

Horizontal (X) Axis:

Minimum X value: 0.01 Maximum X value: 0.4166666667 Number of X Values: 200

Option Type:

0.4167 50.00 5

Life (Years): Strike Price: Tree Steps:

5.0000

Option Price

4.5000 4.0000 3.5000 3.0000 2.5000 2.0000 1.5000 1.0000 0.5000 0.0000 0.0100

0.0600

0.1100

0.1600

0.2100

Time to Expiry

0.2600

0.3100

0.3600

0.4100

100.00% Option Price 0.8176 0.8950 0.9657 1.0311 1.0922 1.1498 1.2042 1.2560 1.3055 1.3530 1.3986 1.4425 1.4850 1.5260 1.5659 1.6045 1.6421 1.6787 1.7143 1.7491 1.7831 1.8163 1.8488 1.8806 1.9118 1.9423 1.9723 2.0017 2.0305 2.0589 2.0868 2.1142 2.1412 2.1677 2.1939 2.2196 2.2450 2.2700 2.2947 2.3190 2.3430 2.3666 2.3900 2.4131 2.4358 2.4583 2.4806 2.5025 2.5242 2.5457 2.5669 2.5879 2.6086 2.6292 2.6495 2.6696 2.6895 2.7092 2.7287 2.7480 2.7671 2.7860 2.8048 2.8234 2.8418 2.8600 2.8781 2.8960 2.9138 2.9314 2.9489 2.9662 2.9833 3.0003 3.0172 3.0340 3.0506 3.0671 3.0834 3.0996 3.1157 3.1317 3.1476 3.1633 3.1789 3.1944 3.2098 3.2251 3.2403 3.2553 3.2703 3.2852 3.2999 3.3146 3.3291 3.3436 3.3579 3.3722 3.3864 3.4005 3.4144 3.4283 3.4422 3.4559 3.4695 3.4831 3.4966 3.5099 3.5232 3.5365 3.5496 3.5627 3.5757 3.5886 3.6014 3.6142 3.6269 3.6395 3.6521 3.6646 3.6770 3.6893 3.7016 3.7138 3.7259 3.7380 3.7500 3.7620 3.7738 3.7856 3.7974 3.8091 3.8207 3.8323 3.8438 3.8553 3.8667 3.8780 3.8893 3.9005 3.9117 3.9228 3.9339 3.9449 3.9558 3.9667 3.9776 3.9883 3.9991 4.0098 4.0204 4.0310 4.0416 4.0520 4.0625 4.0729 4.0832 4.0935 4.1038 4.1140 4.1242 4.1343 4.1443 4.1544 4.1644 4.1743 4.1842 4.1940 4.2038 4.2136 4.2233 4.2330 4.2427 4.2523 4.2618 4.2713 4.2808 4.2902 4.2996 4.3090 4.3183 4.3276 4.3369 4.3461 4.3552 4.3644 4.3735 4.3825 4.3915 4.4005 4.4095 4.4184 4.4273 4.4361 4.4449 4.4537 4.4624 4.4711 4.4798 4.4885

Page 4

Alternative_Models

Underlying Type:

Chart: Vertical (Y) Axis:

Equity

European Option: Life (Years): Strike Price:

47.00 2.00% 0.00%

1.0000 60.00

Model Type:

CEV Vol. Parameter Alpha:

Implied Volatility Life (Years)

Horizontal (X) Axis:

Stock Price: Risk-Free Rate (% per year): Dividend Yield (% per yer):

Put Call

Minimum X value: Maximum X value: Number of X Values:

48 72 200

2.000 0.800

24.8907379 -0.4541398 0.00881855 0.08315609 -0.0203574 -0.4424588

Implied Volatility

0.9300

Results: Price: Delta (per \$): Gamma (per \$ per \$): Vega (per %): Theta (per day): Rho (per %):

Progress: 100.00% Strike Price Implied Volatility 48.0000 0.9251 48.1206 0.9249 48.2412 0.9246 48.3618 0.9244 48.4824 0.9242 48.6030 0.9239 48.7236 0.9237 48.8442 0.9235 48.9648 0.9232 49.0854 0.9230 49.2060 0.9228 49.3266 0.9226 49.4472 0.9223 49.5678 0.9221 49.6884 0.9219 49.8090 0.9217 49.9296 0.9214 50.0503 0.9212 50.1709 0.9210 50.2915 0.9208 50.4121 0.9206 50.5327 0.9203 50.6533 0.9201 50.7739 0.9199 50.8945 0.9197 51.0151 0.9195 51.1357 0.9192 51.2563 0.9190 51.3769 0.9188 51.4975 0.9186 51.6181 0.9184 51.7387 0.9182 51.8593 0.9179 51.9799 0.9177 52.1005 0.9175 52.2211 0.9173 63.0000 58.0000 52.3417 Strike Price 0.9171 52.4623 0.9169 52.5829 0.9167 52.7035 0.9165 52.8241 0.9162 52.9447 0.9160 53.0653 0.9158 53.1859 0.9156 53.3065 0.9154 53.4271 0.9152 53.5477 0.9150 53.6683 0.9148 53.7889 0.9146 53.9095 0.9144 54.0302 0.9142 54.1508 0.9140 54.2714 0.9138 54.3920 0.9135 54.5126 0.9133 54.6332 0.9131 54.7538 0.9129 54.8744 0.9127 54.9950 0.9125 55.1156 0.9123 55.2362 0.9121 55.3568 0.9119 55.4774 0.9117 55.5980 0.9115 55.7186 0.9113 55.8392 0.9111 55.9598 0.9109 56.0804 0.9107 56.2010 0.9105 56.3216 0.9103 56.4422 0.9101 56.5628 0.9100 56.6834 0.9098 56.8040 0.9096 56.9246 0.9094 57.0452 0.9092 57.1658 0.9090 57.2864 0.9088 57.4070 0.9086 57.5276 0.9084 57.6482 0.9082 57.7688 0.9080 57.8894 0.9078 58.0101 0.9076 58.1307 0.9074 58.2513 0.9073 58.3719 0.9071 58.4925 0.9069 58.6131 0.9067 58.7337 0.9065 58.8543 0.9063 58.9749 0.9061 59.0955 0.9059 59.2161 0.9058 59.3367 0.9056 59.4573 0.9054 59.5779 0.9052 59.6985 0.9050 59.8191 0.9048 59.9397 0.9046 60.0603 0.9045 60.1809 0.9043 60.3015 0.9041 60.4221 0.9039 60.5427 0.9037 60.6633 0.9036 60.7839 0.9034 60.9045 0.9032 61.0251 0.9030 61.1457 0.9028 61.2663 0.9026 61.3869 0.9025 61.5075 0.9023 61.6281 0.9021 61.7487 0.9019 61.8693 0.9018 61.9899 0.9016 62.1106 0.9014 62.2312 0.9012 62.3518 0.9010 62.4724 0.9009 62.5930 0.9007 62.7136 0.9005 62.8342 0.9003 62.9548 0.9002 63.0754 0.9000 63.1960 0.8998 63.3166 0.8996 63.4372 0.8995 63.5578 0.8993 63.6784 0.8991 63.7990 0.8990 63.9196 0.8988 64.0402 0.8986 64.1608 0.8984 64.2814 0.8983 64.4020 0.8981 64.5226 0.8979 64.6432 0.8978 64.7638 0.8976 64.8844 0.8974 65.0050 0.8973 65.1256 0.8971 65.2462 0.8969 65.3668 0.8968 65.4874 0.8966 65.6080 0.8964 65.7286 0.8963 65.8492 0.8961 65.9698 0.8959 66.0905 0.8958 66.2111 0.8956 66.3317 0.8954 66.4523 0.8953 66.5729 0.8951 66.6935 0.8949 66.8141 0.8948 66.9347 0.8946 67.0553 0.8944 67.1759 0.8943 67.2965 0.8941 67.4171 0.8940 67.5377 0.8938 67.6583 0.8936 67.7789 0.8935 67.8995 0.8933 68.0201 0.8931 68.1407 0.8930 68.2613 0.8928 68.3819 0.8927 68.5025 0.8925 68.6231 0.8923 68.7437 0.8922 68.8643 0.8920 68.9849 0.8919 69.1055 0.8917 69.2261 0.8916 69.3467 0.8914 69.4673 0.8912 69.5879 0.8911 69.7085 0.8909 69.8291 0.8908 69.9497 0.8906 70.0704 0.8905 70.1910 0.8903 70.3116 0.8901 70.4322 0.8900 70.5528 0.8898 70.6734 0.8897 70.7940 0.8895 70.9146 0.8894 71.0352 0.8892 71.1558 0.8891 71.2764 0.8889 71.3970 0.8888 71.5176 0.8886 71.6382 0.8885 71.7588 0.8883 71.8794 0.8882 72.0000 0.8880

0.9200

0.9100

0.9000

0.8900

0.8800

0.8700

0.8600 48.0000

53.0000

68.0000

Page 5

Monte_Carlo

Underlying Type:

Option Type:

European Put Call Variance Gamma Do Antithetic 200 10 0

Life (Years): Strike Price:

1.0000 100.00

Stock Price

100.00 5.00%

Simulation Data: Number of Time Steps: Number of Simulations: Random Seed:

Futures Price: Risk-Free Rate (% per year):

First Two Simulation Trials

140.000

Futures

120.000

100.000

80.000

Model Type:

60.000

Volatility (% per year): Variance Rate (%): Theta:

40.000

20.000

Price: Standard Error:

12.2287182 3.78029192

0.000 0.000

0.100

0.200

0.300

0.400

Time

0.500

0.600

0.700

0.800

0.900

1.000

Results Based on First 10 Simulation Paths Price: 12.228718 Standard Error: 3.7802919

Avg. Value of Antithetic Pairs: Path Value: Time 0.000 0.005 0.010 0.015 0.020 0.025 0.030 0.035 0.040 0.045 0.050 0.055 0.060 0.065 0.070 0.075 0.080 0.085 0.090 0.095 0.100 0.105 0.110 0.115 0.120 0.125 0.130 0.135 0.140 0.145 0.150 0.155 0.160 0.165 0.170 0.175 0.180 0.185 0.190 0.195 0.200 0.205 0.210 0.215 0.220 0.225 0.230 0.235 0.240 0.245 0.250 0.255 0.260 0.265 0.270 0.275 0.280 0.285 0.290 0.295 0.300 0.305 0.310 0.315 0.320 0.325 0.330 0.335 0.340 0.345 0.350 0.355 0.360 0.365 0.370 0.375 0.380 0.385 0.390 0.395 0.400 0.405 0.410 0.415 0.420 0.425 0.430 0.435 0.440 0.445 0.450 0.455 0.460 0.465 0.470 0.475 0.480 0.485 0.490 0.495 0.500 0.505 0.510 0.515 0.520 0.525 0.530 0.535 0.540 0.545 0.550 0.555 0.560 0.565 0.570 0.575 0.580 0.585 0.590 0.595 0.600 0.605 0.610 0.615 0.620 0.625 0.630 0.635 0.640 0.645 0.650 0.655 0.660 0.665 0.670 0.675 0.680 0.685 0.690 0.695 0.700 0.705 0.710 0.715 0.720 0.725 0.730 0.735 0.740 0.745 0.750 0.755 0.760 0.765 0.770 0.775 0.780 0.785 0.790 0.795 0.800 0.805 0.810 0.815 0.820 0.825 0.830 0.835 0.840 0.845 0.850 0.855 0.860 0.865 0.870 0.875 0.880 0.885 0.890 0.895 0.900 0.905 0.910 0.915 0.920 0.925 0.930 0.935 0.940 0.945 0.950 0.955 0.960 0.965 0.970 0.975 0.980 0.985 0.990 0.995 1.000

0.000 0.000

0.000

Simulated Prices: 100.000 100.000 101.907 98.469 103.190 97.566 103.562 97.569 104.336 97.196 103.806 98.035 106.559 95.702 111.350 91.406 111.930 91.263 114.512 89.486 119.614 85.500 124.051 82.548 118.026 86.463 116.414 87.960 111.973 91.347 110.934 92.507 112.549 91.487 112.238 92.073 112.851 91.906 115.680 89.838 117.048 89.080 115.797 90.345 112.044 93.605 111.271 94.560 108.624 97.067 110.808 95.485 108.502 97.759 102.064 102.701 102.655 102.481 104.594 100.929 106.036 99.890 103.539 102.510 98.767 107.267 98.018 108.438 96.729 110.258 100.313 106.465 101.736 105.328 100.933 106.513 103.116 104.622 104.933 103.165 107.022 101.502 104.098 104.592 105.540 103.508 105.102 104.314 105.360 104.438 105.724 104.459 108.222 102.319 110.444 100.610 110.708 100.737 109.312 102.370 106.978 104.839 110.592 101.659 110.031 102.536 108.799 104.046 107.695 105.463 110.632 102.882 110.851 103.054 111.872 102.457 112.780 101.999 111.745 103.284 109.247 105.857 109.039 106.445 107.900 107.928 104.924 111.245 106.895 109.571 104.774 112.121 108.071 108.953 105.892 111.508 106.754 111.007 104.811 113.462 117.171 81.209 118.302 80.696 118.666 80.741 118.646 81.050 116.281 82.940 115.040 84.115 109.722 88.032 110.791 87.466 108.501 89.542 105.906 91.928 107.156 91.154 105.798 92.638 105.340 93.377 104.331 94.593 105.042 94.293 104.022 95.535 104.843 95.129 103.462 96.728 102.635 97.826 106.558 94.166 109.574 91.773 106.205 94.917 110.376 91.112 110.998 90.930 112.973 89.648 111.037 91.530 110.105 92.607 105.258 96.677 107.204 95.249 105.638 96.995 107.334 95.787 105.505 97.788 102.370 101.025 100.269 103.414 101.482 102.514 102.755 101.579 103.048 101.660 104.302 100.768 109.533 94.929 112.535 92.594 113.846 91.828 116.856 89.649 113.597 92.434 111.629 94.393 111.373 94.954 107.784 98.361 109.390 97.244 110.450 96.625 111.534 95.995 107.010 99.819 107.421 99.800 107.708 99.897 104.774 102.928 103.977 104.056 103.613 104.799 103.574 105.220 105.237 103.910 109.262 100.014 110.119 99.594 111.821 98.410 100.457 103.633 98.658 105.892 98.656 106.281 99.796 105.411 101.405 104.091 103.851 101.869 101.617 104.335 102.050 104.271 105.482 101.122 106.096 100.903 108.137 99.341 108.314 99.541 102.898 104.303 103.180 104.397 104.666 103.261 107.147 101.131 106.871 101.761 105.202 103.734 103.041 106.188 103.609 105.991 100.132 109.883 101.932 108.314 93.969 113.946 91.504 117.276 91.471 117.746 89.203 120.999 91.998 117.596 91.602 118.530 94.230 115.478 97.007 112.424 97.273 112.526 90.988 118.276 92.857 116.299 89.280 120.794 87.904 123.110 90.297 120.102 90.912 119.722 89.518 122.006 91.831 119.177 93.939 116.880 94.178 117.009 82.219 123.356 84.065 121.071 85.821 119.007 88.289 115.935 89.050 115.348 88.696 116.227 93.049 109.922 93.374 109.937 95.322 108.067 94.546 109.311 93.982 110.333 94.266 110.402 97.709 106.753 98.894 105.822 99.245 105.832 96.340 109.282 96.374 109.643 98.704 107.290 99.639 106.635 102.187 104.188 102.614 104.133 106.806 99.820 108.246 98.820 106.915 100.390 109.559 98.162 109.214 98.829 105.924 102.145 104.940 103.445 107.372 101.410 108.874 100.346

23.555 0.000 47.111

100.000 103.547 100.743 101.584 102.250 102.072 104.822 106.246 106.148 107.445 108.061 107.407 106.216 105.614 108.257 108.885 107.509 105.871 103.818 104.610 104.955 104.730 105.969 107.026 108.574 107.542 106.878 107.747 109.315 108.399 108.424 106.812 108.294 106.799 103.968 103.357 102.926 103.743 101.675 102.387 102.858 102.637 102.322 98.004 99.791 97.516 101.069 100.956 100.889 103.170 105.008 105.283 103.039 103.943 105.569 105.551 89.467 89.554 90.560 93.113 93.499 90.645 92.215 93.929 95.138 91.079 89.259 92.240 88.295 87.788 92.286 92.117 91.580 89.945 89.069 89.806 89.448 90.457 91.505 97.132 99.211 97.652 98.695 99.896 100.144 105.262 107.576 111.406 109.142 109.310 111.493 118.539 122.631 123.981 125.660 123.324 123.384 128.188 130.824 128.258 126.950 130.317 129.429 130.570 128.178 129.214 131.832 99.208 103.646 100.586 97.574 98.390 99.133 95.953 95.593 109.266 108.721 109.899 114.964 114.847 114.782 123.519 121.930 125.313 126.461 124.488 123.563 126.880 125.990 127.292 127.772 122.216 127.604 125.927 124.652 125.395 123.895 123.111 122.591 119.135 117.599 118.302 116.438 118.255 115.268 110.045 110.357 109.871 110.298 112.663 110.933 110.694 108.568 109.691 110.622 110.331 110.251 114.027 115.757 114.128 114.890 117.193 121.137 120.826 123.466 125.192 128.550 130.199 134.852 130.756 132.011 134.955 130.168 128.616 124.950 126.878 128.180 130.470 131.023 133.275 135.757 136.662 137.730 136.074 136.983 133.299 132.744 133.277 130.673 135.015 138.470 140.515 140.558 132.568 132.576 130.601 131.736 130.874 126.785 126.060 125.782

100.000 96.816 99.737 99.263 98.974 99.508 97.102 96.120 96.559 95.708 95.507 96.408 97.817 98.709 96.492 96.284 97.848 99.705 102.001 101.595 101.630 102.219 101.355 100.677 99.576 100.865 101.826 101.369 100.251 101.430 101.776 103.669 102.592 104.385 107.468 108.466 109.314 108.844 111.383 111.008 110.903 111.546 112.294 116.987 115.287 118.216 114.339 114.883 115.378 113.224 111.625 111.739 114.432 113.831 112.457 112.886 119.587 119.906 118.962 115.952 115.894 119.835 118.197 116.442 115.344 120.226 123.033 119.344 124.412 125.553 117.219 117.861 118.951 121.538 123.140 122.568 123.503 122.525 121.518 101.617 99.836 101.781 101.033 100.146 100.263 93.782 92.086 89.143 91.241 91.434 89.955 74.345 72.041 71.489 70.769 72.363 72.592 69.741 68.574 70.161 71.121 69.427 70.129 69.757 71.308 70.992 69.825 75.526 72.151 74.524 77.010 76.643 76.344 79.071 79.656 55.632 56.108 55.687 53.135 53.383 53.607 41.063 41.739 40.700 40.467 41.251 41.694 40.690 41.110 40.821 40.816 42.583 40.704 41.387 41.950 41.853 42.503 42.913 43.251 44.609 45.346 45.240 46.124 45.569 46.851 48.982 49.022 49.416 49.404 48.537 49.464 49.751 50.891 50.533 50.285 50.601 50.822 49.259 48.687 49.552 49.401 48.599 47.131 47.423 46.572 46.084 44.974 44.552 43.122 44.581 44.303 43.488 45.117 45.816 47.271 46.710 46.385 45.728 45.701 45.082 44.411 44.277 44.092 44.780 44.645 45.982 46.341 46.324 47.394 45.980 44.925 44.420 44.568 46.789 46.957 47.832 47.585 48.053 49.725 50.180 50.474

10.687 21.373

100.000 100.680 92.228 91.029 84.721 84.235 81.605 79.345 79.226 76.847 75.463 76.085 76.147 75.927 80.417 79.248 80.359 71.911 72.943 72.820 73.992 72.464 72.311 75.685 76.831 77.661 78.844 78.584 75.186 78.370 78.247 80.463 79.268 79.757 81.509 79.243 78.097 79.164 80.698 81.580 83.376 80.961 81.279 81.378 80.341 79.287 79.025 79.930 79.485 81.101 83.506 83.288 83.973 80.743 85.065 84.693 85.434 81.052 82.829 80.948 83.188 83.308 82.937 86.168 86.978 86.688 88.035 89.855 88.298 88.601 86.902 87.696 86.736 85.991 90.115 93.045 95.123 92.549 90.111 89.388 91.256 91.056 90.598 93.372 93.863 95.183 96.439 93.856 92.303 90.026 91.248 91.746 90.881 92.764 93.346 94.344 97.064 94.414 92.332 93.124 93.528 93.131 91.227 93.139 87.847 89.750 92.632 90.631 92.574 92.742 87.562 82.365 80.553 83.656 84.215 82.258 81.012 81.877 81.775 84.607 85.340 66.978 68.254 70.921 63.309 63.097 65.304 66.518 64.839 65.780 65.879 67.566 70.098 71.640 72.398 75.174 73.632 74.101 75.287 75.447 77.633 80.862 77.229 77.378 77.837 77.508 80.173 80.044 79.062 78.927 77.241 77.824 74.250 75.156 75.093 75.610 76.278 78.169 77.509 75.014 75.232 74.188 72.724 74.186 71.211 70.643 70.997 72.801 74.782 75.650 77.626 76.548 77.605 73.607 70.873 71.262 70.192 71.565 72.983 70.653 70.144 70.570 71.676 74.273 74.737 73.389 71.660 72.941 74.527 75.372 76.381 75.804 74.642 75.928 76.378 77.400 77.571 77.620 79.106 78.325 77.531

0.000

100.000 99.685 104.895 106.640 112.128 113.155 117.090 120.703 121.325 125.382 128.129 127.539 127.898 128.735 109.267 111.262 110.091 115.952 114.696 115.307 113.866 116.568 117.240 111.810 110.513 109.688 108.408 109.160 113.856 108.997 109.565 106.781 108.765 108.490 106.530 109.829 111.825 110.686 108.958 108.131 106.173 109.599 109.567 109.834 111.630 113.501 114.290 113.365 114.389 112.501 109.506 110.191 109.684 113.921 101.240 102.051 101.517 106.412 104.495 107.138 104.478 104.708 105.556 101.403 100.793 101.496 100.282 98.594 100.682 100.705 103.010 102.424 103.906 105.150 99.852 96.936 95.151 98.020 100.897 102.046 100.305 100.891 101.757 98.961 98.802 97.757 96.805 99.694 101.724 104.520 103.464 103.277 104.606 102.839 102.569 101.814 99.179 102.196 104.707 104.182 104.110 104.931 107.408 105.571 110.831 108.861 105.723 108.287 106.385 106.580 111.861 117.516 120.398 115.796 115.445 118.434 120.671 119.785 120.370 116.628 116.031 124.020 122.123 117.285 123.541 124.405 120.498 118.707 122.046 120.705 120.962 118.182 113.990 111.927 111.115 106.921 109.450 109.152 107.797 107.962 105.154 100.733 105.268 105.449 105.208 106.037 102.763 103.303 104.942 105.503 108.048 107.627 112.599 111.608 112.109 111.746 111.150 108.678 109.963 113.905 113.989 115.991 118.683 116.749 121.336 122.711 122.545 119.750 116.825 115.863 113.147 115.134 113.945 119.447 123.999 123.772 126.092 124.102 122.115 126.456 127.787 127.477 125.936 121.839 121.522 124.188 127.447 125.639 123.397 122.413 121.197 122.517 124.856 123.161 122.881 121.662 121.837 122.203 120.323 121.927 123.588

12.308 0.000 24.616

100.000 101.190 101.017 101.622 103.491 104.833 104.941 100.648 101.920 101.826 103.643 102.097 99.773 100.001 100.797 103.612 102.348 102.270 103.884 104.831 111.678 81.399 79.387 78.515 79.485 78.740 78.583 77.363 72.711 73.190 72.820 70.643 69.306 71.149 71.636 73.034 71.629 69.939 70.423 71.112 71.381 72.093 69.775 72.069 70.756 70.810 70.510 70.304 70.674 70.399 70.013 70.306 67.495 69.597 68.822 68.697 69.076 69.439 67.855 67.748 67.932 68.510 67.272 68.748 70.697 72.108 72.943 73.879 74.510 73.915 75.987 74.925 74.355 74.174 73.787 72.545 70.935 71.809 72.117 72.227 73.803 69.974 69.394 68.363 66.888 68.036 67.179 69.372 70.192 71.877 73.070 74.843 74.797 75.283 75.443 77.934 77.178 76.615 76.552 76.476 74.749 75.714 76.352 76.513 77.203 78.200 78.158 77.178 74.710 74.887 74.381 75.783 76.160 75.061 74.713 76.613 76.085 79.084 78.505 78.055 78.320 75.783 59.223 59.678 61.296 63.077 63.617 60.778 65.065 64.983 65.983 64.970 66.210 66.708 64.844 62.837 65.123 64.653 62.798 61.972 65.100 64.775 62.917 64.902 64.339 66.812 66.194 66.582 67.359 69.752 71.226 71.234 72.043 70.347 71.380 73.306 74.766 77.363 79.053 80.895 80.936 85.742 84.631 82.988 83.330 83.415 84.066 84.789 86.484 85.617 82.912 82.235 84.964 86.089 83.040 83.371 84.203 81.362 83.984 84.304 82.371 79.766 82.558 84.792 85.493 89.031 89.953 91.784 90.459 88.035 87.504 91.601 90.504 93.299 95.563 95.420 95.468 97.074 96.798 98.762 100.251

100.000 99.148 99.680 99.446 97.987 97.054 97.308 101.224 100.292 100.750 99.324 101.177 103.743 103.884 103.435 100.843 102.435 102.886 101.632 101.055 82.158 90.341 92.829 94.175 93.333 94.529 95.062 96.896 101.814 101.516 102.390 105.799 108.206 105.624 105.286 103.629 106.006 108.792 108.436 107.733 107.718 106.998 110.829 107.559 109.939 110.255 111.125 111.854 111.674 112.516 113.524 113.462 117.912 114.614 116.295 116.930 116.711 116.524 119.486 120.111 120.222 119.628 122.257 120.052 116.997 115.106 114.162 113.088 112.527 113.803 110.940 112.898 114.133 114.829 115.832 118.226 121.150 120.070 119.992 120.247 118.092 123.806 125.250 127.578 130.670 128.906 130.995 127.156 126.084 123.415 121.815 119.182 119.689 119.348 119.530 115.987 117.512 118.760 119.291 119.844 122.859 121.695 121.108 121.294 120.619 119.477 119.977 121.914 126.257 126.417 127.688 125.759 125.592 127.869 128.925 125.984 127.267 122.150 123.452 124.582 124.614 129.110 138.046 137.490 134.143 130.644 129.991 135.797 105.489 106.007 104.753 106.755 105.119 104.711 107.971 111.693 108.046 109.183 112.673 114.565 107.794 108.716 112.189 109.012 110.329 106.137 107.483 107.244 106.355 102.963 101.185 101.542 100.730 103.372 102.219 99.743 98.136 95.076 93.369 91.512 91.799 77.801 79.091 80.912 80.874 81.087 80.749 80.342 79.041 80.108 82.927 83.884 81.384 80.588 83.605 83.577 83.018 86.073 83.582 83.569 85.704 88.723 85.935 83.848 83.459 79.965 79.401 78.088 79.505 81.879 82.649 78.807 80.032 77.814 76.131 76.522 76.763 75.751 76.243 74.987 74.122

14.594 0.000

100.000 103.259 104.647 101.559 103.914 100.468 97.501 101.084 102.861 101.650 103.263 103.173 105.970 104.304 105.044 103.588 102.917 102.671 104.115 101.972 116.963 113.001 109.232 110.263 108.877 113.094 116.199 115.581 116.672 119.347 124.969 122.919 120.688 123.767 124.423 122.842 122.360 121.904 118.976 118.006 116.500 111.180 112.602 112.928 113.743 116.085 113.934 111.259 112.164 114.061 112.335 115.022 117.104 118.524 114.731 109.170 111.415 109.265 111.194 111.111 108.151 110.745 111.575 109.279 108.322 111.246 114.867 115.634 112.089 113.943 117.417 122.893 120.407 119.056 122.957 130.488 133.185 138.212 142.383 143.914 141.821 140.030 135.118 134.909 135.868 137.591 141.368 143.078 147.935 148.504 146.298 143.861 144.229 142.954 148.232 146.270 146.796 144.500 143.857 144.839 147.782 151.619 152.106 156.693 160.728 159.406 153.668 153.144 152.341 152.172 156.753 160.442 161.921 159.920 163.842 163.971 163.445 167.809 169.264 170.700 163.523 162.170 168.970 165.499 168.313 161.532 157.789 158.326 155.805 153.115 154.754 158.033 157.758 158.464 155.610 151.565 154.277 154.079 157.097 155.341 153.086 148.468 147.263 149.387 146.924 140.654 138.839 139.094 135.336 108.162 108.248 111.473 112.087 114.690 115.525 118.358 120.115 122.556 121.806 103.729 105.774 102.480 101.925 103.770 107.311 107.987 103.123 104.434 103.112 106.457 108.251 106.130 104.969 105.969 105.401 104.340 103.746 106.288 110.333 105.214 106.002 108.994 109.816 110.090 113.630 112.661 115.003 117.457 116.470 115.639 117.735 119.570 120.709 117.959 115.881 122.339 119.616 121.608 119.678 120.717 123.126

29.188

100.000 97.075 96.106 99.265 97.310 100.868 104.186 100.682 99.283 100.806 99.568 100.018 97.584 99.487 99.144 100.882 101.869 102.484 101.401 103.803 72.218 74.879 77.623 77.152 78.400 75.361 73.504 74.153 73.704 72.286 68.854 70.246 71.795 70.151 70.035 71.178 71.717 72.246 74.179 75.034 76.263 79.763 79.017 79.076 78.794 77.473 79.213 81.286 80.920 79.846 81.354 79.646 78.499 77.814 80.588 84.407 82.994 84.901 83.714 84.082 86.577 84.750 84.423 86.423 87.474 85.355 82.860 82.609 85.430 84.326 82.019 78.222 80.059 81.240 78.850 66.046 64.934 62.584 60.889 60.437 61.540 62.540 64.873 65.210 64.984 64.383 62.797 62.250 60.353 60.341 61.462 62.722 62.790 63.559 61.393 62.429 62.433 63.644 64.160 63.955 62.900 61.435 61.461 59.797 58.416 59.093 61.319 61.751 62.293 62.589 60.898 59.661 59.315 60.261 58.935 59.103 59.508 58.082 57.784 57.501 59.893 60.591 58.026 59.399 58.606 60.921 62.494 62.510 63.741 65.088 64.608 63.489 63.830 63.777 65.175 67.062 66.110 66.436 65.386 66.347 67.557 69.827 70.628 69.858 71.277 74.295 75.523 75.659 77.937 83.175 83.411 81.181 81.030 79.429 79.140 77.398 76.523 75.260 75.974 80.425 79.144 81.890 82.619 81.429 78.935 78.726 82.281 81.516 82.843 80.430 79.368 81.204 82.377 81.869 82.594 83.713 84.477 82.619 79.563 83.284 82.963 80.862 80.547 80.639 78.312 79.245 77.902 76.541 77.443 78.252 77.124 76.198 75.728 77.650 79.319 68.667 70.371 69.454 70.819 70.455 69.316

Page 6

Zero_Curve

LIBOR Deposit Data: Life (Yrs) Rate (%) 0.25 3.1000% 0.5 3.3000% 0.75 3.4000%

LIBOR Swap Data: Settlement Frequency:

Semi-Annual Life (Yrs) 1 2 3 5 7 10 15 20 30

Rate (%) 3.4800% 3.6000% 3.7000% 3.8000% 3.8900% 3.9800% 4.0500% 4.1000% 4.2000%

OIS Swaps (< 1 Year): Life (Yrs) Rate (%) 0.25 3.0000% 0.5 3.2000% 0.75 3.3000%

OIS Swap Data: Coupon Frequency:

Semi-Annual Life (Yrs) 1 2 3 4 5 7 10 15 20 30

LIBOR Zeroes Time Zero 0.000 3.0880% 0.250 3.0880% 0.500 3.2731% 0.750 3.3574% 1.000 3.4516% 2.000 3.5711% 3.000 3.6721% 5.000 3.7741% 7.000 3.8692% 10.000 3.9668% 15.000 4.0441% 20.000 4.1042% 30.000 4.2502%

OIS Zeroes Time Zero 0.000 2.9888% 0.250 2.9888% 0.500 3.1747% 0.750 3.2598% 1.000 3.3731% 2.000 3.4725% 3.000 3.5737% 4.000 3.6243% 5.000 3.6759% 7.000 3.7819% 10.000 3.8907% 15.000 3.9426% 20.000 4.0036% 30.000 4.1506%

Rate (%) 3.4000% 3.5000% 3.6000% 3.6500% 3.7000% 3.8000% 3.9000% 3.9500% 4.0000% 4.1000%

4.5000%

LIBOR Zero Rate

Input Market Data for Zero Curve Construction All Rates are Actual/Actual

4.0000% 3.5000% 3.0000% 2.5000% 2.0000% 1.5000% 1.0000% 0.5000% 0.0000% 0.000

Use OIS Discounting

Page 7

5.000

10.000

15.000

Time

20.000

25.000

30.000

Underlying Type: Swap

Notional: Swap End (Years): Swap Rate (%): Last Reset (%): ●

Rec. Fixed

100 5.00 5.00%

LIBOR Zeroes: OIS Zeroes: Time (Yrs) Rate (%) Time (Yrs) Rate (%) 1 1.000% 1 0.500% 2 2.000% 2 1.500% 3 3.000% 3 2.500% 4 4.000% 4 3.500% 5 5.000% 6 4.500%

Pay Fixed

Settlement Frequency: Semi-Annual

Results: Price: 0.6532888 Break-Even Swap Rate: 0.0485657 DV01 (Per basis point): -0.0466524 Gamma (per % per %): -0.0233262

Use OIS Discounting

Bond Data: Principal: Bond Life (Years): Coupon Rate (%): Quoted Bond Price (/100):

1,000 5 6.000% 99.78666

Coupon Frequency:

Term Structure: Time (Yrs) Rate (%) 1 5.000% 2 5.500% 3 5.750% 4 5.900% 5 6.000%

Semi-Annual

Pricing Model:

At each node: Upper value = Cash Bond Price per \$100 of Principal Middle value = Option Price per \$100 of Principal Lower value = dt-period Rate Values in red are a result of early exercise.

76.4373308 0 14.333%

Strike price = 101 Time step, dt = 0.1250 years, 45.63 days

78.29342 0 12.854%

79.41899 0 13.075%

Pu: Pm: Pd:

14.012% 66.350% 19.637%

80.15223 0 11.481%

81.19102 0 11.726%

82.2724805 0 11.927%

Pu: Pm: Pd:

14.292% 66.417% 19.292%

85.05122 0 9.425%

82.96117 0 10.473%

83.9584 0 10.697%

84.994619 0 10.880%

Pu: Pm: Pd:

14.575% 66.475% 18.950%

86.90319 0 8.608%

87.76609 0 8.598%

85.63868 0 9.554%

86.59347 0 9.758%

87.5838248 0 9.926%

Pu: Pm: Pd:

14.862% 66.526% 18.612%

88.70413 0 7.862%

89.52244 0 7.853%

90.34893 0 7.843%

88.1837 0 8.716%

89.09564 0 8.901%

90.039917 0 9.054%

Pu: Pm: Pd:

15.153% 66.569% 18.278%

90.45096 2.9E-005 7.181%

91.22698 0 7.172%

92.00986 0 7.163%

92.79968 0 7.155%

90.59652 0 7.951%

91.46556 0 8.120%

92.3639213 0 8.260%

Pu: Pm: Pd:

15.448% 66.604% 17.948%

95.11688 0.001882 6.560%

92.8773 0.000719 6.551%

93.61892 0.000163 6.543%

94.3663 0 6.535%

95.11949 0 6.527%

92.87856 0 7.253%

93.70497 0 7.408%

94.5579135 0 7.535%

Pu: Pm: Pd:

15.747% 66.632% 17.622%

96.72917 0.023365 5.992%

97.44928 0.014644 5.984%

95.17421 0.008024 5.976%

95.88151 0.003497 5.969%

96.59357 0.000935 5.961%

97.31044 0 5.954%

95.03215 0 6.616%

95.81652 0 6.757%

96.6248474 0 6.874%

Pu: Pm: Pd:

16.049% 66.651% 17.299%

98.28613 0.135444 5.473%

98.96816 0.105273 5.466%

99.65408 0.077911 5.459%

97.34392 0.053702 5.452%

98.0172 0.03311 5.445%

98.69435 0.016762 5.438%

99.3754 0.005444 5.432%

97.06038 0 6.036%

97.80349 0 6.164%

98.5681612 0 6.270%

Pu: Pm: Pd:

16.356% 66.663% 16.981%

100.4327 0.432133 4.993%

101.0818 0.367317 4.986%

101.7341 0.304232 4.980%

99.38939 0.243408 4.973%

100.0292 0.185056 4.967%

100.672 0.129613 4.961%

101.3179 0.078009 4.955%

98.96698 0.032277 5.506%

99.66983 0 5.623%

100.392059 0 5.720%

Pu: Pm: Pd:

16.667% 66.667% 16.667%

102.4567 1.145668 4.555%

103.0735 1.034493 4.549%

103.6927 0.922838 4.543%

101.3142 0.809457 4.537%

101.9212 0.696221 4.531%

102.5304 0.582041 4.525%

103.1421 0.465036 4.520%

100.7562 0.341851 5.023%

101.4199 0.195002 5.130%

102.10104 0 5.218%

Pu: Pm: Pd:

16.981% 66.663% 16.356%

104.9469 2.446873 4.149%

105.5338 2.283795 4.144%

103.1225 2.12247 4.139%

103.6974 1.947379 4.133%

104.274 1.774021 4.128%

104.8524 1.602396 4.123%

102.4325 1.432504 4.582%

103.0584 1.308445 4.680%

103.699896 1.19989563 4.760%

Pu: Pm: Pd:

17.299% 66.651% 16.049%

107.2618 4.011789 3.780%

104.8186 3.818557 3.775%

105.3624 3.612368 3.771%

105.9074 3.407358 3.766%

106.4535 3.203524 3.761%

104.0009 3.00086 4.180%

104.5904 2.840383 4.269%

105.193756 2.69375592 4.342%

Pu: Pm: Pd:

17.622% 66.632% 15.747%

106.4072 5.407156 3.444%

106.9209 5.170878 3.440%

107.4353 4.935293 3.435%

107.9504 4.700394 3.431%

105.4662 4.466171 3.813%

106.0207 4.270703 3.894%

106.587551 4.08755073 3.961%

Pu: Pm: Pd:

17.948% 66.604% 15.448%

108.3778 6.627823 3.138%

108.8628 6.362802 3.134%

109.348 6.098039 3.130%

106.8335 5.833522 3.478%

107.3546 5.604551 3.553%

107.886513 5.38651335 3.614%

Pu: Pm: Pd:

18.278% 66.569% 15.153%

110.1949 7.694937 2.859%

110.6516 7.401555 2.855%

108.108 7.108049 3.173%

108.5971 6.847096 3.241%

109.095816 6.59581592 3.296%

Pu: Pm: Pd:

18.612% 66.526% 14.862%

111.866 8.616001 2.605%

109.2948 8.29483 2.895%

109.7534 8.00344 2.956%

110.220605 7.72060451 3.007%

Pu: Pm: Pd:

18.950% 66.475% 14.575%

110.3988 9.398803 2.641%

110.8285 9.078467 2.697%

111.26565 8.76565015 2.743%

Pu: Pm: Pd:

19.292% 66.417% 14.292%

111.8271 10.07708 2.460%

112.235905 9.73590463 2.502%

Pu: Pm: Pd:

19.637% 66.350% 14.012%

LogNormal - American Option Data: Strike Price (/100): Option Life (Years): Short-Rate Volatility (%): Reversion Rate (%): Tree Steps:

101.00 1.25 15.00% 5.00% 10

Imply Volatility Quoted Strike ● Put Call

Results: Price: 4.984824 DV01 (Per basis point): -0.115901 Gamma01 (Per % Per %): 20.19645 Vega (per %): 0.639894

99.78666 0.498482 5.000%

113.136006 10.6360059 2.283% Node Time: 0.000 Accrual: 0.000

0.125

0.250

0.375

0.500

0.625

0.750

0.875

1.000

1.125

1.250

0.750

1.500

2.250

0.000

0.750

1.500

2.250

0.000

0.750

1.500

Bond Data: Principal: Bond Life (Years): Coupon Rate (%):

1,000 5 6.000%

Coupon Frequency:

Semi-Annual

Term Structure: Time (Yrs) Rate (%) 1 5.000% 2 5.500% 3 5.750% 4 5.900% 5 6.000%

Chart: Vertical (Y) Axis:

DV01 Horizontal (X) Axis:

Time to Exercise

Pricing Model:

Minimum X value: Maximum X value: Number of X Values:

LogNormal - American Option Data: Strike Price (/100): Option Life (Years): Short-Rate Volatility (%): Reversion Rate (%): Tree Steps:

101.00 1.25 15.00% 5.00% 10

Quoted Strike

Call

1.25 2.25 11

Put

0.3000

DV01

0.2500

0.2000

0.1500

0.1000

0.0500

0.0000 1.2500

1.3500

1.4500

1.5500

1.6500

1.7500

Time to Exercise

1.8500

1.9500

2.0500

2.1500

2.2500

Progress: Time to Exercise 1.2500 1.3500 1.4500 1.5500 1.6500 1.7500 1.8500 1.9500 2.0500 2.1500 2.2500

100.00% DV01 0.2712 0.2503 0.2337 0.2568 0.2414 0.2268 0.2093 0.1952 0.2133 0.2002 0.1877

Underlying Type: Swap Option

Principal : Swap Start (Years): Swap End (Years): Swap Rate (%):

Settlement Frequency: 1,000 2.00 6.00 5.63%

Semi-Annual

LIBOR Zeroes: Time (Yrs) Rate (%) 1 4.000% 2 4.000% 3 4.000% 4 4.000% 6 4.000%

Imply Breakeven Rate

Pricing Model: Black - European

Volatility (%):

20.00%

Imply Volatility Rec. Fixed ●

Pay Fixed

Results: Price: DV01 (Per basis point): Gamma01 (Per % Per %): Vega (per %):

2.6679565 0.0518413 7.2132501 0.4658216

Use OIS Discounting

OIS Zeroes: Time (Yrs) Rate (%) 1 0.500% 2 1.500% 3 2.500% 4 3.500% 6 4.500%

Use OIS Discounting

Underlying Type: Swap Option

Settlement Frequency:

Principal : Swap Start (Years): Swap End (Years): Swap Rate (%):

1,000 2.00 6.00 5.63%

Semi-Annual

Term Structure: Time (Yrs) Rate (%) 1 4.000% 2 4.000% 3 4.000% 4 4.000% 6 4.000%

Pricing Model: Black - European

Volatility (%):

20.00% Rec. Fixed ●

Pay Fixed

0.0350

DV01

0.0300

0.0250

0.0200

0.0150

0.0100

0.0050

0.0000 2.0000

2.5000

3.0000

3.5000

Swap Start

4.0000

4.5000

5.0000

Chart: Vertical (Y) Axis: DV01

Horizontal (X) Axis: Time to Start

Minimum X value: Maximum X value: Number of X Values:

4.5000

5.0000

5.5000

2.00 5.99 21

Progress: Swap Start 2.0000 2.1995 2.3990 2.5985 2.7980 2.9975 3.1970 3.3965 3.5960 3.7955 3.9950 4.1945 4.3940 4.5935 4.7930 4.9925 5.1920 5.3915 5.5910 5.7905 5.9900

100.00% DV01 0.0244 0.0266 0.0284 0.0297 0.0305 0.0310 0.0308 0.0304 0.0296 0.0285 0.0272 0.0253 0.0234 0.0212 0.0187 0.0161 0.0132 0.0101 0.0070 0.0036 0.0002

CDS Data Life(Yrs) Spread (bp) 5 700.00

Default Rate Data Time (Yrs) Hazard Rate 5 0.06974204

Term Structure Time (Yrs) Rate (%) 1 3.000% 2 3.000% 3 3.000% 4 3.000% 5 3.000%

Cont. Comp 0.08 0.07 0.06 0.05 0.04 0.03 0.02

Recovery Rate Payment Frequency:

0

Imply Hazard Rates

0.01 0

Quarterly

0

1

2

Cont. Compounded Hazard Rates

8

7

6

5

4

3

2

1

0 0

1

2

3 Time (Yrs)

4

5

6

CD0 Data Life (Years) Recovery Rate Number of Names No. of Integration Points Payment Frequency:

5 0 250 10

Default Rate Data Time (Yrs) Hazard Rate 10 0.5

Term Structure Time (Yrs) 1 2 3 4 5

Quarterly

Imply Corr.

Attachment Point (%) 0.00%

Detachment Point (%) Spread (bp) Upfront (%) Tranche Corr 100.00% 5011.09 0.1000

Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront Calculate Upfront

Term Structure Rate (%) 3.000% 3.000% 3.000% 3.000% 3.000%

culate Upfront

culate Upfront

culate Upfront

culate Upfront

culate Upfront

ExpLoss 87.667%

PVPmts 1.7495

Base Corr.