Ch 6 Credit Derivatives

905
Worksheet Title 6.1 Market data 6.2 Creating a simple Par maturity asset swap 6.3 Estimating the Z-spread for a bond 6.4 Hedging a generic CDS 6.5 Modelling a CDS on a quarterly basis 6.6 Modelling a CDS on a monthly basis 6.7 Estimating FDP curve using quarterly time perio 6.8 Hermitian interpolation 6.9 Estimating FDP curve using monthly time perio 6.10 Estimating FDP curve using daily time periods 6.11 Estimating forward default probability curve us 6.12 Estimating forward default probability curve us 6.13 Estimating forward default probability curve by 6.14 Modelling a 3 year knock-out forward starting C 6.15 Modelling a 3 year no-knock-out forward startin 6.16 Pricing a Floating Credit default swap 6.17 Constant Maturity Credit default swap pricing w 6.18 Estimated volatilities and correlations for conve 6.19 Constant Maturity Credit default swap pricing w 6.20 Valuing an old CDS

description

credit derivatives

Transcript of Ch 6 Credit Derivatives

Page 1: Ch 6 Credit Derivatives

Worksheet Title

6.1 Market data6.2 Creating a simple Par maturity asset swap6.3 Estimating the Z-spread for a bond6.4 Hedging a generic CDS6.5 Modelling a CDS on a quarterly basis6.6 Modelling a CDS on a monthly basis6.7 Estimating FDP curve using quarterly time periods6.8 Hermitian interpolation6.9 Estimating FDP curve using monthly time periods

6.10 Estimating FDP curve using daily time periods6.11 Estimating forward default probability curve using optimisation on a quarterly basis6.12 Estimating forward default probability curve using optimisation on a monthly basis6.13 Estimating forward default probability curve by fitting a Nelson-Siegel curve6.14 Modelling a 3 year knock-out forward starting CDS6.15 Modelling a 3 year no-knock-out forward starting CDS6.16 Pricing a Floating Credit default swap6.17 Constant Maturity Credit default swap pricing with no convexity adjustment6.18 Estimated volatilities and correlations for convexity adjustment6.19 Constant Maturity Credit default swap pricing with convexity adjustment6.20 Valuing an old CDS

Page 2: Ch 6 Credit Derivatives

Estimating FDP curve using quarterly time periods

Estimating FDP curve using monthly time periods

Estimating forward default probability curve using optimisation on a quarterly basisEstimating forward default probability curve using optimisation on a monthly basisEstimating forward default probability curve by fitting a Nelson-Siegel curveModelling a 3 year knock-out forward starting CDSModelling a 3 year no-knock-out forward starting CDS

Constant Maturity Credit default swap pricing with no convexity adjustmentEstimated volatilities and correlations for convexity adjustmentConstant Maturity Credit default swap pricing with convexity adjustment

Page 3: Ch 6 Credit Derivatives

6.1: Market data

Today's date: 4-Feb-08 Standardised Credit Market roll datesSettlement 2

Day z-c rates gradient Adjustedcount for w/e's

0 3.216% 0.0000 4-Feb-080.019 3.216% -0.0064 20-Mar-08 20-Mar-080.081 3.177% -0.0026 20-Jun-08 20-Jun-080.250 3.133% -0.0023 20-Sep-08 22-Sep-080.506 3.073% -0.0046 20-Dec-08 22-Dec-080.761 2.955% -0.0040 20-Mar-09 20-Mar-091.017 2.854% -0.0027 20-Jun-09 22-Jun-091.264 2.787% -0.0016 20-Sep-09 21-Sep-091.519 2.748% -0.0004 20-Dec-09 21-Dec-091.775 2.737% 0.0007 20-Mar-10 22-Mar-102.036 2.755% 0.0018 20-Jun-10 21-Jun-102.278 2.798% 0.0024 20-Sep-10 20-Sep-102.533 2.860% 0.0026 20-Dec-10 20-Dec-102.794 2.929% 0.0026 20-Mar-11 21-Mar-113.047 2.995% 0.0025 20-Jun-11 20-Jun-113.292 3.057% 0.0024 20-Sep-11 20-Sep-113.553 3.120% 0.0024 20-Dec-11 20-Dec-113.806 3.180% 0.0023 20-Mar-12 20-Mar-124.058 3.239% 0.0023 20-Jun-12 20-Jun-124.311 3.298% 0.0023 20-Sep-12 20-Sep-124.564 3.357% 0.0023 20-Dec-12 20-Dec-124.819 3.417% 0.0023 20-Mar-13 20-Mar-135.075 3.475% 0.0023 20-Jun-13 20-Jun-135.322 3.531% 0.0022 20-Sep-13 20-Sep-135.578 3.588% 0.0021 20-Dec-13 20-Dec-135.833 3.643% 0.0020 20-Mar-14 20-Mar-146.089 3.695% 0.0019 20-Jun-14 20-Jun-146.336 3.742% 0.0018 20-Sep-14 22-Sep-146.592 3.789% 0.0017 20-Dec-14 22-Dec-146.847 3.833% 0.0016 20-Mar-15 20-Mar-157.103 3.875% 0.0015 20-Jun-15 22-Jun-157.350 3.913% 0.0015 20-Sep-15 21-Sep-157.606 3.951% 0.0014 20-Dec-15 21-Dec-157.861 3.987% 0.0014 20-Mar-16 21-Mar-168.122 4.025% 0.0014 20-Jun-16 20-Jun-168.367 4.060% 0.0014 20-Sep-16 20-Sep-168.628 4.098% 0.0014 20-Dec-16 20-Dec-168.881 4.133% 0.0014 20-Mar-17 20-Mar-179.133 4.167% 0.0013 20-Jun-17 20-Jun-179.386 4.200% 0.0012 20-Sep-17 20-Sep-179.639 4.231% 0.0012 20-Dec-17 20-Dec-179.892 4.261% 0.0011 20-Mar-18 20-Mar-18

10.147 4.290% 0.0011 20-Jun-18 20-Jun-1810.397 4.317% 0.0010 20-Sep-18 20-Sep-1810.650 4.343% 0.0010 20-Dec-18 20-Dec-18

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10.906 4.368% 0.0010 20-Mar-19 20-Mar-1911.161 4.393% 0.0009 20-Jun-19 20-Jun-1911.408 4.416% 0.0009 20-Sep-19 20-Sep-1911.664 4.439% 0.0009 20-Dec-19 20-Dec-1911.919 4.461% 0.0008 20-Mar-20 20-Mar-2012.175 4.483% 0.0008 20-Jun-20 22-Jun-2012.425 4.503% 0.0008 20-Sep-20 21-Sep-2012.681 4.524% 0.0008 20-Dec-20 21-Dec-2012.936 4.544% 0.0008 20-Mar-21 22-Mar-2113.197 4.564% 0.0007 20-Jun-21 21-Jun-2113.439 4.582% 0.0007 20-Sep-21 20-Sep-2113.694 4.600% 0.0007 20-Dec-21 20-Dec-2113.956 4.618% 0.0007 20-Mar-22 21-Mar-2214.208 4.634% 0.0006 20-Jun-22 20-Jun-2214.453 4.650% 0.0006 20-Sep-22 20-Sep-2214.714 4.666% 0.0006 20-Dec-22 20-Dec-2214.967 4.680% 0.0005 20-Mar-23 20-Mar-2315.219 4.694% 0.0005 20-Jun-23 20-Jun-2315.472 4.707% 0.0005 20-Sep-23 20-Sep-2315.725 4.719% 0.0005 20-Dec-23 20-Dec-2315.978 4.730% 0.0004 20-Mar-24 20-Mar-2416.233 4.741% 0.0004 20-Jun-24 20-Jun-2416.483 4.752% 0.0004 20-Sep-24 20-Sep-2416.739 4.761% 0.0004 20-Dec-24 20-Dec-2416.994 4.771% 0.0003 20-Mar-25 20-Mar-2517.250 4.780% 0.0003 20-Jun-25 20-Jun-2517.497 4.788% 0.0003 20-Sep-25 22-Sep-2517.753 4.795% 0.0003 20-Dec-25 22-Dec-2518.008 4.803% 0.0003 20-Mar-26 20-Mar-2618.264 4.810% 0.0003 20-Jun-26 22-Jun-2618.511 4.816% 0.0002 20-Sep-26 21-Sep-2618.767 4.823% 0.0002 20-Dec-26 21-Dec-2619.022 4.829% 0.0002 20-Mar-27 22-Mar-2719.283 4.834% 0.0002 20-Jun-27 21-Jun-2719.525 4.839% 0.0002 20-Sep-27 20-Sep-2719.781 4.844% 0.0002 20-Dec-27 20-Dec-2720.042 4.849% 0.0002 20-Mar-28 20-Mar-2820.294 4.854% 0.0002 20-Jun-28 20-Jun-2820.547 4.858% 0.0002 20-Sep-28 20-Sep-2820.800 4.862% 0.0001 20-Dec-28 20-Dec-2821.053 4.866% 0.0001 20-Mar-29 20-Mar-2921.308 4.869% 0.0001 20-Jun-29 20-Jun-2921.558 4.872% 0.0001 20-Sep-29 20-Sep-2921.811 4.875% 0.0001 20-Dec-29 20-Dec-2922.067 4.878% 0.0001 20-Mar-30 20-Mar-3022.322 4.881% 0.0001 20-Jun-30 20-Jun-3022.569 4.883% 0.000122.825 4.886% 0.000123.081 4.888% 0.000123.336 4.889% 0.000123.583 4.891% 0.000123.839 4.892% 0.000024.094 4.894% 0.000024.350 4.895% 0.0000

Page 5: Ch 6 Credit Derivatives

24.600 4.896% 0.000024.856 4.896% 0.000025.117 4.897% 0.000025.369 4.897% 0.000025.614 4.897% 0.000025.875 4.897% 0.000026.128 4.897% 0.000026.381 4.897% 0.000026.633 4.896% 0.000026.886 4.896% 0.000027.139 4.895% 0.000027.394 4.894% 0.000027.644 4.894% 0.000027.897 4.893% 0.000028.153 4.892% 0.000028.408 4.891% 0.000028.658 4.890% 0.000028.914 4.889% 0.000029.169 4.888% 0.000029.425 4.887% 0.000029.672 4.886% 0.000029.928 4.885% 0.000030.183 4.884% 0.000030.444 4.882%

Page 6: Ch 6 Credit Derivatives

01 H2 0.602 H1 0.902 H2 2.203 H1 2.703 H2 3.804 H1 5.404 H2 8.405 H1 12.405 H2 17.106 H1 2606 H2 34.407 H1 45.507 H2 62.208 H1 54.6

01 H2

02 H1

02 H2

03 H1

03 H2

04 H1

04 H2

05 H1

05 H2

06 H1

06 H2

07 H1

07 H2

08 H1

010203040506070

0.6 0.9 2.2 2.7 3.8 5.4 8.4 12.417.1

2634.4

45.5

62.254.6

CDS: Gross Notional Principal outstanding

USD Trillions

Page 7: Ch 6 Credit Derivatives
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Page 9: Ch 6 Credit Derivatives

6.2: Creating a simple Par maturity asset swap

Today's date = 4-Feb-08

Bond details:

Maturity = 23-Jul-13Coupon = 5.25% ANNRedemption = 100Clean price = 96.3750 Sensitivity of FRN = 47,723 per $100m nominal

Time to next coupon 0.464 SwapAccrued interest = 2.8146 cashflowsDirty price = 99.1896 Implied receive side

ForwardSwap IBOR Daycount rates IF Approach NP Approach

Bond Daycount IBOR IBOR Bond Swap cashflows dates DFs (Act/360)dates (Act/360) z-c rates DFs cashflows IF Approach NP Approach

margin => 240.04 240.04

[1] [2] [3] [4]6-Feb-08 1 -0.8104 99.1896 6-Feb-08 1

-60 23-Jul-08 0.467 3.083% 0.985718 5.25 -5.25 -5.25 20-Mar-08 0.996224 0.119 3.173% 0.6657 0.2867-48 23-Jul-09 1.481 2.754% 0.960051 5.25 -5.25 -5.25 20-Jun-08 0.988428 0.256 3.086% 1.4021 0.6134-36 23-Jul-10 2.494 2.850% 0.931367 5.25 -5.25 -5.25 22-Sep-08 0.981015 0.261 2.894% 1.3824 0.6268-24 25-Jul-11 3.514 3.110% 0.896463 5.25 -5.25 -5.25 22-Dec-08 0.974509 0.253 2.641% 1.2744 0.6068-12 23-Jul-12 4.525 3.348% 0.859414 5.25 -5.25 -5.25 20-Mar-09 0.968514 0.244 2.532% 1.2057 0.58680 23-Jul-13 5.539 3.579% 0.820157 105.25 -105.25 -105.25 22-Jun-09 0.962150 0.261 2.533% 1.2882 0.6268

21-Sep-09 0.955837 0.253 2.613% 1.2673 0.6068Value of Leg -111.455 -11.455 21-Dec-09 0.949178 0.253 2.775% 1.3083 0.6068

22-Mar-10 0.941995 0.253 3.016% 1.3692 0.606821-Jun-10 0.934209 0.253 3.297% 1.4402 0.606820-Sep-10 0.925984 0.253 3.514% 1.4951 0.606820-Dec-10 0.917454 0.253 3.678% 1.5365 0.606821-Mar-11 0.908738 0.253 3.794% 1.5659 0.606820-Jun-11 0.899900 0.253 3.885% 1.5889 0.606820-Sep-11 0.890827 0.256 3.985% 1.6318 0.613420-Dec-11 0.881706 0.253 4.093% 1.6413 0.606820-Mar-12 0.872423 0.253 4.209% 1.6708 0.606820-Jun-12 0.862876 0.256 4.329% 1.7198 0.613420-Sep-12 0.853185 0.256 4.445% 1.7493 0.613420-Dec-12 0.843476 0.253 4.553% 1.7578 0.606820-Mar-13 0.833768 0.250 4.657% 101.7644 0.6001

Q = 4.772 Value of Leg 111.4553 11.4553

Margin = 240.04 Net PV = - 0.0000

Page 10: Ch 6 Credit Derivatives

6.3: Estimating the Z-spread for a bond

Today's date = 4-Feb-08

Bond details:

Maturity = 23-Jul-13Coupon = 5.25% ANNRedemption = 100Clean price = 96.3750

Time to next coupon 0.464Accrued interest = 2.8146Dirty price = 99.1896

Z-spread 226.26 bp

Bond Daycount IBOR IBOR Bonddates (Act/360) z-c rates DFs cashflows

6-Feb-08 1 -99.1896-60 23-Jul-08 0.467 3.083% 0.975365 5.25-48 23-Jul-09 1.481 2.754% 0.928423 5.25-36 23-Jul-10 2.494 2.850% 0.880257 5.25-24 25-Jul-11 3.514 3.110% 0.827949 5.25-12 23-Jul-12 4.525 3.348% 0.775780 5.250 23-Jul-13 5.539 3.579% 0.723553 105.25

Value of Bond 0.000

Page 11: Ch 6 Credit Derivatives

6.4: Hedging a generic CDS

Today's date = 4-Feb-08

Bond details:

Maturity = 23-Jul-13Coupon = 5.25% ANNRedemption = 100Original clean price = 96.3750Shift in clean price = -47,678 Hedge -100.10 m to be soldTime to next coupon 0.464 SwapAccrued interest = 2.8146 cashflowsDirty price = 99.1419 Implied receive side

ForwardSwap IBOR Daycount rates IF Approach NP Approach

Bond Daycount IBOR IBOR Bond Swap cashflows dates DFs (Act/360)dates (Act/360) z-c rates DFs cashflows IF Approach NP Approach

margin => 241.04 241.04

[1] [2] [3] [4]6-Feb-08 1 -0.8581 99.1419 6-Feb-08 1

-60 23-Jul-08 0.467 3.083% 0.985718 5.25 -5.25 -5.25 20-Mar-08 0.996224 0.119 3.173% 0.6669 0.2879-48 23-Jul-09 1.481 2.754% 0.960051 5.25 -5.25 -5.25 20-Jun-08 0.988428 0.256 3.086% 1.4047 0.6160-36 23-Jul-10 2.494 2.850% 0.931367 5.25 -5.25 -5.25 22-Sep-08 0.981015 0.261 2.894% 1.3850 0.6294-24 25-Jul-11 3.514 3.110% 0.896463 5.25 -5.25 -5.25 22-Dec-08 0.974509 0.253 2.641% 1.2769 0.6093-12 23-Jul-12 4.525 3.348% 0.859414 5.25 -5.25 -5.25 20-Mar-09 0.968514 0.244 2.532% 1.2082 0.58920 23-Jul-13 5.539 3.579% 0.820157 105.25 -105.25 -105.25 22-Jun-09 0.962150 0.261 2.533% 1.2909 0.6294

21-Sep-09 0.955837 0.253 2.613% 1.2698 0.6093Value of Leg -111.503 -11.503 21-Dec-09 0.949178 0.253 2.775% 1.3108 0.6093

22-Mar-10 0.941995 0.253 3.016% 1.3717 0.609321-Jun-10 0.934209 0.253 3.297% 1.4427 0.609320-Sep-10 0.925984 0.253 3.514% 1.4976 0.609320-Dec-10 0.917454 0.253 3.678% 1.5391 0.609321-Mar-11 0.908738 0.253 3.794% 1.5684 0.609320-Jun-11 0.899900 0.253 3.885% 1.5914 0.609320-Sep-11 0.890827 0.256 3.985% 1.6344 0.616020-Dec-11 0.881706 0.253 4.093% 1.6439 0.609320-Mar-12 0.872423 0.253 4.209% 1.6733 0.609320-Jun-12 0.862876 0.256 4.329% 1.7224 0.616020-Sep-12 0.853185 0.256 4.445% 1.7518 0.616020-Dec-12 0.843476 0.253 4.553% 1.7603 0.609320-Mar-13 0.833768 0.250 4.657% 101.7669 0.6026

Q = 4.772 Value of Leg 111.5030 11.5030

Margin = 241.04 Net PV = 0.0000 0.0000

Page 12: Ch 6 Credit Derivatives

6.5: Modelling a CDS on a quarterly basis

MaturityPrincipalTo payRecovery rateValue of Swap

Forwarddefault

probabilities Daycount IBOR DFs(Act/360) z-c rates

[1]

6-Feb-08 120-Mar-08 0.1848% 0.119 3.16697% 0.99622420-Jun-08 0.9764% 0.375 3.10374% 0.98842822-Sep-08 1.7443% 0.636 3.01316% 0.98101522-Dec-08 1.2570% 0.889 2.90491% 0.97450920-Mar-09 1.4640% 1.133 2.82281% 0.96851422-Jun-09 1.9989% 1.394 2.76705% 0.96215021-Sep-09 2.5594% 1.647 2.74208% 0.95583721-Dec-09 3.1240% 1.900 2.74523% 0.94917822-Mar-10 3.5371% 2.153 2.77571% 0.94199521-Jun-10 4.0174% 2.406 2.82906% 0.93420920-Sep-10 4.6514% 2.658 2.89273% 0.92598420-Dec-10 5.0821% 2.911 2.95946% 0.91745421-Mar-11 5.1802% 3.164 3.02473% 0.90873820-Jun-11 4.9653% 3.417 3.08699% 0.89990020-Sep-11 4.7313% 3.672 3.14808% 0.89082720-Dec-11 4.4077% 3.925 3.20757% 0.88170620-Mar-12 4.1283% 4.178 3.26684% 0.87242320-Jun-12 3.9413% 4.433 3.32673% 0.86287620-Sep-12 3.8281% 4.689 3.38629% 0.85318520-Dec-12 3.8380% 4.942 3.44466% 0.84347620-Mar-13 4.0587% 5.192 3.50176% 0.833768

Page 13: Ch 6 Credit Derivatives

5 yrs100 m USD

741.4 bp pa.40%

Value of Swap 0.0000

d Survival Hazard Premium CFs Payment CFs

[2] [3] [4] [5]

100.00%0.119 99.82% 0.18% -885,542.57 110,859.540.256 98.84% 0.97% -1,891,148.55 584,768.470.261 97.12% 1.72% -1,913,393.53 1,034,444.750.253 95.90% 1.22% -1,820,017.67 732,468.430.244 94.49% 1.40% -1,737,893.21 842,330.920.261 92.60% 1.89% -1,829,209.00 1,133,250.950.253 90.23% 2.37% -1,735,433.74 1,422,037.120.253 87.41% 2.82% -1,691,017.48 1,691,346.340.253 84.32% 3.09% -1,638,189.54 1,855,154.380.253 80.93% 3.39% -1,580,245.17 2,032,558.000.253 77.17% 3.76% -1,516,759.74 2,258,749.280.253 73.25% 3.92% -1,446,209.40 2,353,136.710.253 69.45% 3.79% -1,372,710.93 2,276,628.560.253 66.01% 3.45% -1,301,602.13 2,069,147.190.256 62.88% 3.12% -1,250,566.99 1,873,725.850.253 60.11% 2.77% -1,178,449.44 1,662,982.110.253 57.63% 2.48% -1,126,507.43 1,488,921.520.256 55.36% 2.27% -1,091,870.24 1,362,787.150.256 53.24% 2.12% -1,048,836.84 1,271,503.060.253 51.20% 2.04% -997,721.99 1,225,993.580.250 49.12% 2.08% -948,885.82 1,246,718.79

PV => -27,884,270 27,884,270

Page 14: Ch 6 Credit Derivatives

6.6: Modelling a CDS on a monthly basis

MaturityPrincipalTo payRecovery rateValue of Swap

Forwarddefault Daycount IBOR DFs

probabilities (Act/360) z-c rates

[1]

6-Feb-08 120-Mar-08 0.1848% 0.119 3.16697% 0.99622421-Apr-08 0.3248% 0.208 3.14364% 0.993472

20-May-08 0.3248% 0.289 3.12369% 0.99101720-Jun-08 0.3248% 0.375 3.10374% 0.98842821-Jul-08 0.5806% 0.461 3.08379% 0.985881

20-Aug-08 0.5806% 0.544 3.05553% 0.98350222-Sep-08 0.5806% 0.636 3.01316% 0.98101520-Oct-08 0.4180% 0.714 2.97722% 0.978970

20-Nov-08 0.4180% 0.800 2.94003% 0.97675422-Dec-08 0.4180% 0.889 2.90491% 0.97450920-Jan-09 0.4871% 0.969 2.87309% 0.97253120-Feb-09 0.4871% 1.056 2.84389% 0.97042720-Mar-09 0.4871% 1.133 2.82281% 0.96851420-Apr-09 0.6652% 1.219 2.79948% 0.966438

20-May-09 0.6652% 1.303 2.78136% 0.96441422-Jun-09 0.6652% 1.394 2.76705% 0.96215020-Jul-09 0.8522% 1.472 2.75490% 0.960253

20-Aug-09 0.8522% 1.558 2.74587% 0.95811321-Sep-09 0.8522% 1.647 2.74208% 0.95583720-Oct-09 1.0408% 1.728 2.73865% 0.953784

20-Nov-09 1.0408% 1.814 2.73931% 0.95152621-Dec-09 1.0408% 1.900 2.74523% 0.94917820-Jan-10 1.1789% 1.983 2.75095% 0.94690122-Feb-10 1.1789% 2.075 2.76162% 0.94430722-Mar-10 1.1789% 2.153 2.77571% 0.94199520-Apr-10 1.3386% 2.233 2.79029% 0.939585

20-May-10 1.3386% 2.317 2.80769% 0.937025

Page 15: Ch 6 Credit Derivatives

21-Jun-10 1.3386% 2.406 2.82906% 0.93420920-Jul-10 1.5507% 2.486 2.84842% 0.931634

20-Aug-10 1.5507% 2.572 2.87003% 0.92883620-Sep-10 1.5507% 2.658 2.89273% 0.92598420-Oct-10 1.6951% 2.742 2.91470% 0.923198

22-Nov-10 1.6951% 2.833 2.93890% 0.92010420-Dec-10 1.6951% 2.911 2.95946% 0.91745420-Jan-11 1.7268% 2.997 2.98223% 0.91449421-Feb-11 1.7268% 3.086 3.00521% 0.91142721-Mar-11 1.7268% 3.164 3.02473% 0.90873820-Apr-11 1.6523% 3.247 3.04564% 0.905835

20-May-11 1.6523% 3.331 3.06619% 0.90292020-Jun-11 1.6523% 3.417 3.08699% 0.89990020-Jul-11 1.5731% 3.500 3.10711% 0.896956

22-Aug-11 1.5731% 3.592 3.12905% 0.89370020-Sep-11 1.5731% 3.672 3.14808% 0.89082720-Oct-11 1.4643% 3.756 3.16777% 0.887837

21-Nov-11 1.4643% 3.844 3.18869% 0.88462820-Dec-11 1.4643% 3.925 3.20757% 0.88170620-Jan-12 1.3709% 4.011 3.22775% 0.87856220-Feb-12 1.3709% 4.097 3.24794% 0.87539920-Mar-12 1.3709% 4.178 3.26684% 0.87242320-Apr-12 1.3082% 4.264 3.28705% 0.869222

21-May-12 1.3082% 4.350 3.30723% 0.86600520-Jun-12 1.3082% 4.433 3.32673% 0.86287620-Jul-12 1.2701% 4.517 3.34622% 0.859729

20-Aug-12 1.2701% 4.603 3.36629% 0.85646420-Sep-12 1.2701% 4.689 3.38629% 0.85318522-Oct-12 1.2737% 4.778 3.40692% 0.849782

20-Nov-12 1.2737% 4.858 3.42552% 0.84668820-Dec-12 1.2737% 4.942 3.44466% 0.84347621-Jan-13 1.3471% 5.031 3.46506% 0.84003520-Feb-13 1.3471% 5.114 3.48410% 0.83679820-Mar-13 1.3471% 5.192 3.50176% 0.833768

Page 16: Ch 6 Credit Derivatives

5 yrs100 m USD

741.4 bp pa.40%

Value of Swap 0.0732

d Survival Hazard Premium CFs Payment CFs

[2] [3] [4] [5]

100.00%0.119 99.82% 0.18% -885,542.57 110,859.540.089 99.49% 0.32% -2,136.83 194,549.510.169 99.17% 0.32% -4,060.10 193,917.520.256 98.85% 0.32% -1,878,881.74 193,287.580.086 98.27% 0.57% -3,663.87 344,340.580.169 97.70% 0.57% -7,167.68 342,341.330.261 97.13% 0.57% -1,891,335.70 340,353.690.078 96.73% 0.41% -2,341.17 243,604.390.164 96.32% 0.40% -4,912.56 242,586.150.253 95.92% 0.40% -1,805,157.43 241,572.170.081 95.45% 0.47% -2,790.36 280,332.180.167 94.99% 0.46% -5,745.04 278,966.710.244 94.53% 0.46% -1,721,456.80 277,607.900.086 93.90% 0.63% -4,014.05 377,251.450.169 93.27% 0.62% -7,846.07 374,742.110.261 92.65% 0.62% -1,805,609.84 372,249.470.078 91.86% 0.79% -4,552.82 473,732.050.164 91.08% 0.78% -9,511.69 469,695.060.253 90.30% 0.78% -1,706,889.81 465,692.470.081 89.36% 0.94% -5,613.42 563,949.240.167 88.43% 0.93% -11,493.10 558,079.450.253 87.51% 0.92% -1,657,298.53 552,270.760.083 86.48% 1.03% -6,374.25 619,039.210.175 85.46% 1.02% -13,228.11 611,741.090.253 84.45% 1.01% -1,601,606.26 604,529.020.081 83.32% 1.13% -6,751.65 678,300.960.164 82.21% 1.12% -13,552.25 669,221.27

Page 17: Ch 6 Credit Derivatives

0.253 81.11% 1.10% -1,540,635.40 660,263.130.081 79.85% 1.26% -7,511.71 754,660.060.167 78.61% 1.24% -15,300.47 742,957.340.253 77.39% 1.22% -1,473,235.61 731,436.100.083 76.08% 1.31% -8,105.25 787,146.640.175 74.79% 1.29% -16,732.51 773,803.510.253 73.52% 1.27% -1,401,634.64 760,686.560.086 72.25% 1.27% -8,105.49 761,776.840.175 71.01% 1.25% -16,187.99 748,622.260.253 69.78% 1.23% -1,330,698.97 735,694.850.083 68.63% 1.15% -7,123.19 691,772.740.167 67.49% 1.13% -14,010.99 680,342.820.253 66.38% 1.12% -1,264,863.09 669,101.750.083 65.33% 1.04% -6,451.38 626,529.270.175 64.31% 1.03% -13,334.76 616,673.150.256 63.29% 1.01% -1,218,376.92 606,972.080.083 62.37% 0.93% -5,726.16 556,099.150.172 61.45% 0.91% -11,660.77 547,956.110.253 60.55% 0.90% -1,151,691.03 539,932.310.086 59.72% 0.83% -5,299.92 498,101.340.172 58.91% 0.82% -10,454.52 491,272.660.253 58.10% 0.81% -1,103,924.29 484,537.590.086 57.34% 0.76% -4,852.29 456,031.970.172 56.59% 0.75% -9,577.62 450,066.050.256 55.85% 0.74% -1,072,142.55 444,178.170.083 55.14% 0.71% -4,382.18 425,577.960.169 54.44% 0.70% -8,797.26 420,172.870.256 53.75% 0.69% -1,031,409.83 414,836.440.089 53.06% 0.68% -4,511.48 410,751.890.169 52.39% 0.68% -8,490.47 405,520.030.253 51.72% 0.67% -981,746.11 400,354.800.089 51.02% 0.70% -4,591.39 418,027.100.172 50.33% 0.69% -8,775.98 412,395.810.250 49.66% 0.68% -932,937.71 406,840.38

PV => -27,672,860 27,672,860

Page 18: Ch 6 Credit Derivatives

6.7: Estimating FDP curve using quarterly time periods

Given a set of GM CDS pricesYears CDS margins

Maturity CDSprices

0.5 2.728% 0.118 0.928% 1 2.964% 0.250 1.855% 2 4.572% 0.500 2.728% 3 6.362% 0.750 2.799% 5 7.414% 1.000 2.964% 7 7.619% 1.250 3.256% 10 7.751% 1.500 3.662% 15 7.770% 1.750 4.122% 20 7.790% 2.000 4.572% 30 7.800% 2.250 5.026%

2.500 5.508%2.750 5.969%3.000 6.362%3.250 6.660%3.500 6.881%3.750 7.040%4.000 7.151%4.250 7.229%4.500 7.289%4.750 7.346%5.000 7.414%5.250 7.481%5.500 7.527%5.750 7.557%6.000 7.575%6.250 7.586%6.500 7.594%6.750 7.603%7.000 7.619%7.250 7.637%7.500 7.654%

Page 19: Ch 6 Credit Derivatives

7.750 7.669%8.000 7.682%8.250 7.693%8.500 7.704%8.750 7.713%9.000 7.721%9.250 7.729%9.500 7.736%9.750 7.744%

10.000 7.751%10.250 7.757%10.500 7.763%10.750 7.767%11.000 7.771%11.250 7.773%11.500 7.775%11.750 7.776%12.000 7.777%12.250 7.776%12.500 7.776%12.750 7.775%13.000 7.774%13.250 7.773%13.500 7.772%13.750 7.771%14.000 7.770%14.250 7.769%14.500 7.769%14.750 7.769%15.000 7.770%15.250 7.771%15.500 7.772%15.750 7.773%16.000 7.774%16.250 7.775%16.500 7.776%16.750 7.777%17.000 7.778%17.250 7.780%17.500 7.781%17.750 7.782%18.000 7.783%18.250 7.784%18.500 7.785%

Page 20: Ch 6 Credit Derivatives

18.750 7.786%19.000 7.787%19.250 7.788%19.500 7.788%19.750 7.789%20.000 7.790%20.250 7.791%20.500 7.791%20.750 7.792%21.000 7.793%21.250 7.793%21.500 7.794%21.750 7.794%22.000 7.795%22.250 7.795%22.500 7.795%22.750 7.796%23.000 7.796%23.250 7.796%23.500 7.797%23.750 7.797%24.000 7.797%24.250 7.797%24.500 7.798%24.750 7.798%25.000 7.798%25.250 7.798%25.500 7.798%25.750 7.798%26.000 7.798%26.250 7.798%26.500 7.799%26.750 7.799%27.000 7.799%27.250 7.799%27.500 7.799%27.750 7.799%28.000 7.799%28.250 7.799%28.500 7.799%28.750 7.799%29.000 7.799%29.250 7.800%29.500 7.800%

Page 21: Ch 6 Credit Derivatives

29.750 7.800%30.000 7.800%

Page 22: Ch 6 Credit Derivatives

6.7: Estimating FDP curve using quarterly time periods

Recovery rate

Estimated FDPsCDS margins Error

6-Feb-08 6-Feb-080.928% 0.00 0 20-Mar-08 0.18477% 20-Mar-081.855% 0.00 3 20-Jun-08 0.97642% 20-Jun-082.728% 0.00 6 22-Sep-08 1.74430% 22-Sep-082.799% 0.00 9 22-Dec-08 1.25703% 22-Dec-082.964% 0.00 12 20-Mar-09 1.46397% 20-Mar-093.256% 0.00 15 22-Jun-09 1.99885% 22-Jun-093.662% 0.00 18 21-Sep-09 2.55938% 21-Sep-094.122% 0.00 21 21-Dec-09 3.12403% 21-Dec-094.572% 0.00 24 22-Mar-10 3.53710% 22-Mar-105.026% 0.00 27 21-Jun-10 4.01744% 21-Jun-105.508% 0.00 30 20-Sep-10 4.65139% 20-Sep-105.969% 0.00 33 20-Dec-10 5.08215% 20-Dec-106.362% 0.00 36 21-Mar-11 5.18017% 21-Mar-116.660% 0.00 39 20-Jun-11 4.96529% 20-Jun-116.881% 0.00 42 20-Sep-11 4.73126% 20-Sep-117.040% 0.00 45 20-Dec-11 4.40766% 20-Dec-117.151% 0.00 48 20-Mar-12 4.12828% 20-Mar-127.229% 0.00 51 20-Jun-12 3.94126% 20-Jun-127.289% 0.00 54 20-Sep-12 3.82813% 20-Sep-127.346% 0.00 57 20-Dec-12 3.83804% 20-Dec-127.414% 0.00 60 20-Mar-13 4.05870% 20-Mar-137.481% 0.00 63 20-Jun-13 4.22122% 20-Jun-137.527% 0.00 66 20-Sep-13 3.98336% 20-Sep-137.557% 0.00 69 20-Dec-13 3.72983% 20-Dec-137.575% 0.00 72 20-Mar-14 3.51365% 20-Mar-147.586% 0.00 75 20-Jun-14 3.45994% 20-Jun-147.594% 0.00 78 22-Sep-14 3.48391% 22-Sep-147.603% 0.00 81 22-Dec-14 3.43046% 22-Dec-147.619% 0.00 84 20-Mar-15 3.49733% 20-Mar-157.637% 0.00 87 22-Jun-15 3.83364% 22-Jun-157.654% 0.00 90 21-Sep-15 3.70916% 21-Sep-15

Page 23: Ch 6 Credit Derivatives

7.669% 0.00 93 21-Dec-15 3.68922% 21-Dec-157.682% 0.00 96 21-Mar-16 3.66945% 21-Mar-167.693% 0.00 99 20-Jun-16 3.65076% 20-Jun-167.704% 0.00 102 20-Sep-16 3.66990% 20-Sep-167.713% 0.00 105 20-Dec-16 3.62110% 20-Dec-167.721% 0.00 108 20-Mar-17 3.57651% 20-Mar-177.729% 0.00 111 20-Jun-17 3.64508% 20-Jun-177.736% 0.00 114 20-Sep-17 3.65002% 20-Sep-177.744% 0.00 117 20-Dec-17 3.62832% 20-Dec-177.751% 0.00 120 20-Mar-18 3.61753% 20-Mar-187.757% 0.00 123 20-Jun-18 3.68424% 20-Jun-187.763% 0.00 126 20-Sep-18 3.63880% 20-Sep-187.767% 0.00 129 20-Dec-18 3.55558% 20-Dec-187.771% 0.00 132 20-Mar-19 3.47102% 20-Mar-197.773% 0.00 135 20-Jun-19 3.49391% 20-Jun-197.775% 0.00 138 20-Sep-19 3.44526% 20-Sep-197.776% 0.00 141 20-Dec-19 3.36162% 20-Dec-197.777% 0.00 144 20-Mar-20 3.31590% 20-Mar-207.776% 0.00 147 22-Jun-20 3.38114% 22-Jun-207.776% 0.00 150 21-Sep-20 3.23433% 21-Sep-207.775% 0.00 153 21-Dec-20 3.20073% 21-Dec-207.774% 0.00 156 22-Mar-21 3.17358% 22-Mar-217.773% 0.00 159 21-Jun-21 3.15424% 21-Jun-217.772% 0.00 162 20-Sep-21 3.14419% 20-Sep-217.771% 0.00 165 20-Dec-21 3.14501% 20-Dec-217.770% 0.00 168 21-Mar-22 3.15844% 21-Mar-227.769% 0.00 171 20-Jun-22 3.18638% 20-Jun-227.769% 0.00 174 20-Sep-22 3.26688% 20-Sep-227.769% 0.00 177 20-Dec-22 3.29440% 20-Dec-227.770% 0.00 180 20-Mar-23 3.34349% 20-Mar-237.771% 0.00 183 20-Jun-23 3.47280% 20-Jun-237.772% 0.00 186 20-Sep-23 3.48623% 20-Sep-237.773% 0.00 189 20-Dec-23 3.46382% 20-Dec-237.774% 0.00 192 20-Mar-24 3.47744% 20-Mar-247.775% 0.00 195 20-Jun-24 3.52713% 20-Jun-247.776% 0.00 198 20-Sep-24 3.54090% 20-Sep-247.777% 0.00 201 20-Dec-24 3.51853% 20-Dec-247.778% 0.00 204 20-Mar-25 3.49581% 20-Mar-257.780% 0.00 207 20-Jun-25 3.58079% 20-Jun-257.781% 0.00 210 22-Sep-25 3.66564% 22-Sep-257.782% 0.00 213 22-Dec-25 3.56992% 22-Dec-257.783% 0.00 216 20-Mar-26 3.47298% 20-Mar-267.784% 0.00 219 22-Jun-26 3.69932% 22-Jun-267.785% 0.00 222 21-Sep-26 3.60086% 21-Sep-26

Page 24: Ch 6 Credit Derivatives

7.786% 0.00 225 21-Dec-26 3.60882% 21-Dec-267.787% 0.00 228 22-Mar-27 3.61524% 22-Mar-277.788% 0.00 231 21-Jun-27 3.61984% 21-Jun-277.788% 0.00 234 20-Sep-27 3.62234% 20-Sep-277.789% 0.00 237 20-Dec-27 3.62241% 20-Dec-277.790% 0.00 240 20-Mar-28 3.61970% 20-Mar-287.791% 0.00 243 20-Jun-28 3.65178% 20-Jun-287.791% 0.00 246 20-Sep-28 3.64828% 20-Sep-287.792% 0.00 249 20-Dec-28 3.60808% 20-Dec-287.793% 0.00 252 20-Mar-29 3.56711% 20-Mar-297.793% 0.00 255 20-Jun-29 3.63376% 20-Jun-297.794% 0.00 258 20-Sep-29 3.62792% 20-Sep-297.794% 0.00 261 20-Dec-29 3.58538% 20-Dec-297.795% 0.00 264 20-Mar-30 3.54212% 20-Mar-307.795% 0.00 267 20-Jun-30 3.60657% 20-Jun-307.795% 0.00 270 20-Sep-30 3.59857% 20-Sep-307.796% 0.00 273 20-Dec-30 3.55396% 20-Dec-307.796% 0.00 276 20-Mar-31 3.50879% 20-Mar-317.796% 0.00 279 20-Jun-31 3.57150% 20-Jun-317.797% 0.00 282 22-Sep-31 3.63418% 22-Sep-317.797% 0.00 285 22-Dec-31 3.51620% 22-Dec-317.797% 0.00 288 22-Mar-32 3.50610% 22-Mar-327.797% 0.00 291 21-Jun-32 3.49594% 21-Jun-327.798% 0.00 294 20-Sep-32 3.48584% 20-Sep-327.798% 0.00 297 20-Dec-32 3.47593% 20-Dec-327.798% 0.00 300 21-Mar-33 3.46635% 21-Mar-337.798% 0.00 303 20-Jun-33 3.45725% 20-Jun-337.798% 0.00 306 20-Sep-33 3.48494% 20-Sep-337.798% 0.00 309 20-Dec-33 3.44132% 20-Dec-337.798% 0.00 312 20-Mar-34 3.39869% 20-Mar-347.798% 0.00 315 20-Jun-34 3.46567% 20-Jun-347.799% 0.00 318 20-Sep-34 3.46213% 20-Sep-347.799% 0.00 321 20-Dec-34 3.42433% 20-Dec-347.799% 0.00 324 20-Mar-35 3.38865% 20-Mar-357.799% 0.00 327 20-Jun-35 3.46381% 20-Jun-357.799% 0.00 330 20-Sep-35 3.46980% 20-Sep-357.799% 0.00 333 20-Dec-35 3.44303% 20-Dec-357.799% 0.00 336 20-Mar-36 3.45614% 20-Mar-367.799% 0.00 339 20-Jun-36 3.50972% 20-Jun-367.799% 0.00 342 22-Sep-36 3.60447% 22-Sep-367.799% 0.00 345 22-Dec-36 3.52437% 22-Dec-367.799% 0.00 348 20-Mar-37 3.45018% 20-Mar-377.800% 0.00 351 22-Jun-37 3.70790% 22-Jun-377.800% 0.00 354 21-Sep-37 3.64918% 21-Sep-37

Page 25: Ch 6 Credit Derivatives

7.800% 0.00 357 21-Dec-37 3.70737% 21-Dec-377.800% 0.00 360 22-Mar-38 3.77571% 22-Mar-38

Page 26: Ch 6 Credit Derivatives

40%

Daycount IBOR DFs d Survival Hazard(Act/360) z-c rates

1 100.00%0.119 3.17% 0.996224 0.119 99.82% 0.18%0.375 3.10% 0.988428 0.256 98.84% 0.97%0.636 3.01% 0.981015 0.261 97.12% 1.72%0.889 2.90% 0.974509 0.253 95.90% 1.22%1.133 2.82% 0.968514 0.244 94.49% 1.40%1.394 2.77% 0.962150 0.261 92.60% 1.89%1.647 2.74% 0.955837 0.253 90.23% 2.37%1.900 2.75% 0.949178 0.253 87.41% 2.82%2.153 2.78% 0.941995 0.253 84.32% 3.09%2.406 2.83% 0.934209 0.253 80.93% 3.39%2.658 2.89% 0.925984 0.253 77.17% 3.76%2.911 2.96% 0.917454 0.253 73.25% 3.92%3.164 3.02% 0.908738 0.253 69.45% 3.79%3.417 3.09% 0.899900 0.253 66.01% 3.45%3.672 3.15% 0.890827 0.256 62.88% 3.12%3.925 3.21% 0.881706 0.253 60.11% 2.77%4.178 3.27% 0.872423 0.253 57.63% 2.48%4.433 3.33% 0.862876 0.256 55.36% 2.27%4.689 3.39% 0.853185 0.256 53.24% 2.12%4.942 3.44% 0.843476 0.253 51.20% 2.04%5.192 3.50% 0.833768 0.250 49.12% 2.08%5.447 3.56% 0.823763 0.256 47.04% 2.07%5.703 3.61% 0.813719 0.256 45.17% 1.87%5.956 3.67% 0.803786 0.253 43.49% 1.68%6.206 3.72% 0.793997 0.250 41.96% 1.53%6.461 3.77% 0.784055 0.256 40.51% 1.45%6.722 3.81% 0.773970 0.261 39.09% 1.41%6.975 3.85% 0.764288 0.253 37.75% 1.34%7.219 3.89% 0.755006 0.244 36.43% 1.32%7.481 3.93% 0.745171 0.261 35.04% 1.40%7.733 3.97% 0.735697 0.253 33.74% 1.30%

Page 27: Ch 6 Credit Derivatives

7.986 4.01% 0.726241 0.253 32.49% 1.24%8.239 4.04% 0.716774 0.253 31.30% 1.19%8.492 4.08% 0.707298 0.253 30.16% 1.14%8.747 4.11% 0.697746 0.256 29.05% 1.11%9.000 4.15% 0.688359 0.253 28.00% 1.05%9.250 4.18% 0.679169 0.250 27.00% 1.00%9.506 4.21% 0.669886 0.256 26.01% 0.98%9.761 4.25% 0.660717 0.256 25.06% 0.95%

10.014 4.27% 0.651760 0.253 24.15% 0.91%10.264 4.30% 0.643010 0.250 23.28% 0.87%10.519 4.33% 0.634176 0.256 22.42% 0.86%10.775 4.36% 0.625451 0.256 21.61% 0.82%11.028 4.38% 0.616923 0.253 20.84% 0.77%11.278 4.40% 0.608585 0.250 20.12% 0.72%11.533 4.43% 0.600159 0.256 19.41% 0.70%11.789 4.45% 0.591828 0.256 18.74% 0.67%12.042 4.47% 0.583677 0.253 18.11% 0.63%12.294 4.49% 0.575613 0.253 17.51% 0.60%12.556 4.51% 0.567374 0.261 16.92% 0.59%12.808 4.53% 0.559491 0.253 16.37% 0.55%13.061 4.55% 0.551705 0.253 15.85% 0.52%13.314 4.57% 0.544015 0.253 15.35% 0.50%13.567 4.59% 0.536428 0.253 14.86% 0.48%13.819 4.61% 0.528947 0.253 14.40% 0.47%14.072 4.63% 0.521573 0.253 13.94% 0.45%14.325 4.64% 0.514308 0.253 13.50% 0.44%14.578 4.66% 0.507157 0.253 13.07% 0.43%14.833 4.67% 0.500042 0.256 12.64% 0.43%15.086 4.69% 0.493122 0.253 12.23% 0.42%15.336 4.70% 0.486392 0.250 11.82% 0.41%15.592 4.71% 0.479632 0.256 11.41% 0.41%15.847 4.72% 0.472988 0.256 11.01% 0.40%16.100 4.74% 0.466528 0.253 10.63% 0.38%16.353 4.75% 0.460177 0.253 10.26% 0.37%16.608 4.76% 0.453864 0.256 9.90% 0.36%16.864 4.77% 0.447657 0.256 9.55% 0.35%17.117 4.77% 0.441619 0.253 9.21% 0.34%17.367 4.78% 0.435743 0.250 8.89% 0.32%17.622 4.79% 0.429835 0.256 8.57% 0.32%17.883 4.80% 0.423898 0.261 8.26% 0.31%18.136 4.81% 0.418245 0.253 7.96% 0.29%18.381 4.81% 0.412862 0.244 7.69% 0.28%18.642 4.82% 0.407204 0.261 7.40% 0.28%18.894 4.83% 0.401815 0.253 7.14% 0.27%

Page 28: Ch 6 Credit Derivatives

19.147 4.83% 0.396510 0.253 6.88% 0.26%19.400 4.84% 0.391285 0.253 6.63% 0.25%19.653 4.84% 0.386142 0.253 6.39% 0.24%19.906 4.85% 0.381078 0.253 6.16% 0.23%20.158 4.85% 0.376091 0.253 5.93% 0.22%20.411 4.86% 0.371178 0.253 5.72% 0.21%20.667 4.86% 0.366287 0.256 5.51% 0.21%20.922 4.86% 0.361471 0.256 5.31% 0.20%21.175 4.87% 0.356780 0.253 5.12% 0.19%21.425 4.87% 0.352210 0.250 4.94% 0.18%21.681 4.87% 0.347610 0.256 4.76% 0.18%21.936 4.88% 0.343082 0.256 4.58% 0.17%22.189 4.88% 0.338672 0.253 4.42% 0.16%22.439 4.88% 0.334377 0.250 4.26% 0.16%22.694 4.88% 0.330054 0.256 4.11% 0.15%22.950 4.89% 0.325800 0.256 3.96% 0.15%23.203 4.89% 0.321657 0.253 3.82% 0.14%23.453 4.89% 0.317622 0.250 3.69% 0.13%23.708 4.89% 0.313563 0.256 3.55% 0.13%23.969 4.89% 0.309481 0.261 3.43% 0.13%24.222 4.89% 0.305593 0.253 3.31% 0.12%24.475 4.90% 0.301765 0.253 3.19% 0.12%24.728 4.90% 0.297998 0.253 3.08% 0.11%24.981 4.90% 0.294290 0.253 2.97% 0.11%25.233 4.90% 0.290640 0.253 2.87% 0.10%25.486 4.90% 0.287047 0.253 2.77% 0.10%25.739 4.90% 0.283511 0.253 2.67% 0.10%25.994 4.90% 0.279992 0.256 2.58% 0.09%26.247 4.90% 0.276564 0.253 2.49% 0.09%26.497 4.90% 0.273224 0.250 2.41% 0.08%26.753 4.90% 0.269861 0.256 2.32% 0.08%27.008 4.90% 0.266548 0.256 2.24% 0.08%27.261 4.89% 0.263318 0.253 2.17% 0.08%27.511 4.89% 0.260168 0.250 2.09% 0.07%27.767 4.89% 0.256994 0.256 2.02% 0.07%28.022 4.89% 0.253864 0.256 1.95% 0.07%28.275 4.89% 0.250810 0.253 1.88% 0.07%28.528 4.89% 0.247797 0.253 1.82% 0.07%28.783 4.89% 0.244792 0.256 1.75% 0.06%29.044 4.89% 0.241762 0.261 1.69% 0.06%29.297 4.89% 0.238867 0.253 1.63% 0.06%29.542 4.89% 0.236102 0.244 1.57% 0.06%29.803 4.89% 0.233186 0.261 1.52% 0.06%30.056 4.88% 0.230398 0.253 1.46% 0.06%

Page 29: Ch 6 Credit Derivatives

30.308 4.88% 0.227645 0.253 1.41% 0.05%30.561 4.88% 0.224891 0.253 1.35% 0.05%

Page 30: Ch 6 Credit Derivatives

Accumulative AccumulativePremium Payment

0.118993 0.0011040.371125 0.0068840.624309 0.0170320.863541 0.0241701.090572 0.0323291.327962 0.0432321.551704 0.0568241.768202 0.0728781.976348 0.0903542.175473 0.1093422.364915 0.1302582.543882 0.1518472.712139 0.1725352.870129 0.1911563.020394 0.2078473.160543 0.2225103.293104 0.2355003.420184 0.2472593.540884 0.2581073.654395 0.2684483.761108 0.2788433.864509 0.2890903.962337 0.2982404.054114 0.3063654.140432 0.3136444.224502 0.3204734.306361 0.3270264.381890 0.3331764.451566 0.3391584.522455 0.3454024.587612 0.351139

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.00000%

1.00000%

2.00000%

3.00000%

4.00000%

5.00000%

6.00000%Estimating qu FDP curve using GM data

Page 31: Ch 6 Credit Derivatives

4.649545 0.3565624.708416 0.3616904.764377 0.3665394.818151 0.3711734.868699 0.3755174.916239 0.3795984.962456 0.3835535.006379 0.3873175.047672 0.3908735.086500 0.3942455.124230 0.3975085.160070 0.4005705.193765 0.4034145.225470 0.4060555.256322 0.4085865.285682 0.4109615.313336 0.4131675.339692 0.4152425.365637 0.4172575.389568 0.4190955.412402 0.4208295.434197 0.4224715.455007 0.4240295.474879 0.4255125.493857 0.4269295.511983 0.4282885.529293 0.4295975.545997 0.4308785.561758 0.4321115.576628 0.4333045.591115 0.4344855.604905 0.4356145.617891 0.4366825.630255 0.4377025.642156 0.4386885.653479 0.4396295.664138 0.4405195.674172 0.4413615.683938 0.4421825.693425 0.4429815.702155 0.4437215.710190 0.4444065.718362 0.4451015.725880 0.445743

Page 32: Ch 6 Credit Derivatives

5.733032 0.4463565.739834 0.4469395.746304 0.4474955.752459 0.4480255.758313 0.4485285.763881 0.4490065.769235 0.4494655.774325 0.4499015.779114 0.4503125.783621 0.4506975.788005 0.4510715.792175 0.4514275.796099 0.4517615.799794 0.4520755.803389 0.4523795.806811 0.4526685.810031 0.4529405.813065 0.4531955.816019 0.4534435.818891 0.4536835.821538 0.4539045.824059 0.4541145.826461 0.4543135.828751 0.4545025.830933 0.4546825.833013 0.4548545.834997 0.4550165.836909 0.4551735.838712 0.4553205.840413 0.4554595.842072 0.4555945.843654 0.4557225.845146 0.4558445.846554 0.4559585.847928 0.4560705.849238 0.4561775.850474 0.4562785.851652 0.4563745.852789 0.4564685.853896 0.4565605.854916 0.4566455.855857 0.4567255.856816 0.4568065.857699 0.456883

Page 33: Ch 6 Credit Derivatives

5.858539 0.4569575.859339 0.457028

Page 34: Ch 6 Credit Derivatives

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.00000%

1.00000%

2.00000%

3.00000%

4.00000%

5.00000%

6.00000%Estimating qu FDP curve using GM data

Page 35: Ch 6 Credit Derivatives
Page 36: Ch 6 Credit Derivatives
Page 37: Ch 6 Credit Derivatives
Page 38: Ch 6 Credit Derivatives

6.8: Hermitian interpolation

Input

t(i) r(i) r'(i) g(i) c(i) t(i+1) r(i+1) t m(i,t)0 0.0000% 7.9485% 1.2460% 1.4352% 0.500 2.7282%1 2.7282% 0.0939% -0.1892% 0.0000% 1.000 2.9644%1 2.9644% 0.8507% -0.7567% 0.6655% 2.000 4.5718% 0.12 0.2362 4.5718% 1.6986% -0.0912% 0.5125% 3.000 6.3616% 0.25 0.5003 6.3616% 1.3686% 1.6850% ### 5.000 7.4138% 0.50 0.0005 7.4138% 0.3143% 0.4236% ### 7.000 7.6188% 0.75 0.5007 7.6188% 0.0791% 0.1053% ### 10.000 7.7508% 1.00 0.000

10 7.7508% 0.0289% 0.1255% ### 15.000 7.7700% 1.25 0.25015 7.7700% 0.0039% -0.0004% 0.0054% 20.000 7.7900% 1.50 0.50020 7.7900% 0.0030% 0.0200% ### 30.000 7.8000% 1.75 0.75030 7.8000% 0.0007% 0.0133% ### 50.000 7.8000% 2.00 0.00050 7.8000% 2.25 0.250

2.50 0.5002.75 0.7503.00 0.0003.25 0.1253.50 0.2503.75 0.3754.00 0.5004.25 0.6254.50 0.7504.75 0.8755.00 0.0005.25 0.1255.50 0.2505.75 0.3756.00 0.5006.25 0.6256.50 0.7506.75 0.8757.00 0.0007.25 0.0837.50 0.1677.75 0.2508.00 0.3338.25 0.4178.50 0.5008.75 0.5839.00 0.6679.25 0.7509.50 0.8339.75 0.917

10.00 0.00010.25 0.05010.50 0.10010.75 0.15011.00 0.20011.25 0.250

Page 39: Ch 6 Credit Derivatives

11.50 0.30011.75 0.35012.00 0.40012.25 0.45012.50 0.50012.75 0.55013.00 0.60013.25 0.65013.50 0.70013.75 0.75014.00 0.80014.25 0.85014.50 0.90014.75 0.95015.00 0.00015.25 0.05015.50 0.10015.75 0.15016.00 0.20016.25 0.25016.50 0.30016.75 0.35017.00 0.40017.25 0.45017.50 0.50017.75 0.55018.00 0.60018.25 0.65018.50 0.70018.75 0.75019.00 0.80019.25 0.85019.50 0.90019.75 0.95020.00 0.00020.25 0.02520.50 0.05020.75 0.07521.00 0.10021.25 0.12521.50 0.15021.75 0.17522.00 0.20022.25 0.22522.50 0.25022.75 0.27523.00 0.30023.25 0.32523.50 0.35023.75 0.37524.00 0.40024.25 0.42524.50 0.45024.75 0.475

Page 40: Ch 6 Credit Derivatives

25.00 0.50025.25 0.52525.50 0.55025.75 0.57526.00 0.60026.25 0.62526.50 0.65026.75 0.67527.00 0.70027.25 0.72527.50 0.75027.75 0.77528.00 0.80028.25 0.82528.50 0.85028.75 0.87529.00 0.90029.25 0.92529.50 0.95029.75 0.97530.00 0.000

Page 41: Ch 6 Credit Derivatives

Output

r(i) r(i+1) g(i) c(i) r(t)

0.0000% 2.7282% 1.2460% 1.4352% 0.9281%0.0000% 2.7282% 1.2460% 1.4352% 1.8550%2.7282% 2.9644% -0.1892% 0.0000% 2.7282%2.7282% 2.9644% -0.1892% 0.0000% 2.7990%2.9644% 4.5718% -0.7567% 0.6655% 2.9644%2.9644% 4.5718% -0.7567% 0.6655% 3.2555%2.9644% 4.5718% -0.7567% 0.6655% 3.6621%2.9644% 4.5718% -0.7567% 0.6655% 4.1216%4.5718% 6.3616% -0.0912% 0.5125% 4.5718%4.5718% 6.3616% -0.0912% 0.5125% 5.0261%4.5718% 6.3616% -0.0912% 0.5125% 5.5079%4.5718% 6.3616% -0.0912% 0.5125% 5.9691%6.3616% 7.4138% 1.6850% -1.2613% 6.3616%6.3616% 7.4138% 1.6850% -1.2613% 6.6602%6.3616% 7.4138% 1.6850% -1.2613% 6.8815%6.3616% 7.4138% 1.6850% -1.2613% 7.0402%6.3616% 7.4138% 1.6850% -1.2613% 7.1513%6.3616% 7.4138% 1.6850% -1.2613% 7.2294%6.3616% 7.4138% 1.6850% -1.2613% 7.2893%6.3616% 7.4138% 1.6850% -1.2613% 7.3459%7.4138% 7.6188% 0.4236% -0.3768% 7.4138%7.4138% 7.6188% 0.4236% -0.3768% 7.4807%7.4138% 7.6188% 0.4236% -0.3768% 7.5269%7.4138% 7.6188% 0.4236% -0.3768% 7.5569%7.4138% 7.6188% 0.4236% -0.3768% 7.5751%7.4138% 7.6188% 0.4236% -0.3768% 7.5861%7.4138% 7.6188% 0.4236% -0.3768% 7.5940%7.4138% 7.6188% 0.4236% -0.3768% 7.6035%7.6188% 7.7508% 0.1053% -0.0602% 7.6188%7.6188% 7.7508% 0.1053% -0.0602% 7.6375%7.6188% 7.7508% 0.1053% -0.0602% 7.6541%7.6188% 7.7508% 0.1053% -0.0602% 7.6688%7.6188% 7.7508% 0.1053% -0.0602% 7.6818%7.6188% 7.7508% 0.1053% -0.0602% 7.6933%7.6188% 7.7508% 0.1053% -0.0602% 7.7036%7.6188% 7.7508% 0.1053% -0.0602% 7.7129%7.6188% 7.7508% 0.1053% -0.0602% 7.7213%7.6188% 7.7508% 0.1053% -0.0602% 7.7291%7.6188% 7.7508% 0.1053% -0.0602% 7.7365%7.6188% 7.7508% 0.1053% -0.0602% 7.7436%7.7508% 7.7700% 0.1255% -0.1259% 7.7508%7.7508% 7.7700% 0.1255% -0.1259% 7.7574%7.7508% 7.7700% 0.1255% -0.1259% 7.7629%7.7508% 7.7700% 0.1255% -0.1259% 7.7673%7.7508% 7.7700% 0.1255% -0.1259% 7.7707%7.7508% 7.7700% 0.1255% -0.1259% 7.7732%

0.00 5.00 10.00 15.00 20.00 25.00 30.000.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%

7.0000%

8.0000%

9.0000%

Page 42: Ch 6 Credit Derivatives

7.7508% 7.7700% 0.1255% -0.1259% 7.7750%7.7508% 7.7700% 0.1255% -0.1259% 7.7760%7.7508% 7.7700% 0.1255% -0.1259% 7.7765%7.7508% 7.7700% 0.1255% -0.1259% 7.7765%7.7508% 7.7700% 0.1255% -0.1259% 7.7760%7.7508% 7.7700% 0.1255% -0.1259% 7.7753%7.7508% 7.7700% 0.1255% -0.1259% 7.7743%7.7508% 7.7700% 0.1255% -0.1259% 7.7732%7.7508% 7.7700% 0.1255% -0.1259% 7.7721%7.7508% 7.7700% 0.1255% -0.1259% 7.7710%7.7508% 7.7700% 0.1255% -0.1259% 7.7701%7.7508% 7.7700% 0.1255% -0.1259% 7.7695%7.7508% 7.7700% 0.1255% -0.1259% 7.7692%7.7508% 7.7700% 0.1255% -0.1259% 7.7693%7.7700% 7.7900% -0.0004% 0.0054% 7.7700%7.7700% 7.7900% -0.0004% 0.0054% 7.7710%7.7700% 7.7900% -0.0004% 0.0054% 7.7720%7.7700% 7.7900% -0.0004% 0.0054% 7.7731%7.7700% 7.7900% -0.0004% 0.0054% 7.7741%7.7700% 7.7900% -0.0004% 0.0054% 7.7752%7.7700% 7.7900% -0.0004% 0.0054% 7.7763%7.7700% 7.7900% -0.0004% 0.0054% 7.7773%7.7700% 7.7900% -0.0004% 0.0054% 7.7784%7.7700% 7.7900% -0.0004% 0.0054% 7.7795%7.7700% 7.7900% -0.0004% 0.0054% 7.7806%7.7700% 7.7900% -0.0004% 0.0054% 7.7816%7.7700% 7.7900% -0.0004% 0.0054% 7.7827%7.7700% 7.7900% -0.0004% 0.0054% 7.7837%7.7700% 7.7900% -0.0004% 0.0054% 7.7847%7.7700% 7.7900% -0.0004% 0.0054% 7.7857%7.7700% 7.7900% -0.0004% 0.0054% 7.7866%7.7700% 7.7900% -0.0004% 0.0054% 7.7875%7.7700% 7.7900% -0.0004% 0.0054% 7.7884%7.7700% 7.7900% -0.0004% 0.0054% 7.7892%7.7900% 7.8000% 0.0200% -0.0167% 7.7900%7.7900% 7.8000% 0.0200% -0.0167% 7.7907%7.7900% 7.8000% 0.0200% -0.0167% 7.7914%7.7900% 7.8000% 0.0200% -0.0167% 7.7921%7.7900% 7.8000% 0.0200% -0.0167% 7.7927%7.7900% 7.8000% 0.0200% -0.0167% 7.7932%7.7900% 7.8000% 0.0200% -0.0167% 7.7937%7.7900% 7.8000% 0.0200% -0.0167% 7.7942%7.7900% 7.8000% 0.0200% -0.0167% 7.7947%7.7900% 7.8000% 0.0200% -0.0167% 7.7951%7.7900% 7.8000% 0.0200% -0.0167% 7.7955%7.7900% 7.8000% 0.0200% -0.0167% 7.7958%7.7900% 7.8000% 0.0200% -0.0167% 7.7962%7.7900% 7.8000% 0.0200% -0.0167% 7.7964%7.7900% 7.8000% 0.0200% -0.0167% 7.7967%7.7900% 7.8000% 0.0200% -0.0167% 7.7970%7.7900% 7.8000% 0.0200% -0.0167% 7.7972%7.7900% 7.8000% 0.0200% -0.0167% 7.7974%7.7900% 7.8000% 0.0200% -0.0167% 7.7976%7.7900% 7.8000% 0.0200% -0.0167% 7.7978%

Page 43: Ch 6 Credit Derivatives

7.7900% 7.8000% 0.0200% -0.0167% 7.7979%7.7900% 7.8000% 0.0200% -0.0167% 7.7981%7.7900% 7.8000% 0.0200% -0.0167% 7.7982%7.7900% 7.8000% 0.0200% -0.0167% 7.7983%7.7900% 7.8000% 0.0200% -0.0167% 7.7984%7.7900% 7.8000% 0.0200% -0.0167% 7.7985%7.7900% 7.8000% 0.0200% -0.0167% 7.7986%7.7900% 7.8000% 0.0200% -0.0167% 7.7987%7.7900% 7.8000% 0.0200% -0.0167% 7.7988%7.7900% 7.8000% 0.0200% -0.0167% 7.7988%7.7900% 7.8000% 0.0200% -0.0167% 7.7989%7.7900% 7.8000% 0.0200% -0.0167% 7.7990%7.7900% 7.8000% 0.0200% -0.0167% 7.7991%7.7900% 7.8000% 0.0200% -0.0167% 7.7992%7.7900% 7.8000% 0.0200% -0.0167% 7.7992%7.7900% 7.8000% 0.0200% -0.0167% 7.7993%7.7900% 7.8000% 0.0200% -0.0167% 7.7995%7.7900% 7.8000% 0.0200% -0.0167% 7.7996%7.7900% 7.8000% 0.0200% -0.0167% 7.7997%7.7900% 7.8000% 0.0200% -0.0167% 7.7998%7.8000% 7.8000% 0.0133% -0.0133% 7.8000%

Page 44: Ch 6 Credit Derivatives

0.00 5.00 10.00 15.00 20.00 25.00 30.000.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%

7.0000%

8.0000%

9.0000%

Page 45: Ch 6 Credit Derivatives
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6.9: Estimating FDP curve using monthly time periods

Given a set of GM CDS pricesYears CDS margins

Maturity CDSprices

0.5 2.728% 0.118 0.928% 1 2.964% 0.250 1.855% 2 4.572% 0.500 2.728% 3 6.362% 0.750 2.799% 5 7.414% 1.000 2.964% 7 7.619% 1.250 3.256% 10 7.751% 1.500 3.662% 15 7.770% 1.750 4.122% 20 7.790% 2.000 4.572% 30 7.800% 2.250 5.026%

2.500 5.508%2.750 5.969%3.000 6.362%3.250 6.660%3.500 6.881%3.750 7.040%4.000 7.151%4.250 7.229%4.500 7.289%4.750 7.346%5.000 7.414%5.250 7.481%5.500 7.527%5.750 7.557%6.000 7.575%6.250 7.586%6.500 7.594%6.750 7.603%7.000 7.619%7.250 7.637%7.500 7.654%

Bootstrap Curve

Page 48: Ch 6 Credit Derivatives

7.750 7.669%8.000 7.682%8.250 7.693%8.500 7.704%8.750 7.713%9.000 7.721%9.250 7.729%9.500 7.736%9.750 7.744%

10.000 7.751%10.250 7.757%10.500 7.763%10.750 7.767%11.000 7.771%11.250 7.773%11.500 7.775%11.750 7.776%12.000 7.777%12.250 7.776%12.500 7.776%12.750 7.775%13.000 7.774%13.250 7.773%13.500 7.772%13.750 7.771%14.000 7.770%14.250 7.769%14.500 7.769%14.750 7.769%15.000 7.770%15.250 7.771%15.500 7.772%15.750 7.773%16.000 7.774%16.250 7.775%16.500 7.776%16.750 7.777%17.000 7.778%17.250 7.780%17.500 7.781%17.750 7.782%18.000 7.783%18.250 7.784%18.500 7.785%

Page 49: Ch 6 Credit Derivatives

18.750 7.786%19.000 7.787%19.250 7.788%19.500 7.788%19.750 7.789%20.000 7.790%20.250 7.791%20.500 7.791%20.750 7.792%21.000 7.793%21.250 7.793%21.500 7.794%21.750 7.794%22.000 7.795%22.250 7.795%22.500 7.795%22.750 7.796%23.000 7.796%23.250 7.796%23.500 7.797%23.750 7.797%24.000 7.797%24.250 7.797%24.500 7.798%24.750 7.798%25.000 7.798%25.250 7.798%25.500 7.798%25.750 7.798%26.000 7.798%26.250 7.798%26.500 7.799%26.750 7.799%27.000 7.799%27.250 7.799%27.500 7.799%27.750 7.799%28.000 7.799%28.250 7.799%28.500 7.799%28.750 7.799%29.000 7.799%29.250 7.800%29.500 7.800%

Page 50: Ch 6 Credit Derivatives

29.750 7.800%30.000 7.800%

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Page 55: Ch 6 Credit Derivatives
Page 56: Ch 6 Credit Derivatives

6.9: Estimating FDP curve using monthly time periods

Estimated Estimated ErrorCDS margins periodic FDP

6-Feb-080.928% 0.185% 0.00 0 20-Mar-081.855% 0.325% 0.00 1 21-Apr-082.728% 0.581% 0.00 2 20-May-082.799% 0.418% 0.00 3 20-Jun-082.964% 0.487% 0.00 4 21-Jul-083.256% 0.665% 0.00 5 20-Aug-083.662% 0.852% 0.00 6 22-Sep-084.122% 1.041% 0.00 7 20-Oct-084.572% 1.179% 0.00 8 20-Nov-085.026% 1.339% 0.00 9 22-Dec-085.508% 1.551% 0.00 10 20-Jan-095.969% 1.695% 0.00 11 20-Feb-096.362% 1.727% 0.00 12 20-Mar-096.660% 1.652% 0.00 13 20-Apr-096.881% 1.573% 0.00 14 20-May-097.040% 1.464% 0.00 15 22-Jun-097.151% 1.371% 0.00 16 20-Jul-097.229% 1.308% 0.00 17 20-Aug-097.289% 1.270% 0.00 18 21-Sep-097.346% 1.274% 0.00 19 20-Oct-097.414% 1.347% 0.00 20 20-Nov-097.481% 1.400% 0.00 21 21-Dec-097.527% 1.321% 0.00 22 20-Jan-107.557% 1.237% 0.00 23 22-Feb-107.575% 1.166% 0.00 24 22-Mar-107.586% 1.148% 0.00 25 20-Apr-107.594% 1.155% 0.00 26 20-May-107.603% 1.137% 0.00 27 21-Jun-107.619% 1.160% 0.00 28 20-Jul-107.637% 1.270% 0.00 29 20-Aug-107.654% 1.229% 0.00 30 20-Sep-10

Page 57: Ch 6 Credit Derivatives

7.669% 1.222% 0.00 31 20-Oct-107.682% 1.217% 0.00 32 22-Nov-107.693% 1.210% 0.00 33 20-Dec-107.704% 1.216% 0.00 34 20-Jan-117.713% 1.200% 0.00 35 21-Feb-117.721% 1.186% 0.00 36 21-Mar-117.729% 1.208% 0.00 37 20-Apr-117.736% 1.209% 0.00 38 20-May-117.744% 1.202% 0.00 39 20-Jun-117.751% 1.199% 0.00 40 20-Jul-117.757% 1.221% 0.00 41 22-Aug-117.763% 1.205% 0.00 42 20-Sep-117.767% 1.179% 0.00 43 20-Oct-117.771% 1.151% 0.00 44 21-Nov-117.773% 1.159% 0.00 45 20-Dec-117.775% 1.142% 0.00 46 20-Jan-127.776% 1.115% 0.00 47 20-Feb-127.777% 1.100% 0.00 48 20-Mar-127.776% 1.121% 0.00 49 20-Apr-127.776% 1.073% 0.00 50 21-May-127.775% 1.062% 0.00 51 20-Jun-127.774% 1.054% 0.00 52 20-Jul-127.773% 1.047% 0.00 53 20-Aug-127.772% 1.044% 0.00 54 20-Sep-127.771% 1.045% 0.00 55 22-Oct-127.770% 1.049% 0.00 56 20-Nov-127.769% 1.057% 0.00 57 20-Dec-127.769% 1.085% 0.00 58 21-Jan-137.769% 1.093% 0.00 59 20-Feb-137.770% 1.109% 0.00 60 20-Mar-137.771% 1.151% 0.00 61 22-Apr-137.772% 1.155% 0.00 62 20-May-137.773% 1.148% 0.00 63 20-Jun-137.774% 1.153% 0.00 64 22-Jul-137.775% 1.169% 0.00 65 20-Aug-137.776% 1.173% 0.00 66 20-Sep-137.777% 1.165% 0.00 67 21-Oct-137.778% 1.158% 0.00 68 20-Nov-137.780% 1.186% 0.00 69 20-Dec-137.781% 1.213% 0.00 70 20-Jan-147.782% 1.181% 0.00 71 20-Feb-147.783% 1.150% 0.00 72 20-Mar-147.784% 1.224% 0.00 73 21-Apr-147.785% 1.191% 0.00 74 20-May-14

Page 58: Ch 6 Credit Derivatives

7.786% 1.194% 0.00 75 20-Jun-147.787% 1.196% 0.00 76 21-Jul-147.788% 1.197% 0.00 77 20-Aug-147.788% 1.198% 0.00 78 22-Sep-147.789% 1.199% 0.00 79 20-Oct-147.790% 1.198% 0.00 80 20-Nov-147.791% 1.208% 0.00 81 22-Dec-147.791% 1.207% 0.00 82 20-Jan-157.792% 1.193% 0.00 83 20-Feb-157.793% 1.181% 0.00 84 20-Mar-157.793% 1.202% 0.00 85 20-Apr-157.794% 1.201% 0.00 86 20-May-157.794% 1.184% 0.00 87 22-Jun-157.795% 1.174% 0.00 88 20-Jul-157.795% 1.191% 0.00 89 20-Aug-157.795% 1.192% 0.00 90 21-Sep-157.796% 1.174% 0.00 91 20-Oct-157.796% 1.163% 0.00 92 20-Nov-157.796% 1.180% 0.00 93 21-Dec-157.797% 1.204% 0.00 94 20-Jan-167.797% 1.161% 0.00 95 22-Feb-167.797% 1.161% 0.00 96 21-Mar-167.797% 1.158% 0.00 97 20-Apr-167.798% 1.150% 0.00 98 20-May-167.798% 1.152% 0.00 99 20-Jun-167.798% 1.146% 0.00 100 20-Jul-167.798% 1.142% 0.00 101 22-Aug-167.798% 1.158% 0.00 102 20-Sep-167.798% 1.138% 0.00 103 20-Oct-167.798% 1.130% 0.00 104 21-Nov-167.798% 1.146% 0.00 105 20-Dec-167.799% 1.151% 0.00 106 20-Jan-177.799% 1.132% 0.00 107 20-Feb-177.799% 1.121% 0.00 108 20-Mar-177.799% 1.145% 0.00 109 20-Apr-177.799% 1.147% 0.00 110 22-May-177.799% 1.150% 0.00 111 20-Jun-177.799% 1.139% 0.00 112 20-Jul-177.799% 1.159% 0.00 113 21-Aug-177.799% 1.201% 0.00 114 20-Sep-177.799% 1.161% 0.00 115 20-Oct-177.799% 1.137% 0.00 116 20-Nov-177.800% 1.220% 0.00 117 20-Dec-177.800% 1.211% 0.00 118 22-Jan-18

Page 59: Ch 6 Credit Derivatives

7.800% 1.228% 0.00 119 20-Feb-187.800% 1.237% 0.00 120 20-Mar-18

121 20-Apr-18122 21-May-18123 20-Jun-18124 20-Jul-18125 20-Aug-18126 20-Sep-18127 22-Oct-18128 20-Nov-18129 20-Dec-18130 21-Jan-19131 20-Feb-19132 20-Mar-19133 22-Apr-19134 20-May-19135 20-Jun-19136 22-Jul-19137 20-Aug-19138 20-Sep-19139 21-Oct-19140 20-Nov-19141 20-Dec-19142 20-Jan-20143 20-Feb-20144 20-Mar-20145 20-Apr-20146 20-May-20147 22-Jun-20148 20-Jul-20149 20-Aug-20150 21-Sep-20151 20-Oct-20152 20-Nov-20153 21-Dec-20154 20-Jan-21155 22-Feb-21156 22-Mar-21157 20-Apr-21158 20-May-21159 21-Jun-21160 20-Jul-21161 20-Aug-21162 20-Sep-21

Page 60: Ch 6 Credit Derivatives

163 20-Oct-21164 22-Nov-21165 20-Dec-21166 20-Jan-22167 21-Feb-22168 21-Mar-22169 20-Apr-22170 20-May-22171 20-Jun-22172 20-Jul-22173 22-Aug-22174 20-Sep-22175 20-Oct-22176 21-Nov-22177 20-Dec-22178 20-Jan-23179 20-Feb-23180 20-Mar-23181 20-Apr-23182 22-May-23183 20-Jun-23184 20-Jul-23185 21-Aug-23186 20-Sep-23187 20-Oct-23188 20-Nov-23189 20-Dec-23190 22-Jan-24191 20-Feb-24192 20-Mar-24193 22-Apr-24194 20-May-24195 20-Jun-24196 22-Jul-24197 20-Aug-24198 20-Sep-24199 21-Oct-24200 20-Nov-24201 20-Dec-24202 20-Jan-25203 20-Feb-25204 20-Mar-25205 21-Apr-25206 20-May-25

Page 61: Ch 6 Credit Derivatives

207 20-Jun-25208 21-Jul-25209 20-Aug-25210 22-Sep-25211 20-Oct-25212 20-Nov-25213 22-Dec-25214 20-Jan-26215 20-Feb-26216 20-Mar-26217 20-Apr-26218 20-May-26219 22-Jun-26220 20-Jul-26221 20-Aug-26222 21-Sep-26223 20-Oct-26224 20-Nov-26225 21-Dec-26226 20-Jan-27227 22-Feb-27228 22-Mar-27229 20-Apr-27230 20-May-27231 21-Jun-27232 20-Jul-27233 20-Aug-27234 20-Sep-27235 20-Oct-27236 22-Nov-27237 20-Dec-27238 20-Jan-28239 21-Feb-28240 20-Mar-28241 20-Apr-28242 22-May-28243 20-Jun-28244 20-Jul-28245 21-Aug-28246 20-Sep-28247 20-Oct-28248 20-Nov-28249 20-Dec-28250 22-Jan-29

Page 62: Ch 6 Credit Derivatives

251 20-Feb-29252 20-Mar-29253 20-Apr-29254 21-May-29255 20-Jun-29256 20-Jul-29257 20-Aug-29258 20-Sep-29259 22-Oct-29260 20-Nov-29261 20-Dec-29262 21-Jan-30263 20-Feb-30264 20-Mar-30265 22-Apr-30266 20-May-30267 20-Jun-30268 22-Jul-30269 20-Aug-30270 20-Sep-30271 21-Oct-30272 20-Nov-30273 20-Dec-30274 20-Jan-31275 20-Feb-31276 20-Mar-31277 21-Apr-31278 20-May-31279 20-Jun-31280 21-Jul-31281 20-Aug-31282 22-Sep-31283 20-Oct-31284 20-Nov-31285 22-Dec-31286 20-Jan-32287 20-Feb-32288 22-Mar-32289 20-Apr-32290 20-May-32291 21-Jun-32292 20-Jul-32293 20-Aug-32294 20-Sep-32

Page 63: Ch 6 Credit Derivatives

295 20-Oct-32296 22-Nov-32297 20-Dec-32298 20-Jan-33299 21-Feb-33300 21-Mar-33301 20-Apr-33302 20-May-33303 20-Jun-33304 20-Jul-33305 22-Aug-33306 20-Sep-33307 20-Oct-33308 21-Nov-33309 20-Dec-33310 20-Jan-34311 20-Feb-34312 20-Mar-34313 20-Apr-34314 22-May-34315 20-Jun-34316 20-Jul-34317 21-Aug-34318 20-Sep-34319 20-Oct-34320 20-Nov-34321 20-Dec-34322 22-Jan-35323 20-Feb-35324 20-Mar-35325 20-Apr-35326 21-May-35327 20-Jun-35328 20-Jul-35329 20-Aug-35330 20-Sep-35331 22-Oct-35332 20-Nov-35333 20-Dec-35334 21-Jan-36335 20-Feb-36336 20-Mar-36337 21-Apr-36338 20-May-36

Page 64: Ch 6 Credit Derivatives

339 20-Jun-36340 21-Jul-36341 20-Aug-36342 22-Sep-36343 20-Oct-36344 20-Nov-36345 22-Dec-36346 20-Jan-37347 20-Feb-37348 20-Mar-37349 20-Apr-37350 20-May-37351 22-Jun-37352 20-Jul-37353 20-Aug-37354 21-Sep-37355 20-Oct-37356 20-Nov-37357 21-Dec-37358 20-Jan-38359 22-Feb-38360 22-Mar-38

Page 65: Ch 6 Credit Derivatives

Recovery rate 40%

FDPs Daycount IBOR DFs d(Act/360) z-c rates

6-Feb-08 10.18477% 20-Mar-08 0.119 3.17% 0.996224 0.1190.32485% 21-Apr-08 0.208 3.14% 0.993472 0.0890.32485% 20-May-08 0.289 3.12% 0.991017 0.1690.32485% 20-Jun-08 0.375 3.10% 0.988428 0.2560.58060% 21-Jul-08 0.461 3.08% 0.985881 0.0860.58060% 20-Aug-08 0.544 3.06% 0.983502 0.1690.58060% 22-Sep-08 0.636 3.01% 0.981015 0.2610.41799% 20-Oct-08 0.714 2.98% 0.978970 0.0780.41799% 20-Nov-08 0.800 2.94% 0.976754 0.1640.41799% 22-Dec-08 0.889 2.90% 0.974509 0.2530.48709% 20-Jan-09 0.969 2.87% 0.972531 0.0810.48709% 20-Feb-09 1.056 2.84% 0.970427 0.1670.48709% 20-Mar-09 1.133 2.82% 0.968514 0.2440.66516% 20-Apr-09 1.219 2.80% 0.966438 0.0860.66516% 20-May-09 1.303 2.78% 0.964414 0.1690.66516% 22-Jun-09 1.394 2.77% 0.962150 0.2610.85217% 20-Jul-09 1.472 2.75% 0.960253 0.0780.85217% 20-Aug-09 1.558 2.75% 0.958113 0.1640.85217% 21-Sep-09 1.647 2.74% 0.955837 0.2531.04084% 20-Oct-09 1.728 2.74% 0.953784 0.0811.04084% 20-Nov-09 1.814 2.74% 0.951526 0.1671.04084% 21-Dec-09 1.900 2.75% 0.949178 0.2531.17894% 20-Jan-10 1.983 2.75% 0.946901 0.0831.17894% 22-Feb-10 2.075 2.76% 0.944307 0.1751.17894% 22-Mar-10 2.153 2.78% 0.941995 0.2531.33859% 20-Apr-10 2.233 2.79% 0.939585 0.0811.33859% 20-May-10 2.317 2.81% 0.937025 0.1641.33859% 21-Jun-10 2.406 2.83% 0.934209 0.2531.55073% 20-Jul-10 2.486 2.85% 0.931634 0.0811.55073% 20-Aug-10 2.572 2.87% 0.928836 0.1671.55073% 20-Sep-10 2.658 2.89% 0.925984 0.253

Page 66: Ch 6 Credit Derivatives

1.69513% 20-Oct-10 2.742 2.91% 0.923198 0.0831.69513% 22-Nov-10 2.833 2.94% 0.920104 0.1751.69513% 20-Dec-10 2.911 2.96% 0.917454 0.2531.72683% 20-Jan-11 2.997 2.98% 0.914494 0.0861.72683% 21-Feb-11 3.086 3.01% 0.911427 0.1751.72683% 21-Mar-11 3.164 3.02% 0.908738 0.2531.65227% 20-Apr-11 3.247 3.05% 0.905835 0.0831.65227% 20-May-11 3.331 3.07% 0.902920 0.1671.65227% 20-Jun-11 3.417 3.09% 0.899900 0.2531.57313% 20-Jul-11 3.500 3.11% 0.896956 0.0831.57313% 22-Aug-11 3.592 3.13% 0.893700 0.1751.57313% 20-Sep-11 3.672 3.15% 0.890827 0.2561.46431% 20-Oct-11 3.756 3.17% 0.887837 0.0831.46431% 21-Nov-11 3.844 3.19% 0.884628 0.1721.46431% 20-Dec-11 3.925 3.21% 0.881706 0.2531.37094% 20-Jan-12 4.011 3.23% 0.878562 0.0861.37094% 20-Feb-12 4.097 3.25% 0.875399 0.1721.37094% 20-Mar-12 4.178 3.27% 0.872423 0.2531.30822% 20-Apr-12 4.264 3.29% 0.869222 0.0861.30822% 21-May-12 4.350 3.31% 0.866005 0.1721.30822% 20-Jun-12 4.433 3.33% 0.862876 0.2561.27006% 20-Jul-12 4.517 3.35% 0.859729 0.0831.27006% 20-Aug-12 4.603 3.37% 0.856464 0.1691.27006% 20-Sep-12 4.689 3.39% 0.853185 0.2561.27373% 22-Oct-12 4.778 3.41% 0.849782 0.0891.27373% 20-Nov-12 4.858 3.43% 0.846688 0.1691.27373% 20-Dec-12 4.942 3.44% 0.843476 0.2531.34711% 21-Jan-13 5.031 3.47% 0.840035 0.0891.34711% 20-Feb-13 5.114 3.48% 0.836798 0.1721.34711% 20-Mar-13 5.192 3.50% 0.833768 0.2501.40033% 22-Apr-13 5.283 3.52% 0.830183 0.0921.40033% 20-May-13 5.361 3.54% 0.827137 0.1691.40033% 20-Jun-13 5.447 3.56% 0.823763 0.2561.32106% 22-Jul-13 5.536 3.58% 0.820267 0.0891.32106% 20-Aug-13 5.617 3.60% 0.817100 0.1691.32106% 20-Sep-13 5.703 3.61% 0.813719 0.2561.23708% 21-Oct-13 5.789 3.63% 0.810327 0.0861.23708% 20-Nov-13 5.872 3.65% 0.807051 0.1691.23708% 20-Dec-13 5.956 3.67% 0.803786 0.2531.16601% 20-Jan-14 6.042 3.69% 0.800402 0.0861.16601% 20-Feb-14 6.128 3.70% 0.797029 0.1721.16601% 20-Mar-14 6.206 3.72% 0.793997 0.2501.14800% 21-Apr-14 6.294 3.73% 0.790524 0.0891.14800% 20-May-14 6.375 3.75% 0.787389 0.169

Page 67: Ch 6 Credit Derivatives

1.14800% 20-Jun-14 6.461 3.77% 0.784055 0.2561.15539% 21-Jul-14 6.547 3.78% 0.780713 0.0861.15539% 20-Aug-14 6.631 3.80% 0.777493 0.1691.15539% 22-Sep-14 6.722 3.81% 0.773970 0.2611.13722% 20-Oct-14 6.800 3.82% 0.770976 0.0781.13722% 20-Nov-14 6.886 3.84% 0.767675 0.1641.13722% 22-Dec-14 6.975 3.85% 0.764288 0.2531.15991% 20-Jan-15 7.056 3.87% 0.761214 0.0811.15991% 20-Feb-15 7.142 3.88% 0.757943 0.1671.15991% 20-Mar-15 7.219 3.89% 0.755006 0.2441.27029% 20-Apr-15 7.306 3.91% 0.751751 0.0861.27029% 20-May-15 7.389 3.92% 0.748611 0.1691.27029% 22-Jun-15 7.481 3.93% 0.745171 0.2611.22862% 20-Jul-15 7.558 3.94% 0.742250 0.0781.22862% 20-Aug-15 7.644 3.96% 0.739022 0.1641.22862% 21-Sep-15 7.733 3.97% 0.735697 0.2531.22235% 20-Oct-15 7.814 3.98% 0.732682 0.0811.22235% 20-Nov-15 7.900 3.99% 0.729461 0.1671.22235% 21-Dec-15 7.986 4.01% 0.726241 0.2531.21652% 20-Jan-16 8.069 4.02% 0.723124 0.0831.21652% 22-Feb-16 8.161 4.03% 0.719692 0.1751.21652% 21-Mar-16 8.239 4.04% 0.716774 0.2531.20966% 20-Apr-16 8.322 4.05% 0.713648 0.0831.20966% 20-May-16 8.406 4.07% 0.710523 0.1671.20966% 20-Jun-16 8.492 4.08% 0.707298 0.2531.21633% 20-Jul-16 8.575 4.09% 0.704176 0.0831.21633% 22-Aug-16 8.667 4.10% 0.700749 0.1751.21633% 20-Sep-16 8.747 4.11% 0.697746 0.2561.20015% 20-Oct-16 8.831 4.13% 0.694639 0.0831.20015% 21-Nov-16 8.919 4.14% 0.691337 0.1721.20015% 20-Dec-16 9.000 4.15% 0.688359 0.2531.18578% 20-Jan-17 9.086 4.16% 0.685177 0.0861.18578% 20-Feb-17 9.172 4.17% 0.682010 0.1721.18578% 20-Mar-17 9.250 4.18% 0.679169 0.2501.20821% 20-Apr-17 9.336 4.19% 0.676024 0.0861.20821% 22-May-17 9.425 4.20% 0.672794 0.1751.20821% 20-Jun-17 9.506 4.21% 0.669886 0.2561.20936% 20-Jul-17 9.589 4.23% 0.666880 0.0831.20936% 21-Aug-17 9.678 4.24% 0.663689 0.1721.20936% 20-Sep-17 9.761 4.25% 0.660717 0.2561.20209% 20-Oct-17 9.844 4.26% 0.657747 0.0831.20209% 20-Nov-17 9.931 4.27% 0.654695 0.1691.20209% 20-Dec-17 10.014 4.27% 0.651760 0.2531.19940% 22-Jan-18 10.106 4.29% 0.648535 0.092

Page 68: Ch 6 Credit Derivatives

1.19940% 20-Feb-18 10.186 4.29% 0.645716 0.1721.19940% 20-Mar-18 10.264 4.30% 0.643010 0.2501.22060% 20-Apr-18 10.350 4.31% 0.640017 0.0861.22060% 21-May-18 10.436 4.32% 0.637040 0.1721.22060% 20-Jun-18 10.519 4.33% 0.634176 0.2561.20528% 20-Jul-18 10.603 4.34% 0.631316 0.0831.20528% 20-Aug-18 10.689 4.35% 0.628375 0.1691.20528% 20-Sep-18 10.775 4.36% 0.625451 0.2561.17853% 22-Oct-18 10.864 4.36% 0.622437 0.0891.17853% 20-Nov-18 10.944 4.37% 0.619720 0.1691.17853% 20-Dec-18 11.028 4.38% 0.616923 0.2531.15113% 21-Jan-19 11.117 4.39% 0.613946 0.0891.15113% 20-Feb-19 11.200 4.40% 0.611167 0.1721.15113% 20-Mar-19 11.278 4.40% 0.608585 0.2501.15851% 22-Apr-19 11.369 4.41% 0.605549 0.0921.15851% 20-May-19 11.447 4.42% 0.602985 0.1691.15851% 20-Jun-19 11.533 4.43% 0.600159 0.2561.14249% 22-Jul-19 11.622 4.43% 0.597248 0.0891.14249% 20-Aug-19 11.703 4.44% 0.594622 0.1691.14249% 20-Sep-19 11.789 4.45% 0.591828 0.2561.11519% 21-Oct-19 11.875 4.46% 0.589039 0.0861.11519% 20-Nov-19 11.958 4.46% 0.586352 0.1691.11519% 20-Dec-19 12.042 4.47% 0.583677 0.2531.10006% 20-Jan-20 12.128 4.48% 0.580919 0.0861.10006% 20-Feb-20 12.214 4.49% 0.578172 0.1721.10006% 20-Mar-20 12.294 4.49% 0.575613 0.2531.12109% 20-Apr-20 12.381 4.50% 0.572883 0.0861.12109% 20-May-20 12.464 4.51% 0.570253 0.1691.12109% 22-Jun-20 12.556 4.51% 0.567374 0.2611.07292% 20-Jul-20 12.633 4.52% 0.564937 0.0781.07292% 20-Aug-20 12.719 4.53% 0.562250 0.1641.07292% 21-Sep-20 12.808 4.53% 0.559491 0.2531.06217% 20-Oct-20 12.889 4.54% 0.556997 0.0811.06217% 20-Nov-20 12.975 4.55% 0.554344 0.1671.06217% 21-Dec-20 13.061 4.55% 0.551705 0.2531.05409% 20-Jan-21 13.144 4.56% 0.549158 0.0831.05409% 22-Feb-21 13.236 4.57% 0.546369 0.1751.05409% 22-Mar-21 13.314 4.57% 0.544015 0.2531.04694% 20-Apr-21 13.394 4.58% 0.541583 0.0811.04694% 20-May-21 13.478 4.58% 0.539081 0.1641.04694% 21-Jun-21 13.567 4.59% 0.536428 0.2531.04388% 20-Jul-21 13.647 4.60% 0.534030 0.0811.04388% 20-Aug-21 13.733 4.60% 0.531480 0.1671.04388% 20-Sep-21 13.819 4.61% 0.528947 0.253

Page 69: Ch 6 Credit Derivatives

1.04487% 20-Oct-21 13.903 4.61% 0.526502 0.0831.04487% 22-Nov-21 13.994 4.62% 0.523828 0.1751.04487% 20-Dec-21 14.072 4.63% 0.521573 0.2531.04942% 20-Jan-22 14.158 4.63% 0.519084 0.0861.04942% 21-Feb-22 14.247 4.64% 0.516529 0.1751.04942% 21-Mar-22 14.325 4.64% 0.514308 0.2531.05735% 20-Apr-22 14.408 4.65% 0.511935 0.0831.05735% 20-May-22 14.492 4.65% 0.509576 0.1671.05735% 20-Jun-22 14.578 4.66% 0.507157 0.2531.08484% 20-Jul-22 14.661 4.66% 0.504822 0.0831.08484% 22-Aug-22 14.753 4.67% 0.502269 0.1751.08484% 20-Sep-22 14.833 4.67% 0.500042 0.2561.09323% 20-Oct-22 14.917 4.68% 0.497745 0.0831.09323% 21-Nov-22 15.006 4.68% 0.495311 0.1721.09323% 20-Dec-22 15.086 4.69% 0.493122 0.2531.10921% 20-Jan-23 15.172 4.69% 0.490788 0.0861.10921% 20-Feb-23 15.258 4.70% 0.488470 0.1721.10921% 20-Mar-23 15.336 4.70% 0.486392 0.2501.15099% 20-Apr-23 15.422 4.70% 0.484099 0.0861.15099% 22-May-23 15.511 4.71% 0.481747 0.1751.15099% 20-Jun-23 15.592 4.71% 0.479632 0.2561.15519% 20-Jul-23 15.675 4.72% 0.477450 0.0831.15519% 21-Aug-23 15.764 4.72% 0.475139 0.1721.15519% 20-Sep-23 15.847 4.72% 0.472988 0.2561.14768% 20-Oct-23 15.931 4.73% 0.470844 0.0831.14768% 20-Nov-23 16.017 4.73% 0.468643 0.1691.14768% 20-Dec-23 16.100 4.74% 0.466528 0.2531.15285% 22-Jan-24 16.192 4.74% 0.464210 0.0921.15285% 20-Feb-24 16.272 4.74% 0.462187 0.1721.15285% 20-Mar-24 16.353 4.75% 0.460177 0.2531.16877% 22-Apr-24 16.444 4.75% 0.457897 0.0921.16877% 20-May-24 16.522 4.75% 0.455976 0.1691.16877% 20-Jun-24 16.608 4.76% 0.453864 0.2561.17299% 22-Jul-24 16.697 4.76% 0.451691 0.0891.17299% 20-Aug-24 16.778 4.76% 0.449734 0.1691.17299% 20-Sep-24 16.864 4.77% 0.447657 0.2561.16546% 21-Oct-24 16.950 4.77% 0.445586 0.0861.16546% 20-Nov-24 17.033 4.77% 0.443596 0.1691.16546% 20-Dec-24 17.117 4.77% 0.441619 0.2531.15820% 20-Jan-25 17.203 4.78% 0.439582 0.0861.15820% 20-Feb-25 17.289 4.78% 0.437559 0.1721.15820% 20-Mar-25 17.367 4.78% 0.435743 0.2501.18577% 21-Apr-25 17.456 4.79% 0.433675 0.0891.18577% 20-May-25 17.536 4.79% 0.431812 0.169

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1.18577% 20-Jun-25 17.622 4.79% 0.429835 0.2561.21306% 21-Jul-25 17.708 4.79% 0.427864 0.0861.21306% 20-Aug-25 17.792 4.80% 0.425969 0.1691.21306% 22-Sep-25 17.883 4.80% 0.423898 0.2611.18088% 20-Oct-25 17.961 4.80% 0.422148 0.0781.18088% 20-Nov-25 18.047 4.80% 0.420221 0.1641.18088% 22-Dec-25 18.136 4.81% 0.418245 0.2531.14967% 20-Jan-26 18.217 4.81% 0.416461 0.0811.14967% 20-Feb-26 18.303 4.81% 0.414564 0.1671.14967% 20-Mar-26 18.381 4.81% 0.412862 0.2441.22376% 20-Apr-26 18.467 4.82% 0.410985 0.0861.22376% 20-May-26 18.550 4.82% 0.409178 0.1691.22376% 22-Jun-26 18.642 4.82% 0.407204 0.2611.19068% 20-Jul-26 18.719 4.82% 0.405536 0.0781.19068% 20-Aug-26 18.806 4.82% 0.403699 0.1641.19068% 21-Sep-26 18.894 4.83% 0.401815 0.2531.19358% 20-Oct-26 18.975 4.83% 0.400114 0.0811.19358% 20-Nov-26 19.061 4.83% 0.398306 0.1671.19358% 21-Dec-26 19.147 4.83% 0.396510 0.2531.19639% 20-Jan-27 19.231 4.83% 0.394778 0.0831.19639% 22-Feb-27 19.322 4.84% 0.392883 0.1751.19639% 22-Mar-27 19.400 4.84% 0.391285 0.2531.19680% 20-Apr-27 19.481 4.84% 0.389636 0.0811.19680% 20-May-27 19.564 4.84% 0.387940 0.1641.19680% 21-Jun-27 19.653 4.84% 0.386142 0.2531.19774% 20-Jul-27 19.733 4.84% 0.384519 0.0811.19774% 20-Aug-27 19.819 4.85% 0.382793 0.1671.19774% 20-Sep-27 19.906 4.85% 0.381078 0.2531.19851% 20-Oct-27 19.989 4.85% 0.379425 0.0831.19851% 22-Nov-27 20.081 4.85% 0.377616 0.1751.19851% 20-Dec-27 20.158 4.85% 0.376091 0.2531.19779% 20-Jan-28 20.244 4.85% 0.374408 0.0861.19779% 21-Feb-28 20.333 4.85% 0.372681 0.1751.19779% 20-Mar-28 20.411 4.86% 0.371178 0.2531.20818% 20-Apr-28 20.497 4.86% 0.369521 0.0861.20818% 22-May-28 20.586 4.86% 0.367820 0.1751.20818% 20-Jun-28 20.667 4.86% 0.366287 0.2561.20659% 20-Jul-28 20.750 4.86% 0.364708 0.0831.20659% 21-Aug-28 20.839 4.86% 0.363032 0.1721.20659% 20-Sep-28 20.922 4.86% 0.361471 0.2561.19329% 20-Oct-28 21.006 4.86% 0.359915 0.0831.19329% 20-Nov-28 21.092 4.87% 0.358317 0.1691.19329% 20-Dec-28 21.175 4.87% 0.356780 0.2531.18074% 22-Jan-29 21.267 4.87% 0.355095 0.092

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1.18074% 20-Feb-29 21.347 4.87% 0.353623 0.1721.18074% 20-Mar-29 21.425 4.87% 0.352210 0.2501.20200% 20-Apr-29 21.511 4.87% 0.350651 0.0861.20200% 21-May-29 21.597 4.87% 0.349101 0.1721.20200% 20-Jun-29 21.681 4.87% 0.347610 0.2561.20148% 20-Jul-29 21.764 4.87% 0.346125 0.0831.20148% 20-Aug-29 21.850 4.88% 0.344599 0.1691.20148% 20-Sep-29 21.936 4.88% 0.343082 0.2561.18435% 22-Oct-29 22.025 4.88% 0.341522 0.0891.18435% 20-Nov-29 22.106 4.88% 0.340117 0.1691.18435% 20-Dec-29 22.189 4.88% 0.338672 0.2531.17415% 21-Jan-30 22.278 4.88% 0.337137 0.0891.17415% 20-Feb-30 22.361 4.88% 0.335705 0.1721.17415% 20-Mar-30 22.439 4.88% 0.334377 0.2501.19148% 22-Apr-30 22.531 4.88% 0.332817 0.0921.19148% 20-May-30 22.608 4.88% 0.331502 0.1691.19148% 20-Jun-30 22.694 4.88% 0.330054 0.2561.19228% 22-Jul-30 22.783 4.89% 0.328566 0.0891.19228% 20-Aug-30 22.864 4.89% 0.327225 0.1691.19228% 20-Sep-30 22.950 4.89% 0.325800 0.2561.17405% 21-Oct-30 23.036 4.89% 0.324380 0.0861.17405% 20-Nov-30 23.119 4.89% 0.323014 0.1691.17405% 20-Dec-30 23.203 4.89% 0.321657 0.2531.16306% 20-Jan-31 23.289 4.89% 0.320259 0.0861.16306% 20-Feb-31 23.375 4.89% 0.318870 0.1721.16306% 20-Mar-31 23.453 4.89% 0.317622 0.2501.18010% 21-Apr-31 23.542 4.89% 0.316202 0.0891.18010% 20-May-31 23.622 4.89% 0.314922 0.1691.18010% 20-Jun-31 23.708 4.89% 0.313563 0.2561.20363% 21-Jul-31 23.794 4.89% 0.312209 0.0861.20363% 20-Aug-31 23.878 4.89% 0.310906 0.1691.20363% 22-Sep-31 23.969 4.89% 0.309481 0.2611.16113% 20-Oct-31 24.047 4.89% 0.308278 0.0781.16113% 20-Nov-31 24.133 4.89% 0.306953 0.1641.16113% 22-Dec-31 24.222 4.89% 0.305593 0.2531.16141% 20-Jan-32 24.303 4.89% 0.304366 0.0811.16141% 20-Feb-32 24.389 4.89% 0.303062 0.1671.16141% 22-Mar-32 24.475 4.90% 0.301765 0.2531.15793% 20-Apr-32 24.556 4.90% 0.300557 0.0811.15793% 20-May-32 24.639 4.90% 0.299315 0.1641.15793% 21-Jun-32 24.728 4.90% 0.297998 0.2531.15037% 20-Jul-32 24.808 4.90% 0.296809 0.0811.15037% 20-Aug-32 24.894 4.90% 0.295546 0.1671.15037% 20-Sep-32 24.981 4.90% 0.294290 0.253

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1.15241% 20-Oct-32 25.064 4.90% 0.293080 0.0831.15241% 22-Nov-32 25.156 4.90% 0.291756 0.1751.15241% 20-Dec-32 25.233 4.90% 0.290640 0.2531.14573% 20-Jan-33 25.319 4.90% 0.289409 0.0861.14573% 21-Feb-33 25.408 4.90% 0.288146 0.1751.14573% 21-Mar-33 25.486 4.90% 0.287047 0.2531.14209% 20-Apr-33 25.569 4.90% 0.285874 0.0831.14209% 20-May-33 25.653 4.90% 0.284708 0.1671.14209% 20-Jun-33 25.739 4.90% 0.283511 0.2531.15810% 20-Jul-33 25.822 4.90% 0.282357 0.0831.15810% 22-Aug-33 25.914 4.90% 0.281095 0.1751.15810% 20-Sep-33 25.994 4.90% 0.279992 0.2561.13775% 20-Oct-33 26.078 4.90% 0.278856 0.0831.13775% 21-Nov-33 26.167 4.90% 0.277650 0.1721.13775% 20-Dec-33 26.247 4.90% 0.276564 0.2531.13015% 20-Jan-34 26.333 4.90% 0.275408 0.0861.13015% 20-Feb-34 26.419 4.90% 0.274258 0.1721.13015% 20-Mar-34 26.497 4.90% 0.273224 0.2501.14625% 20-Apr-34 26.583 4.90% 0.272085 0.0861.14625% 22-May-34 26.672 4.90% 0.270916 0.1751.14625% 20-Jun-34 26.753 4.90% 0.269861 0.2561.15111% 20-Jul-34 26.836 4.90% 0.268775 0.0831.15111% 21-Aug-34 26.925 4.90% 0.267623 0.1721.15111% 20-Sep-34 27.008 4.90% 0.266548 0.2561.13238% 20-Oct-34 27.092 4.90% 0.265478 0.0831.13238% 20-Nov-34 27.178 4.90% 0.264377 0.1691.13238% 20-Dec-34 27.261 4.89% 0.263318 0.2531.12136% 22-Jan-35 27.353 4.89% 0.262158 0.0921.12136% 20-Feb-35 27.433 4.89% 0.261143 0.1721.12136% 20-Mar-35 27.511 4.89% 0.260168 0.2501.14544% 20-Apr-35 27.597 4.89% 0.259094 0.0861.14544% 21-May-35 27.683 4.89% 0.258024 0.1721.14544% 20-Jun-35 27.767 4.89% 0.256994 0.2561.14687% 20-Jul-35 27.850 4.89% 0.255968 0.0831.14687% 20-Aug-35 27.936 4.89% 0.254913 0.1691.14687% 20-Sep-35 28.022 4.89% 0.253864 0.2561.14967% 22-Oct-35 28.111 4.89% 0.252785 0.0891.14967% 20-Nov-35 28.192 4.89% 0.251812 0.1691.14967% 20-Dec-35 28.275 4.89% 0.250810 0.2531.13924% 21-Jan-36 28.364 4.89% 0.249746 0.0891.13924% 20-Feb-36 28.447 4.89% 0.248753 0.1721.13924% 20-Mar-36 28.528 4.89% 0.247797 0.2531.15912% 21-Apr-36 28.617 4.89% 0.246747 0.0891.15912% 20-May-36 28.697 4.89% 0.245800 0.169

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1.15912% 20-Jun-36 28.783 4.89% 0.244792 0.2561.20099% 21-Jul-36 28.869 4.89% 0.243788 0.0861.20099% 20-Aug-36 28.953 4.89% 0.242821 0.1691.20099% 22-Sep-36 29.044 4.89% 0.241762 0.2611.16144% 20-Oct-36 29.122 4.89% 0.240867 0.0781.16144% 20-Nov-36 29.208 4.89% 0.239880 0.1641.16144% 22-Dec-36 29.297 4.89% 0.238867 0.2531.13658% 20-Jan-37 29.378 4.89% 0.237952 0.0811.13658% 20-Feb-37 29.464 4.89% 0.236978 0.1671.13658% 20-Mar-37 29.542 4.89% 0.236102 0.2441.21977% 20-Apr-37 29.628 4.89% 0.235136 0.0861.21977% 20-May-37 29.711 4.89% 0.234205 0.1691.21977% 22-Jun-37 29.803 4.89% 0.233186 0.2611.21056% 20-Jul-37 29.881 4.88% 0.232324 0.0781.21056% 20-Aug-37 29.967 4.88% 0.231374 0.1641.21056% 21-Sep-37 30.056 4.88% 0.230398 0.2531.22830% 20-Oct-37 30.136 4.88% 0.229517 0.0811.22830% 20-Nov-37 30.222 4.88% 0.228579 0.1671.22830% 21-Dec-37 30.308 4.88% 0.227645 0.2531.23721% 20-Jan-38 30.392 4.88% 0.226744 0.0831.23721% 22-Feb-38 30.483 4.88% 0.225747 0.1751.23721% 22-Mar-38 30.561 4.88% 0.224891 0.253

Page 74: Ch 6 Credit Derivatives

Survival Hazard Accumulative AccumulativePremium Premium Payment

100.00%99.82% 0.18% 0.118993 0.118993 0.00110499.49% 0.32% 0.000286 0.119280 0.00303799.17% 0.32% 0.000543 0.119823 0.00495998.85% 0.32% 0.250496 0.370319 0.00686998.27% 0.57% 0.000487 0.370806 0.01026497.70% 0.57% 0.000951 0.371757 0.01363197.13% 0.57% 0.250266 0.622022 0.01697096.73% 0.41% 0.000309 0.622331 0.01935596.32% 0.40% 0.000647 0.622979 0.02172495.92% 0.40% 0.237278 0.860257 0.02407995.45% 0.47% 0.000366 0.860623 0.02680594.99% 0.46% 0.000752 0.861375 0.02951294.53% 0.46% 0.224884 1.086259 0.03220193.90% 0.63% 0.000523 1.086782 0.03584793.27% 0.62% 0.001021 1.087803 0.03946192.65% 0.62% 0.234327 1.322130 0.04304291.86% 0.79% 0.000590 1.322720 0.04759191.08% 0.78% 0.001229 1.323949 0.05209190.30% 0.78% 0.220062 1.544011 0.05654389.36% 0.94% 0.000722 1.544734 0.06192288.43% 0.93% 0.001475 1.546209 0.06723287.51% 0.92% 0.212180 1.758389 0.07247486.48% 1.03% 0.000814 1.759203 0.07833685.46% 1.02% 0.001685 1.760888 0.08411284.45% 1.01% 0.203498 1.964386 0.08980783.32% 1.13% 0.000856 1.965242 0.09618082.21% 1.12% 0.001713 1.966955 0.10245181.11% 1.10% 0.194134 2.161088 0.10861979.85% 1.26% 0.000944 2.162032 0.11565078.61% 1.24% 0.001917 2.163949 0.12255177.39% 1.22% 0.184006 2.347955 0.129324

Page 75: Ch 6 Credit Derivatives

76.08% 1.31% 0.001009 2.348965 0.13659174.79% 1.29% 0.002077 2.351041 0.14371073.52% 1.27% 0.173450 2.524492 0.15068972.25% 1.27% 0.001000 2.525491 0.15765671.01% 1.25% 0.001990 2.527481 0.16447969.78% 1.23% 0.163108 2.690589 0.17116468.63% 1.15% 0.000870 2.691460 0.17743167.49% 1.13% 0.001706 2.693166 0.18357466.38% 1.12% 0.153530 2.846696 0.18959565.33% 1.04% 0.000781 2.847477 0.19521564.31% 1.03% 0.001607 2.849084 0.20072663.29% 1.01% 0.146397 2.995481 0.20613362.37% 0.93% 0.000686 2.996167 0.21107061.45% 0.91% 0.001391 2.997558 0.21591860.55% 0.90% 0.136967 3.134525 0.22067859.72% 0.83% 0.000628 3.135153 0.22505458.91% 0.82% 0.001234 3.136388 0.22935558.10% 0.81% 0.129904 3.266292 0.23358257.34% 0.76% 0.000569 3.266861 0.23754656.59% 0.75% 0.001119 3.267979 0.24144455.85% 0.74% 0.124784 3.392763 0.24527655.14% 0.71% 0.000508 3.393271 0.24893554.44% 0.70% 0.001016 3.394287 0.25253453.75% 0.69% 0.118695 3.512982 0.25607353.06% 0.68% 0.000517 3.513499 0.25956452.39% 0.68% 0.000970 3.514469 0.26299751.72% 0.67% 0.111694 3.626162 0.26637451.02% 0.70% 0.000520 3.626683 0.26988650.33% 0.69% 0.000991 3.627673 0.27333649.66% 0.68% 0.104919 3.732592 0.27672948.96% 0.70% 0.000529 3.733121 0.28019248.28% 0.69% 0.000961 3.734082 0.28359547.60% 0.68% 0.101629 3.835711 0.28693646.97% 0.63% 0.000458 3.836170 0.29003146.35% 0.62% 0.000859 3.837029 0.29307345.74% 0.61% 0.096386 3.933415 0.29606345.17% 0.57% 0.000395 3.933810 0.29881444.61% 0.56% 0.000764 3.934574 0.30152044.06% 0.55% 0.090645 4.025220 0.30418143.55% 0.51% 0.000354 4.025574 0.30664943.04% 0.51% 0.000697 4.026271 0.30907742.54% 0.50% 0.085434 4.111705 0.31146842.05% 0.49% 0.000343 4.112048 0.31378441.57% 0.48% 0.000644 4.112692 0.316065

Page 76: Ch 6 Credit Derivatives

41.09% 0.48% 0.083288 4.195980 0.31830940.62% 0.47% 0.000319 4.196299 0.32053340.15% 0.47% 0.000618 4.196917 0.32272239.68% 0.46% 0.081132 4.278049 0.32487639.23% 0.45% 0.000271 4.278320 0.32696438.78% 0.45% 0.000561 4.278881 0.32901938.34% 0.44% 0.074930 4.353811 0.33104137.90% 0.44% 0.000273 4.354084 0.33307337.46% 0.44% 0.000555 4.354639 0.33507237.02% 0.43% 0.069134 4.423773 0.33704036.55% 0.47% 0.000304 4.424078 0.33916236.09% 0.46% 0.000589 4.424667 0.34124735.63% 0.46% 0.070221 4.494888 0.34329735.19% 0.44% 0.000253 4.495141 0.34524734.76% 0.43% 0.000524 4.495664 0.34716434.33% 0.43% 0.064645 4.560310 0.34904933.91% 0.42% 0.000248 4.560557 0.35089433.50% 0.41% 0.000504 4.561061 0.35270933.09% 0.41% 0.061499 4.622560 0.35449332.69% 0.40% 0.000243 4.622803 0.35623932.29% 0.40% 0.000501 4.623304 0.35795731.90% 0.39% 0.058505 4.681809 0.35964631.51% 0.39% 0.000229 4.682038 0.36129831.13% 0.38% 0.000451 4.682490 0.36292330.75% 0.38% 0.055658 4.738148 0.36452130.38% 0.37% 0.000220 4.738367 0.36610230.01% 0.37% 0.000453 4.738821 0.36765529.65% 0.37% 0.053512 4.792333 0.36918429.29% 0.36% 0.000206 4.792539 0.37066628.94% 0.35% 0.000419 4.792957 0.37212528.59% 0.35% 0.050353 4.843310 0.37355928.25% 0.34% 0.000200 4.843510 0.37495327.92% 0.34% 0.000393 4.843904 0.37632427.59% 0.33% 0.047400 4.891304 0.37767327.25% 0.33% 0.000194 4.891498 0.37902426.92% 0.33% 0.000388 4.891886 0.38035426.60% 0.33% 0.046091 4.937977 0.38166126.28% 0.32% 0.000179 4.938155 0.38294825.96% 0.32% 0.000363 4.938519 0.38421425.64% 0.31% 0.043831 4.982349 0.38545825.34% 0.31% 0.000169 4.982518 0.38667525.03% 0.30% 0.000338 4.982856 0.38787124.73% 0.30% 0.041240 5.024096 0.38904824.43% 0.30% 0.000176 5.024272 0.390202

Page 77: Ch 6 Credit Derivatives

24.14% 0.29% 0.000326 5.024598 0.39133723.85% 0.29% 0.038807 5.063406 0.39245523.56% 0.29% 0.000160 5.063566 0.39357223.27% 0.29% 0.000316 5.063882 0.39467222.99% 0.28% 0.037718 5.101599 0.39575322.71% 0.28% 0.000146 5.101745 0.39680222.44% 0.27% 0.000291 5.102037 0.39783422.17% 0.27% 0.035864 5.137901 0.39884921.91% 0.26% 0.000145 5.138045 0.39982521.65% 0.26% 0.000271 5.138316 0.40078521.39% 0.26% 0.033759 5.172075 0.40172921.15% 0.25% 0.000134 5.172210 0.40263620.90% 0.24% 0.000256 5.172466 0.40352920.66% 0.24% 0.031804 5.204270 0.40440820.42% 0.24% 0.000133 5.204402 0.40527720.19% 0.24% 0.000242 5.204644 0.40613319.95% 0.23% 0.030961 5.235605 0.40697519.72% 0.23% 0.000121 5.235726 0.40779219.50% 0.23% 0.000227 5.235953 0.40859619.28% 0.22% 0.029492 5.265445 0.40938719.06% 0.21% 0.000109 5.265554 0.41014718.85% 0.21% 0.000211 5.265766 0.41089518.64% 0.21% 0.027810 5.293576 0.41163118.43% 0.21% 0.000103 5.293678 0.41234618.23% 0.20% 0.000202 5.293880 0.41304918.03% 0.20% 0.026527 5.320407 0.41374217.83% 0.20% 0.000100 5.320507 0.41443717.63% 0.20% 0.000193 5.320700 0.41512117.43% 0.20% 0.026116 5.346816 0.41579317.24% 0.19% 0.000082 5.346898 0.41642717.06% 0.19% 0.000170 5.347069 0.41705116.88% 0.18% 0.024126 5.371195 0.41766616.70% 0.18% 0.000080 5.371275 0.41826516.52% 0.18% 0.000164 5.371439 0.41885516.34% 0.18% 0.023038 5.394477 0.41943616.17% 0.17% 0.000079 5.394555 0.42000316.00% 0.17% 0.000163 5.394718 0.42056215.83% 0.17% 0.022004 5.416722 0.42111315.67% 0.17% 0.000072 5.416795 0.42165115.50% 0.16% 0.000145 5.416939 0.42218215.34% 0.16% 0.021021 5.437961 0.42270415.18% 0.16% 0.000069 5.438029 0.42321715.02% 0.16% 0.000140 5.438170 0.42372314.86% 0.16% 0.020085 5.458255 0.424220

Page 78: Ch 6 Credit Derivatives

14.71% 0.16% 0.000068 5.458323 0.42471114.56% 0.15% 0.000141 5.458464 0.42519414.40% 0.15% 0.019191 5.477655 0.42567014.25% 0.15% 0.000068 5.477722 0.42614114.10% 0.15% 0.000135 5.477857 0.42660413.96% 0.15% 0.018335 5.496192 0.42706113.81% 0.15% 0.000063 5.496255 0.42751413.66% 0.15% 0.000124 5.496379 0.42796113.52% 0.14% 0.017514 5.513893 0.42840013.37% 0.15% 0.000062 5.513955 0.42884413.23% 0.15% 0.000127 5.514082 0.42928113.08% 0.14% 0.016901 5.530983 0.42971212.94% 0.14% 0.000059 5.531042 0.43013912.80% 0.14% 0.000121 5.531163 0.43055912.66% 0.14% 0.015952 5.547115 0.43097312.52% 0.14% 0.000059 5.547174 0.43138712.38% 0.14% 0.000117 5.547291 0.43179412.24% 0.14% 0.015052 5.562343 0.43219412.10% 0.14% 0.000059 5.562401 0.43260411.96% 0.14% 0.000117 5.562519 0.43300611.82% 0.14% 0.014661 5.577179 0.43340211.69% 0.14% 0.000054 5.577234 0.43379411.55% 0.14% 0.000110 5.577344 0.43417811.42% 0.13% 0.013963 5.591307 0.43455711.29% 0.13% 0.000051 5.591359 0.43492711.16% 0.13% 0.000103 5.591462 0.43529211.03% 0.13% 0.013158 5.604619 0.43565010.90% 0.13% 0.000054 5.604674 0.43600410.78% 0.13% 0.000100 5.604774 0.43635310.65% 0.12% 0.012536 5.617309 0.43669610.53% 0.12% 0.000052 5.617362 0.43703810.40% 0.12% 0.000095 5.617457 0.43737410.28% 0.12% 0.012068 5.629525 0.43770610.16% 0.12% 0.000048 5.629573 0.43803210.04% 0.12% 0.000091 5.629664 0.4383549.93% 0.12% 0.011490 5.641154 0.4386719.81% 0.12% 0.000044 5.641198 0.4389809.70% 0.11% 0.000086 5.641284 0.4392849.58% 0.11% 0.010823 5.652108 0.4395849.47% 0.11% 0.000042 5.652150 0.4398769.36% 0.11% 0.000083 5.652232 0.4401649.25% 0.11% 0.010199 5.662431 0.4404489.14% 0.11% 0.000042 5.662473 0.4407339.04% 0.11% 0.000079 5.662553 0.441014

Page 79: Ch 6 Credit Derivatives

8.93% 0.11% 0.009925 5.672478 0.4412918.82% 0.11% 0.000040 5.672517 0.4415698.71% 0.11% 0.000077 5.672595 0.4418428.61% 0.11% 0.009644 5.682239 0.4421118.51% 0.10% 0.000033 5.682272 0.4423688.41% 0.10% 0.000069 5.682341 0.4426228.31% 0.10% 0.008886 5.691227 0.4428718.21% 0.10% 0.000032 5.691259 0.4431098.12% 0.09% 0.000065 5.691325 0.4433448.02% 0.09% 0.008191 5.699515 0.4435757.92% 0.10% 0.000035 5.699550 0.4438177.83% 0.10% 0.000067 5.699617 0.4440557.73% 0.10% 0.008323 5.707940 0.4442897.64% 0.09% 0.000029 5.707969 0.4445137.55% 0.09% 0.000060 5.708029 0.4447347.46% 0.09% 0.007667 5.715697 0.4449507.37% 0.09% 0.000029 5.715725 0.4451647.28% 0.09% 0.000058 5.715784 0.4453747.19% 0.09% 0.007299 5.723082 0.4455817.11% 0.09% 0.000028 5.723110 0.4457857.02% 0.09% 0.000058 5.723169 0.4459856.94% 0.08% 0.006947 5.730116 0.4461836.86% 0.08% 0.000026 5.730142 0.4463776.77% 0.08% 0.000052 5.730194 0.4465686.69% 0.08% 0.006613 5.736807 0.4467566.61% 0.08% 0.000025 5.736832 0.4469416.53% 0.08% 0.000051 5.736882 0.4471236.46% 0.08% 0.006294 5.743177 0.4473026.38% 0.08% 0.000024 5.743201 0.4474786.30% 0.08% 0.000051 5.743252 0.4476516.23% 0.08% 0.005991 5.749243 0.4478216.15% 0.07% 0.000024 5.749267 0.4479896.08% 0.07% 0.000048 5.749315 0.4481546.01% 0.07% 0.005703 5.755018 0.4483165.93% 0.07% 0.000023 5.755041 0.4484775.86% 0.07% 0.000046 5.755087 0.4486355.79% 0.07% 0.005487 5.760574 0.4487915.72% 0.07% 0.000021 5.760595 0.4489435.65% 0.07% 0.000043 5.760638 0.4490945.58% 0.07% 0.005221 5.765859 0.4492425.52% 0.07% 0.000020 5.765879 0.4493865.45% 0.07% 0.000040 5.765919 0.4495275.39% 0.07% 0.004916 5.770835 0.4496665.32% 0.06% 0.000021 5.770855 0.449802

Page 80: Ch 6 Credit Derivatives

5.26% 0.06% 0.000038 5.770894 0.4499355.20% 0.06% 0.004631 5.775525 0.4500665.13% 0.06% 0.000019 5.775544 0.4501985.07% 0.06% 0.000037 5.775581 0.4503275.01% 0.06% 0.004507 5.780087 0.4504544.95% 0.06% 0.000017 5.780105 0.4505794.89% 0.06% 0.000035 5.780140 0.4507024.83% 0.06% 0.004290 5.784429 0.4508234.78% 0.06% 0.000017 5.784446 0.4509414.72% 0.06% 0.000033 5.784479 0.4510564.66% 0.06% 0.004041 5.788520 0.4511704.61% 0.05% 0.000016 5.788536 0.4512814.56% 0.05% 0.000031 5.788567 0.4513904.50% 0.05% 0.003808 5.792375 0.4514974.45% 0.05% 0.000016 5.792392 0.4516044.39% 0.05% 0.000030 5.792421 0.4517094.34% 0.05% 0.003707 5.796128 0.4518134.29% 0.05% 0.000015 5.796143 0.4519154.24% 0.05% 0.000028 5.796172 0.4520164.19% 0.05% 0.003530 5.799702 0.4521144.14% 0.05% 0.000014 5.799715 0.4522104.09% 0.05% 0.000027 5.799742 0.4523044.04% 0.05% 0.003327 5.803069 0.4523974.00% 0.05% 0.000013 5.803082 0.4524873.95% 0.05% 0.000026 5.803107 0.4525763.90% 0.05% 0.003136 5.806243 0.4526643.86% 0.05% 0.000013 5.806256 0.4527513.81% 0.05% 0.000024 5.806281 0.4528373.77% 0.04% 0.003055 5.809336 0.4529223.72% 0.05% 0.000012 5.809348 0.4530073.68% 0.04% 0.000024 5.809371 0.4530903.63% 0.04% 0.002971 5.812343 0.4531733.59% 0.04% 0.000010 5.812353 0.4532513.55% 0.04% 0.000021 5.812374 0.4533273.51% 0.04% 0.002741 5.815115 0.4534033.47% 0.04% 0.000010 5.815125 0.4534773.43% 0.04% 0.000020 5.815146 0.4535513.39% 0.04% 0.002614 5.817760 0.4536233.35% 0.04% 0.000009 5.817769 0.4536933.31% 0.04% 0.000019 5.817788 0.4537633.27% 0.04% 0.002493 5.820281 0.4538313.23% 0.04% 0.000009 5.820290 0.4538983.20% 0.04% 0.000018 5.820308 0.4539643.16% 0.04% 0.002377 5.822685 0.454029

Page 81: Ch 6 Credit Derivatives

3.12% 0.04% 0.000009 5.822694 0.4540933.09% 0.04% 0.000018 5.822713 0.4541563.05% 0.04% 0.002268 5.824980 0.4542183.02% 0.03% 0.000009 5.824989 0.4542792.98% 0.03% 0.000017 5.825007 0.4543392.95% 0.03% 0.002163 5.827170 0.4543982.91% 0.03% 0.000008 5.827178 0.4544552.88% 0.03% 0.000016 5.827194 0.4545122.85% 0.03% 0.002064 5.829258 0.4545682.81% 0.03% 0.000008 5.829266 0.4546242.78% 0.03% 0.000016 5.829282 0.4546792.75% 0.03% 0.001991 5.831273 0.4547332.72% 0.03% 0.000007 5.831280 0.4547862.69% 0.03% 0.000015 5.831295 0.4548372.66% 0.03% 0.001879 5.833174 0.4548882.63% 0.03% 0.000007 5.833181 0.4549372.60% 0.03% 0.000014 5.833195 0.4549862.57% 0.03% 0.001774 5.834969 0.4550342.54% 0.03% 0.000007 5.834976 0.4550822.51% 0.03% 0.000014 5.834989 0.4551302.48% 0.03% 0.001731 5.836720 0.4551762.45% 0.03% 0.000006 5.836726 0.4552222.42% 0.03% 0.000013 5.836739 0.4552682.40% 0.03% 0.001651 5.838391 0.4553122.37% 0.03% 0.000006 5.838397 0.4553562.34% 0.03% 0.000012 5.838409 0.4553982.32% 0.03% 0.001559 5.839967 0.4554402.29% 0.03% 0.000006 5.839974 0.4554812.26% 0.03% 0.000012 5.839985 0.4555212.24% 0.03% 0.001472 5.841458 0.4555612.21% 0.03% 0.000006 5.841463 0.4556012.19% 0.03% 0.000011 5.841475 0.4556402.16% 0.03% 0.001437 5.842911 0.4556782.14% 0.02% 0.000005 5.842917 0.4557172.11% 0.02% 0.000011 5.842927 0.4557542.09% 0.02% 0.001371 5.844298 0.4557912.06% 0.02% 0.000005 5.844304 0.4558272.04% 0.02% 0.000010 5.844314 0.4558632.02% 0.02% 0.001294 5.845608 0.4558991.99% 0.02% 0.000005 5.845613 0.4559331.97% 0.02% 0.000010 5.845623 0.4559671.95% 0.02% 0.001235 5.846858 0.4560001.93% 0.02% 0.000005 5.846863 0.4560341.90% 0.02% 0.000009 5.846872 0.456067

Page 82: Ch 6 Credit Derivatives

1.88% 0.02% 0.001191 5.848063 0.4560991.86% 0.02% 0.000005 5.848068 0.4561321.84% 0.02% 0.000009 5.848077 0.4561651.82% 0.02% 0.001160 5.849237 0.4561971.79% 0.02% 0.000004 5.849241 0.4562271.77% 0.02% 0.000008 5.849250 0.4562571.75% 0.02% 0.001071 5.850320 0.4562871.73% 0.02% 0.000004 5.850324 0.4563151.71% 0.02% 0.000008 5.850332 0.4563431.69% 0.02% 0.000989 5.851321 0.4563711.67% 0.02% 0.000004 5.851325 0.4564001.65% 0.02% 0.000008 5.851333 0.4564291.63% 0.02% 0.001006 5.852339 0.4564571.61% 0.02% 0.000004 5.852343 0.4564841.59% 0.02% 0.000007 5.852350 0.4565111.57% 0.02% 0.000928 5.853278 0.4565381.55% 0.02% 0.000004 5.853282 0.4565651.54% 0.02% 0.000007 5.853289 0.4565911.52% 0.02% 0.000884 5.854173 0.4566171.50% 0.02% 0.000004 5.854176 0.4566421.48% 0.02% 0.000007 5.854184 0.4566671.46% 0.02% 0.000841 5.855025 0.456692

Page 83: Ch 6 Credit Derivatives

Margin

0.928%

1.855%

2.728%

2.799%

2.964%

3.256%

3.662%

4.122%

4.572%

5.026%

5.508%

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.00000%

1.00000%

2.00000%

3.00000%

4.00000%

5.00000%

6.00000%Estimating FDP curves using GM data

Monthly

Quarterly

Page 84: Ch 6 Credit Derivatives

5.969%

6.362%

6.660%

6.881%

7.040%

7.151%

7.229%

7.289%

7.346%

7.414%

7.481%

7.527%

7.557%

7.575%

Page 85: Ch 6 Credit Derivatives

7.586%

7.594%

7.603%

7.619%

7.637%

7.654%

7.669%

7.682%

7.693%

7.704%

7.713%

7.721%

7.729%

7.736%

7.744%

Page 86: Ch 6 Credit Derivatives

7.751%

7.757%

7.763%

7.767%

7.771%

7.773%

7.775%

7.776%

7.777%

7.776%

7.776%

7.775%

7.774%

7.773%

7.772%

Page 87: Ch 6 Credit Derivatives

7.771%

7.770%

7.769%

7.769%

7.769%

7.770%

7.771%

7.772%

7.773%

7.774%

7.775%

7.776%

7.777%

7.778%

Page 88: Ch 6 Credit Derivatives

7.780%

7.781%

7.782%

7.783%

7.784%

7.785%

7.786%

7.787%

7.788%

7.788%

7.789%

7.790%

7.791%

7.791%

7.792%

Page 89: Ch 6 Credit Derivatives

7.793%

7.793%

7.794%

7.794%

7.795%

7.795%

7.795%

7.796%

7.796%

7.796%

7.797%

7.797%

7.797%

7.797%

7.798%

Page 90: Ch 6 Credit Derivatives

7.798%

7.798%

7.798%

7.798%

7.798%

7.798%

7.798%

7.799%

7.799%

7.799%

7.799%

7.799%

7.799%

7.799%

Page 91: Ch 6 Credit Derivatives

7.799%

7.799%

7.799%

7.799%

7.800%

7.800%

7.800%

7.800%

Page 92: Ch 6 Credit Derivatives

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.00000%

1.00000%

2.00000%

3.00000%

4.00000%

5.00000%

6.00000%Estimating FDP curves using GM data

Monthly

Quarterly

Page 93: Ch 6 Credit Derivatives
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Page 96: Ch 6 Credit Derivatives
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Page 99: Ch 6 Credit Derivatives
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Given a set of GM CDS pricesYears

Maturity CDSprices

0.5 2.728% 7-Feb-08 20-Mar-08 1 2.964% 21-Mar-08 20-Jun-08 2 4.572% 23-Jun-08 22-Sep-08 3 6.362% 23-Sep-08 22-Dec-08 5 7.414% 23-Dec-08 20-Mar-09 7 7.619% 23-Mar-09 22-Jun-09 10 7.751% 23-Jun-09 21-Sep-09 15 7.770% 22-Sep-09 21-Dec-09 20 7.790% 22-Dec-09 22-Mar-10 30 7.800% 23-Mar-10 21-Jun-10

22-Jun-10 20-Sep-1021-Sep-10 20-Dec-1021-Dec-10 21-Mar-1122-Mar-11 20-Jun-1121-Jun-11 20-Sep-1121-Sep-11 20-Dec-1121-Dec-11 20-Mar-1221-Mar-12 20-Jun-1221-Jun-12 20-Sep-1221-Sep-12 20-Dec-1221-Dec-12 20-Mar-1321-Mar-13 20-Jun-1321-Jun-13 20-Sep-1323-Sep-13 20-Dec-1323-Dec-13 20-Mar-1421-Mar-14 20-Jun-1423-Jun-14 22-Sep-1423-Sep-14 22-Dec-1423-Dec-14 20-Mar-1523-Mar-15 22-Jun-1523-Jun-15 21-Sep-15

Bootstrap Curve

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22-Sep-15 21-Dec-1522-Dec-15 21-Mar-1622-Mar-16 20-Jun-1621-Jun-16 20-Sep-1621-Sep-16 20-Dec-1621-Dec-16 20-Mar-1721-Mar-17 20-Jun-1721-Jun-17 20-Sep-1721-Sep-17 20-Dec-1721-Dec-17 20-Mar-1821-Mar-18 20-Jun-1821-Jun-18 20-Sep-1821-Sep-18 20-Dec-1821-Dec-18 20-Mar-1921-Mar-19 20-Jun-1921-Jun-19 20-Sep-1923-Sep-19 20-Dec-1923-Dec-19 20-Mar-2023-Mar-20 22-Jun-2023-Jun-20 21-Sep-2022-Sep-20 21-Dec-2022-Dec-20 22-Mar-2123-Mar-21 21-Jun-2122-Jun-21 20-Sep-2121-Sep-21 20-Dec-2121-Dec-21 21-Mar-2222-Mar-22 20-Jun-2221-Jun-22 20-Sep-2221-Sep-22 20-Dec-2221-Dec-22 20-Mar-2321-Mar-23 20-Jun-2321-Jun-23 20-Sep-2321-Sep-23 20-Dec-2321-Dec-23 20-Mar-2421-Mar-24 20-Jun-2421-Jun-24 20-Sep-2423-Sep-24 20-Dec-2423-Dec-24 20-Mar-2521-Mar-25 20-Jun-2523-Jun-25 22-Sep-2523-Sep-25 22-Dec-2523-Dec-25 20-Mar-2623-Mar-26 22-Jun-2623-Jun-26 21-Sep-26

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22-Sep-26 21-Dec-2622-Dec-26 22-Mar-2723-Mar-27 21-Jun-2722-Jun-27 20-Sep-2721-Sep-27 20-Dec-2721-Dec-27 20-Mar-2821-Mar-28 20-Jun-2821-Jun-28 20-Sep-2821-Sep-28 20-Dec-2821-Dec-28 20-Mar-2921-Mar-29 20-Jun-2921-Jun-29 20-Sep-2921-Sep-29 20-Dec-2921-Dec-29 20-Mar-3021-Mar-30 20-Jun-3021-Jun-30 20-Sep-3023-Sep-30 20-Dec-3023-Dec-30 20-Mar-3121-Mar-31 20-Jun-3123-Jun-31 22-Sep-3123-Sep-31 22-Dec-3123-Dec-31 22-Mar-3223-Mar-32 21-Jun-3222-Jun-32 20-Sep-3221-Sep-32 20-Dec-3221-Dec-32 21-Mar-3322-Mar-33 20-Jun-3321-Jun-33 20-Sep-3321-Sep-33 20-Dec-3321-Dec-33 20-Mar-3421-Mar-34 20-Jun-3421-Jun-34 20-Sep-3421-Sep-34 20-Dec-3421-Dec-34 20-Mar-3521-Mar-35 20-Jun-3521-Jun-35 20-Sep-3521-Sep-35 20-Dec-3521-Dec-35 20-Mar-3621-Mar-36 20-Jun-3623-Jun-36 22-Sep-3623-Sep-36 22-Dec-3623-Dec-36 20-Mar-3723-Mar-37 22-Jun-3723-Jun-37 21-Sep-37

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22-Sep-37 21-Dec-3722-Dec-37 22-Mar-38

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6.10: Estimating FDP curve using daily time periods

Estimated Estimated ErrorCDS margins CDS margins periodic FDP

0.928% 0.928% 0.006% 0.00 11.855% 1.855% 0.015% 0.00 22.728% 2.728% 0.026% 0.00 32.799% 2.799% 0.019% 0.00 42.964% 2.964% 0.023% 0.00 53.256% 3.256% 0.030% 0.00 63.662% 3.662% 0.039% 0.00 74.122% 4.122% 0.048% 0.00 84.572% 4.572% 0.054% 0.00 95.026% 5.026% 0.062% 0.00 105.508% 5.508% 0.072% 0.00 115.969% 5.969% 0.078% 0.00 126.362% 6.362% 0.080% 0.00 136.660% 6.660% 0.076% 0.00 146.881% 6.881% 0.071% 0.00 157.040% 7.040% 0.067% 0.00 167.151% 7.151% 0.063% 0.00 177.229% 7.229% 0.059% 0.00 187.289% 7.289% 0.058% 0.00 197.346% 7.346% 0.059% 0.00 207.414% 7.414% 0.063% 0.00 217.481% 7.481% 0.063% 0.00 227.527% 7.527% 0.060% 0.00 237.557% 7.557% 0.057% 0.00 247.575% 7.575% 0.055% 0.00 257.586% 7.586% 0.052% 0.00 267.594% 7.594% 0.052% 0.00 277.603% 7.603% 0.052% 0.00 287.619% 7.619% 0.054% 0.00 297.637% 7.637% 0.058% 0.00 307.654% 7.654% 0.057% 0.00 31

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7.669% 7.669% 0.056% 0.00 327.682% 7.682% 0.056% 0.00 337.693% 7.693% 0.056% 0.00 347.704% 7.704% 0.055% 0.00 357.713% 7.713% 0.055% 0.00 367.721% 7.721% 0.055% 0.00 377.729% 7.729% 0.055% 0.00 387.736% 7.736% 0.055% 0.00 397.744% 7.744% 0.055% 0.00 407.751% 7.751% 0.056% 0.00 417.757% 7.757% 0.055% 0.00 427.763% 7.763% 0.055% 0.00 437.767% 7.767% 0.054% 0.00 447.771% 7.771% 0.054% 0.00 457.773% 7.773% 0.053% 0.00 467.775% 7.775% 0.052% 0.00 477.776% 7.776% 0.051% 0.00 487.777% 7.777% 0.051% 0.00 497.776% 7.776% 0.051% 0.00 507.776% 7.776% 0.049% 0.00 517.775% 7.775% 0.049% 0.00 527.774% 7.774% 0.049% 0.00 537.773% 7.773% 0.048% 0.00 547.772% 7.772% 0.048% 0.00 557.771% 7.771% 0.048% 0.00 567.770% 7.770% 0.048% 0.00 577.769% 7.769% 0.049% 0.00 587.769% 7.769% 0.049% 0.00 597.769% 7.769% 0.050% 0.00 607.770% 7.770% 0.052% 0.00 617.771% 7.771% 0.052% 0.00 627.772% 7.772% 0.052% 0.00 637.773% 7.773% 0.053% 0.00 647.774% 7.774% 0.053% 0.00 657.775% 7.775% 0.053% 0.00 667.776% 7.776% 0.053% 0.00 677.777% 7.777% 0.054% 0.00 687.778% 7.778% 0.054% 0.00 697.780% 7.780% 0.054% 0.00 707.781% 7.781% 0.055% 0.00 717.782% 7.782% 0.054% 0.00 727.783% 7.783% 0.054% 0.00 737.784% 7.784% 0.055% 0.00 747.785% 7.785% 0.055% 0.00 75

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7.786% 7.786% 0.055% 0.00 767.787% 7.787% 0.055% 0.00 777.788% 7.788% 0.055% 0.00 787.788% 7.788% 0.055% 0.00 797.789% 7.789% 0.055% 0.00 807.790% 7.790% 0.055% 0.00 817.791% 7.791% 0.055% 0.00 827.791% 7.791% 0.055% 0.00 837.792% 7.792% 0.055% 0.00 847.793% 7.793% 0.055% 0.00 857.793% 7.793% 0.054% 0.00 867.794% 7.794% 0.054% 0.00 877.794% 7.794% 0.055% 0.00 887.795% 7.795% 0.055% 0.00 897.795% 7.795% 0.054% 0.00 907.795% 7.795% 0.054% 0.00 917.796% 7.796% 0.054% 0.00 927.796% 7.796% 0.054% 0.00 937.796% 7.796% 0.054% 0.00 947.797% 7.797% 0.054% 0.00 957.797% 7.797% 0.054% 0.00 967.797% 7.797% 0.053% 0.00 977.797% 7.797% 0.053% 0.00 987.798% 7.798% 0.053% 0.00 997.798% 7.798% 0.053% 0.00 1007.798% 7.798% 0.053% 0.00 1017.798% 7.798% 0.053% 0.00 1027.798% 7.798% 0.052% 0.00 1037.798% 7.798% 0.052% 0.00 1047.798% 7.798% 0.052% 0.00 1057.798% 7.798% 0.052% 0.00 1067.799% 7.799% 0.052% 0.00 1077.799% 7.799% 0.052% 0.00 1087.799% 7.799% 0.052% 0.00 1097.799% 7.799% 0.052% 0.00 1107.799% 7.799% 0.052% 0.00 1117.799% 7.799% 0.052% 0.00 1127.799% 7.799% 0.053% 0.00 1137.799% 7.799% 0.053% 0.00 1147.799% 7.799% 0.054% 0.00 1157.799% 7.799% 0.054% 0.00 1167.799% 7.799% 0.053% 0.00 1177.800% 7.800% 0.056% 0.00 1187.800% 7.800% 0.055% 0.00 119

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7.800% 7.800% 0.056% 0.00 1207.800% 7.800% 0.057% 0.00 121

122123124125126127128129130131132133134135136137138139140141142143144145146147148149150151152153154155156157158159160161162163

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164165166167168169170171172173174175176177178179180181182183184185186187188189190191192193194195196197198199200201202203204205206207

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868869870871872873874875876877878879880881882883884885886887888889890891892893894895896897898899900901902903904905906907908909910911

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912913914915916917918919920921922923924925926927928929930931932933934935936937938939940941942943944945946947948949950951952953954955

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956957958959960961962963964965966967968969970971972973974975976977978979980981982983984985986987988989990991992993994995996997998999

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11761177117811791180118111821183118411851186118711881189119011911192119311941195119611971198119912001201120212031204120512061207120812091210121112121213121412151216121712181219

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12201221122212231224122512261227122812291230123112321233123412351236123712381239124012411242124312441245124612471248124912501251125212531254125512561257125812591260126112621263

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13081309131013111312131313141315131613171318131913201321132213231324132513261327132813291330133113321333133413351336133713381339134013411342134313441345134613471348134913501351

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13961397139813991400140114021403140414051406140714081409141014111412141314141415141614171418141914201421142214231424142514261427142814291430143114321433143414351436143714381439

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Page 326: Ch 6 Credit Derivatives

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Page 327: Ch 6 Credit Derivatives

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Page 334: Ch 6 Credit Derivatives

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Page 337: Ch 6 Credit Derivatives

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Page 338: Ch 6 Credit Derivatives

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Page 339: Ch 6 Credit Derivatives

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Page 340: Ch 6 Credit Derivatives

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Page 341: Ch 6 Credit Derivatives

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Page 342: Ch 6 Credit Derivatives

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Page 343: Ch 6 Credit Derivatives

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Page 344: Ch 6 Credit Derivatives

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Page 345: Ch 6 Credit Derivatives

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Page 346: Ch 6 Credit Derivatives

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Page 347: Ch 6 Credit Derivatives

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Page 348: Ch 6 Credit Derivatives

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Page 349: Ch 6 Credit Derivatives

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Page 350: Ch 6 Credit Derivatives

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Page 351: Ch 6 Credit Derivatives

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Page 352: Ch 6 Credit Derivatives

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Page 353: Ch 6 Credit Derivatives

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Page 354: Ch 6 Credit Derivatives

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Page 355: Ch 6 Credit Derivatives

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Page 356: Ch 6 Credit Derivatives

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Page 357: Ch 6 Credit Derivatives

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Page 358: Ch 6 Credit Derivatives

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Page 359: Ch 6 Credit Derivatives

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Page 360: Ch 6 Credit Derivatives

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Page 361: Ch 6 Credit Derivatives

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Page 362: Ch 6 Credit Derivatives

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Page 363: Ch 6 Credit Derivatives

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Page 364: Ch 6 Credit Derivatives

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Page 365: Ch 6 Credit Derivatives

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Page 366: Ch 6 Credit Derivatives

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Page 367: Ch 6 Credit Derivatives

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Page 368: Ch 6 Credit Derivatives

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Page 369: Ch 6 Credit Derivatives

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Page 370: Ch 6 Credit Derivatives

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Page 371: Ch 6 Credit Derivatives

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Page 372: Ch 6 Credit Derivatives

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Page 373: Ch 6 Credit Derivatives

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Page 374: Ch 6 Credit Derivatives

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Page 375: Ch 6 Credit Derivatives

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Page 376: Ch 6 Credit Derivatives

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Page 377: Ch 6 Credit Derivatives

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Page 378: Ch 6 Credit Derivatives

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Page 379: Ch 6 Credit Derivatives

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Page 380: Ch 6 Credit Derivatives

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Page 381: Ch 6 Credit Derivatives

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Page 382: Ch 6 Credit Derivatives

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Page 383: Ch 6 Credit Derivatives

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Page 384: Ch 6 Credit Derivatives

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Page 385: Ch 6 Credit Derivatives

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Page 386: Ch 6 Credit Derivatives

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Page 387: Ch 6 Credit Derivatives

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Page 388: Ch 6 Credit Derivatives

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Page 389: Ch 6 Credit Derivatives

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Page 390: Ch 6 Credit Derivatives

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Page 391: Ch 6 Credit Derivatives

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Page 392: Ch 6 Credit Derivatives

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Page 393: Ch 6 Credit Derivatives

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Page 394: Ch 6 Credit Derivatives

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Page 395: Ch 6 Credit Derivatives

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Page 396: Ch 6 Credit Derivatives

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Page 397: Ch 6 Credit Derivatives

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Page 398: Ch 6 Credit Derivatives

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Page 401: Ch 6 Credit Derivatives

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Page 405: Ch 6 Credit Derivatives

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Page 406: Ch 6 Credit Derivatives

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Page 407: Ch 6 Credit Derivatives

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Page 408: Ch 6 Credit Derivatives

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Page 409: Ch 6 Credit Derivatives

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Page 410: Ch 6 Credit Derivatives

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Page 411: Ch 6 Credit Derivatives

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Page 412: Ch 6 Credit Derivatives

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Page 413: Ch 6 Credit Derivatives

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Page 414: Ch 6 Credit Derivatives

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Page 415: Ch 6 Credit Derivatives

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Page 416: Ch 6 Credit Derivatives

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Page 417: Ch 6 Credit Derivatives

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Page 418: Ch 6 Credit Derivatives

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Page 419: Ch 6 Credit Derivatives

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Page 420: Ch 6 Credit Derivatives

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Page 421: Ch 6 Credit Derivatives

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Page 422: Ch 6 Credit Derivatives

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Page 423: Ch 6 Credit Derivatives

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Page 424: Ch 6 Credit Derivatives

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Page 425: Ch 6 Credit Derivatives

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Page 426: Ch 6 Credit Derivatives

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Page 427: Ch 6 Credit Derivatives

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Page 428: Ch 6 Credit Derivatives

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Page 429: Ch 6 Credit Derivatives

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Page 430: Ch 6 Credit Derivatives

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Page 431: Ch 6 Credit Derivatives

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Page 432: Ch 6 Credit Derivatives

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Page 433: Ch 6 Credit Derivatives

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Page 434: Ch 6 Credit Derivatives

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Page 435: Ch 6 Credit Derivatives

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Page 436: Ch 6 Credit Derivatives

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Page 437: Ch 6 Credit Derivatives

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Page 438: Ch 6 Credit Derivatives

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Page 439: Ch 6 Credit Derivatives

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Page 440: Ch 6 Credit Derivatives

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Page 441: Ch 6 Credit Derivatives

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Page 442: Ch 6 Credit Derivatives

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Page 443: Ch 6 Credit Derivatives

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Page 444: Ch 6 Credit Derivatives

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Page 445: Ch 6 Credit Derivatives

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Page 446: Ch 6 Credit Derivatives

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Page 447: Ch 6 Credit Derivatives

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Page 448: Ch 6 Credit Derivatives

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Page 449: Ch 6 Credit Derivatives

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Page 450: Ch 6 Credit Derivatives

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Page 451: Ch 6 Credit Derivatives

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Page 452: Ch 6 Credit Derivatives

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Page 453: Ch 6 Credit Derivatives

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Page 454: Ch 6 Credit Derivatives

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Page 455: Ch 6 Credit Derivatives

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Page 456: Ch 6 Credit Derivatives

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Page 457: Ch 6 Credit Derivatives

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Page 458: Ch 6 Credit Derivatives

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Page 459: Ch 6 Credit Derivatives

Recovery rate 40%

FDPs DFs d Survival

6-Feb-08 6-Feb-08 1 100.00%7-Feb-08 0.00595% 7-Feb-08 0.999911 0.003 99.99%8-Feb-08 0.00595% 8-Feb-08 0.999821 0.006 99.99%

11-Feb-08 0.00595% 11-Feb-08 0.999553 0.014 99.98%12-Feb-08 0.00595% 12-Feb-08 0.999464 0.017 99.98%13-Feb-08 0.00595% 13-Feb-08 0.999375 0.019 99.97%14-Feb-08 0.00595% 14-Feb-08 0.999286 0.022 99.96%15-Feb-08 0.00595% 15-Feb-08 0.999197 0.025 99.96%18-Feb-08 0.00595% 18-Feb-08 0.998931 0.033 99.95%19-Feb-08 0.00595% 19-Feb-08 0.998843 0.036 99.95%20-Feb-08 0.00595% 20-Feb-08 0.998755 0.039 99.94%21-Feb-08 0.00595% 21-Feb-08 0.998667 0.042 99.93%22-Feb-08 0.00595% 22-Feb-08 0.998579 0.044 99.93%25-Feb-08 0.00595% 25-Feb-08 0.998315 0.053 99.92%26-Feb-08 0.00595% 26-Feb-08 0.998228 0.056 99.92%27-Feb-08 0.00595% 27-Feb-08 0.998140 0.058 99.91%28-Feb-08 0.00595% 28-Feb-08 0.998053 0.061 99.90%29-Feb-08 0.00595% 29-Feb-08 0.997965 0.064 99.90%3-Mar-08 0.00595% 3-Mar-08 0.997704 0.072 99.89%4-Mar-08 0.00595% 4-Mar-08 0.997617 0.075 99.89%5-Mar-08 0.00595% 5-Mar-08 0.997531 0.078 99.88%6-Mar-08 0.00595% 6-Mar-08 0.997444 0.081 99.88%7-Mar-08 0.00595% 7-Mar-08 0.997356 0.083 99.87%

10-Mar-08 0.00595% 10-Mar-08 0.997094 0.092 99.86%11-Mar-08 0.00595% 11-Mar-08 0.997007 0.094 99.86%12-Mar-08 0.00595% 12-Mar-08 0.996920 0.097 99.85%13-Mar-08 0.00595% 13-Mar-08 0.996833 0.100 99.85%14-Mar-08 0.00595% 14-Mar-08 0.996746 0.103 99.84%17-Mar-08 0.00595% 17-Mar-08 0.996485 0.111 99.83%18-Mar-08 0.00595% 18-Mar-08 0.996398 0.114 99.83%19-Mar-08 0.00595% 19-Mar-08 0.996311 0.117 99.82%20-Mar-08 0.00595% 20-Mar-08 0.996224 0.119 99.82%

Page 460: Ch 6 Credit Derivatives

21-Mar-08 0.01475% 21-Mar-08 0.996138 0.003 99.80%24-Mar-08 0.01475% 24-Mar-08 0.995878 0.011 99.79%25-Mar-08 0.01475% 25-Mar-08 0.995791 0.014 99.77%26-Mar-08 0.01475% 26-Mar-08 0.995705 0.017 99.76%27-Mar-08 0.01475% 27-Mar-08 0.995618 0.019 99.74%28-Mar-08 0.01475% 28-Mar-08 0.995532 0.022 99.73%31-Mar-08 0.01475% 31-Mar-08 0.995273 0.031 99.71%

1-Apr-08 0.01475% 1-Apr-08 0.995187 0.033 99.70%2-Apr-08 0.01475% 2-Apr-08 0.995100 0.036 99.68%3-Apr-08 0.01475% 3-Apr-08 0.995014 0.039 99.67%4-Apr-08 0.01475% 4-Apr-08 0.994928 0.042 99.65%7-Apr-08 0.01475% 7-Apr-08 0.994670 0.050 99.64%8-Apr-08 0.01475% 8-Apr-08 0.994584 0.053 99.62%9-Apr-08 0.01475% 9-Apr-08 0.994499 0.056 99.61%

10-Apr-08 0.01475% 10-Apr-08 0.994413 0.058 99.60%11-Apr-08 0.01475% 11-Apr-08 0.994327 0.061 99.58%14-Apr-08 0.01475% 14-Apr-08 0.994070 0.069 99.57%15-Apr-08 0.01475% 15-Apr-08 0.993984 0.072 99.55%16-Apr-08 0.01475% 16-Apr-08 0.993899 0.075 99.54%17-Apr-08 0.01475% 17-Apr-08 0.993814 0.078 99.52%18-Apr-08 0.01475% 18-Apr-08 0.993728 0.081 99.51%21-Apr-08 0.01475% 21-Apr-08 0.993472 0.089 99.49%22-Apr-08 0.01475% 22-Apr-08 0.993387 0.092 99.48%23-Apr-08 0.01475% 23-Apr-08 0.993302 0.094 99.46%24-Apr-08 0.01475% 24-Apr-08 0.993217 0.097 99.45%25-Apr-08 0.01475% 25-Apr-08 0.993132 0.100 99.43%28-Apr-08 0.01475% 28-Apr-08 0.992877 0.108 99.42%29-Apr-08 0.01475% 29-Apr-08 0.992792 0.111 99.40%30-Apr-08 0.01475% 30-Apr-08 0.992707 0.114 99.39%1-May-08 0.01475% 1-May-08 0.992622 0.117 99.37%2-May-08 0.01475% 2-May-08 0.992537 0.119 99.36%5-May-08 0.01475% 5-May-08 0.992283 0.128 99.35%6-May-08 0.01475% 6-May-08 0.992199 0.131 99.33%7-May-08 0.01475% 7-May-08 0.992114 0.133 99.32%8-May-08 0.01475% 8-May-08 0.992029 0.136 99.30%9-May-08 0.01475% 9-May-08 0.991945 0.139 99.29%

12-May-08 0.01475% 12-May-08 0.991691 0.147 99.27%13-May-08 0.01475% 13-May-08 0.991607 0.150 99.26%14-May-08 0.01475% 14-May-08 0.991522 0.153 99.24%15-May-08 0.01475% 15-May-08 0.991438 0.156 99.23%16-May-08 0.01475% 16-May-08 0.991354 0.158 99.21%19-May-08 0.01475% 19-May-08 0.991101 0.167 99.20%20-May-08 0.01475% 20-May-08 0.991017 0.169 99.18%21-May-08 0.01475% 21-May-08 0.990932 0.172 99.17%

Page 461: Ch 6 Credit Derivatives

22-May-08 0.01475% 22-May-08 0.990848 0.175 99.16%23-May-08 0.01475% 23-May-08 0.990764 0.178 99.14%26-May-08 0.01475% 26-May-08 0.990512 0.186 99.13%27-May-08 0.01475% 27-May-08 0.990429 0.189 99.11%28-May-08 0.01475% 28-May-08 0.990345 0.192 99.10%29-May-08 0.01475% 29-May-08 0.990261 0.194 99.08%30-May-08 0.01475% 30-May-08 0.990177 0.197 99.07%

2-Jun-08 0.01475% 2-Jun-08 0.989926 0.206 99.05%3-Jun-08 0.01475% 3-Jun-08 0.989843 0.208 99.04%4-Jun-08 0.01475% 4-Jun-08 0.989759 0.211 99.02%5-Jun-08 0.01475% 5-Jun-08 0.989676 0.214 99.01%6-Jun-08 0.01475% 6-Jun-08 0.989592 0.217 98.99%9-Jun-08 0.01475% 9-Jun-08 0.989342 0.225 98.98%

10-Jun-08 0.01475% 10-Jun-08 0.989259 0.228 98.97%11-Jun-08 0.01475% 11-Jun-08 0.989176 0.231 98.95%12-Jun-08 0.01475% 12-Jun-08 0.989092 0.233 98.94%13-Jun-08 0.01475% 13-Jun-08 0.989009 0.236 98.92%16-Jun-08 0.01475% 16-Jun-08 0.988760 0.244 98.91%17-Jun-08 0.01475% 17-Jun-08 0.988677 0.247 98.89%18-Jun-08 0.01475% 18-Jun-08 0.988594 0.250 98.88%19-Jun-08 0.01475% 19-Jun-08 0.988511 0.253 98.86%20-Jun-08 0.01475% 20-Jun-08 0.988428 0.256 98.85%23-Jun-08 0.02638% 23-Jun-08 0.988180 0.008 98.82%24-Jun-08 0.02638% 24-Jun-08 0.988097 0.011 98.80%25-Jun-08 0.02638% 25-Jun-08 0.988015 0.014 98.77%26-Jun-08 0.02638% 26-Jun-08 0.987932 0.017 98.74%27-Jun-08 0.02638% 27-Jun-08 0.987850 0.019 98.72%30-Jun-08 0.02638% 30-Jun-08 0.987602 0.028 98.69%

1-Jul-08 0.02638% 1-Jul-08 0.987520 0.031 98.67%2-Jul-08 0.02638% 2-Jul-08 0.987437 0.033 98.64%3-Jul-08 0.02638% 3-Jul-08 0.987355 0.036 98.61%4-Jul-08 0.02638% 4-Jul-08 0.987273 0.039 98.59%7-Jul-08 0.02638% 7-Jul-08 0.987026 0.047 98.56%8-Jul-08 0.02638% 8-Jul-08 0.986944 0.050 98.54%9-Jul-08 0.02638% 9-Jul-08 0.986862 0.053 98.51%

10-Jul-08 0.02638% 10-Jul-08 0.986780 0.056 98.48%11-Jul-08 0.02638% 11-Jul-08 0.986698 0.058 98.46%14-Jul-08 0.02638% 14-Jul-08 0.986453 0.067 98.43%15-Jul-08 0.02638% 15-Jul-08 0.986371 0.069 98.41%16-Jul-08 0.02638% 16-Jul-08 0.986289 0.072 98.38%17-Jul-08 0.02638% 17-Jul-08 0.986207 0.075 98.35%18-Jul-08 0.02638% 18-Jul-08 0.986126 0.078 98.33%21-Jul-08 0.02638% 21-Jul-08 0.985881 0.086 98.30%22-Jul-08 0.02638% 22-Jul-08 0.985799 0.089 98.28%

Page 462: Ch 6 Credit Derivatives

23-Jul-08 0.02638% 23-Jul-08 0.985718 0.092 98.25%24-Jul-08 0.02638% 24-Jul-08 0.985637 0.094 98.22%25-Jul-08 0.02638% 25-Jul-08 0.985555 0.097 98.20%28-Jul-08 0.02638% 28-Jul-08 0.985311 0.106 98.17%29-Jul-08 0.02638% 29-Jul-08 0.985230 0.108 98.15%30-Jul-08 0.02638% 30-Jul-08 0.985149 0.111 98.12%31-Jul-08 0.02638% 31-Jul-08 0.985068 0.114 98.10%1-Aug-08 0.02638% 1-Aug-08 0.984987 0.117 98.07%4-Aug-08 0.02638% 4-Aug-08 0.984744 0.125 98.04%5-Aug-08 0.02638% 5-Aug-08 0.984663 0.128 98.02%6-Aug-08 0.02638% 6-Aug-08 0.984582 0.131 97.99%7-Aug-08 0.02638% 7-Aug-08 0.984504 0.133 97.97%8-Aug-08 0.02638% 8-Aug-08 0.984427 0.136 97.94%

11-Aug-08 0.02638% 11-Aug-08 0.984194 0.144 97.91%12-Aug-08 0.02638% 12-Aug-08 0.984117 0.147 97.89%13-Aug-08 0.02638% 13-Aug-08 0.984040 0.150 97.86%14-Aug-08 0.02638% 14-Aug-08 0.983963 0.153 97.84%15-Aug-08 0.02638% 15-Aug-08 0.983886 0.156 97.81%18-Aug-08 0.02638% 18-Aug-08 0.983655 0.164 97.79%19-Aug-08 0.02638% 19-Aug-08 0.983579 0.167 97.76%20-Aug-08 0.02638% 20-Aug-08 0.983502 0.169 97.73%21-Aug-08 0.02638% 21-Aug-08 0.983425 0.172 97.71%22-Aug-08 0.02638% 22-Aug-08 0.983349 0.175 97.68%25-Aug-08 0.02638% 25-Aug-08 0.983120 0.183 97.66%26-Aug-08 0.02638% 26-Aug-08 0.983044 0.186 97.63%27-Aug-08 0.02638% 27-Aug-08 0.982968 0.189 97.60%28-Aug-08 0.02638% 28-Aug-08 0.982892 0.192 97.58%29-Aug-08 0.02638% 29-Aug-08 0.982816 0.194 97.55%

1-Sep-08 0.02638% 1-Sep-08 0.982588 0.203 97.53%2-Sep-08 0.02638% 2-Sep-08 0.982513 0.206 97.50%3-Sep-08 0.02638% 3-Sep-08 0.982437 0.208 97.48%4-Sep-08 0.02638% 4-Sep-08 0.982362 0.211 97.45%5-Sep-08 0.02638% 5-Sep-08 0.982286 0.214 97.42%8-Sep-08 0.02638% 8-Sep-08 0.982060 0.222 97.40%9-Sep-08 0.02638% 9-Sep-08 0.981985 0.225 97.37%

10-Sep-08 0.02638% 10-Sep-08 0.981910 0.228 97.35%11-Sep-08 0.02638% 11-Sep-08 0.981835 0.231 97.32%12-Sep-08 0.02638% 12-Sep-08 0.981760 0.233 97.30%15-Sep-08 0.02638% 15-Sep-08 0.981536 0.242 97.27%16-Sep-08 0.02638% 16-Sep-08 0.981461 0.244 97.25%17-Sep-08 0.02638% 17-Sep-08 0.981387 0.247 97.22%18-Sep-08 0.02638% 18-Sep-08 0.981312 0.250 97.19%19-Sep-08 0.02638% 19-Sep-08 0.981238 0.253 97.17%22-Sep-08 0.02638% 22-Sep-08 0.981015 0.261 97.14%

Page 463: Ch 6 Credit Derivatives

23-Sep-08 0.01927% 23-Sep-08 0.980941 0.003 97.12%24-Sep-08 0.01927% 24-Sep-08 0.980867 0.006 97.11%25-Sep-08 0.01927% 25-Sep-08 0.980794 0.008 97.09%26-Sep-08 0.01927% 26-Sep-08 0.980720 0.011 97.07%29-Sep-08 0.01927% 29-Sep-08 0.980499 0.019 97.05%30-Sep-08 0.01927% 30-Sep-08 0.980425 0.022 97.03%

1-Oct-08 0.01927% 1-Oct-08 0.980352 0.025 97.01%2-Oct-08 0.01927% 2-Oct-08 0.980278 0.028 96.99%3-Oct-08 0.01927% 3-Oct-08 0.980205 0.031 96.97%6-Oct-08 0.01927% 6-Oct-08 0.979985 0.039 96.96%7-Oct-08 0.01927% 7-Oct-08 0.979912 0.042 96.94%8-Oct-08 0.01927% 8-Oct-08 0.979840 0.044 96.92%9-Oct-08 0.01927% 9-Oct-08 0.979767 0.047 96.90%

10-Oct-08 0.01927% 10-Oct-08 0.979694 0.050 96.88%13-Oct-08 0.01927% 13-Oct-08 0.979476 0.058 96.86%14-Oct-08 0.01927% 14-Oct-08 0.979404 0.061 96.84%15-Oct-08 0.01927% 15-Oct-08 0.979331 0.064 96.82%16-Oct-08 0.01927% 16-Oct-08 0.979259 0.067 96.81%17-Oct-08 0.01927% 17-Oct-08 0.979187 0.069 96.79%20-Oct-08 0.01927% 20-Oct-08 0.978970 0.078 96.77%21-Oct-08 0.01927% 21-Oct-08 0.978898 0.081 96.75%22-Oct-08 0.01927% 22-Oct-08 0.978826 0.083 96.73%23-Oct-08 0.01927% 23-Oct-08 0.978755 0.086 96.71%24-Oct-08 0.01927% 24-Oct-08 0.978683 0.089 96.69%27-Oct-08 0.01927% 27-Oct-08 0.978468 0.097 96.68%28-Oct-08 0.01927% 28-Oct-08 0.978397 0.100 96.66%29-Oct-08 0.01927% 29-Oct-08 0.978325 0.103 96.64%30-Oct-08 0.01927% 30-Oct-08 0.978254 0.106 96.62%31-Oct-08 0.01927% 31-Oct-08 0.978183 0.108 96.60%3-Nov-08 0.01927% 3-Nov-08 0.977970 0.117 96.58%4-Nov-08 0.01927% 4-Nov-08 0.977899 0.119 96.56%5-Nov-08 0.01927% 5-Nov-08 0.977828 0.122 96.55%6-Nov-08 0.01927% 6-Nov-08 0.977757 0.125 96.53%7-Nov-08 0.01927% 7-Nov-08 0.977685 0.128 96.51%

10-Nov-08 0.01927% 10-Nov-08 0.977469 0.136 96.49%11-Nov-08 0.01927% 11-Nov-08 0.977398 0.139 96.47%12-Nov-08 0.01927% 12-Nov-08 0.977326 0.142 96.45%13-Nov-08 0.01927% 13-Nov-08 0.977254 0.144 96.43%14-Nov-08 0.01927% 14-Nov-08 0.977183 0.147 96.42%17-Nov-08 0.01927% 17-Nov-08 0.976968 0.156 96.40%18-Nov-08 0.01927% 18-Nov-08 0.976897 0.158 96.38%19-Nov-08 0.01927% 19-Nov-08 0.976825 0.161 96.36%20-Nov-08 0.01927% 20-Nov-08 0.976754 0.164 96.34%21-Nov-08 0.01927% 21-Nov-08 0.976683 0.167 96.32%

Page 464: Ch 6 Credit Derivatives

24-Nov-08 0.01927% 24-Nov-08 0.976470 0.175 96.30%25-Nov-08 0.01927% 25-Nov-08 0.976399 0.178 96.29%26-Nov-08 0.01927% 26-Nov-08 0.976328 0.181 96.27%27-Nov-08 0.01927% 27-Nov-08 0.976257 0.183 96.25%28-Nov-08 0.01927% 28-Nov-08 0.976187 0.186 96.23%

1-Dec-08 0.01927% 1-Dec-08 0.975975 0.194 96.21%2-Dec-08 0.01927% 2-Dec-08 0.975905 0.197 96.19%3-Dec-08 0.01927% 3-Dec-08 0.975834 0.200 96.17%4-Dec-08 0.01927% 4-Dec-08 0.975764 0.203 96.16%5-Dec-08 0.01927% 5-Dec-08 0.975694 0.206 96.14%8-Dec-08 0.01927% 8-Dec-08 0.975483 0.214 96.12%9-Dec-08 0.01927% 9-Dec-08 0.975413 0.217 96.10%

10-Dec-08 0.01927% 10-Dec-08 0.975343 0.219 96.08%11-Dec-08 0.01927% 11-Dec-08 0.975273 0.222 96.06%12-Dec-08 0.01927% 12-Dec-08 0.975204 0.225 96.04%15-Dec-08 0.01927% 15-Dec-08 0.974995 0.233 96.03%16-Dec-08 0.01927% 16-Dec-08 0.974925 0.236 96.01%17-Dec-08 0.01927% 17-Dec-08 0.974856 0.239 95.99%18-Dec-08 0.01927% 18-Dec-08 0.974786 0.242 95.97%19-Dec-08 0.01927% 19-Dec-08 0.974717 0.244 95.95%22-Dec-08 0.01927% 22-Dec-08 0.974509 0.253 95.93%23-Dec-08 0.02281% 23-Dec-08 0.974440 0.003 95.91%24-Dec-08 0.02281% 24-Dec-08 0.974371 0.006 95.89%25-Dec-08 0.02281% 25-Dec-08 0.974302 0.008 95.87%26-Dec-08 0.02281% 26-Dec-08 0.974233 0.011 95.85%29-Dec-08 0.02281% 29-Dec-08 0.974027 0.019 95.82%30-Dec-08 0.02281% 30-Dec-08 0.973958 0.022 95.80%31-Dec-08 0.02281% 31-Dec-08 0.973890 0.025 95.78%

1-Jan-09 0.02281% 1-Jan-09 0.973821 0.028 95.76%2-Jan-09 0.02281% 2-Jan-09 0.973753 0.031 95.74%5-Jan-09 0.02281% 5-Jan-09 0.973548 0.039 95.71%6-Jan-09 0.02281% 6-Jan-09 0.973479 0.042 95.69%7-Jan-09 0.02281% 7-Jan-09 0.973411 0.044 95.67%8-Jan-09 0.02281% 8-Jan-09 0.973343 0.047 95.65%9-Jan-09 0.02281% 9-Jan-09 0.973275 0.050 95.63%

12-Jan-09 0.02281% 12-Jan-09 0.973072 0.058 95.61%13-Jan-09 0.02281% 13-Jan-09 0.973004 0.061 95.58%14-Jan-09 0.02281% 14-Jan-09 0.972936 0.064 95.56%15-Jan-09 0.02281% 15-Jan-09 0.972868 0.067 95.54%16-Jan-09 0.02281% 16-Jan-09 0.972801 0.069 95.52%19-Jan-09 0.02281% 19-Jan-09 0.972599 0.078 95.50%20-Jan-09 0.02281% 20-Jan-09 0.972531 0.081 95.47%21-Jan-09 0.02281% 21-Jan-09 0.972464 0.083 95.45%22-Jan-09 0.02281% 22-Jan-09 0.972397 0.086 95.43%

Page 465: Ch 6 Credit Derivatives

23-Jan-09 0.02281% 23-Jan-09 0.972330 0.089 95.41%26-Jan-09 0.02281% 26-Jan-09 0.972129 0.097 95.39%27-Jan-09 0.02281% 27-Jan-09 0.972062 0.100 95.37%28-Jan-09 0.02281% 28-Jan-09 0.971995 0.103 95.34%29-Jan-09 0.02281% 29-Jan-09 0.971929 0.106 95.32%30-Jan-09 0.02281% 30-Jan-09 0.971862 0.108 95.30%2-Feb-09 0.02281% 2-Feb-09 0.971662 0.117 95.28%3-Feb-09 0.02281% 3-Feb-09 0.971596 0.119 95.26%4-Feb-09 0.02281% 4-Feb-09 0.971530 0.122 95.24%5-Feb-09 0.02281% 5-Feb-09 0.971463 0.125 95.21%6-Feb-09 0.02281% 6-Feb-09 0.971397 0.128 95.19%9-Feb-09 0.02281% 9-Feb-09 0.971188 0.136 95.17%

10-Feb-09 0.02281% 10-Feb-09 0.971119 0.139 95.15%11-Feb-09 0.02281% 11-Feb-09 0.971050 0.142 95.13%12-Feb-09 0.02281% 12-Feb-09 0.970980 0.144 95.11%13-Feb-09 0.02281% 13-Feb-09 0.970911 0.147 95.08%16-Feb-09 0.02281% 16-Feb-09 0.970703 0.156 95.06%17-Feb-09 0.02281% 17-Feb-09 0.970634 0.158 95.04%18-Feb-09 0.02281% 18-Feb-09 0.970565 0.161 95.02%19-Feb-09 0.02281% 19-Feb-09 0.970496 0.164 95.00%20-Feb-09 0.02281% 20-Feb-09 0.970427 0.167 94.97%23-Feb-09 0.02281% 23-Feb-09 0.970221 0.175 94.95%24-Feb-09 0.02281% 24-Feb-09 0.970152 0.178 94.93%25-Feb-09 0.02281% 25-Feb-09 0.970083 0.181 94.91%26-Feb-09 0.02281% 26-Feb-09 0.970014 0.183 94.89%27-Feb-09 0.02281% 27-Feb-09 0.969946 0.186 94.87%2-Mar-09 0.02281% 2-Mar-09 0.969740 0.194 94.85%3-Mar-09 0.02281% 3-Mar-09 0.969672 0.197 94.82%4-Mar-09 0.02281% 4-Mar-09 0.969603 0.200 94.80%5-Mar-09 0.02281% 5-Mar-09 0.969535 0.203 94.78%6-Mar-09 0.02281% 6-Mar-09 0.969466 0.206 94.76%9-Mar-09 0.02281% 9-Mar-09 0.969262 0.214 94.74%

10-Mar-09 0.02281% 10-Mar-09 0.969194 0.217 94.72%11-Mar-09 0.02281% 11-Mar-09 0.969125 0.219 94.69%12-Mar-09 0.02281% 12-Mar-09 0.969057 0.222 94.67%13-Mar-09 0.02281% 13-Mar-09 0.968989 0.225 94.65%16-Mar-09 0.02281% 16-Mar-09 0.968786 0.233 94.63%17-Mar-09 0.02281% 17-Mar-09 0.968718 0.236 94.61%18-Mar-09 0.02281% 18-Mar-09 0.968650 0.239 94.59%19-Mar-09 0.02281% 19-Mar-09 0.968582 0.242 94.56%20-Mar-09 0.02281% 20-Mar-09 0.968514 0.244 94.54%23-Mar-09 0.03022% 23-Mar-09 0.968312 0.008 94.51%24-Mar-09 0.03022% 24-Mar-09 0.968244 0.011 94.49%25-Mar-09 0.03022% 25-Mar-09 0.968177 0.014 94.46%

Page 466: Ch 6 Credit Derivatives

26-Mar-09 0.03022% 26-Mar-09 0.968109 0.017 94.43%27-Mar-09 0.03022% 27-Mar-09 0.968042 0.019 94.40%30-Mar-09 0.03022% 30-Mar-09 0.967840 0.028 94.37%31-Mar-09 0.03022% 31-Mar-09 0.967773 0.031 94.34%

1-Apr-09 0.03022% 1-Apr-09 0.967706 0.033 94.31%2-Apr-09 0.03022% 2-Apr-09 0.967638 0.036 94.29%3-Apr-09 0.03022% 3-Apr-09 0.967571 0.039 94.26%6-Apr-09 0.03022% 6-Apr-09 0.967370 0.047 94.23%7-Apr-09 0.03022% 7-Apr-09 0.967304 0.050 94.20%8-Apr-09 0.03022% 8-Apr-09 0.967237 0.053 94.17%9-Apr-09 0.03022% 9-Apr-09 0.967170 0.056 94.14%

10-Apr-09 0.03022% 10-Apr-09 0.967103 0.058 94.12%13-Apr-09 0.03022% 13-Apr-09 0.966903 0.067 94.09%14-Apr-09 0.03022% 14-Apr-09 0.966837 0.069 94.06%15-Apr-09 0.03022% 15-Apr-09 0.966770 0.072 94.03%16-Apr-09 0.03022% 16-Apr-09 0.966704 0.075 94.00%17-Apr-09 0.03022% 17-Apr-09 0.966637 0.078 93.97%20-Apr-09 0.03022% 20-Apr-09 0.966438 0.086 93.94%21-Apr-09 0.03022% 21-Apr-09 0.966372 0.089 93.92%22-Apr-09 0.03022% 22-Apr-09 0.966306 0.092 93.89%23-Apr-09 0.03022% 23-Apr-09 0.966239 0.094 93.86%24-Apr-09 0.03022% 24-Apr-09 0.966173 0.097 93.83%27-Apr-09 0.03022% 27-Apr-09 0.965975 0.106 93.80%28-Apr-09 0.03022% 28-Apr-09 0.965909 0.108 93.77%29-Apr-09 0.03022% 29-Apr-09 0.965843 0.111 93.75%30-Apr-09 0.03022% 30-Apr-09 0.965777 0.114 93.72%1-May-09 0.03022% 1-May-09 0.965712 0.117 93.69%4-May-09 0.03022% 4-May-09 0.965514 0.125 93.66%5-May-09 0.03022% 5-May-09 0.965449 0.128 93.63%6-May-09 0.03022% 6-May-09 0.965383 0.131 93.60%7-May-09 0.03022% 7-May-09 0.965314 0.133 93.58%8-May-09 0.03022% 8-May-09 0.965244 0.136 93.55%

11-May-09 0.03022% 11-May-09 0.965036 0.144 93.52%12-May-09 0.03022% 12-May-09 0.964967 0.147 93.49%13-May-09 0.03022% 13-May-09 0.964898 0.150 93.46%14-May-09 0.03022% 14-May-09 0.964829 0.153 93.43%15-May-09 0.03022% 15-May-09 0.964759 0.156 93.41%18-May-09 0.03022% 18-May-09 0.964552 0.164 93.38%19-May-09 0.03022% 19-May-09 0.964483 0.167 93.35%20-May-09 0.03022% 20-May-09 0.964414 0.169 93.32%21-May-09 0.03022% 21-May-09 0.964345 0.172 93.29%22-May-09 0.03022% 22-May-09 0.964276 0.175 93.27%25-May-09 0.03022% 25-May-09 0.964069 0.183 93.24%26-May-09 0.03022% 26-May-09 0.964000 0.186 93.21%

Page 467: Ch 6 Credit Derivatives

27-May-09 0.03022% 27-May-09 0.963931 0.189 93.18%28-May-09 0.03022% 28-May-09 0.963862 0.192 93.15%29-May-09 0.03022% 29-May-09 0.963793 0.194 93.12%

1-Jun-09 0.03022% 1-Jun-09 0.963587 0.203 93.10%2-Jun-09 0.03022% 2-Jun-09 0.963518 0.206 93.07%3-Jun-09 0.03022% 3-Jun-09 0.963450 0.208 93.04%4-Jun-09 0.03022% 4-Jun-09 0.963381 0.211 93.01%5-Jun-09 0.03022% 5-Jun-09 0.963312 0.214 92.98%8-Jun-09 0.03022% 8-Jun-09 0.963107 0.222 92.96%9-Jun-09 0.03022% 9-Jun-09 0.963038 0.225 92.93%

10-Jun-09 0.03022% 10-Jun-09 0.962970 0.228 92.90%11-Jun-09 0.03022% 11-Jun-09 0.962901 0.231 92.87%12-Jun-09 0.03022% 12-Jun-09 0.962833 0.233 92.84%15-Jun-09 0.03022% 15-Jun-09 0.962628 0.242 92.82%16-Jun-09 0.03022% 16-Jun-09 0.962559 0.244 92.79%17-Jun-09 0.03022% 17-Jun-09 0.962491 0.247 92.76%18-Jun-09 0.03022% 18-Jun-09 0.962423 0.250 92.73%19-Jun-09 0.03022% 19-Jun-09 0.962354 0.253 92.70%22-Jun-09 0.03022% 22-Jun-09 0.962150 0.261 92.68%23-Jun-09 0.03932% 23-Jun-09 0.962082 0.003 92.64%24-Jun-09 0.03932% 24-Jun-09 0.962014 0.006 92.60%25-Jun-09 0.03932% 25-Jun-09 0.961946 0.008 92.57%26-Jun-09 0.03932% 26-Jun-09 0.961878 0.011 92.53%29-Jun-09 0.03932% 29-Jun-09 0.961674 0.019 92.49%30-Jun-09 0.03932% 30-Jun-09 0.961606 0.022 92.46%

1-Jul-09 0.03932% 1-Jul-09 0.961538 0.025 92.42%2-Jul-09 0.03932% 2-Jul-09 0.961470 0.028 92.38%3-Jul-09 0.03932% 3-Jul-09 0.961402 0.031 92.35%6-Jul-09 0.03932% 6-Jul-09 0.961199 0.039 92.31%7-Jul-09 0.03932% 7-Jul-09 0.961131 0.042 92.28%8-Jul-09 0.03932% 8-Jul-09 0.961063 0.044 92.24%9-Jul-09 0.03932% 9-Jul-09 0.960996 0.047 92.20%

10-Jul-09 0.03932% 10-Jul-09 0.960928 0.050 92.17%13-Jul-09 0.03932% 13-Jul-09 0.960725 0.058 92.13%14-Jul-09 0.03932% 14-Jul-09 0.960658 0.061 92.09%15-Jul-09 0.03932% 15-Jul-09 0.960590 0.064 92.06%16-Jul-09 0.03932% 16-Jul-09 0.960523 0.067 92.02%17-Jul-09 0.03932% 17-Jul-09 0.960455 0.069 91.99%20-Jul-09 0.03932% 20-Jul-09 0.960253 0.078 91.95%21-Jul-09 0.03932% 21-Jul-09 0.960186 0.081 91.91%22-Jul-09 0.03932% 22-Jul-09 0.960119 0.083 91.88%23-Jul-09 0.03932% 23-Jul-09 0.960051 0.086 91.84%24-Jul-09 0.03932% 24-Jul-09 0.959984 0.089 91.80%27-Jul-09 0.03932% 27-Jul-09 0.959782 0.097 91.77%

Page 468: Ch 6 Credit Derivatives

28-Jul-09 0.03932% 28-Jul-09 0.959715 0.100 91.73%29-Jul-09 0.03932% 29-Jul-09 0.959648 0.103 91.70%30-Jul-09 0.03932% 30-Jul-09 0.959581 0.106 91.66%31-Jul-09 0.03932% 31-Jul-09 0.959514 0.108 91.62%3-Aug-09 0.03932% 3-Aug-09 0.959313 0.117 91.59%4-Aug-09 0.03932% 4-Aug-09 0.959246 0.119 91.55%5-Aug-09 0.03932% 5-Aug-09 0.959179 0.122 91.52%6-Aug-09 0.03932% 6-Aug-09 0.959112 0.125 91.48%7-Aug-09 0.03932% 7-Aug-09 0.959041 0.128 91.44%

10-Aug-09 0.03932% 10-Aug-09 0.958826 0.136 91.41%11-Aug-09 0.03932% 11-Aug-09 0.958755 0.139 91.37%12-Aug-09 0.03932% 12-Aug-09 0.958684 0.142 91.34%13-Aug-09 0.03932% 13-Aug-09 0.958612 0.144 91.30%14-Aug-09 0.03932% 14-Aug-09 0.958541 0.147 91.26%17-Aug-09 0.03932% 17-Aug-09 0.958327 0.156 91.23%18-Aug-09 0.03932% 18-Aug-09 0.958255 0.158 91.19%19-Aug-09 0.03932% 19-Aug-09 0.958184 0.161 91.16%20-Aug-09 0.03932% 20-Aug-09 0.958113 0.164 91.12%21-Aug-09 0.03932% 21-Aug-09 0.958041 0.167 91.09%24-Aug-09 0.03932% 24-Aug-09 0.957828 0.175 91.05%25-Aug-09 0.03932% 25-Aug-09 0.957756 0.178 91.01%26-Aug-09 0.03932% 26-Aug-09 0.957685 0.181 90.98%27-Aug-09 0.03932% 27-Aug-09 0.957614 0.183 90.94%28-Aug-09 0.03932% 28-Aug-09 0.957543 0.186 90.91%31-Aug-09 0.03932% 31-Aug-09 0.957329 0.194 90.87%

1-Sep-09 0.03932% 1-Sep-09 0.957258 0.197 90.84%2-Sep-09 0.03932% 2-Sep-09 0.957187 0.200 90.80%3-Sep-09 0.03932% 3-Sep-09 0.957116 0.203 90.76%4-Sep-09 0.03932% 4-Sep-09 0.957044 0.206 90.73%7-Sep-09 0.03932% 7-Sep-09 0.956831 0.214 90.69%8-Sep-09 0.03932% 8-Sep-09 0.956760 0.217 90.66%9-Sep-09 0.03932% 9-Sep-09 0.956689 0.219 90.62%

10-Sep-09 0.03932% 10-Sep-09 0.956618 0.222 90.59%11-Sep-09 0.03932% 11-Sep-09 0.956547 0.225 90.55%14-Sep-09 0.03932% 14-Sep-09 0.956334 0.233 90.51%15-Sep-09 0.03932% 15-Sep-09 0.956263 0.236 90.48%16-Sep-09 0.03932% 16-Sep-09 0.956192 0.239 90.44%17-Sep-09 0.03932% 17-Sep-09 0.956121 0.242 90.41%18-Sep-09 0.03932% 18-Sep-09 0.956050 0.244 90.37%21-Sep-09 0.03932% 21-Sep-09 0.955837 0.253 90.34%22-Sep-09 0.04803% 22-Sep-09 0.955766 0.003 90.29%23-Sep-09 0.04803% 23-Sep-09 0.955695 0.006 90.25%24-Sep-09 0.04803% 24-Sep-09 0.955624 0.008 90.21%25-Sep-09 0.04803% 25-Sep-09 0.955553 0.011 90.16%

Page 469: Ch 6 Credit Derivatives

28-Sep-09 0.04803% 28-Sep-09 0.955340 0.019 90.12%29-Sep-09 0.04803% 29-Sep-09 0.955270 0.022 90.08%30-Sep-09 0.04803% 30-Sep-09 0.955199 0.025 90.03%

1-Oct-09 0.04803% 1-Oct-09 0.955128 0.028 89.99%2-Oct-09 0.04803% 2-Oct-09 0.955057 0.031 89.95%5-Oct-09 0.04803% 5-Oct-09 0.954845 0.039 89.90%6-Oct-09 0.04803% 6-Oct-09 0.954774 0.042 89.86%7-Oct-09 0.04803% 7-Oct-09 0.954703 0.044 89.82%8-Oct-09 0.04803% 8-Oct-09 0.954632 0.047 89.77%9-Oct-09 0.04803% 9-Oct-09 0.954562 0.050 89.73%

12-Oct-09 0.04803% 12-Oct-09 0.954349 0.058 89.69%13-Oct-09 0.04803% 13-Oct-09 0.954279 0.061 89.64%14-Oct-09 0.04803% 14-Oct-09 0.954208 0.064 89.60%15-Oct-09 0.04803% 15-Oct-09 0.954137 0.067 89.56%16-Oct-09 0.04803% 16-Oct-09 0.954067 0.069 89.52%19-Oct-09 0.04803% 19-Oct-09 0.953855 0.078 89.47%20-Oct-09 0.04803% 20-Oct-09 0.953784 0.081 89.43%21-Oct-09 0.04803% 21-Oct-09 0.953714 0.083 89.39%22-Oct-09 0.04803% 22-Oct-09 0.953643 0.086 89.34%23-Oct-09 0.04803% 23-Oct-09 0.953572 0.089 89.30%26-Oct-09 0.04803% 26-Oct-09 0.953361 0.097 89.26%27-Oct-09 0.04803% 27-Oct-09 0.953290 0.100 89.22%28-Oct-09 0.04803% 28-Oct-09 0.953220 0.103 89.17%29-Oct-09 0.04803% 29-Oct-09 0.953149 0.106 89.13%30-Oct-09 0.04803% 30-Oct-09 0.953079 0.108 89.09%2-Nov-09 0.04803% 2-Nov-09 0.952867 0.117 89.04%3-Nov-09 0.04803% 3-Nov-09 0.952797 0.119 89.00%4-Nov-09 0.04803% 4-Nov-09 0.952726 0.122 88.96%5-Nov-09 0.04803% 5-Nov-09 0.952656 0.125 88.92%6-Nov-09 0.04803% 6-Nov-09 0.952586 0.128 88.87%9-Nov-09 0.04803% 9-Nov-09 0.952359 0.136 88.83%

10-Nov-09 0.04803% 10-Nov-09 0.952283 0.139 88.79%11-Nov-09 0.04803% 11-Nov-09 0.952207 0.142 88.74%12-Nov-09 0.04803% 12-Nov-09 0.952132 0.144 88.70%13-Nov-09 0.04803% 13-Nov-09 0.952056 0.147 88.66%16-Nov-09 0.04803% 16-Nov-09 0.951829 0.156 88.62%17-Nov-09 0.04803% 17-Nov-09 0.951753 0.158 88.57%18-Nov-09 0.04803% 18-Nov-09 0.951678 0.161 88.53%19-Nov-09 0.04803% 19-Nov-09 0.951602 0.164 88.49%20-Nov-09 0.04803% 20-Nov-09 0.951526 0.167 88.45%23-Nov-09 0.04803% 23-Nov-09 0.951299 0.175 88.40%24-Nov-09 0.04803% 24-Nov-09 0.951223 0.178 88.36%25-Nov-09 0.04803% 25-Nov-09 0.951148 0.181 88.32%26-Nov-09 0.04803% 26-Nov-09 0.951072 0.183 88.28%

Page 470: Ch 6 Credit Derivatives

27-Nov-09 0.04803% 27-Nov-09 0.950996 0.186 88.23%30-Nov-09 0.04803% 30-Nov-09 0.950769 0.194 88.19%

1-Dec-09 0.04803% 1-Dec-09 0.950693 0.197 88.15%2-Dec-09 0.04803% 2-Dec-09 0.950618 0.200 88.11%3-Dec-09 0.04803% 3-Dec-09 0.950542 0.203 88.07%4-Dec-09 0.04803% 4-Dec-09 0.950466 0.206 88.02%7-Dec-09 0.04803% 7-Dec-09 0.950239 0.214 87.98%8-Dec-09 0.04803% 8-Dec-09 0.950163 0.217 87.94%9-Dec-09 0.04803% 9-Dec-09 0.950087 0.219 87.90%

10-Dec-09 0.04803% 10-Dec-09 0.950011 0.222 87.85%11-Dec-09 0.04803% 11-Dec-09 0.949936 0.225 87.81%14-Dec-09 0.04803% 14-Dec-09 0.949708 0.233 87.77%15-Dec-09 0.04803% 15-Dec-09 0.949633 0.236 87.73%16-Dec-09 0.04803% 16-Dec-09 0.949557 0.239 87.69%17-Dec-09 0.04803% 17-Dec-09 0.949481 0.242 87.64%18-Dec-09 0.04803% 18-Dec-09 0.949405 0.244 87.60%21-Dec-09 0.04803% 21-Dec-09 0.949178 0.253 87.56%22-Dec-09 0.05438% 22-Dec-09 0.949102 0.003 87.51%23-Dec-09 0.05438% 23-Dec-09 0.949026 0.006 87.46%24-Dec-09 0.05438% 24-Dec-09 0.948950 0.008 87.42%25-Dec-09 0.05438% 25-Dec-09 0.948874 0.011 87.37%28-Dec-09 0.05438% 28-Dec-09 0.948647 0.019 87.32%29-Dec-09 0.05438% 29-Dec-09 0.948571 0.022 87.27%30-Dec-09 0.05438% 30-Dec-09 0.948495 0.025 87.23%31-Dec-09 0.05438% 31-Dec-09 0.948419 0.028 87.18%

1-Jan-10 0.05438% 1-Jan-10 0.948343 0.031 87.13%4-Jan-10 0.05438% 4-Jan-10 0.948116 0.039 87.08%5-Jan-10 0.05438% 5-Jan-10 0.948040 0.042 87.04%6-Jan-10 0.05438% 6-Jan-10 0.947964 0.044 86.99%7-Jan-10 0.05438% 7-Jan-10 0.947888 0.047 86.94%8-Jan-10 0.05438% 8-Jan-10 0.947812 0.050 86.89%

11-Jan-10 0.05438% 11-Jan-10 0.947584 0.058 86.85%12-Jan-10 0.05438% 12-Jan-10 0.947509 0.061 86.80%13-Jan-10 0.05438% 13-Jan-10 0.947433 0.064 86.75%14-Jan-10 0.05438% 14-Jan-10 0.947357 0.067 86.71%15-Jan-10 0.05438% 15-Jan-10 0.947281 0.069 86.66%18-Jan-10 0.05438% 18-Jan-10 0.947053 0.078 86.61%19-Jan-10 0.05438% 19-Jan-10 0.946977 0.081 86.56%20-Jan-10 0.05438% 20-Jan-10 0.946901 0.083 86.52%21-Jan-10 0.05438% 21-Jan-10 0.946825 0.086 86.47%22-Jan-10 0.05438% 22-Jan-10 0.946749 0.089 86.42%25-Jan-10 0.05438% 25-Jan-10 0.946521 0.097 86.38%26-Jan-10 0.05438% 26-Jan-10 0.946445 0.100 86.33%27-Jan-10 0.05438% 27-Jan-10 0.946369 0.103 86.28%

Page 471: Ch 6 Credit Derivatives

28-Jan-10 0.05438% 28-Jan-10 0.946294 0.106 86.24%29-Jan-10 0.05438% 29-Jan-10 0.946218 0.108 86.19%1-Feb-10 0.05438% 1-Feb-10 0.945990 0.117 86.14%2-Feb-10 0.05438% 2-Feb-10 0.945914 0.119 86.09%3-Feb-10 0.05438% 3-Feb-10 0.945838 0.122 86.05%4-Feb-10 0.05438% 4-Feb-10 0.945762 0.125 86.00%5-Feb-10 0.05438% 5-Feb-10 0.945686 0.128 85.95%8-Feb-10 0.05438% 8-Feb-10 0.945458 0.136 85.91%9-Feb-10 0.05438% 9-Feb-10 0.945376 0.139 85.86%

10-Feb-10 0.05438% 10-Feb-10 0.945293 0.142 85.81%11-Feb-10 0.05438% 11-Feb-10 0.945211 0.144 85.77%12-Feb-10 0.05438% 12-Feb-10 0.945129 0.147 85.72%15-Feb-10 0.05438% 15-Feb-10 0.944883 0.156 85.67%16-Feb-10 0.05438% 16-Feb-10 0.944801 0.158 85.63%17-Feb-10 0.05438% 17-Feb-10 0.944719 0.161 85.58%18-Feb-10 0.05438% 18-Feb-10 0.944636 0.164 85.53%19-Feb-10 0.05438% 19-Feb-10 0.944554 0.167 85.49%22-Feb-10 0.05438% 22-Feb-10 0.944307 0.175 85.44%23-Feb-10 0.05438% 23-Feb-10 0.944225 0.178 85.40%24-Feb-10 0.05438% 24-Feb-10 0.944143 0.181 85.35%25-Feb-10 0.05438% 25-Feb-10 0.944060 0.183 85.30%26-Feb-10 0.05438% 26-Feb-10 0.943978 0.186 85.26%1-Mar-10 0.05438% 1-Mar-10 0.943731 0.194 85.21%2-Mar-10 0.05438% 2-Mar-10 0.943648 0.197 85.16%3-Mar-10 0.05438% 3-Mar-10 0.943566 0.200 85.12%4-Mar-10 0.05438% 4-Mar-10 0.943483 0.203 85.07%5-Mar-10 0.05438% 5-Mar-10 0.943401 0.206 85.02%8-Mar-10 0.05438% 8-Mar-10 0.943153 0.214 84.98%9-Mar-10 0.05438% 9-Mar-10 0.943071 0.217 84.93%

10-Mar-10 0.05438% 10-Mar-10 0.942988 0.219 84.89%11-Mar-10 0.05438% 11-Mar-10 0.942905 0.222 84.84%12-Mar-10 0.05438% 12-Mar-10 0.942823 0.225 84.79%15-Mar-10 0.05438% 15-Mar-10 0.942575 0.233 84.75%16-Mar-10 0.05438% 16-Mar-10 0.942492 0.236 84.70%17-Mar-10 0.05438% 17-Mar-10 0.942409 0.239 84.66%18-Mar-10 0.05438% 18-Mar-10 0.942327 0.242 84.61%19-Mar-10 0.05438% 19-Mar-10 0.942244 0.244 84.56%22-Mar-10 0.05438% 22-Mar-10 0.941995 0.253 84.52%23-Mar-10 0.06178% 23-Mar-10 0.941913 0.003 84.46%24-Mar-10 0.06178% 24-Mar-10 0.941830 0.006 84.41%25-Mar-10 0.06178% 25-Mar-10 0.941747 0.008 84.36%26-Mar-10 0.06178% 26-Mar-10 0.941664 0.011 84.31%29-Mar-10 0.06178% 29-Mar-10 0.941415 0.019 84.26%30-Mar-10 0.06178% 30-Mar-10 0.941332 0.022 84.20%

Page 472: Ch 6 Credit Derivatives

31-Mar-10 0.06178% 31-Mar-10 0.941249 0.025 84.15%1-Apr-10 0.06178% 1-Apr-10 0.941166 0.028 84.10%2-Apr-10 0.06178% 2-Apr-10 0.941083 0.031 84.05%5-Apr-10 0.06178% 5-Apr-10 0.940834 0.039 84.00%6-Apr-10 0.06178% 6-Apr-10 0.940751 0.042 83.94%7-Apr-10 0.06178% 7-Apr-10 0.940668 0.044 83.89%8-Apr-10 0.06178% 8-Apr-10 0.940585 0.047 83.84%9-Apr-10 0.06178% 9-Apr-10 0.940501 0.050 83.79%

12-Apr-10 0.06178% 12-Apr-10 0.940252 0.058 83.74%13-Apr-10 0.06178% 13-Apr-10 0.940169 0.061 83.69%14-Apr-10 0.06178% 14-Apr-10 0.940085 0.064 83.63%15-Apr-10 0.06178% 15-Apr-10 0.940002 0.067 83.58%16-Apr-10 0.06178% 16-Apr-10 0.939919 0.069 83.53%19-Apr-10 0.06178% 19-Apr-10 0.939669 0.078 83.48%20-Apr-10 0.06178% 20-Apr-10 0.939585 0.081 83.43%21-Apr-10 0.06178% 21-Apr-10 0.939502 0.083 83.38%22-Apr-10 0.06178% 22-Apr-10 0.939419 0.086 83.32%23-Apr-10 0.06178% 23-Apr-10 0.939335 0.089 83.27%26-Apr-10 0.06178% 26-Apr-10 0.939085 0.097 83.22%27-Apr-10 0.06178% 27-Apr-10 0.939001 0.100 83.17%28-Apr-10 0.06178% 28-Apr-10 0.938918 0.103 83.12%29-Apr-10 0.06178% 29-Apr-10 0.938834 0.106 83.07%30-Apr-10 0.06178% 30-Apr-10 0.938751 0.108 83.02%3-May-10 0.06178% 3-May-10 0.938500 0.117 82.96%4-May-10 0.06178% 4-May-10 0.938416 0.119 82.91%5-May-10 0.06178% 5-May-10 0.938333 0.122 82.86%6-May-10 0.06178% 6-May-10 0.938249 0.125 82.81%7-May-10 0.06178% 7-May-10 0.938162 0.128 82.76%

10-May-10 0.06178% 10-May-10 0.937900 0.136 82.71%11-May-10 0.06178% 11-May-10 0.937813 0.139 82.66%12-May-10 0.06178% 12-May-10 0.937725 0.142 82.61%13-May-10 0.06178% 13-May-10 0.937638 0.144 82.56%14-May-10 0.06178% 14-May-10 0.937550 0.147 82.50%17-May-10 0.06178% 17-May-10 0.937288 0.156 82.45%18-May-10 0.06178% 18-May-10 0.937201 0.158 82.40%19-May-10 0.06178% 19-May-10 0.937113 0.161 82.35%20-May-10 0.06178% 20-May-10 0.937025 0.164 82.30%21-May-10 0.06178% 21-May-10 0.936938 0.167 82.25%24-May-10 0.06178% 24-May-10 0.936675 0.175 82.20%25-May-10 0.06178% 25-May-10 0.936587 0.178 82.15%26-May-10 0.06178% 26-May-10 0.936499 0.181 82.10%27-May-10 0.06178% 27-May-10 0.936412 0.183 82.05%28-May-10 0.06178% 28-May-10 0.936324 0.186 82.00%31-May-10 0.06178% 31-May-10 0.936060 0.194 81.95%

Page 473: Ch 6 Credit Derivatives

1-Jun-10 0.06178% 1-Jun-10 0.935973 0.197 81.89%2-Jun-10 0.06178% 2-Jun-10 0.935885 0.200 81.84%3-Jun-10 0.06178% 3-Jun-10 0.935797 0.203 81.79%4-Jun-10 0.06178% 4-Jun-10 0.935709 0.206 81.74%7-Jun-10 0.06178% 7-Jun-10 0.935445 0.214 81.69%8-Jun-10 0.06178% 8-Jun-10 0.935357 0.217 81.64%9-Jun-10 0.06178% 9-Jun-10 0.935269 0.219 81.59%

10-Jun-10 0.06178% 10-Jun-10 0.935181 0.222 81.54%11-Jun-10 0.06178% 11-Jun-10 0.935092 0.225 81.49%14-Jun-10 0.06178% 14-Jun-10 0.934828 0.233 81.44%15-Jun-10 0.06178% 15-Jun-10 0.934740 0.236 81.39%16-Jun-10 0.06178% 16-Jun-10 0.934651 0.239 81.34%17-Jun-10 0.06178% 17-Jun-10 0.934563 0.242 81.29%18-Jun-10 0.06178% 18-Jun-10 0.934475 0.244 81.24%21-Jun-10 0.06178% 21-Jun-10 0.934209 0.253 81.19%22-Jun-10 0.07158% 22-Jun-10 0.934121 0.003 81.13%23-Jun-10 0.07158% 23-Jun-10 0.934033 0.006 81.07%24-Jun-10 0.07158% 24-Jun-10 0.933944 0.008 81.02%25-Jun-10 0.07158% 25-Jun-10 0.933856 0.011 80.96%28-Jun-10 0.07158% 28-Jun-10 0.933590 0.019 80.90%29-Jun-10 0.07158% 29-Jun-10 0.933501 0.022 80.84%30-Jun-10 0.07158% 30-Jun-10 0.933413 0.025 80.78%

1-Jul-10 0.07158% 1-Jul-10 0.933324 0.028 80.73%2-Jul-10 0.07158% 2-Jul-10 0.933235 0.031 80.67%5-Jul-10 0.07158% 5-Jul-10 0.932969 0.039 80.61%6-Jul-10 0.07158% 6-Jul-10 0.932880 0.042 80.55%7-Jul-10 0.07158% 7-Jul-10 0.932791 0.044 80.49%8-Jul-10 0.07158% 8-Jul-10 0.932703 0.047 80.44%9-Jul-10 0.07158% 9-Jul-10 0.932614 0.050 80.38%

12-Jul-10 0.07158% 12-Jul-10 0.932347 0.058 80.32%13-Jul-10 0.07158% 13-Jul-10 0.932258 0.061 80.26%14-Jul-10 0.07158% 14-Jul-10 0.932169 0.064 80.21%15-Jul-10 0.07158% 15-Jul-10 0.932080 0.067 80.15%16-Jul-10 0.07158% 16-Jul-10 0.931991 0.069 80.09%19-Jul-10 0.07158% 19-Jul-10 0.931723 0.078 80.03%20-Jul-10 0.07158% 20-Jul-10 0.931634 0.081 79.98%21-Jul-10 0.07158% 21-Jul-10 0.931545 0.083 79.92%22-Jul-10 0.07158% 22-Jul-10 0.931456 0.086 79.86%23-Jul-10 0.07158% 23-Jul-10 0.931367 0.089 79.81%26-Jul-10 0.07158% 26-Jul-10 0.931099 0.097 79.75%27-Jul-10 0.07158% 27-Jul-10 0.931009 0.100 79.69%28-Jul-10 0.07158% 28-Jul-10 0.930920 0.103 79.63%29-Jul-10 0.07158% 29-Jul-10 0.930831 0.106 79.58%30-Jul-10 0.07158% 30-Jul-10 0.930741 0.108 79.52%

Page 474: Ch 6 Credit Derivatives

2-Aug-10 0.07158% 2-Aug-10 0.930473 0.117 79.46%3-Aug-10 0.07158% 3-Aug-10 0.930383 0.119 79.41%4-Aug-10 0.07158% 4-Aug-10 0.930294 0.122 79.35%5-Aug-10 0.07158% 5-Aug-10 0.930204 0.125 79.29%6-Aug-10 0.07158% 6-Aug-10 0.930114 0.128 79.24%9-Aug-10 0.07158% 9-Aug-10 0.929841 0.136 79.18%

10-Aug-10 0.07158% 10-Aug-10 0.929750 0.139 79.12%11-Aug-10 0.07158% 11-Aug-10 0.929658 0.142 79.07%12-Aug-10 0.07158% 12-Aug-10 0.929567 0.144 79.01%13-Aug-10 0.07158% 13-Aug-10 0.929476 0.147 78.95%16-Aug-10 0.07158% 16-Aug-10 0.929202 0.156 78.90%17-Aug-10 0.07158% 17-Aug-10 0.929110 0.158 78.84%18-Aug-10 0.07158% 18-Aug-10 0.929019 0.161 78.78%19-Aug-10 0.07158% 19-Aug-10 0.928927 0.164 78.73%20-Aug-10 0.07158% 20-Aug-10 0.928836 0.167 78.67%23-Aug-10 0.07158% 23-Aug-10 0.928561 0.175 78.61%24-Aug-10 0.07158% 24-Aug-10 0.928469 0.178 78.56%25-Aug-10 0.07158% 25-Aug-10 0.928378 0.181 78.50%26-Aug-10 0.07158% 26-Aug-10 0.928286 0.183 78.45%27-Aug-10 0.07158% 27-Aug-10 0.928194 0.186 78.39%30-Aug-10 0.07158% 30-Aug-10 0.927919 0.194 78.33%31-Aug-10 0.07158% 31-Aug-10 0.927827 0.197 78.28%

1-Sep-10 0.07158% 1-Sep-10 0.927735 0.200 78.22%2-Sep-10 0.07158% 2-Sep-10 0.927643 0.203 78.17%3-Sep-10 0.07158% 3-Sep-10 0.927551 0.206 78.11%6-Sep-10 0.07158% 6-Sep-10 0.927275 0.214 78.05%7-Sep-10 0.07158% 7-Sep-10 0.927183 0.217 78.00%8-Sep-10 0.07158% 8-Sep-10 0.927091 0.219 77.94%9-Sep-10 0.07158% 9-Sep-10 0.926999 0.222 77.89%

10-Sep-10 0.07158% 10-Sep-10 0.926907 0.225 77.83%13-Sep-10 0.07158% 13-Sep-10 0.926630 0.233 77.77%14-Sep-10 0.07158% 14-Sep-10 0.926538 0.236 77.72%15-Sep-10 0.07158% 15-Sep-10 0.926446 0.239 77.66%16-Sep-10 0.07158% 16-Sep-10 0.926353 0.242 77.61%17-Sep-10 0.07158% 17-Sep-10 0.926261 0.244 77.55%20-Sep-10 0.07158% 20-Sep-10 0.925984 0.253 77.50%21-Sep-10 0.07821% 21-Sep-10 0.925891 0.003 77.44%22-Sep-10 0.07821% 22-Sep-10 0.925799 0.006 77.38%23-Sep-10 0.07821% 23-Sep-10 0.925706 0.008 77.32%24-Sep-10 0.07821% 24-Sep-10 0.925614 0.011 77.25%27-Sep-10 0.07821% 27-Sep-10 0.925336 0.019 77.19%28-Sep-10 0.07821% 28-Sep-10 0.925244 0.022 77.13%29-Sep-10 0.07821% 29-Sep-10 0.925151 0.025 77.07%30-Sep-10 0.07821% 30-Sep-10 0.925058 0.028 77.01%

Page 475: Ch 6 Credit Derivatives

1-Oct-10 0.07821% 1-Oct-10 0.924965 0.031 76.95%4-Oct-10 0.07821% 4-Oct-10 0.924687 0.039 76.89%5-Oct-10 0.07821% 5-Oct-10 0.924594 0.042 76.83%6-Oct-10 0.07821% 6-Oct-10 0.924501 0.044 76.77%7-Oct-10 0.07821% 7-Oct-10 0.924408 0.047 76.71%8-Oct-10 0.07821% 8-Oct-10 0.924316 0.050 76.65%

11-Oct-10 0.07821% 11-Oct-10 0.924037 0.058 76.59%12-Oct-10 0.07821% 12-Oct-10 0.923944 0.061 76.53%13-Oct-10 0.07821% 13-Oct-10 0.923850 0.064 76.47%14-Oct-10 0.07821% 14-Oct-10 0.923757 0.067 76.41%15-Oct-10 0.07821% 15-Oct-10 0.923664 0.069 76.35%18-Oct-10 0.07821% 18-Oct-10 0.923385 0.078 76.29%19-Oct-10 0.07821% 19-Oct-10 0.923291 0.081 76.23%20-Oct-10 0.07821% 20-Oct-10 0.923198 0.083 76.17%21-Oct-10 0.07821% 21-Oct-10 0.923105 0.086 76.11%22-Oct-10 0.07821% 22-Oct-10 0.923012 0.089 76.06%25-Oct-10 0.07821% 25-Oct-10 0.922731 0.097 76.00%26-Oct-10 0.07821% 26-Oct-10 0.922638 0.100 75.94%27-Oct-10 0.07821% 27-Oct-10 0.922544 0.103 75.88%28-Oct-10 0.07821% 28-Oct-10 0.922451 0.106 75.82%29-Oct-10 0.07821% 29-Oct-10 0.922357 0.108 75.76%1-Nov-10 0.07821% 1-Nov-10 0.922077 0.117 75.70%2-Nov-10 0.07821% 2-Nov-10 0.921983 0.119 75.64%3-Nov-10 0.07821% 3-Nov-10 0.921889 0.122 75.58%4-Nov-10 0.07821% 4-Nov-10 0.921796 0.125 75.52%5-Nov-10 0.07821% 5-Nov-10 0.921702 0.128 75.46%8-Nov-10 0.07821% 8-Nov-10 0.921421 0.136 75.40%9-Nov-10 0.07821% 9-Nov-10 0.921327 0.139 75.34%

10-Nov-10 0.07821% 10-Nov-10 0.921233 0.142 75.29%11-Nov-10 0.07821% 11-Nov-10 0.921139 0.144 75.23%12-Nov-10 0.07821% 12-Nov-10 0.921045 0.147 75.17%15-Nov-10 0.07821% 15-Nov-10 0.920763 0.156 75.11%16-Nov-10 0.07821% 16-Nov-10 0.920669 0.158 75.05%17-Nov-10 0.07821% 17-Nov-10 0.920575 0.161 74.99%18-Nov-10 0.07821% 18-Nov-10 0.920481 0.164 74.93%19-Nov-10 0.07821% 19-Nov-10 0.920386 0.167 74.87%22-Nov-10 0.07821% 22-Nov-10 0.920104 0.175 74.82%23-Nov-10 0.07821% 23-Nov-10 0.920010 0.178 74.76%24-Nov-10 0.07821% 24-Nov-10 0.919915 0.181 74.70%25-Nov-10 0.07821% 25-Nov-10 0.919821 0.183 74.64%26-Nov-10 0.07821% 26-Nov-10 0.919727 0.186 74.58%29-Nov-10 0.07821% 29-Nov-10 0.919443 0.194 74.52%30-Nov-10 0.07821% 30-Nov-10 0.919349 0.197 74.47%

1-Dec-10 0.07821% 1-Dec-10 0.919254 0.200 74.41%

Page 476: Ch 6 Credit Derivatives

2-Dec-10 0.07821% 2-Dec-10 0.919160 0.203 74.35%3-Dec-10 0.07821% 3-Dec-10 0.919065 0.206 74.29%6-Dec-10 0.07821% 6-Dec-10 0.918781 0.214 74.23%7-Dec-10 0.07821% 7-Dec-10 0.918687 0.217 74.17%8-Dec-10 0.07821% 8-Dec-10 0.918592 0.219 74.12%9-Dec-10 0.07821% 9-Dec-10 0.918497 0.222 74.06%

10-Dec-10 0.07821% 10-Dec-10 0.918403 0.225 74.00%13-Dec-10 0.07821% 13-Dec-10 0.918118 0.233 73.94%14-Dec-10 0.07821% 14-Dec-10 0.918023 0.236 73.89%15-Dec-10 0.07821% 15-Dec-10 0.917928 0.239 73.83%16-Dec-10 0.07821% 16-Dec-10 0.917834 0.242 73.77%17-Dec-10 0.07821% 17-Dec-10 0.917739 0.244 73.71%20-Dec-10 0.07821% 20-Dec-10 0.917454 0.253 73.65%21-Dec-10 0.07962% 21-Dec-10 0.917359 0.003 73.60%22-Dec-10 0.07962% 22-Dec-10 0.917264 0.006 73.54%23-Dec-10 0.07962% 23-Dec-10 0.917168 0.008 73.48%24-Dec-10 0.07962% 24-Dec-10 0.917073 0.011 73.42%27-Dec-10 0.07962% 27-Dec-10 0.916788 0.019 73.36%28-Dec-10 0.07962% 28-Dec-10 0.916692 0.022 73.30%29-Dec-10 0.07962% 29-Dec-10 0.916597 0.025 73.24%30-Dec-10 0.07962% 30-Dec-10 0.916502 0.028 73.19%31-Dec-10 0.07962% 31-Dec-10 0.916407 0.031 73.13%

3-Jan-11 0.07962% 3-Jan-11 0.916120 0.039 73.07%4-Jan-11 0.07962% 4-Jan-11 0.916025 0.042 73.01%5-Jan-11 0.07962% 5-Jan-11 0.915930 0.044 72.95%6-Jan-11 0.07962% 6-Jan-11 0.915834 0.047 72.90%7-Jan-11 0.07962% 7-Jan-11 0.915739 0.050 72.84%

10-Jan-11 0.07962% 10-Jan-11 0.915452 0.058 72.78%11-Jan-11 0.07962% 11-Jan-11 0.915356 0.061 72.72%12-Jan-11 0.07962% 12-Jan-11 0.915261 0.064 72.66%13-Jan-11 0.07962% 13-Jan-11 0.915165 0.067 72.61%14-Jan-11 0.07962% 14-Jan-11 0.915069 0.069 72.55%17-Jan-11 0.07962% 17-Jan-11 0.914782 0.078 72.49%18-Jan-11 0.07962% 18-Jan-11 0.914686 0.081 72.43%19-Jan-11 0.07962% 19-Jan-11 0.914590 0.083 72.38%20-Jan-11 0.07962% 20-Jan-11 0.914494 0.086 72.32%21-Jan-11 0.07962% 21-Jan-11 0.914398 0.089 72.26%24-Jan-11 0.07962% 24-Jan-11 0.914111 0.097 72.20%25-Jan-11 0.07962% 25-Jan-11 0.914015 0.100 72.14%26-Jan-11 0.07962% 26-Jan-11 0.913919 0.103 72.09%27-Jan-11 0.07962% 27-Jan-11 0.913822 0.106 72.03%28-Jan-11 0.07962% 28-Jan-11 0.913726 0.108 71.97%31-Jan-11 0.07962% 31-Jan-11 0.913438 0.117 71.92%1-Feb-11 0.07962% 1-Feb-11 0.913342 0.119 71.86%

Page 477: Ch 6 Credit Derivatives

2-Feb-11 0.07962% 2-Feb-11 0.913245 0.122 71.80%3-Feb-11 0.07962% 3-Feb-11 0.913149 0.125 71.74%4-Feb-11 0.07962% 4-Feb-11 0.913053 0.128 71.69%7-Feb-11 0.07962% 7-Feb-11 0.912764 0.136 71.63%8-Feb-11 0.07962% 8-Feb-11 0.912669 0.139 71.57%9-Feb-11 0.07962% 9-Feb-11 0.912573 0.142 71.52%

10-Feb-11 0.07962% 10-Feb-11 0.912478 0.144 71.46%11-Feb-11 0.07962% 11-Feb-11 0.912382 0.147 71.40%14-Feb-11 0.07962% 14-Feb-11 0.912096 0.156 71.34%15-Feb-11 0.07962% 15-Feb-11 0.912000 0.158 71.29%16-Feb-11 0.07962% 16-Feb-11 0.911905 0.161 71.23%17-Feb-11 0.07962% 17-Feb-11 0.911809 0.164 71.17%18-Feb-11 0.07962% 18-Feb-11 0.911714 0.167 71.12%21-Feb-11 0.07962% 21-Feb-11 0.911427 0.175 71.06%22-Feb-11 0.07962% 22-Feb-11 0.911331 0.178 71.00%23-Feb-11 0.07962% 23-Feb-11 0.911235 0.181 70.95%24-Feb-11 0.07962% 24-Feb-11 0.911140 0.183 70.89%25-Feb-11 0.07962% 25-Feb-11 0.911044 0.186 70.84%28-Feb-11 0.07962% 28-Feb-11 0.910756 0.194 70.78%1-Mar-11 0.07962% 1-Mar-11 0.910660 0.197 70.72%2-Mar-11 0.07962% 2-Mar-11 0.910565 0.200 70.67%3-Mar-11 0.07962% 3-Mar-11 0.910469 0.203 70.61%4-Mar-11 0.07962% 4-Mar-11 0.910373 0.206 70.55%7-Mar-11 0.07962% 7-Mar-11 0.910085 0.214 70.50%8-Mar-11 0.07962% 8-Mar-11 0.909989 0.217 70.44%9-Mar-11 0.07962% 9-Mar-11 0.909892 0.219 70.39%

10-Mar-11 0.07962% 10-Mar-11 0.909796 0.222 70.33%11-Mar-11 0.07962% 11-Mar-11 0.909700 0.225 70.27%14-Mar-11 0.07962% 14-Mar-11 0.909412 0.233 70.22%15-Mar-11 0.07962% 15-Mar-11 0.909315 0.236 70.16%16-Mar-11 0.07962% 16-Mar-11 0.909219 0.239 70.11%17-Mar-11 0.07962% 17-Mar-11 0.909123 0.242 70.05%18-Mar-11 0.07962% 18-Mar-11 0.909027 0.244 69.99%21-Mar-11 0.07962% 21-Mar-11 0.908738 0.253 69.94%22-Mar-11 0.07618% 22-Mar-11 0.908641 0.003 69.88%23-Mar-11 0.07618% 23-Mar-11 0.908545 0.006 69.83%24-Mar-11 0.07618% 24-Mar-11 0.908448 0.008 69.78%25-Mar-11 0.07618% 25-Mar-11 0.908352 0.011 69.73%28-Mar-11 0.07618% 28-Mar-11 0.908062 0.019 69.67%29-Mar-11 0.07618% 29-Mar-11 0.907966 0.022 69.62%30-Mar-11 0.07618% 30-Mar-11 0.907869 0.025 69.57%31-Mar-11 0.07618% 31-Mar-11 0.907772 0.028 69.51%

1-Apr-11 0.07618% 1-Apr-11 0.907676 0.031 69.46%4-Apr-11 0.07618% 4-Apr-11 0.907386 0.039 69.41%

Page 478: Ch 6 Credit Derivatives

5-Apr-11 0.07618% 5-Apr-11 0.907289 0.042 69.35%6-Apr-11 0.07618% 6-Apr-11 0.907192 0.044 69.30%7-Apr-11 0.07618% 7-Apr-11 0.907095 0.047 69.25%8-Apr-11 0.07618% 8-Apr-11 0.906998 0.050 69.20%

11-Apr-11 0.07618% 11-Apr-11 0.906708 0.058 69.14%12-Apr-11 0.07618% 12-Apr-11 0.906611 0.061 69.09%13-Apr-11 0.07618% 13-Apr-11 0.906514 0.064 69.04%14-Apr-11 0.07618% 14-Apr-11 0.906417 0.067 68.99%15-Apr-11 0.07618% 15-Apr-11 0.906320 0.069 68.93%18-Apr-11 0.07618% 18-Apr-11 0.906029 0.078 68.88%19-Apr-11 0.07618% 19-Apr-11 0.905932 0.081 68.83%20-Apr-11 0.07618% 20-Apr-11 0.905835 0.083 68.78%21-Apr-11 0.07618% 21-Apr-11 0.905737 0.086 68.72%22-Apr-11 0.07618% 22-Apr-11 0.905640 0.089 68.67%25-Apr-11 0.07618% 25-Apr-11 0.905349 0.097 68.62%26-Apr-11 0.07618% 26-Apr-11 0.905251 0.100 68.57%27-Apr-11 0.07618% 27-Apr-11 0.905154 0.103 68.51%28-Apr-11 0.07618% 28-Apr-11 0.905057 0.106 68.46%29-Apr-11 0.07618% 29-Apr-11 0.904959 0.108 68.41%2-May-11 0.07618% 2-May-11 0.904667 0.117 68.36%3-May-11 0.07618% 3-May-11 0.904570 0.119 68.31%4-May-11 0.07618% 4-May-11 0.904472 0.122 68.25%5-May-11 0.07618% 5-May-11 0.904375 0.125 68.20%6-May-11 0.07618% 6-May-11 0.904277 0.128 68.15%9-May-11 0.07618% 9-May-11 0.903987 0.136 68.10%

10-May-11 0.07618% 10-May-11 0.903890 0.139 68.05%11-May-11 0.07618% 11-May-11 0.903793 0.142 67.99%12-May-11 0.07618% 12-May-11 0.903696 0.144 67.94%13-May-11 0.07618% 13-May-11 0.903599 0.147 67.89%16-May-11 0.07618% 16-May-11 0.903308 0.156 67.84%17-May-11 0.07618% 17-May-11 0.903211 0.158 67.79%18-May-11 0.07618% 18-May-11 0.903114 0.161 67.74%19-May-11 0.07618% 19-May-11 0.903017 0.164 67.68%20-May-11 0.07618% 20-May-11 0.902920 0.167 67.63%23-May-11 0.07618% 23-May-11 0.902629 0.175 67.58%24-May-11 0.07618% 24-May-11 0.902532 0.178 67.53%25-May-11 0.07618% 25-May-11 0.902435 0.181 67.48%26-May-11 0.07618% 26-May-11 0.902337 0.183 67.43%27-May-11 0.07618% 27-May-11 0.902240 0.186 67.37%30-May-11 0.07618% 30-May-11 0.901948 0.194 67.32%31-May-11 0.07618% 31-May-11 0.901851 0.197 67.27%

1-Jun-11 0.07618% 1-Jun-11 0.901754 0.200 67.22%2-Jun-11 0.07618% 2-Jun-11 0.901656 0.203 67.17%3-Jun-11 0.07618% 3-Jun-11 0.901559 0.206 67.12%

Page 479: Ch 6 Credit Derivatives

6-Jun-11 0.07618% 6-Jun-11 0.901267 0.214 67.07%7-Jun-11 0.07618% 7-Jun-11 0.901169 0.217 67.02%8-Jun-11 0.07618% 8-Jun-11 0.901072 0.219 66.97%9-Jun-11 0.07618% 9-Jun-11 0.900974 0.222 66.91%

10-Jun-11 0.07618% 10-Jun-11 0.900876 0.225 66.86%13-Jun-11 0.07618% 13-Jun-11 0.900584 0.233 66.81%14-Jun-11 0.07618% 14-Jun-11 0.900486 0.236 66.76%15-Jun-11 0.07618% 15-Jun-11 0.900388 0.239 66.71%16-Jun-11 0.07618% 16-Jun-11 0.900291 0.242 66.66%17-Jun-11 0.07618% 17-Jun-11 0.900193 0.244 66.61%20-Jun-11 0.07618% 20-Jun-11 0.899900 0.253 66.56%21-Jun-11 0.07138% 21-Jun-11 0.899802 0.003 66.51%22-Jun-11 0.07138% 22-Jun-11 0.899704 0.006 66.46%23-Jun-11 0.07138% 23-Jun-11 0.899606 0.008 66.42%24-Jun-11 0.07138% 24-Jun-11 0.899508 0.011 66.37%27-Jun-11 0.07138% 27-Jun-11 0.899215 0.019 66.32%28-Jun-11 0.07138% 28-Jun-11 0.899117 0.022 66.27%29-Jun-11 0.07138% 29-Jun-11 0.899019 0.025 66.23%30-Jun-11 0.07138% 30-Jun-11 0.898921 0.028 66.18%

1-Jul-11 0.07138% 1-Jul-11 0.898823 0.031 66.13%4-Jul-11 0.07138% 4-Jul-11 0.898528 0.039 66.08%5-Jul-11 0.07138% 5-Jul-11 0.898430 0.042 66.04%6-Jul-11 0.07138% 6-Jul-11 0.898332 0.044 65.99%7-Jul-11 0.07138% 7-Jul-11 0.898234 0.047 65.94%8-Jul-11 0.07138% 8-Jul-11 0.898136 0.050 65.90%

11-Jul-11 0.07138% 11-Jul-11 0.897841 0.058 65.85%12-Jul-11 0.07138% 12-Jul-11 0.897743 0.061 65.80%13-Jul-11 0.07138% 13-Jul-11 0.897644 0.064 65.76%14-Jul-11 0.07138% 14-Jul-11 0.897546 0.067 65.71%15-Jul-11 0.07138% 15-Jul-11 0.897448 0.069 65.66%18-Jul-11 0.07138% 18-Jul-11 0.897152 0.078 65.61%19-Jul-11 0.07138% 19-Jul-11 0.897054 0.081 65.57%20-Jul-11 0.07138% 20-Jul-11 0.896956 0.083 65.52%21-Jul-11 0.07138% 21-Jul-11 0.896857 0.086 65.47%22-Jul-11 0.07138% 22-Jul-11 0.896759 0.089 65.43%25-Jul-11 0.07138% 25-Jul-11 0.896463 0.097 65.38%26-Jul-11 0.07138% 26-Jul-11 0.896364 0.100 65.33%27-Jul-11 0.07138% 27-Jul-11 0.896266 0.103 65.29%28-Jul-11 0.07138% 28-Jul-11 0.896167 0.106 65.24%29-Jul-11 0.07138% 29-Jul-11 0.896068 0.108 65.19%1-Aug-11 0.07138% 1-Aug-11 0.895772 0.117 65.15%2-Aug-11 0.07138% 2-Aug-11 0.895673 0.119 65.10%3-Aug-11 0.07138% 3-Aug-11 0.895575 0.122 65.05%4-Aug-11 0.07138% 4-Aug-11 0.895476 0.125 65.01%

Page 480: Ch 6 Credit Derivatives

5-Aug-11 0.07138% 5-Aug-11 0.895377 0.128 64.96%8-Aug-11 0.07138% 8-Aug-11 0.895080 0.136 64.92%9-Aug-11 0.07138% 9-Aug-11 0.894982 0.139 64.87%

10-Aug-11 0.07138% 10-Aug-11 0.894883 0.142 64.82%11-Aug-11 0.07138% 11-Aug-11 0.894785 0.144 64.78%12-Aug-11 0.07138% 12-Aug-11 0.894686 0.147 64.73%15-Aug-11 0.07138% 15-Aug-11 0.894391 0.156 64.68%16-Aug-11 0.07138% 16-Aug-11 0.894292 0.158 64.64%17-Aug-11 0.07138% 17-Aug-11 0.894194 0.161 64.59%18-Aug-11 0.07138% 18-Aug-11 0.894095 0.164 64.55%19-Aug-11 0.07138% 19-Aug-11 0.893996 0.167 64.50%22-Aug-11 0.07138% 22-Aug-11 0.893700 0.175 64.45%23-Aug-11 0.07138% 23-Aug-11 0.893601 0.178 64.41%24-Aug-11 0.07138% 24-Aug-11 0.893503 0.181 64.36%25-Aug-11 0.07138% 25-Aug-11 0.893404 0.183 64.32%26-Aug-11 0.07138% 26-Aug-11 0.893305 0.186 64.27%29-Aug-11 0.07138% 29-Aug-11 0.893008 0.194 64.22%30-Aug-11 0.07138% 30-Aug-11 0.892909 0.197 64.18%31-Aug-11 0.07138% 31-Aug-11 0.892810 0.200 64.13%

1-Sep-11 0.07138% 1-Sep-11 0.892712 0.203 64.09%2-Sep-11 0.07138% 2-Sep-11 0.892613 0.206 64.04%5-Sep-11 0.07138% 5-Sep-11 0.892316 0.214 63.99%6-Sep-11 0.07138% 6-Sep-11 0.892216 0.217 63.95%7-Sep-11 0.07138% 7-Sep-11 0.892117 0.219 63.90%8-Sep-11 0.07138% 8-Sep-11 0.892018 0.222 63.86%9-Sep-11 0.07138% 9-Sep-11 0.891919 0.225 63.81%

12-Sep-11 0.07138% 12-Sep-11 0.891622 0.233 63.77%13-Sep-11 0.07138% 13-Sep-11 0.891522 0.236 63.72%14-Sep-11 0.07138% 14-Sep-11 0.891423 0.239 63.68%15-Sep-11 0.07138% 15-Sep-11 0.891324 0.242 63.63%16-Sep-11 0.07138% 16-Sep-11 0.891225 0.244 63.58%19-Sep-11 0.07138% 19-Sep-11 0.890927 0.253 63.54%20-Sep-11 0.07138% 20-Sep-11 0.890827 0.256 63.49%21-Sep-11 0.06744% 21-Sep-11 0.890728 0.003 63.45%22-Sep-11 0.06744% 22-Sep-11 0.890629 0.006 63.41%23-Sep-11 0.06744% 23-Sep-11 0.890529 0.008 63.37%26-Sep-11 0.06744% 26-Sep-11 0.890231 0.017 63.32%27-Sep-11 0.06744% 27-Sep-11 0.890131 0.019 63.28%28-Sep-11 0.06744% 28-Sep-11 0.890032 0.022 63.24%29-Sep-11 0.06744% 29-Sep-11 0.889932 0.025 63.20%30-Sep-11 0.06744% 30-Sep-11 0.889833 0.028 63.15%

3-Oct-11 0.06744% 3-Oct-11 0.889534 0.036 63.11%4-Oct-11 0.06744% 4-Oct-11 0.889434 0.039 63.07%5-Oct-11 0.06744% 5-Oct-11 0.889335 0.042 63.02%

Page 481: Ch 6 Credit Derivatives

6-Oct-11 0.06744% 6-Oct-11 0.889235 0.044 62.98%7-Oct-11 0.06744% 7-Oct-11 0.889135 0.047 62.94%

10-Oct-11 0.06744% 10-Oct-11 0.888836 0.056 62.90%11-Oct-11 0.06744% 11-Oct-11 0.888736 0.058 62.85%12-Oct-11 0.06744% 12-Oct-11 0.888636 0.061 62.81%13-Oct-11 0.06744% 13-Oct-11 0.888536 0.064 62.77%14-Oct-11 0.06744% 14-Oct-11 0.888436 0.067 62.73%17-Oct-11 0.06744% 17-Oct-11 0.888137 0.075 62.69%18-Oct-11 0.06744% 18-Oct-11 0.888037 0.078 62.64%19-Oct-11 0.06744% 19-Oct-11 0.887937 0.081 62.60%20-Oct-11 0.06744% 20-Oct-11 0.887837 0.083 62.56%21-Oct-11 0.06744% 21-Oct-11 0.887737 0.086 62.52%24-Oct-11 0.06744% 24-Oct-11 0.887437 0.094 62.47%25-Oct-11 0.06744% 25-Oct-11 0.887337 0.097 62.43%26-Oct-11 0.06744% 26-Oct-11 0.887236 0.100 62.39%27-Oct-11 0.06744% 27-Oct-11 0.887136 0.103 62.35%28-Oct-11 0.06744% 28-Oct-11 0.887036 0.106 62.31%31-Oct-11 0.06744% 31-Oct-11 0.886736 0.114 62.26%1-Nov-11 0.06744% 1-Nov-11 0.886635 0.117 62.22%2-Nov-11 0.06744% 2-Nov-11 0.886535 0.119 62.18%3-Nov-11 0.06744% 3-Nov-11 0.886435 0.122 62.14%4-Nov-11 0.06744% 4-Nov-11 0.886334 0.125 62.10%7-Nov-11 0.06744% 7-Nov-11 0.886033 0.133 62.05%8-Nov-11 0.06744% 8-Nov-11 0.885933 0.136 62.01%9-Nov-11 0.06744% 9-Nov-11 0.885833 0.139 61.97%

10-Nov-11 0.06744% 10-Nov-11 0.885733 0.142 61.93%11-Nov-11 0.06744% 11-Nov-11 0.885632 0.144 61.89%14-Nov-11 0.06744% 14-Nov-11 0.885331 0.153 61.85%15-Nov-11 0.06744% 15-Nov-11 0.885231 0.156 61.80%16-Nov-11 0.06744% 16-Nov-11 0.885131 0.158 61.76%17-Nov-11 0.06744% 17-Nov-11 0.885030 0.161 61.72%18-Nov-11 0.06744% 18-Nov-11 0.884930 0.164 61.68%21-Nov-11 0.06744% 21-Nov-11 0.884628 0.172 61.64%22-Nov-11 0.06744% 22-Nov-11 0.884528 0.175 61.60%23-Nov-11 0.06744% 23-Nov-11 0.884427 0.178 61.55%24-Nov-11 0.06744% 24-Nov-11 0.884327 0.181 61.51%25-Nov-11 0.06744% 25-Nov-11 0.884226 0.183 61.47%28-Nov-11 0.06744% 28-Nov-11 0.883925 0.192 61.43%29-Nov-11 0.06744% 29-Nov-11 0.883824 0.194 61.39%30-Nov-11 0.06744% 30-Nov-11 0.883723 0.197 61.35%

1-Dec-11 0.06744% 1-Dec-11 0.883623 0.200 61.31%2-Dec-11 0.06744% 2-Dec-11 0.883522 0.203 61.26%5-Dec-11 0.06744% 5-Dec-11 0.883220 0.211 61.22%6-Dec-11 0.06744% 6-Dec-11 0.883119 0.214 61.18%

Page 482: Ch 6 Credit Derivatives

7-Dec-11 0.06744% 7-Dec-11 0.883018 0.217 61.14%8-Dec-11 0.06744% 8-Dec-11 0.882917 0.219 61.10%9-Dec-11 0.06744% 9-Dec-11 0.882816 0.222 61.06%

12-Dec-11 0.06744% 12-Dec-11 0.882514 0.231 61.02%13-Dec-11 0.06744% 13-Dec-11 0.882413 0.233 60.98%14-Dec-11 0.06744% 14-Dec-11 0.882312 0.236 60.93%15-Dec-11 0.06744% 15-Dec-11 0.882211 0.239 60.89%16-Dec-11 0.06744% 16-Dec-11 0.882110 0.242 60.85%19-Dec-11 0.06744% 19-Dec-11 0.881807 0.250 60.81%20-Dec-11 0.06744% 20-Dec-11 0.881706 0.253 60.77%21-Dec-11 0.06312% 21-Dec-11 0.881604 0.003 60.73%22-Dec-11 0.06312% 22-Dec-11 0.881503 0.006 60.69%23-Dec-11 0.06312% 23-Dec-11 0.881402 0.008 60.65%26-Dec-11 0.06312% 26-Dec-11 0.881099 0.017 60.62%27-Dec-11 0.06312% 27-Dec-11 0.880997 0.019 60.58%28-Dec-11 0.06312% 28-Dec-11 0.880896 0.022 60.54%29-Dec-11 0.06312% 29-Dec-11 0.880795 0.025 60.50%30-Dec-11 0.06312% 30-Dec-11 0.880694 0.028 60.46%

2-Jan-12 0.06312% 2-Jan-12 0.880390 0.036 60.43%3-Jan-12 0.06312% 3-Jan-12 0.880288 0.039 60.39%4-Jan-12 0.06312% 4-Jan-12 0.880187 0.042 60.35%5-Jan-12 0.06312% 5-Jan-12 0.880086 0.044 60.31%6-Jan-12 0.06312% 6-Jan-12 0.879984 0.047 60.27%9-Jan-12 0.06312% 9-Jan-12 0.879680 0.056 60.24%

10-Jan-12 0.06312% 10-Jan-12 0.879578 0.058 60.20%11-Jan-12 0.06312% 11-Jan-12 0.879477 0.061 60.16%12-Jan-12 0.06312% 12-Jan-12 0.879375 0.064 60.12%13-Jan-12 0.06312% 13-Jan-12 0.879274 0.067 60.08%16-Jan-12 0.06312% 16-Jan-12 0.878969 0.075 60.05%17-Jan-12 0.06312% 17-Jan-12 0.878867 0.078 60.01%18-Jan-12 0.06312% 18-Jan-12 0.878766 0.081 59.97%19-Jan-12 0.06312% 19-Jan-12 0.878664 0.083 59.93%20-Jan-12 0.06312% 20-Jan-12 0.878562 0.086 59.89%23-Jan-12 0.06312% 23-Jan-12 0.878257 0.094 59.86%24-Jan-12 0.06312% 24-Jan-12 0.878155 0.097 59.82%25-Jan-12 0.06312% 25-Jan-12 0.878053 0.100 59.78%26-Jan-12 0.06312% 26-Jan-12 0.877952 0.103 59.74%27-Jan-12 0.06312% 27-Jan-12 0.877850 0.106 59.71%30-Jan-12 0.06312% 30-Jan-12 0.877544 0.114 59.67%31-Jan-12 0.06312% 31-Jan-12 0.877442 0.117 59.63%1-Feb-12 0.06312% 1-Feb-12 0.877340 0.119 59.59%2-Feb-12 0.06312% 2-Feb-12 0.877238 0.122 59.55%3-Feb-12 0.06312% 3-Feb-12 0.877136 0.125 59.52%6-Feb-12 0.06312% 6-Feb-12 0.876830 0.133 59.48%

Page 483: Ch 6 Credit Derivatives

7-Feb-12 0.06312% 7-Feb-12 0.876728 0.136 59.44%8-Feb-12 0.06312% 8-Feb-12 0.876626 0.139 59.40%9-Feb-12 0.06312% 9-Feb-12 0.876524 0.142 59.37%

10-Feb-12 0.06312% 10-Feb-12 0.876422 0.144 59.33%13-Feb-12 0.06312% 13-Feb-12 0.876115 0.153 59.29%14-Feb-12 0.06312% 14-Feb-12 0.876013 0.156 59.25%15-Feb-12 0.06312% 15-Feb-12 0.875911 0.158 59.22%16-Feb-12 0.06312% 16-Feb-12 0.875808 0.161 59.18%17-Feb-12 0.06312% 17-Feb-12 0.875706 0.164 59.14%20-Feb-12 0.06312% 20-Feb-12 0.875399 0.172 59.10%21-Feb-12 0.06312% 21-Feb-12 0.875297 0.175 59.07%22-Feb-12 0.06312% 22-Feb-12 0.875194 0.178 59.03%23-Feb-12 0.06312% 23-Feb-12 0.875092 0.181 58.99%24-Feb-12 0.06312% 24-Feb-12 0.874990 0.183 58.96%27-Feb-12 0.06312% 27-Feb-12 0.874682 0.192 58.92%28-Feb-12 0.06312% 28-Feb-12 0.874580 0.194 58.88%29-Feb-12 0.06312% 29-Feb-12 0.874477 0.197 58.84%1-Mar-12 0.06312% 1-Mar-12 0.874375 0.200 58.81%2-Mar-12 0.06312% 2-Mar-12 0.874272 0.203 58.77%5-Mar-12 0.06312% 5-Mar-12 0.873964 0.211 58.73%6-Mar-12 0.06312% 6-Mar-12 0.873862 0.214 58.70%7-Mar-12 0.06312% 7-Mar-12 0.873759 0.217 58.66%8-Mar-12 0.06312% 8-Mar-12 0.873656 0.219 58.62%9-Mar-12 0.06312% 9-Mar-12 0.873554 0.222 58.58%

12-Mar-12 0.06312% 12-Mar-12 0.873245 0.231 58.55%13-Mar-12 0.06312% 13-Mar-12 0.873143 0.233 58.51%14-Mar-12 0.06312% 14-Mar-12 0.873040 0.236 58.47%15-Mar-12 0.06312% 15-Mar-12 0.872937 0.239 58.44%16-Mar-12 0.06312% 16-Mar-12 0.872834 0.242 58.40%19-Mar-12 0.06312% 19-Mar-12 0.872525 0.250 58.36%20-Mar-12 0.06312% 20-Mar-12 0.872423 0.253 58.33%21-Mar-12 0.05932% 21-Mar-12 0.872320 0.003 58.29%22-Mar-12 0.05932% 22-Mar-12 0.872217 0.006 58.26%23-Mar-12 0.05932% 23-Mar-12 0.872114 0.008 58.22%26-Mar-12 0.05932% 26-Mar-12 0.871805 0.017 58.19%27-Mar-12 0.05932% 27-Mar-12 0.871702 0.019 58.15%28-Mar-12 0.05932% 28-Mar-12 0.871598 0.022 58.12%29-Mar-12 0.05932% 29-Mar-12 0.871495 0.025 58.08%30-Mar-12 0.05932% 30-Mar-12 0.871392 0.028 58.05%

2-Apr-12 0.05932% 2-Apr-12 0.871083 0.036 58.02%3-Apr-12 0.05932% 3-Apr-12 0.870980 0.039 57.98%4-Apr-12 0.05932% 4-Apr-12 0.870876 0.042 57.95%5-Apr-12 0.05932% 5-Apr-12 0.870773 0.044 57.91%6-Apr-12 0.05932% 6-Apr-12 0.870670 0.047 57.88%

Page 484: Ch 6 Credit Derivatives

9-Apr-12 0.05932% 9-Apr-12 0.870360 0.056 57.84%10-Apr-12 0.05932% 10-Apr-12 0.870257 0.058 57.81%11-Apr-12 0.05932% 11-Apr-12 0.870153 0.061 57.78%12-Apr-12 0.05932% 12-Apr-12 0.870050 0.064 57.74%13-Apr-12 0.05932% 13-Apr-12 0.869947 0.067 57.71%16-Apr-12 0.05932% 16-Apr-12 0.869636 0.075 57.67%17-Apr-12 0.05932% 17-Apr-12 0.869533 0.078 57.64%18-Apr-12 0.05932% 18-Apr-12 0.869429 0.081 57.60%19-Apr-12 0.05932% 19-Apr-12 0.869326 0.083 57.57%20-Apr-12 0.05932% 20-Apr-12 0.869222 0.086 57.54%23-Apr-12 0.05932% 23-Apr-12 0.868912 0.094 57.50%24-Apr-12 0.05932% 24-Apr-12 0.868808 0.097 57.47%25-Apr-12 0.05932% 25-Apr-12 0.868705 0.100 57.43%26-Apr-12 0.05932% 26-Apr-12 0.868601 0.103 57.40%27-Apr-12 0.05932% 27-Apr-12 0.868497 0.106 57.37%30-Apr-12 0.05932% 30-Apr-12 0.868186 0.114 57.33%1-May-12 0.05932% 1-May-12 0.868083 0.117 57.30%2-May-12 0.05932% 2-May-12 0.867979 0.119 57.26%3-May-12 0.05932% 3-May-12 0.867875 0.122 57.23%4-May-12 0.05932% 4-May-12 0.867771 0.125 57.20%7-May-12 0.05932% 7-May-12 0.867460 0.133 57.16%8-May-12 0.05932% 8-May-12 0.867356 0.136 57.13%9-May-12 0.05932% 9-May-12 0.867252 0.139 57.09%

10-May-12 0.05932% 10-May-12 0.867148 0.142 57.06%11-May-12 0.05932% 11-May-12 0.867044 0.144 57.03%14-May-12 0.05932% 14-May-12 0.866733 0.153 56.99%15-May-12 0.05932% 15-May-12 0.866629 0.156 56.96%16-May-12 0.05932% 16-May-12 0.866525 0.158 56.92%17-May-12 0.05932% 17-May-12 0.866421 0.161 56.89%18-May-12 0.05932% 18-May-12 0.866317 0.164 56.86%21-May-12 0.05932% 21-May-12 0.866005 0.172 56.82%22-May-12 0.05932% 22-May-12 0.865901 0.175 56.79%23-May-12 0.05932% 23-May-12 0.865797 0.178 56.76%24-May-12 0.05932% 24-May-12 0.865693 0.181 56.72%25-May-12 0.05932% 25-May-12 0.865589 0.183 56.69%28-May-12 0.05932% 28-May-12 0.865276 0.192 56.65%29-May-12 0.05932% 29-May-12 0.865172 0.194 56.62%30-May-12 0.05932% 30-May-12 0.865068 0.197 56.59%31-May-12 0.05932% 31-May-12 0.864964 0.200 56.55%

1-Jun-12 0.05932% 1-Jun-12 0.864860 0.203 56.52%4-Jun-12 0.05932% 4-Jun-12 0.864547 0.211 56.49%5-Jun-12 0.05932% 5-Jun-12 0.864442 0.214 56.45%6-Jun-12 0.05932% 6-Jun-12 0.864338 0.217 56.42%7-Jun-12 0.05932% 7-Jun-12 0.864234 0.219 56.39%

Page 485: Ch 6 Credit Derivatives

8-Jun-12 0.05932% 8-Jun-12 0.864129 0.222 56.35%11-Jun-12 0.05932% 11-Jun-12 0.863816 0.231 56.32%12-Jun-12 0.05932% 12-Jun-12 0.863712 0.233 56.29%13-Jun-12 0.05932% 13-Jun-12 0.863607 0.236 56.25%14-Jun-12 0.05932% 14-Jun-12 0.863503 0.239 56.22%15-Jun-12 0.05932% 15-Jun-12 0.863398 0.242 56.19%18-Jun-12 0.05932% 18-Jun-12 0.863085 0.250 56.15%19-Jun-12 0.05932% 19-Jun-12 0.862980 0.253 56.12%20-Jun-12 0.05932% 20-Jun-12 0.862876 0.256 56.09%21-Jun-12 0.05762% 21-Jun-12 0.862771 0.003 56.05%22-Jun-12 0.05762% 22-Jun-12 0.862666 0.006 56.02%25-Jun-12 0.05762% 25-Jun-12 0.862352 0.014 55.99%26-Jun-12 0.05762% 26-Jun-12 0.862248 0.017 55.96%27-Jun-12 0.05762% 27-Jun-12 0.862143 0.019 55.92%28-Jun-12 0.05762% 28-Jun-12 0.862038 0.022 55.89%29-Jun-12 0.05762% 29-Jun-12 0.861933 0.025 55.86%

2-Jul-12 0.05762% 2-Jul-12 0.861619 0.033 55.83%3-Jul-12 0.05762% 3-Jul-12 0.861514 0.036 55.80%4-Jul-12 0.05762% 4-Jul-12 0.861409 0.039 55.76%5-Jul-12 0.05762% 5-Jul-12 0.861305 0.042 55.73%6-Jul-12 0.05762% 6-Jul-12 0.861200 0.044 55.70%9-Jul-12 0.05762% 9-Jul-12 0.860885 0.053 55.67%

10-Jul-12 0.05762% 10-Jul-12 0.860780 0.056 55.64%11-Jul-12 0.05762% 11-Jul-12 0.860675 0.058 55.60%12-Jul-12 0.05762% 12-Jul-12 0.860570 0.061 55.57%13-Jul-12 0.05762% 13-Jul-12 0.860465 0.064 55.54%16-Jul-12 0.05762% 16-Jul-12 0.860150 0.072 55.51%17-Jul-12 0.05762% 17-Jul-12 0.860045 0.075 55.48%18-Jul-12 0.05762% 18-Jul-12 0.859940 0.078 55.44%19-Jul-12 0.05762% 19-Jul-12 0.859835 0.081 55.41%20-Jul-12 0.05762% 20-Jul-12 0.859729 0.083 55.38%23-Jul-12 0.05762% 23-Jul-12 0.859414 0.092 55.35%24-Jul-12 0.05762% 24-Jul-12 0.859309 0.094 55.32%25-Jul-12 0.05762% 25-Jul-12 0.859203 0.097 55.28%26-Jul-12 0.05762% 26-Jul-12 0.859098 0.100 55.25%27-Jul-12 0.05762% 27-Jul-12 0.858993 0.103 55.22%30-Jul-12 0.05762% 30-Jul-12 0.858677 0.111 55.19%31-Jul-12 0.05762% 31-Jul-12 0.858572 0.114 55.16%1-Aug-12 0.05762% 1-Aug-12 0.858466 0.117 55.12%2-Aug-12 0.05762% 2-Aug-12 0.858361 0.119 55.09%3-Aug-12 0.05762% 3-Aug-12 0.858256 0.122 55.06%6-Aug-12 0.05762% 6-Aug-12 0.857939 0.131 55.03%7-Aug-12 0.05762% 7-Aug-12 0.857834 0.133 55.00%8-Aug-12 0.05762% 8-Aug-12 0.857729 0.136 54.97%

Page 486: Ch 6 Credit Derivatives

9-Aug-12 0.05762% 9-Aug-12 0.857623 0.139 54.93%10-Aug-12 0.05762% 10-Aug-12 0.857518 0.142 54.90%13-Aug-12 0.05762% 13-Aug-12 0.857202 0.150 54.87%14-Aug-12 0.05762% 14-Aug-12 0.857097 0.153 54.84%15-Aug-12 0.05762% 15-Aug-12 0.856991 0.156 54.81%16-Aug-12 0.05762% 16-Aug-12 0.856886 0.158 54.78%17-Aug-12 0.05762% 17-Aug-12 0.856780 0.161 54.74%20-Aug-12 0.05762% 20-Aug-12 0.856464 0.169 54.71%21-Aug-12 0.05762% 21-Aug-12 0.856358 0.172 54.68%22-Aug-12 0.05762% 22-Aug-12 0.856253 0.175 54.65%23-Aug-12 0.05762% 23-Aug-12 0.856147 0.178 54.62%24-Aug-12 0.05762% 24-Aug-12 0.856042 0.181 54.59%27-Aug-12 0.05762% 27-Aug-12 0.855725 0.189 54.56%28-Aug-12 0.05762% 28-Aug-12 0.855619 0.192 54.52%29-Aug-12 0.05762% 29-Aug-12 0.855514 0.194 54.49%30-Aug-12 0.05762% 30-Aug-12 0.855408 0.197 54.46%31-Aug-12 0.05762% 31-Aug-12 0.855302 0.200 54.43%

3-Sep-12 0.05762% 3-Sep-12 0.854985 0.208 54.40%4-Sep-12 0.05762% 4-Sep-12 0.854879 0.211 54.37%5-Sep-12 0.05762% 5-Sep-12 0.854774 0.214 54.34%6-Sep-12 0.05762% 6-Sep-12 0.854668 0.217 54.31%7-Sep-12 0.05762% 7-Sep-12 0.854562 0.219 54.27%

10-Sep-12 0.05762% 10-Sep-12 0.854244 0.228 54.24%11-Sep-12 0.05762% 11-Sep-12 0.854139 0.231 54.21%12-Sep-12 0.05762% 12-Sep-12 0.854033 0.233 54.18%13-Sep-12 0.05762% 13-Sep-12 0.853927 0.236 54.15%14-Sep-12 0.05762% 14-Sep-12 0.853821 0.239 54.12%17-Sep-12 0.05762% 17-Sep-12 0.853503 0.247 54.09%18-Sep-12 0.05762% 18-Sep-12 0.853397 0.250 54.06%19-Sep-12 0.05762% 19-Sep-12 0.853291 0.253 54.02%20-Sep-12 0.05762% 20-Sep-12 0.853185 0.256 53.99%21-Sep-12 0.05864% 21-Sep-12 0.853079 0.003 53.96%24-Sep-12 0.05864% 24-Sep-12 0.852760 0.011 53.93%25-Sep-12 0.05864% 25-Sep-12 0.852654 0.014 53.90%26-Sep-12 0.05864% 26-Sep-12 0.852548 0.017 53.87%27-Sep-12 0.05864% 27-Sep-12 0.852442 0.019 53.83%28-Sep-12 0.05864% 28-Sep-12 0.852336 0.022 53.80%

1-Oct-12 0.05864% 1-Oct-12 0.852017 0.031 53.77%2-Oct-12 0.05864% 2-Oct-12 0.851911 0.033 53.74%3-Oct-12 0.05864% 3-Oct-12 0.851805 0.036 53.71%4-Oct-12 0.05864% 4-Oct-12 0.851698 0.039 53.68%5-Oct-12 0.05864% 5-Oct-12 0.851592 0.042 53.65%8-Oct-12 0.05864% 8-Oct-12 0.851273 0.050 53.61%9-Oct-12 0.05864% 9-Oct-12 0.851167 0.053 53.58%

Page 487: Ch 6 Credit Derivatives

10-Oct-12 0.05864% 10-Oct-12 0.851060 0.056 53.55%11-Oct-12 0.05864% 11-Oct-12 0.850954 0.058 53.52%12-Oct-12 0.05864% 12-Oct-12 0.850847 0.061 53.49%15-Oct-12 0.05864% 15-Oct-12 0.850528 0.069 53.46%16-Oct-12 0.05864% 16-Oct-12 0.850422 0.072 53.43%17-Oct-12 0.05864% 17-Oct-12 0.850315 0.075 53.39%18-Oct-12 0.05864% 18-Oct-12 0.850209 0.078 53.36%19-Oct-12 0.05864% 19-Oct-12 0.850102 0.081 53.33%22-Oct-12 0.05864% 22-Oct-12 0.849782 0.089 53.30%23-Oct-12 0.05864% 23-Oct-12 0.849676 0.092 53.27%24-Oct-12 0.05864% 24-Oct-12 0.849569 0.094 53.24%25-Oct-12 0.05864% 25-Oct-12 0.849462 0.097 53.21%26-Oct-12 0.05864% 26-Oct-12 0.849356 0.100 53.18%29-Oct-12 0.05864% 29-Oct-12 0.849036 0.108 53.14%30-Oct-12 0.05864% 30-Oct-12 0.848929 0.111 53.11%31-Oct-12 0.05864% 31-Oct-12 0.848822 0.114 53.08%1-Nov-12 0.05864% 1-Nov-12 0.848715 0.117 53.05%2-Nov-12 0.05864% 2-Nov-12 0.848609 0.119 53.02%5-Nov-12 0.05864% 5-Nov-12 0.848288 0.128 52.99%6-Nov-12 0.05864% 6-Nov-12 0.848181 0.131 52.96%7-Nov-12 0.05864% 7-Nov-12 0.848075 0.133 52.93%8-Nov-12 0.05864% 8-Nov-12 0.847968 0.136 52.90%9-Nov-12 0.05864% 9-Nov-12 0.847862 0.139 52.86%

12-Nov-12 0.05864% 12-Nov-12 0.847542 0.147 52.83%13-Nov-12 0.05864% 13-Nov-12 0.847435 0.150 52.80%14-Nov-12 0.05864% 14-Nov-12 0.847328 0.153 52.77%15-Nov-12 0.05864% 15-Nov-12 0.847222 0.156 52.74%16-Nov-12 0.05864% 16-Nov-12 0.847115 0.158 52.71%19-Nov-12 0.05864% 19-Nov-12 0.846795 0.167 52.68%20-Nov-12 0.05864% 20-Nov-12 0.846688 0.169 52.65%21-Nov-12 0.05864% 21-Nov-12 0.846581 0.172 52.62%22-Nov-12 0.05864% 22-Nov-12 0.846474 0.175 52.59%23-Nov-12 0.05864% 23-Nov-12 0.846367 0.178 52.56%26-Nov-12 0.05864% 26-Nov-12 0.846047 0.186 52.52%27-Nov-12 0.05864% 27-Nov-12 0.845940 0.189 52.49%28-Nov-12 0.05864% 28-Nov-12 0.845833 0.192 52.46%29-Nov-12 0.05864% 29-Nov-12 0.845726 0.194 52.43%30-Nov-12 0.05864% 30-Nov-12 0.845619 0.197 52.40%

3-Dec-12 0.05864% 3-Dec-12 0.845298 0.206 52.37%4-Dec-12 0.05864% 4-Dec-12 0.845191 0.208 52.34%5-Dec-12 0.05864% 5-Dec-12 0.845084 0.211 52.31%6-Dec-12 0.05864% 6-Dec-12 0.844977 0.214 52.28%7-Dec-12 0.05864% 7-Dec-12 0.844870 0.217 52.25%

10-Dec-12 0.05864% 10-Dec-12 0.844548 0.225 52.22%

Page 488: Ch 6 Credit Derivatives

11-Dec-12 0.05864% 11-Dec-12 0.844441 0.228 52.19%12-Dec-12 0.05864% 12-Dec-12 0.844334 0.231 52.16%13-Dec-12 0.05864% 13-Dec-12 0.844227 0.233 52.13%14-Dec-12 0.05864% 14-Dec-12 0.844120 0.236 52.10%17-Dec-12 0.05864% 17-Dec-12 0.843798 0.244 52.06%18-Dec-12 0.05864% 18-Dec-12 0.843691 0.247 52.03%19-Dec-12 0.05864% 19-Dec-12 0.843584 0.250 52.00%20-Dec-12 0.05864% 20-Dec-12 0.843476 0.253 51.97%21-Dec-12 0.06296% 21-Dec-12 0.843369 0.003 51.94%24-Dec-12 0.06296% 24-Dec-12 0.843047 0.011 51.91%25-Dec-12 0.06296% 25-Dec-12 0.842940 0.014 51.87%26-Dec-12 0.06296% 26-Dec-12 0.842832 0.017 51.84%27-Dec-12 0.06296% 27-Dec-12 0.842725 0.019 51.81%28-Dec-12 0.06296% 28-Dec-12 0.842618 0.022 51.78%31-Dec-12 0.06296% 31-Dec-12 0.842295 0.031 51.74%

1-Jan-13 0.06296% 1-Jan-13 0.842188 0.033 51.71%2-Jan-13 0.06296% 2-Jan-13 0.842080 0.036 51.68%3-Jan-13 0.06296% 3-Jan-13 0.841973 0.039 51.65%4-Jan-13 0.06296% 4-Jan-13 0.841865 0.042 51.61%7-Jan-13 0.06296% 7-Jan-13 0.841542 0.050 51.58%8-Jan-13 0.06296% 8-Jan-13 0.841435 0.053 51.55%9-Jan-13 0.06296% 9-Jan-13 0.841327 0.056 51.52%

10-Jan-13 0.06296% 10-Jan-13 0.841220 0.058 51.48%11-Jan-13 0.06296% 11-Jan-13 0.841112 0.061 51.45%14-Jan-13 0.06296% 14-Jan-13 0.840789 0.069 51.42%15-Jan-13 0.06296% 15-Jan-13 0.840681 0.072 51.39%16-Jan-13 0.06296% 16-Jan-13 0.840574 0.075 51.35%17-Jan-13 0.06296% 17-Jan-13 0.840466 0.078 51.32%18-Jan-13 0.06296% 18-Jan-13 0.840358 0.081 51.29%21-Jan-13 0.06296% 21-Jan-13 0.840035 0.089 51.26%22-Jan-13 0.06296% 22-Jan-13 0.839927 0.092 51.23%23-Jan-13 0.06296% 23-Jan-13 0.839819 0.094 51.19%24-Jan-13 0.06296% 24-Jan-13 0.839711 0.097 51.16%25-Jan-13 0.06296% 25-Jan-13 0.839603 0.100 51.13%28-Jan-13 0.06296% 28-Jan-13 0.839280 0.108 51.10%29-Jan-13 0.06296% 29-Jan-13 0.839172 0.111 51.06%30-Jan-13 0.06296% 30-Jan-13 0.839064 0.114 51.03%31-Jan-13 0.06296% 31-Jan-13 0.838956 0.117 51.00%1-Feb-13 0.06296% 1-Feb-13 0.838848 0.119 50.97%4-Feb-13 0.06296% 4-Feb-13 0.838524 0.128 50.94%5-Feb-13 0.06296% 5-Feb-13 0.838416 0.131 50.90%6-Feb-13 0.06296% 6-Feb-13 0.838308 0.133 50.87%7-Feb-13 0.06296% 7-Feb-13 0.838200 0.136 50.84%8-Feb-13 0.06296% 8-Feb-13 0.838092 0.139 50.81%

Page 489: Ch 6 Credit Derivatives

11-Feb-13 0.06296% 11-Feb-13 0.837769 0.147 50.78%12-Feb-13 0.06296% 12-Feb-13 0.837661 0.150 50.74%13-Feb-13 0.06296% 13-Feb-13 0.837553 0.153 50.71%14-Feb-13 0.06296% 14-Feb-13 0.837445 0.156 50.68%15-Feb-13 0.06296% 15-Feb-13 0.837337 0.158 50.65%18-Feb-13 0.06296% 18-Feb-13 0.837014 0.167 50.62%19-Feb-13 0.06296% 19-Feb-13 0.836906 0.169 50.58%20-Feb-13 0.06296% 20-Feb-13 0.836798 0.172 50.55%21-Feb-13 0.06296% 21-Feb-13 0.836690 0.175 50.52%22-Feb-13 0.06296% 22-Feb-13 0.836582 0.178 50.49%25-Feb-13 0.06296% 25-Feb-13 0.836258 0.186 50.46%26-Feb-13 0.06296% 26-Feb-13 0.836150 0.189 50.43%27-Feb-13 0.06296% 27-Feb-13 0.836041 0.192 50.39%28-Feb-13 0.06296% 28-Feb-13 0.835933 0.194 50.36%1-Mar-13 0.06296% 1-Mar-13 0.835825 0.197 50.33%4-Mar-13 0.06296% 4-Mar-13 0.835501 0.206 50.30%5-Mar-13 0.06296% 5-Mar-13 0.835393 0.208 50.27%6-Mar-13 0.06296% 6-Mar-13 0.835284 0.211 50.24%7-Mar-13 0.06296% 7-Mar-13 0.835176 0.214 50.20%8-Mar-13 0.06296% 8-Mar-13 0.835068 0.217 50.17%

11-Mar-13 0.06296% 11-Mar-13 0.834743 0.225 50.14%12-Mar-13 0.06296% 12-Mar-13 0.834635 0.228 50.11%13-Mar-13 0.06296% 13-Mar-13 0.834527 0.231 50.08%14-Mar-13 0.06296% 14-Mar-13 0.834418 0.233 50.05%15-Mar-13 0.06296% 15-Mar-13 0.834310 0.236 50.01%18-Mar-13 0.06296% 18-Mar-13 0.833985 0.244 49.98%19-Mar-13 0.06296% 19-Mar-13 0.833877 0.247 49.95%20-Mar-13 0.06296% 20-Mar-13 0.833768 0.250 49.92%21-Mar-13 0.06348% 21-Mar-13 0.833660 0.003 49.89%22-Mar-13 0.06348% 22-Mar-13 0.833551 0.006 49.86%25-Mar-13 0.06348% 25-Mar-13 0.833226 0.014 49.82%26-Mar-13 0.06348% 26-Mar-13 0.833118 0.017 49.79%27-Mar-13 0.06348% 27-Mar-13 0.833009 0.019 49.76%28-Mar-13 0.06348% 28-Mar-13 0.832901 0.022 49.73%29-Mar-13 0.06348% 29-Mar-13 0.832792 0.025 49.70%

1-Apr-13 0.06348% 1-Apr-13 0.832466 0.033 49.67%2-Apr-13 0.06348% 2-Apr-13 0.832358 0.036 49.64%3-Apr-13 0.06348% 3-Apr-13 0.832249 0.039 49.60%4-Apr-13 0.06348% 4-Apr-13 0.832141 0.042 49.57%5-Apr-13 0.06348% 5-Apr-13 0.832032 0.044 49.54%8-Apr-13 0.06348% 8-Apr-13 0.831706 0.053 49.51%9-Apr-13 0.06348% 9-Apr-13 0.831597 0.056 49.48%

10-Apr-13 0.06348% 10-Apr-13 0.831489 0.058 49.45%11-Apr-13 0.06348% 11-Apr-13 0.831380 0.061 49.42%

Page 490: Ch 6 Credit Derivatives

12-Apr-13 0.06348% 12-Apr-13 0.831271 0.064 49.38%15-Apr-13 0.06348% 15-Apr-13 0.830945 0.072 49.35%16-Apr-13 0.06348% 16-Apr-13 0.830836 0.075 49.32%17-Apr-13 0.06348% 17-Apr-13 0.830727 0.078 49.29%18-Apr-13 0.06348% 18-Apr-13 0.830618 0.081 49.26%19-Apr-13 0.06348% 19-Apr-13 0.830509 0.083 49.23%22-Apr-13 0.06348% 22-Apr-13 0.830183 0.092 49.20%23-Apr-13 0.06348% 23-Apr-13 0.830074 0.094 49.16%24-Apr-13 0.06348% 24-Apr-13 0.829965 0.097 49.13%25-Apr-13 0.06348% 25-Apr-13 0.829856 0.100 49.10%26-Apr-13 0.06348% 26-Apr-13 0.829747 0.103 49.07%29-Apr-13 0.06348% 29-Apr-13 0.829420 0.111 49.04%30-Apr-13 0.06348% 30-Apr-13 0.829311 0.114 49.01%1-May-13 0.06348% 1-May-13 0.829202 0.117 48.98%2-May-13 0.06348% 2-May-13 0.829093 0.119 48.95%3-May-13 0.06348% 3-May-13 0.828984 0.122 48.92%6-May-13 0.06348% 6-May-13 0.828657 0.131 48.88%7-May-13 0.06348% 7-May-13 0.828548 0.133 48.85%8-May-13 0.06348% 8-May-13 0.828440 0.136 48.82%9-May-13 0.06348% 9-May-13 0.828331 0.139 48.79%

10-May-13 0.06348% 10-May-13 0.828223 0.142 48.76%13-May-13 0.06348% 13-May-13 0.827897 0.150 48.73%14-May-13 0.06348% 14-May-13 0.827789 0.153 48.70%15-May-13 0.06348% 15-May-13 0.827680 0.156 48.67%16-May-13 0.06348% 16-May-13 0.827572 0.158 48.64%17-May-13 0.06348% 17-May-13 0.827463 0.161 48.61%20-May-13 0.06348% 20-May-13 0.827137 0.169 48.58%21-May-13 0.06348% 21-May-13 0.827029 0.172 48.54%22-May-13 0.06348% 22-May-13 0.826920 0.175 48.51%23-May-13 0.06348% 23-May-13 0.826812 0.178 48.48%24-May-13 0.06348% 24-May-13 0.826703 0.181 48.45%27-May-13 0.06348% 27-May-13 0.826377 0.189 48.42%28-May-13 0.06348% 28-May-13 0.826268 0.192 48.39%29-May-13 0.06348% 29-May-13 0.826159 0.194 48.36%30-May-13 0.06348% 30-May-13 0.826051 0.197 48.33%31-May-13 0.06348% 31-May-13 0.825942 0.200 48.30%

3-Jun-13 0.06348% 3-Jun-13 0.825615 0.208 48.27%4-Jun-13 0.06348% 4-Jun-13 0.825507 0.211 48.24%5-Jun-13 0.06348% 5-Jun-13 0.825398 0.214 48.21%6-Jun-13 0.06348% 6-Jun-13 0.825289 0.217 48.18%7-Jun-13 0.06348% 7-Jun-13 0.825180 0.219 48.15%

10-Jun-13 0.06348% 10-Jun-13 0.824853 0.228 48.11%11-Jun-13 0.06348% 11-Jun-13 0.824744 0.231 48.08%12-Jun-13 0.06348% 12-Jun-13 0.824635 0.233 48.05%

Page 491: Ch 6 Credit Derivatives

13-Jun-13 0.06348% 13-Jun-13 0.824526 0.236 48.02%14-Jun-13 0.06348% 14-Jun-13 0.824417 0.239 47.99%17-Jun-13 0.06348% 17-Jun-13 0.824091 0.247 47.96%18-Jun-13 0.06348% 18-Jun-13 0.823981 0.250 47.93%19-Jun-13 0.06348% 19-Jun-13 0.823872 0.253 47.90%20-Jun-13 0.06348% 20-Jun-13 0.823763 0.256 47.87%21-Jun-13 0.05990% 21-Jun-13 0.823654 0.003 47.84%24-Jun-13 0.05990% 24-Jun-13 0.823327 0.011 47.81%25-Jun-13 0.05990% 25-Jun-13 0.823218 0.014 47.78%26-Jun-13 0.05990% 26-Jun-13 0.823109 0.017 47.76%27-Jun-13 0.05990% 27-Jun-13 0.823000 0.019 47.73%28-Jun-13 0.05990% 28-Jun-13 0.822891 0.022 47.70%

1-Jul-13 0.05990% 1-Jul-13 0.822563 0.031 47.67%2-Jul-13 0.05990% 2-Jul-13 0.822454 0.033 47.64%3-Jul-13 0.05990% 3-Jul-13 0.822345 0.036 47.61%4-Jul-13 0.05990% 4-Jul-13 0.822235 0.039 47.58%5-Jul-13 0.05990% 5-Jul-13 0.822126 0.042 47.56%8-Jul-13 0.05990% 8-Jul-13 0.821798 0.050 47.53%9-Jul-13 0.05990% 9-Jul-13 0.821689 0.053 47.50%

10-Jul-13 0.05990% 10-Jul-13 0.821580 0.056 47.47%11-Jul-13 0.05990% 11-Jul-13 0.821470 0.058 47.44%12-Jul-13 0.05990% 12-Jul-13 0.821361 0.061 47.41%15-Jul-13 0.05990% 15-Jul-13 0.821033 0.069 47.39%16-Jul-13 0.05990% 16-Jul-13 0.820923 0.072 47.36%17-Jul-13 0.05990% 17-Jul-13 0.820814 0.075 47.33%18-Jul-13 0.05990% 18-Jul-13 0.820705 0.078 47.30%19-Jul-13 0.05990% 19-Jul-13 0.820595 0.081 47.27%22-Jul-13 0.05990% 22-Jul-13 0.820267 0.089 47.24%23-Jul-13 0.05990% 23-Jul-13 0.820157 0.092 47.22%24-Jul-13 0.05990% 24-Jul-13 0.820048 0.094 47.19%25-Jul-13 0.05990% 25-Jul-13 0.819938 0.097 47.16%26-Jul-13 0.05990% 26-Jul-13 0.819829 0.100 47.13%29-Jul-13 0.05990% 29-Jul-13 0.819500 0.108 47.10%30-Jul-13 0.05990% 30-Jul-13 0.819390 0.111 47.07%31-Jul-13 0.05990% 31-Jul-13 0.819281 0.114 47.05%1-Aug-13 0.05990% 1-Aug-13 0.819171 0.117 47.02%2-Aug-13 0.05990% 2-Aug-13 0.819062 0.119 46.99%5-Aug-13 0.05990% 5-Aug-13 0.818733 0.128 46.96%6-Aug-13 0.05990% 6-Aug-13 0.818623 0.131 46.93%7-Aug-13 0.05990% 7-Aug-13 0.818514 0.133 46.91%8-Aug-13 0.05990% 8-Aug-13 0.818405 0.136 46.88%9-Aug-13 0.05990% 9-Aug-13 0.818297 0.139 46.85%

12-Aug-13 0.05990% 12-Aug-13 0.817971 0.147 46.82%13-Aug-13 0.05990% 13-Aug-13 0.817862 0.150 46.79%

Page 492: Ch 6 Credit Derivatives

14-Aug-13 0.05990% 14-Aug-13 0.817753 0.153 46.77%15-Aug-13 0.05990% 15-Aug-13 0.817644 0.156 46.74%16-Aug-13 0.05990% 16-Aug-13 0.817535 0.158 46.71%19-Aug-13 0.05990% 19-Aug-13 0.817209 0.167 46.68%20-Aug-13 0.05990% 20-Aug-13 0.817100 0.169 46.65%21-Aug-13 0.05990% 21-Aug-13 0.816991 0.172 46.63%22-Aug-13 0.05990% 22-Aug-13 0.816882 0.175 46.60%23-Aug-13 0.05990% 23-Aug-13 0.816773 0.178 46.57%26-Aug-13 0.05990% 26-Aug-13 0.816447 0.186 46.54%27-Aug-13 0.05990% 27-Aug-13 0.816338 0.189 46.51%28-Aug-13 0.05990% 28-Aug-13 0.816229 0.192 46.49%29-Aug-13 0.05990% 29-Aug-13 0.816120 0.194 46.46%30-Aug-13 0.05990% 30-Aug-13 0.816011 0.197 46.43%

2-Sep-13 0.05990% 2-Sep-13 0.815684 0.206 46.40%3-Sep-13 0.05990% 3-Sep-13 0.815575 0.208 46.37%4-Sep-13 0.05990% 4-Sep-13 0.815466 0.211 46.35%5-Sep-13 0.05990% 5-Sep-13 0.815357 0.214 46.32%6-Sep-13 0.05990% 6-Sep-13 0.815248 0.217 46.29%9-Sep-13 0.05990% 9-Sep-13 0.814920 0.225 46.26%

10-Sep-13 0.05990% 10-Sep-13 0.814811 0.228 46.24%11-Sep-13 0.05990% 11-Sep-13 0.814702 0.231 46.21%12-Sep-13 0.05990% 12-Sep-13 0.814593 0.233 46.18%13-Sep-13 0.05990% 13-Sep-13 0.814484 0.236 46.15%16-Sep-13 0.05990% 16-Sep-13 0.814156 0.244 46.13%17-Sep-13 0.05990% 17-Sep-13 0.814047 0.247 46.10%18-Sep-13 0.05990% 18-Sep-13 0.813938 0.250 46.07%19-Sep-13 0.05990% 19-Sep-13 0.813829 0.253 46.04%20-Sep-13 0.05990% 20-Sep-13 0.813719 0.256 46.01%23-Sep-13 0.05697% 23-Sep-13 0.813392 0.008 45.99%24-Sep-13 0.05697% 24-Sep-13 0.813282 0.011 45.96%25-Sep-13 0.05697% 25-Sep-13 0.813173 0.014 45.94%26-Sep-13 0.05697% 26-Sep-13 0.813064 0.017 45.91%27-Sep-13 0.05697% 27-Sep-13 0.812954 0.019 45.88%30-Sep-13 0.05697% 30-Sep-13 0.812626 0.028 45.86%

1-Oct-13 0.05697% 1-Oct-13 0.812517 0.031 45.83%2-Oct-13 0.05697% 2-Oct-13 0.812408 0.033 45.81%3-Oct-13 0.05697% 3-Oct-13 0.812298 0.036 45.78%4-Oct-13 0.05697% 4-Oct-13 0.812189 0.039 45.75%7-Oct-13 0.05697% 7-Oct-13 0.811861 0.047 45.73%8-Oct-13 0.05697% 8-Oct-13 0.811751 0.050 45.70%9-Oct-13 0.05697% 9-Oct-13 0.811642 0.053 45.68%

10-Oct-13 0.05697% 10-Oct-13 0.811532 0.056 45.65%11-Oct-13 0.05697% 11-Oct-13 0.811423 0.058 45.62%14-Oct-13 0.05697% 14-Oct-13 0.811094 0.067 45.60%

Page 493: Ch 6 Credit Derivatives

15-Oct-13 0.05697% 15-Oct-13 0.810985 0.069 45.57%16-Oct-13 0.05697% 16-Oct-13 0.810875 0.072 45.55%17-Oct-13 0.05697% 17-Oct-13 0.810765 0.075 45.52%18-Oct-13 0.05697% 18-Oct-13 0.810656 0.078 45.49%21-Oct-13 0.05697% 21-Oct-13 0.810327 0.086 45.47%22-Oct-13 0.05697% 22-Oct-13 0.810217 0.089 45.44%23-Oct-13 0.05697% 23-Oct-13 0.810108 0.092 45.42%24-Oct-13 0.05697% 24-Oct-13 0.809998 0.094 45.39%25-Oct-13 0.05697% 25-Oct-13 0.809889 0.097 45.36%28-Oct-13 0.05697% 28-Oct-13 0.809559 0.106 45.34%29-Oct-13 0.05697% 29-Oct-13 0.809450 0.108 45.31%30-Oct-13 0.05697% 30-Oct-13 0.809340 0.111 45.29%31-Oct-13 0.05697% 31-Oct-13 0.809230 0.114 45.26%1-Nov-13 0.05697% 1-Nov-13 0.809121 0.117 45.23%4-Nov-13 0.05697% 4-Nov-13 0.808791 0.125 45.21%5-Nov-13 0.05697% 5-Nov-13 0.808682 0.128 45.18%6-Nov-13 0.05697% 6-Nov-13 0.808572 0.131 45.16%7-Nov-13 0.05697% 7-Nov-13 0.808463 0.133 45.13%8-Nov-13 0.05697% 8-Nov-13 0.808355 0.136 45.11%

11-Nov-13 0.05697% 11-Nov-13 0.808029 0.144 45.08%12-Nov-13 0.05697% 12-Nov-13 0.807920 0.147 45.05%13-Nov-13 0.05697% 13-Nov-13 0.807812 0.150 45.03%14-Nov-13 0.05697% 14-Nov-13 0.807703 0.153 45.00%15-Nov-13 0.05697% 15-Nov-13 0.807595 0.156 44.98%18-Nov-13 0.05697% 18-Nov-13 0.807269 0.164 44.95%19-Nov-13 0.05697% 19-Nov-13 0.807160 0.167 44.93%20-Nov-13 0.05697% 20-Nov-13 0.807051 0.169 44.90%21-Nov-13 0.05697% 21-Nov-13 0.806943 0.172 44.88%22-Nov-13 0.05697% 22-Nov-13 0.806834 0.175 44.85%25-Nov-13 0.05697% 25-Nov-13 0.806508 0.183 44.82%26-Nov-13 0.05697% 26-Nov-13 0.806399 0.186 44.80%27-Nov-13 0.05697% 27-Nov-13 0.806290 0.189 44.77%28-Nov-13 0.05697% 28-Nov-13 0.806181 0.192 44.75%29-Nov-13 0.05697% 29-Nov-13 0.806073 0.194 44.72%

2-Dec-13 0.05697% 2-Dec-13 0.805746 0.203 44.70%3-Dec-13 0.05697% 3-Dec-13 0.805638 0.206 44.67%4-Dec-13 0.05697% 4-Dec-13 0.805529 0.208 44.65%5-Dec-13 0.05697% 5-Dec-13 0.805420 0.211 44.62%6-Dec-13 0.05697% 6-Dec-13 0.805311 0.214 44.60%9-Dec-13 0.05697% 9-Dec-13 0.804984 0.222 44.57%

10-Dec-13 0.05697% 10-Dec-13 0.804876 0.225 44.54%11-Dec-13 0.05697% 11-Dec-13 0.804767 0.228 44.52%12-Dec-13 0.05697% 12-Dec-13 0.804658 0.231 44.49%13-Dec-13 0.05697% 13-Dec-13 0.804549 0.233 44.47%

Page 494: Ch 6 Credit Derivatives

16-Dec-13 0.05697% 16-Dec-13 0.804222 0.242 44.44%17-Dec-13 0.05697% 17-Dec-13 0.804113 0.244 44.42%18-Dec-13 0.05697% 18-Dec-13 0.804004 0.247 44.39%19-Dec-13 0.05697% 19-Dec-13 0.803895 0.250 44.37%20-Dec-13 0.05697% 20-Dec-13 0.803786 0.253 44.34%23-Dec-13 0.05452% 23-Dec-13 0.803459 0.008 44.32%24-Dec-13 0.05452% 24-Dec-13 0.803350 0.011 44.29%25-Dec-13 0.05452% 25-Dec-13 0.803241 0.014 44.27%26-Dec-13 0.05452% 26-Dec-13 0.803132 0.017 44.25%27-Dec-13 0.05452% 27-Dec-13 0.803023 0.019 44.22%30-Dec-13 0.05452% 30-Dec-13 0.802696 0.028 44.20%31-Dec-13 0.05452% 31-Dec-13 0.802586 0.031 44.17%

1-Jan-14 0.05452% 1-Jan-14 0.802477 0.033 44.15%2-Jan-14 0.05452% 2-Jan-14 0.802368 0.036 44.12%3-Jan-14 0.05452% 3-Jan-14 0.802259 0.039 44.10%6-Jan-14 0.05452% 6-Jan-14 0.801932 0.047 44.08%7-Jan-14 0.05452% 7-Jan-14 0.801822 0.050 44.05%8-Jan-14 0.05452% 8-Jan-14 0.801713 0.053 44.03%9-Jan-14 0.05452% 9-Jan-14 0.801604 0.056 44.00%

10-Jan-14 0.05452% 10-Jan-14 0.801495 0.058 43.98%13-Jan-14 0.05452% 13-Jan-14 0.801167 0.067 43.96%14-Jan-14 0.05452% 14-Jan-14 0.801058 0.069 43.93%15-Jan-14 0.05452% 15-Jan-14 0.800949 0.072 43.91%16-Jan-14 0.05452% 16-Jan-14 0.800839 0.075 43.88%17-Jan-14 0.05452% 17-Jan-14 0.800730 0.078 43.86%20-Jan-14 0.05452% 20-Jan-14 0.800402 0.086 43.84%21-Jan-14 0.05452% 21-Jan-14 0.800293 0.089 43.81%22-Jan-14 0.05452% 22-Jan-14 0.800183 0.092 43.79%23-Jan-14 0.05452% 23-Jan-14 0.800074 0.094 43.77%24-Jan-14 0.05452% 24-Jan-14 0.799965 0.097 43.74%27-Jan-14 0.05452% 27-Jan-14 0.799637 0.106 43.72%28-Jan-14 0.05452% 28-Jan-14 0.799527 0.108 43.69%29-Jan-14 0.05452% 29-Jan-14 0.799418 0.111 43.67%30-Jan-14 0.05452% 30-Jan-14 0.799308 0.114 43.65%31-Jan-14 0.05452% 31-Jan-14 0.799199 0.117 43.62%3-Feb-14 0.05452% 3-Feb-14 0.798871 0.125 43.60%4-Feb-14 0.05452% 4-Feb-14 0.798761 0.128 43.57%5-Feb-14 0.05452% 5-Feb-14 0.798652 0.131 43.55%6-Feb-14 0.05452% 6-Feb-14 0.798542 0.133 43.53%7-Feb-14 0.05452% 7-Feb-14 0.798434 0.136 43.50%

10-Feb-14 0.05452% 10-Feb-14 0.798110 0.144 43.48%11-Feb-14 0.05452% 11-Feb-14 0.798002 0.147 43.46%12-Feb-14 0.05452% 12-Feb-14 0.797894 0.150 43.43%13-Feb-14 0.05452% 13-Feb-14 0.797786 0.153 43.41%

Page 495: Ch 6 Credit Derivatives

14-Feb-14 0.05452% 14-Feb-14 0.797678 0.156 43.38%17-Feb-14 0.05452% 17-Feb-14 0.797353 0.164 43.36%18-Feb-14 0.05452% 18-Feb-14 0.797245 0.167 43.34%19-Feb-14 0.05452% 19-Feb-14 0.797137 0.169 43.31%20-Feb-14 0.05452% 20-Feb-14 0.797029 0.172 43.29%21-Feb-14 0.05452% 21-Feb-14 0.796921 0.175 43.27%24-Feb-14 0.05452% 24-Feb-14 0.796596 0.183 43.24%25-Feb-14 0.05452% 25-Feb-14 0.796488 0.186 43.22%26-Feb-14 0.05452% 26-Feb-14 0.796380 0.189 43.20%27-Feb-14 0.05452% 27-Feb-14 0.796272 0.192 43.17%28-Feb-14 0.05452% 28-Feb-14 0.796164 0.194 43.15%3-Mar-14 0.05452% 3-Mar-14 0.795839 0.203 43.13%4-Mar-14 0.05452% 4-Mar-14 0.795731 0.206 43.10%5-Mar-14 0.05452% 5-Mar-14 0.795622 0.208 43.08%6-Mar-14 0.05452% 6-Mar-14 0.795514 0.211 43.05%7-Mar-14 0.05452% 7-Mar-14 0.795406 0.214 43.03%

10-Mar-14 0.05452% 10-Mar-14 0.795081 0.222 43.01%11-Mar-14 0.05452% 11-Mar-14 0.794972 0.225 42.98%12-Mar-14 0.05452% 12-Mar-14 0.794864 0.228 42.96%13-Mar-14 0.05452% 13-Mar-14 0.794756 0.231 42.94%14-Mar-14 0.05452% 14-Mar-14 0.794647 0.233 42.91%17-Mar-14 0.05452% 17-Mar-14 0.794322 0.242 42.89%18-Mar-14 0.05452% 18-Mar-14 0.794214 0.244 42.87%19-Mar-14 0.05452% 19-Mar-14 0.794106 0.247 42.84%20-Mar-14 0.05452% 20-Mar-14 0.793997 0.250 42.82%21-Mar-14 0.05207% 21-Mar-14 0.793889 0.003 42.80%24-Mar-14 0.05207% 24-Mar-14 0.793564 0.011 42.78%25-Mar-14 0.05207% 25-Mar-14 0.793455 0.014 42.75%26-Mar-14 0.05207% 26-Mar-14 0.793347 0.017 42.73%27-Mar-14 0.05207% 27-Mar-14 0.793238 0.019 42.71%28-Mar-14 0.05207% 28-Mar-14 0.793130 0.022 42.69%31-Mar-14 0.05207% 31-Mar-14 0.792804 0.031 42.66%

1-Apr-14 0.05207% 1-Apr-14 0.792696 0.033 42.64%2-Apr-14 0.05207% 2-Apr-14 0.792587 0.036 42.62%3-Apr-14 0.05207% 3-Apr-14 0.792479 0.039 42.60%4-Apr-14 0.05207% 4-Apr-14 0.792370 0.042 42.58%7-Apr-14 0.05207% 7-Apr-14 0.792045 0.050 42.55%8-Apr-14 0.05207% 8-Apr-14 0.791936 0.053 42.53%9-Apr-14 0.05207% 9-Apr-14 0.791827 0.056 42.51%

10-Apr-14 0.05207% 10-Apr-14 0.791719 0.058 42.49%11-Apr-14 0.05207% 11-Apr-14 0.791610 0.061 42.47%14-Apr-14 0.05207% 14-Apr-14 0.791284 0.069 42.44%15-Apr-14 0.05207% 15-Apr-14 0.791176 0.072 42.42%16-Apr-14 0.05207% 16-Apr-14 0.791067 0.075 42.40%

Page 496: Ch 6 Credit Derivatives

17-Apr-14 0.05207% 17-Apr-14 0.790959 0.078 42.38%18-Apr-14 0.05207% 18-Apr-14 0.790850 0.081 42.36%21-Apr-14 0.05207% 21-Apr-14 0.790524 0.089 42.33%22-Apr-14 0.05207% 22-Apr-14 0.790415 0.092 42.31%23-Apr-14 0.05207% 23-Apr-14 0.790306 0.094 42.29%24-Apr-14 0.05207% 24-Apr-14 0.790198 0.097 42.27%25-Apr-14 0.05207% 25-Apr-14 0.790089 0.100 42.24%28-Apr-14 0.05207% 28-Apr-14 0.789763 0.108 42.22%29-Apr-14 0.05207% 29-Apr-14 0.789654 0.111 42.20%30-Apr-14 0.05207% 30-Apr-14 0.789545 0.114 42.18%1-May-14 0.05207% 1-May-14 0.789437 0.117 42.16%2-May-14 0.05207% 2-May-14 0.789328 0.119 42.14%5-May-14 0.05207% 5-May-14 0.789001 0.128 42.11%6-May-14 0.05207% 6-May-14 0.788893 0.131 42.09%7-May-14 0.05207% 7-May-14 0.788785 0.133 42.07%8-May-14 0.05207% 8-May-14 0.788678 0.136 42.05%9-May-14 0.05207% 9-May-14 0.788571 0.139 42.03%

12-May-14 0.05207% 12-May-14 0.788248 0.147 42.00%13-May-14 0.05207% 13-May-14 0.788141 0.150 41.98%14-May-14 0.05207% 14-May-14 0.788034 0.153 41.96%15-May-14 0.05207% 15-May-14 0.787926 0.156 41.94%16-May-14 0.05207% 16-May-14 0.787819 0.158 41.92%19-May-14 0.05207% 19-May-14 0.787497 0.167 41.89%20-May-14 0.05207% 20-May-14 0.787389 0.169 41.87%21-May-14 0.05207% 21-May-14 0.787282 0.172 41.85%22-May-14 0.05207% 22-May-14 0.787174 0.175 41.83%23-May-14 0.05207% 23-May-14 0.787067 0.178 41.81%26-May-14 0.05207% 26-May-14 0.786744 0.186 41.79%27-May-14 0.05207% 27-May-14 0.786637 0.189 41.76%28-May-14 0.05207% 28-May-14 0.786529 0.192 41.74%29-May-14 0.05207% 29-May-14 0.786422 0.194 41.72%30-May-14 0.05207% 30-May-14 0.786314 0.197 41.70%

2-Jun-14 0.05207% 2-Jun-14 0.785992 0.206 41.68%3-Jun-14 0.05207% 3-Jun-14 0.785884 0.208 41.65%4-Jun-14 0.05207% 4-Jun-14 0.785777 0.211 41.63%5-Jun-14 0.05207% 5-Jun-14 0.785669 0.214 41.61%6-Jun-14 0.05207% 6-Jun-14 0.785561 0.217 41.59%9-Jun-14 0.05207% 9-Jun-14 0.785239 0.225 41.57%

10-Jun-14 0.05207% 10-Jun-14 0.785131 0.228 41.55%11-Jun-14 0.05207% 11-Jun-14 0.785023 0.231 41.53%12-Jun-14 0.05207% 12-Jun-14 0.784916 0.233 41.50%13-Jun-14 0.05207% 13-Jun-14 0.784808 0.236 41.48%16-Jun-14 0.05207% 16-Jun-14 0.784485 0.244 41.46%17-Jun-14 0.05207% 17-Jun-14 0.784378 0.247 41.44%

Page 497: Ch 6 Credit Derivatives

18-Jun-14 0.05207% 18-Jun-14 0.784270 0.250 41.42%19-Jun-14 0.05207% 19-Jun-14 0.784162 0.253 41.40%20-Jun-14 0.05207% 20-Jun-14 0.784055 0.256 41.37%23-Jun-14 0.05242% 23-Jun-14 0.783732 0.008 41.35%24-Jun-14 0.05242% 24-Jun-14 0.783624 0.011 41.33%25-Jun-14 0.05242% 25-Jun-14 0.783516 0.014 41.31%26-Jun-14 0.05242% 26-Jun-14 0.783408 0.017 41.29%27-Jun-14 0.05242% 27-Jun-14 0.783301 0.019 41.27%30-Jun-14 0.05242% 30-Jun-14 0.782977 0.028 41.24%

1-Jul-14 0.05242% 1-Jul-14 0.782870 0.031 41.22%2-Jul-14 0.05242% 2-Jul-14 0.782762 0.033 41.20%3-Jul-14 0.05242% 3-Jul-14 0.782654 0.036 41.18%4-Jul-14 0.05242% 4-Jul-14 0.782546 0.039 41.16%7-Jul-14 0.05242% 7-Jul-14 0.782223 0.047 41.14%8-Jul-14 0.05242% 8-Jul-14 0.782115 0.050 41.11%9-Jul-14 0.05242% 9-Jul-14 0.782007 0.053 41.09%

10-Jul-14 0.05242% 10-Jul-14 0.781900 0.056 41.07%11-Jul-14 0.05242% 11-Jul-14 0.781792 0.058 41.05%14-Jul-14 0.05242% 14-Jul-14 0.781468 0.067 41.03%15-Jul-14 0.05242% 15-Jul-14 0.781360 0.069 41.01%16-Jul-14 0.05242% 16-Jul-14 0.781252 0.072 40.99%17-Jul-14 0.05242% 17-Jul-14 0.781145 0.075 40.96%18-Jul-14 0.05242% 18-Jul-14 0.781037 0.078 40.94%21-Jul-14 0.05242% 21-Jul-14 0.780713 0.086 40.92%22-Jul-14 0.05242% 22-Jul-14 0.780605 0.089 40.90%23-Jul-14 0.05242% 23-Jul-14 0.780497 0.092 40.88%24-Jul-14 0.05242% 24-Jul-14 0.780389 0.094 40.86%25-Jul-14 0.05242% 25-Jul-14 0.780281 0.097 40.84%28-Jul-14 0.05242% 28-Jul-14 0.779958 0.106 40.81%29-Jul-14 0.05242% 29-Jul-14 0.779850 0.108 40.79%30-Jul-14 0.05242% 30-Jul-14 0.779742 0.111 40.77%31-Jul-14 0.05242% 31-Jul-14 0.779634 0.114 40.75%1-Aug-14 0.05242% 1-Aug-14 0.779526 0.117 40.73%4-Aug-14 0.05242% 4-Aug-14 0.779202 0.125 40.71%5-Aug-14 0.05242% 5-Aug-14 0.779094 0.128 40.69%6-Aug-14 0.05242% 6-Aug-14 0.778986 0.131 40.66%7-Aug-14 0.05242% 7-Aug-14 0.778879 0.133 40.64%8-Aug-14 0.05242% 8-Aug-14 0.778773 0.136 40.62%

11-Aug-14 0.05242% 11-Aug-14 0.778453 0.144 40.60%12-Aug-14 0.05242% 12-Aug-14 0.778346 0.147 40.58%13-Aug-14 0.05242% 13-Aug-14 0.778240 0.150 40.56%14-Aug-14 0.05242% 14-Aug-14 0.778133 0.153 40.54%15-Aug-14 0.05242% 15-Aug-14 0.778026 0.156 40.52%18-Aug-14 0.05242% 18-Aug-14 0.777706 0.164 40.49%

Page 498: Ch 6 Credit Derivatives

19-Aug-14 0.05242% 19-Aug-14 0.777600 0.167 40.47%20-Aug-14 0.05242% 20-Aug-14 0.777493 0.169 40.45%21-Aug-14 0.05242% 21-Aug-14 0.777386 0.172 40.43%22-Aug-14 0.05242% 22-Aug-14 0.777280 0.175 40.41%25-Aug-14 0.05242% 25-Aug-14 0.776960 0.183 40.39%26-Aug-14 0.05242% 26-Aug-14 0.776853 0.186 40.37%27-Aug-14 0.05242% 27-Aug-14 0.776746 0.189 40.35%28-Aug-14 0.05242% 28-Aug-14 0.776640 0.192 40.32%29-Aug-14 0.05242% 29-Aug-14 0.776533 0.194 40.30%

1-Sep-14 0.05242% 1-Sep-14 0.776213 0.203 40.28%2-Sep-14 0.05242% 2-Sep-14 0.776106 0.206 40.26%3-Sep-14 0.05242% 3-Sep-14 0.775999 0.208 40.24%4-Sep-14 0.05242% 4-Sep-14 0.775892 0.211 40.22%5-Sep-14 0.05242% 5-Sep-14 0.775786 0.214 40.20%8-Sep-14 0.05242% 8-Sep-14 0.775465 0.222 40.18%9-Sep-14 0.05242% 9-Sep-14 0.775359 0.225 40.16%

10-Sep-14 0.05242% 10-Sep-14 0.775252 0.228 40.13%11-Sep-14 0.05242% 11-Sep-14 0.775145 0.231 40.11%12-Sep-14 0.05242% 12-Sep-14 0.775038 0.233 40.09%15-Sep-14 0.05242% 15-Sep-14 0.774718 0.242 40.07%16-Sep-14 0.05242% 16-Sep-14 0.774611 0.244 40.05%17-Sep-14 0.05242% 17-Sep-14 0.774504 0.247 40.03%18-Sep-14 0.05242% 18-Sep-14 0.774397 0.250 40.01%19-Sep-14 0.05242% 19-Sep-14 0.774291 0.253 39.99%22-Sep-14 0.05242% 22-Sep-14 0.773970 0.261 39.97%23-Sep-14 0.05238% 23-Sep-14 0.773863 0.003 39.95%24-Sep-14 0.05238% 24-Sep-14 0.773756 0.006 39.92%25-Sep-14 0.05238% 25-Sep-14 0.773649 0.008 39.90%26-Sep-14 0.05238% 26-Sep-14 0.773542 0.011 39.88%29-Sep-14 0.05238% 29-Sep-14 0.773222 0.019 39.86%30-Sep-14 0.05238% 30-Sep-14 0.773115 0.022 39.84%

1-Oct-14 0.05238% 1-Oct-14 0.773008 0.025 39.82%2-Oct-14 0.05238% 2-Oct-14 0.772901 0.028 39.80%3-Oct-14 0.05238% 3-Oct-14 0.772794 0.031 39.78%6-Oct-14 0.05238% 6-Oct-14 0.772473 0.039 39.76%7-Oct-14 0.05238% 7-Oct-14 0.772366 0.042 39.74%8-Oct-14 0.05238% 8-Oct-14 0.772260 0.044 39.72%9-Oct-14 0.05238% 9-Oct-14 0.772153 0.047 39.70%

10-Oct-14 0.05238% 10-Oct-14 0.772046 0.050 39.67%13-Oct-14 0.05238% 13-Oct-14 0.771725 0.058 39.65%14-Oct-14 0.05238% 14-Oct-14 0.771618 0.061 39.63%15-Oct-14 0.05238% 15-Oct-14 0.771511 0.064 39.61%16-Oct-14 0.05238% 16-Oct-14 0.771404 0.067 39.59%17-Oct-14 0.05238% 17-Oct-14 0.771297 0.069 39.57%

Page 499: Ch 6 Credit Derivatives

20-Oct-14 0.05238% 20-Oct-14 0.770976 0.078 39.55%21-Oct-14 0.05238% 21-Oct-14 0.770869 0.081 39.53%22-Oct-14 0.05238% 22-Oct-14 0.770762 0.083 39.51%23-Oct-14 0.05238% 23-Oct-14 0.770655 0.086 39.49%24-Oct-14 0.05238% 24-Oct-14 0.770548 0.089 39.47%27-Oct-14 0.05238% 27-Oct-14 0.770226 0.097 39.45%28-Oct-14 0.05238% 28-Oct-14 0.770119 0.100 39.43%29-Oct-14 0.05238% 29-Oct-14 0.770012 0.103 39.41%30-Oct-14 0.05238% 30-Oct-14 0.769905 0.106 39.38%31-Oct-14 0.05238% 31-Oct-14 0.769798 0.108 39.36%3-Nov-14 0.05238% 3-Nov-14 0.769477 0.117 39.34%4-Nov-14 0.05238% 4-Nov-14 0.769370 0.119 39.32%5-Nov-14 0.05238% 5-Nov-14 0.769263 0.122 39.30%6-Nov-14 0.05238% 6-Nov-14 0.769156 0.125 39.28%7-Nov-14 0.05238% 7-Nov-14 0.769050 0.128 39.26%

10-Nov-14 0.05238% 10-Nov-14 0.768733 0.136 39.24%11-Nov-14 0.05238% 11-Nov-14 0.768627 0.139 39.22%12-Nov-14 0.05238% 12-Nov-14 0.768521 0.142 39.20%13-Nov-14 0.05238% 13-Nov-14 0.768415 0.144 39.18%14-Nov-14 0.05238% 14-Nov-14 0.768310 0.147 39.16%17-Nov-14 0.05238% 17-Nov-14 0.767992 0.156 39.14%18-Nov-14 0.05238% 18-Nov-14 0.767887 0.158 39.12%19-Nov-14 0.05238% 19-Nov-14 0.767781 0.161 39.10%20-Nov-14 0.05238% 20-Nov-14 0.767675 0.164 39.08%21-Nov-14 0.05238% 21-Nov-14 0.767569 0.167 39.06%24-Nov-14 0.05238% 24-Nov-14 0.767252 0.175 39.04%25-Nov-14 0.05238% 25-Nov-14 0.767146 0.178 39.02%26-Nov-14 0.05238% 26-Nov-14 0.767040 0.181 38.99%27-Nov-14 0.05238% 27-Nov-14 0.766935 0.183 38.97%28-Nov-14 0.05238% 28-Nov-14 0.766829 0.186 38.95%

1-Dec-14 0.05238% 1-Dec-14 0.766511 0.194 38.93%2-Dec-14 0.05238% 2-Dec-14 0.766405 0.197 38.91%3-Dec-14 0.05238% 3-Dec-14 0.766300 0.200 38.89%4-Dec-14 0.05238% 4-Dec-14 0.766194 0.203 38.87%5-Dec-14 0.05238% 5-Dec-14 0.766088 0.206 38.85%8-Dec-14 0.05238% 8-Dec-14 0.765770 0.214 38.83%9-Dec-14 0.05238% 9-Dec-14 0.765665 0.217 38.81%

10-Dec-14 0.05238% 10-Dec-14 0.765559 0.219 38.79%11-Dec-14 0.05238% 11-Dec-14 0.765453 0.222 38.77%12-Dec-14 0.05238% 12-Dec-14 0.765347 0.225 38.75%15-Dec-14 0.05238% 15-Dec-14 0.765029 0.233 38.73%16-Dec-14 0.05238% 16-Dec-14 0.764923 0.236 38.71%17-Dec-14 0.05238% 17-Dec-14 0.764817 0.239 38.69%18-Dec-14 0.05238% 18-Dec-14 0.764712 0.242 38.67%

Page 500: Ch 6 Credit Derivatives

19-Dec-14 0.05238% 19-Dec-14 0.764606 0.244 38.65%22-Dec-14 0.05238% 22-Dec-14 0.764288 0.253 38.63%23-Dec-14 0.05423% 23-Dec-14 0.764182 0.003 38.61%24-Dec-14 0.05423% 24-Dec-14 0.764076 0.006 38.59%25-Dec-14 0.05423% 25-Dec-14 0.763970 0.008 38.57%26-Dec-14 0.05423% 26-Dec-14 0.763864 0.011 38.54%29-Dec-14 0.05423% 29-Dec-14 0.763546 0.019 38.52%30-Dec-14 0.05423% 30-Dec-14 0.763440 0.022 38.50%31-Dec-14 0.05423% 31-Dec-14 0.763334 0.025 38.48%

1-Jan-15 0.05423% 1-Jan-15 0.763228 0.028 38.46%2-Jan-15 0.05423% 2-Jan-15 0.763122 0.031 38.44%5-Jan-15 0.05423% 5-Jan-15 0.762804 0.039 38.42%6-Jan-15 0.05423% 6-Jan-15 0.762698 0.042 38.40%7-Jan-15 0.05423% 7-Jan-15 0.762592 0.044 38.38%8-Jan-15 0.05423% 8-Jan-15 0.762486 0.047 38.36%9-Jan-15 0.05423% 9-Jan-15 0.762380 0.050 38.34%

12-Jan-15 0.05423% 12-Jan-15 0.762062 0.058 38.32%13-Jan-15 0.05423% 13-Jan-15 0.761956 0.061 38.29%14-Jan-15 0.05423% 14-Jan-15 0.761850 0.064 38.27%15-Jan-15 0.05423% 15-Jan-15 0.761744 0.067 38.25%16-Jan-15 0.05423% 16-Jan-15 0.761638 0.069 38.23%19-Jan-15 0.05423% 19-Jan-15 0.761320 0.078 38.21%20-Jan-15 0.05423% 20-Jan-15 0.761214 0.081 38.19%21-Jan-15 0.05423% 21-Jan-15 0.761108 0.083 38.17%22-Jan-15 0.05423% 22-Jan-15 0.761002 0.086 38.15%23-Jan-15 0.05423% 23-Jan-15 0.760896 0.089 38.13%26-Jan-15 0.05423% 26-Jan-15 0.760578 0.097 38.11%27-Jan-15 0.05423% 27-Jan-15 0.760472 0.100 38.09%28-Jan-15 0.05423% 28-Jan-15 0.760366 0.103 38.07%29-Jan-15 0.05423% 29-Jan-15 0.760259 0.106 38.05%30-Jan-15 0.05423% 30-Jan-15 0.760153 0.108 38.03%2-Feb-15 0.05423% 2-Feb-15 0.759835 0.117 38.01%3-Feb-15 0.05423% 3-Feb-15 0.759729 0.119 37.98%4-Feb-15 0.05423% 4-Feb-15 0.759623 0.122 37.96%5-Feb-15 0.05423% 5-Feb-15 0.759517 0.125 37.94%6-Feb-15 0.05423% 6-Feb-15 0.759411 0.128 37.92%9-Feb-15 0.05423% 9-Feb-15 0.759096 0.136 37.90%

10-Feb-15 0.05423% 10-Feb-15 0.758991 0.139 37.88%11-Feb-15 0.05423% 11-Feb-15 0.758887 0.142 37.86%12-Feb-15 0.05423% 12-Feb-15 0.758782 0.144 37.84%13-Feb-15 0.05423% 13-Feb-15 0.758677 0.147 37.82%16-Feb-15 0.05423% 16-Feb-15 0.758362 0.156 37.80%17-Feb-15 0.05423% 17-Feb-15 0.758258 0.158 37.78%18-Feb-15 0.05423% 18-Feb-15 0.758153 0.161 37.76%

Page 501: Ch 6 Credit Derivatives

19-Feb-15 0.05423% 19-Feb-15 0.758048 0.164 37.74%20-Feb-15 0.05423% 20-Feb-15 0.757943 0.167 37.72%23-Feb-15 0.05423% 23-Feb-15 0.757628 0.175 37.70%24-Feb-15 0.05423% 24-Feb-15 0.757524 0.178 37.68%25-Feb-15 0.05423% 25-Feb-15 0.757419 0.181 37.66%26-Feb-15 0.05423% 26-Feb-15 0.757314 0.183 37.64%27-Feb-15 0.05423% 27-Feb-15 0.757209 0.186 37.62%2-Mar-15 0.05423% 2-Mar-15 0.756894 0.194 37.60%3-Mar-15 0.05423% 3-Mar-15 0.756789 0.197 37.57%4-Mar-15 0.05423% 4-Mar-15 0.756685 0.200 37.55%5-Mar-15 0.05423% 5-Mar-15 0.756580 0.203 37.53%6-Mar-15 0.05423% 6-Mar-15 0.756475 0.206 37.51%9-Mar-15 0.05423% 9-Mar-15 0.756160 0.214 37.49%

10-Mar-15 0.05423% 10-Mar-15 0.756055 0.217 37.47%11-Mar-15 0.05423% 11-Mar-15 0.755950 0.219 37.45%12-Mar-15 0.05423% 12-Mar-15 0.755845 0.222 37.43%13-Mar-15 0.05423% 13-Mar-15 0.755740 0.225 37.41%16-Mar-15 0.05423% 16-Mar-15 0.755426 0.233 37.39%17-Mar-15 0.05423% 17-Mar-15 0.755321 0.236 37.37%18-Mar-15 0.05423% 18-Mar-15 0.755216 0.239 37.35%19-Mar-15 0.05423% 19-Mar-15 0.755111 0.242 37.33%20-Mar-15 0.05423% 20-Mar-15 0.755006 0.244 37.31%23-Mar-15 0.05760% 23-Mar-15 0.754691 0.008 37.29%24-Mar-15 0.05760% 24-Mar-15 0.754586 0.011 37.27%25-Mar-15 0.05760% 25-Mar-15 0.754481 0.014 37.25%26-Mar-15 0.05760% 26-Mar-15 0.754376 0.017 37.22%27-Mar-15 0.05760% 27-Mar-15 0.754271 0.019 37.20%30-Mar-15 0.05760% 30-Mar-15 0.753956 0.028 37.18%31-Mar-15 0.05760% 31-Mar-15 0.753851 0.031 37.16%

1-Apr-15 0.05760% 1-Apr-15 0.753746 0.033 37.14%2-Apr-15 0.05760% 2-Apr-15 0.753641 0.036 37.12%3-Apr-15 0.05760% 3-Apr-15 0.753536 0.039 37.10%6-Apr-15 0.05760% 6-Apr-15 0.753221 0.047 37.07%7-Apr-15 0.05760% 7-Apr-15 0.753116 0.050 37.05%8-Apr-15 0.05760% 8-Apr-15 0.753011 0.053 37.03%9-Apr-15 0.05760% 9-Apr-15 0.752906 0.056 37.01%

10-Apr-15 0.05760% 10-Apr-15 0.752801 0.058 36.99%13-Apr-15 0.05760% 13-Apr-15 0.752486 0.067 36.97%14-Apr-15 0.05760% 14-Apr-15 0.752381 0.069 36.95%15-Apr-15 0.05760% 15-Apr-15 0.752276 0.072 36.93%16-Apr-15 0.05760% 16-Apr-15 0.752171 0.075 36.90%17-Apr-15 0.05760% 17-Apr-15 0.752066 0.078 36.88%20-Apr-15 0.05760% 20-Apr-15 0.751751 0.086 36.86%21-Apr-15 0.05760% 21-Apr-15 0.751646 0.089 36.84%

Page 502: Ch 6 Credit Derivatives

22-Apr-15 0.05760% 22-Apr-15 0.751541 0.092 36.82%23-Apr-15 0.05760% 23-Apr-15 0.751436 0.094 36.80%24-Apr-15 0.05760% 24-Apr-15 0.751331 0.097 36.78%27-Apr-15 0.05760% 27-Apr-15 0.751015 0.106 36.76%28-Apr-15 0.05760% 28-Apr-15 0.750910 0.108 36.73%29-Apr-15 0.05760% 29-Apr-15 0.750805 0.111 36.71%30-Apr-15 0.05760% 30-Apr-15 0.750700 0.114 36.69%1-May-15 0.05760% 1-May-15 0.750595 0.117 36.67%4-May-15 0.05760% 4-May-15 0.750280 0.125 36.65%5-May-15 0.05760% 5-May-15 0.750175 0.128 36.63%6-May-15 0.05760% 6-May-15 0.750070 0.131 36.61%7-May-15 0.05760% 7-May-15 0.749966 0.133 36.59%8-May-15 0.05760% 8-May-15 0.749861 0.136 36.57%

11-May-15 0.05760% 11-May-15 0.749549 0.144 36.54%12-May-15 0.05760% 12-May-15 0.749445 0.147 36.52%13-May-15 0.05760% 13-May-15 0.749340 0.150 36.50%14-May-15 0.05760% 14-May-15 0.749236 0.153 36.48%15-May-15 0.05760% 15-May-15 0.749132 0.156 36.46%18-May-15 0.05760% 18-May-15 0.748820 0.164 36.44%19-May-15 0.05760% 19-May-15 0.748715 0.167 36.42%20-May-15 0.05760% 20-May-15 0.748611 0.169 36.40%21-May-15 0.05760% 21-May-15 0.748507 0.172 36.38%22-May-15 0.05760% 22-May-15 0.748403 0.175 36.36%25-May-15 0.05760% 25-May-15 0.748090 0.183 36.33%26-May-15 0.05760% 26-May-15 0.747986 0.186 36.31%27-May-15 0.05760% 27-May-15 0.747882 0.189 36.29%28-May-15 0.05760% 28-May-15 0.747777 0.192 36.27%29-May-15 0.05760% 29-May-15 0.747673 0.194 36.25%

1-Jun-15 0.05760% 1-Jun-15 0.747361 0.203 36.23%2-Jun-15 0.05760% 2-Jun-15 0.747256 0.206 36.21%3-Jun-15 0.05760% 3-Jun-15 0.747152 0.208 36.19%4-Jun-15 0.05760% 4-Jun-15 0.747048 0.211 36.17%5-Jun-15 0.05760% 5-Jun-15 0.746944 0.214 36.15%8-Jun-15 0.05760% 8-Jun-15 0.746631 0.222 36.13%9-Jun-15 0.05760% 9-Jun-15 0.746527 0.225 36.11%

10-Jun-15 0.05760% 10-Jun-15 0.746422 0.228 36.08%11-Jun-15 0.05760% 11-Jun-15 0.746318 0.231 36.06%12-Jun-15 0.05760% 12-Jun-15 0.746214 0.233 36.04%15-Jun-15 0.05760% 15-Jun-15 0.745901 0.242 36.02%16-Jun-15 0.05760% 16-Jun-15 0.745797 0.244 36.00%17-Jun-15 0.05760% 17-Jun-15 0.745693 0.247 35.98%18-Jun-15 0.05760% 18-Jun-15 0.745588 0.250 35.96%19-Jun-15 0.05760% 19-Jun-15 0.745484 0.253 35.94%22-Jun-15 0.05760% 22-Jun-15 0.745171 0.261 35.92%

Page 503: Ch 6 Credit Derivatives

23-Jun-15 0.05657% 23-Jun-15 0.745067 0.003 35.90%24-Jun-15 0.05657% 24-Jun-15 0.744963 0.006 35.88%25-Jun-15 0.05657% 25-Jun-15 0.744858 0.008 35.86%26-Jun-15 0.05657% 26-Jun-15 0.744754 0.011 35.84%29-Jun-15 0.05657% 29-Jun-15 0.744441 0.019 35.82%30-Jun-15 0.05657% 30-Jun-15 0.744337 0.022 35.80%

1-Jul-15 0.05657% 1-Jul-15 0.744233 0.025 35.78%2-Jul-15 0.05657% 2-Jul-15 0.744128 0.028 35.76%3-Jul-15 0.05657% 3-Jul-15 0.744024 0.031 35.74%6-Jul-15 0.05657% 6-Jul-15 0.743711 0.039 35.72%7-Jul-15 0.05657% 7-Jul-15 0.743607 0.042 35.70%8-Jul-15 0.05657% 8-Jul-15 0.743502 0.044 35.68%9-Jul-15 0.05657% 9-Jul-15 0.743398 0.047 35.66%

10-Jul-15 0.05657% 10-Jul-15 0.743294 0.050 35.63%13-Jul-15 0.05657% 13-Jul-15 0.742981 0.058 35.61%14-Jul-15 0.05657% 14-Jul-15 0.742876 0.061 35.59%15-Jul-15 0.05657% 15-Jul-15 0.742772 0.064 35.57%16-Jul-15 0.05657% 16-Jul-15 0.742668 0.067 35.55%17-Jul-15 0.05657% 17-Jul-15 0.742563 0.069 35.53%20-Jul-15 0.05657% 20-Jul-15 0.742250 0.078 35.51%21-Jul-15 0.05657% 21-Jul-15 0.742146 0.081 35.49%22-Jul-15 0.05657% 22-Jul-15 0.742042 0.083 35.47%23-Jul-15 0.05657% 23-Jul-15 0.741937 0.086 35.45%24-Jul-15 0.05657% 24-Jul-15 0.741833 0.089 35.43%27-Jul-15 0.05657% 27-Jul-15 0.741520 0.097 35.41%28-Jul-15 0.05657% 28-Jul-15 0.741415 0.100 35.39%29-Jul-15 0.05657% 29-Jul-15 0.741311 0.103 35.37%30-Jul-15 0.05657% 30-Jul-15 0.741207 0.106 35.35%31-Jul-15 0.05657% 31-Jul-15 0.741102 0.108 35.33%3-Aug-15 0.05657% 3-Aug-15 0.740789 0.117 35.31%4-Aug-15 0.05657% 4-Aug-15 0.740685 0.119 35.29%5-Aug-15 0.05657% 5-Aug-15 0.740580 0.122 35.27%6-Aug-15 0.05657% 6-Aug-15 0.740476 0.125 35.25%7-Aug-15 0.05657% 7-Aug-15 0.740372 0.128 35.23%

10-Aug-15 0.05657% 10-Aug-15 0.740061 0.136 35.21%11-Aug-15 0.05657% 11-Aug-15 0.739957 0.139 35.19%12-Aug-15 0.05657% 12-Aug-15 0.739853 0.142 35.17%13-Aug-15 0.05657% 13-Aug-15 0.739749 0.144 35.15%14-Aug-15 0.05657% 14-Aug-15 0.739645 0.147 35.13%17-Aug-15 0.05657% 17-Aug-15 0.739334 0.156 35.11%18-Aug-15 0.05657% 18-Aug-15 0.739230 0.158 35.09%19-Aug-15 0.05657% 19-Aug-15 0.739126 0.161 35.07%20-Aug-15 0.05657% 20-Aug-15 0.739022 0.164 35.06%21-Aug-15 0.05657% 21-Aug-15 0.738918 0.167 35.04%

Page 504: Ch 6 Credit Derivatives

24-Aug-15 0.05657% 24-Aug-15 0.738606 0.175 35.02%25-Aug-15 0.05657% 25-Aug-15 0.738503 0.178 35.00%26-Aug-15 0.05657% 26-Aug-15 0.738399 0.181 34.98%27-Aug-15 0.05657% 27-Aug-15 0.738295 0.183 34.96%28-Aug-15 0.05657% 28-Aug-15 0.738191 0.186 34.94%31-Aug-15 0.05657% 31-Aug-15 0.737879 0.194 34.92%

1-Sep-15 0.05657% 1-Sep-15 0.737775 0.197 34.90%2-Sep-15 0.05657% 2-Sep-15 0.737671 0.200 34.88%3-Sep-15 0.05657% 3-Sep-15 0.737568 0.203 34.86%4-Sep-15 0.05657% 4-Sep-15 0.737464 0.206 34.84%7-Sep-15 0.05657% 7-Sep-15 0.737152 0.214 34.82%8-Sep-15 0.05657% 8-Sep-15 0.737048 0.217 34.80%9-Sep-15 0.05657% 9-Sep-15 0.736944 0.219 34.78%

10-Sep-15 0.05657% 10-Sep-15 0.736840 0.222 34.76%11-Sep-15 0.05657% 11-Sep-15 0.736736 0.225 34.74%14-Sep-15 0.05657% 14-Sep-15 0.736424 0.233 34.72%15-Sep-15 0.05657% 15-Sep-15 0.736321 0.236 34.70%16-Sep-15 0.05657% 16-Sep-15 0.736217 0.239 34.68%17-Sep-15 0.05657% 17-Sep-15 0.736113 0.242 34.66%18-Sep-15 0.05657% 18-Sep-15 0.736009 0.244 34.64%21-Sep-15 0.05657% 21-Sep-15 0.735697 0.253 34.62%22-Sep-15 0.05626% 22-Sep-15 0.735593 0.003 34.60%23-Sep-15 0.05626% 23-Sep-15 0.735489 0.006 34.58%24-Sep-15 0.05626% 24-Sep-15 0.735385 0.008 34.56%25-Sep-15 0.05626% 25-Sep-15 0.735281 0.011 34.54%28-Sep-15 0.05626% 28-Sep-15 0.734969 0.019 34.52%29-Sep-15 0.05626% 29-Sep-15 0.734865 0.022 34.50%30-Sep-15 0.05626% 30-Sep-15 0.734761 0.025 34.49%

1-Oct-15 0.05626% 1-Oct-15 0.734658 0.028 34.47%2-Oct-15 0.05626% 2-Oct-15 0.734554 0.031 34.45%5-Oct-15 0.05626% 5-Oct-15 0.734242 0.039 34.43%6-Oct-15 0.05626% 6-Oct-15 0.734138 0.042 34.41%7-Oct-15 0.05626% 7-Oct-15 0.734034 0.044 34.39%8-Oct-15 0.05626% 8-Oct-15 0.733930 0.047 34.37%9-Oct-15 0.05626% 9-Oct-15 0.733826 0.050 34.35%

12-Oct-15 0.05626% 12-Oct-15 0.733514 0.058 34.33%13-Oct-15 0.05626% 13-Oct-15 0.733410 0.061 34.31%14-Oct-15 0.05626% 14-Oct-15 0.733306 0.064 34.29%15-Oct-15 0.05626% 15-Oct-15 0.733202 0.067 34.27%16-Oct-15 0.05626% 16-Oct-15 0.733098 0.069 34.25%19-Oct-15 0.05626% 19-Oct-15 0.732786 0.078 34.23%20-Oct-15 0.05626% 20-Oct-15 0.732682 0.081 34.21%21-Oct-15 0.05626% 21-Oct-15 0.732578 0.083 34.20%22-Oct-15 0.05626% 22-Oct-15 0.732474 0.086 34.18%

Page 505: Ch 6 Credit Derivatives

23-Oct-15 0.05626% 23-Oct-15 0.732370 0.089 34.16%26-Oct-15 0.05626% 26-Oct-15 0.732058 0.097 34.14%27-Oct-15 0.05626% 27-Oct-15 0.731954 0.100 34.12%28-Oct-15 0.05626% 28-Oct-15 0.731850 0.103 34.10%29-Oct-15 0.05626% 29-Oct-15 0.731746 0.106 34.08%30-Oct-15 0.05626% 30-Oct-15 0.731642 0.108 34.06%2-Nov-15 0.05626% 2-Nov-15 0.731330 0.117 34.04%3-Nov-15 0.05626% 3-Nov-15 0.731226 0.119 34.02%4-Nov-15 0.05626% 4-Nov-15 0.731122 0.122 34.00%5-Nov-15 0.05626% 5-Nov-15 0.731018 0.125 33.98%6-Nov-15 0.05626% 6-Nov-15 0.730914 0.128 33.97%9-Nov-15 0.05626% 9-Nov-15 0.730603 0.136 33.95%

10-Nov-15 0.05626% 10-Nov-15 0.730499 0.139 33.93%11-Nov-15 0.05626% 11-Nov-15 0.730395 0.142 33.91%12-Nov-15 0.05626% 12-Nov-15 0.730291 0.144 33.89%13-Nov-15 0.05626% 13-Nov-15 0.730187 0.147 33.87%16-Nov-15 0.05626% 16-Nov-15 0.729876 0.156 33.85%17-Nov-15 0.05626% 17-Nov-15 0.729772 0.158 33.83%18-Nov-15 0.05626% 18-Nov-15 0.729668 0.161 33.81%19-Nov-15 0.05626% 19-Nov-15 0.729564 0.164 33.79%20-Nov-15 0.05626% 20-Nov-15 0.729461 0.167 33.77%23-Nov-15 0.05626% 23-Nov-15 0.729149 0.175 33.76%24-Nov-15 0.05626% 24-Nov-15 0.729045 0.178 33.74%25-Nov-15 0.05626% 25-Nov-15 0.728941 0.181 33.72%26-Nov-15 0.05626% 26-Nov-15 0.728838 0.183 33.70%27-Nov-15 0.05626% 27-Nov-15 0.728734 0.186 33.68%30-Nov-15 0.05626% 30-Nov-15 0.728422 0.194 33.66%

1-Dec-15 0.05626% 1-Dec-15 0.728318 0.197 33.64%2-Dec-15 0.05626% 2-Dec-15 0.728215 0.200 33.62%3-Dec-15 0.05626% 3-Dec-15 0.728111 0.203 33.60%4-Dec-15 0.05626% 4-Dec-15 0.728007 0.206 33.59%7-Dec-15 0.05626% 7-Dec-15 0.727695 0.214 33.57%8-Dec-15 0.05626% 8-Dec-15 0.727591 0.217 33.55%9-Dec-15 0.05626% 9-Dec-15 0.727488 0.219 33.53%

10-Dec-15 0.05626% 10-Dec-15 0.727384 0.222 33.51%11-Dec-15 0.05626% 11-Dec-15 0.727280 0.225 33.49%14-Dec-15 0.05626% 14-Dec-15 0.726968 0.233 33.47%15-Dec-15 0.05626% 15-Dec-15 0.726864 0.236 33.45%16-Dec-15 0.05626% 16-Dec-15 0.726761 0.239 33.43%17-Dec-15 0.05626% 17-Dec-15 0.726657 0.242 33.42%18-Dec-15 0.05626% 18-Dec-15 0.726553 0.244 33.40%21-Dec-15 0.05626% 21-Dec-15 0.726241 0.253 33.38%22-Dec-15 0.05595% 22-Dec-15 0.726137 0.003 33.36%23-Dec-15 0.05595% 23-Dec-15 0.726033 0.006 33.34%

Page 506: Ch 6 Credit Derivatives

24-Dec-15 0.05595% 24-Dec-15 0.725930 0.008 33.32%25-Dec-15 0.05595% 25-Dec-15 0.725826 0.011 33.30%28-Dec-15 0.05595% 28-Dec-15 0.725514 0.019 33.28%29-Dec-15 0.05595% 29-Dec-15 0.725410 0.022 33.27%30-Dec-15 0.05595% 30-Dec-15 0.725306 0.025 33.25%31-Dec-15 0.05595% 31-Dec-15 0.725202 0.028 33.23%

1-Jan-16 0.05595% 1-Jan-16 0.725098 0.031 33.21%4-Jan-16 0.05595% 4-Jan-16 0.724787 0.039 33.19%5-Jan-16 0.05595% 5-Jan-16 0.724683 0.042 33.17%6-Jan-16 0.05595% 6-Jan-16 0.724579 0.044 33.15%7-Jan-16 0.05595% 7-Jan-16 0.724475 0.047 33.14%8-Jan-16 0.05595% 8-Jan-16 0.724371 0.050 33.12%

11-Jan-16 0.05595% 11-Jan-16 0.724060 0.058 33.10%12-Jan-16 0.05595% 12-Jan-16 0.723956 0.061 33.08%13-Jan-16 0.05595% 13-Jan-16 0.723852 0.064 33.06%14-Jan-16 0.05595% 14-Jan-16 0.723748 0.067 33.04%15-Jan-16 0.05595% 15-Jan-16 0.723644 0.069 33.02%18-Jan-16 0.05595% 18-Jan-16 0.723332 0.078 33.01%19-Jan-16 0.05595% 19-Jan-16 0.723228 0.081 32.99%20-Jan-16 0.05595% 20-Jan-16 0.723124 0.083 32.97%21-Jan-16 0.05595% 21-Jan-16 0.723021 0.086 32.95%22-Jan-16 0.05595% 22-Jan-16 0.722917 0.089 32.93%25-Jan-16 0.05595% 25-Jan-16 0.722605 0.097 32.91%26-Jan-16 0.05595% 26-Jan-16 0.722501 0.100 32.90%27-Jan-16 0.05595% 27-Jan-16 0.722397 0.103 32.88%28-Jan-16 0.05595% 28-Jan-16 0.722293 0.106 32.86%29-Jan-16 0.05595% 29-Jan-16 0.722189 0.108 32.84%1-Feb-16 0.05595% 1-Feb-16 0.721877 0.117 32.82%2-Feb-16 0.05595% 2-Feb-16 0.721774 0.119 32.80%3-Feb-16 0.05595% 3-Feb-16 0.721670 0.122 32.79%4-Feb-16 0.05595% 4-Feb-16 0.721566 0.125 32.77%5-Feb-16 0.05595% 5-Feb-16 0.721462 0.128 32.75%8-Feb-16 0.05595% 8-Feb-16 0.721150 0.136 32.73%9-Feb-16 0.05595% 9-Feb-16 0.721046 0.139 32.71%

10-Feb-16 0.05595% 10-Feb-16 0.720942 0.142 32.69%11-Feb-16 0.05595% 11-Feb-16 0.720838 0.144 32.68%12-Feb-16 0.05595% 12-Feb-16 0.720733 0.147 32.66%15-Feb-16 0.05595% 15-Feb-16 0.720421 0.156 32.64%16-Feb-16 0.05595% 16-Feb-16 0.720317 0.158 32.62%17-Feb-16 0.05595% 17-Feb-16 0.720212 0.161 32.60%18-Feb-16 0.05595% 18-Feb-16 0.720108 0.164 32.58%19-Feb-16 0.05595% 19-Feb-16 0.720004 0.167 32.57%22-Feb-16 0.05595% 22-Feb-16 0.719692 0.175 32.55%23-Feb-16 0.05595% 23-Feb-16 0.719587 0.178 32.53%

Page 507: Ch 6 Credit Derivatives

24-Feb-16 0.05595% 24-Feb-16 0.719483 0.181 32.51%25-Feb-16 0.05595% 25-Feb-16 0.719379 0.183 32.49%26-Feb-16 0.05595% 26-Feb-16 0.719275 0.186 32.47%29-Feb-16 0.05595% 29-Feb-16 0.718962 0.194 32.46%1-Mar-16 0.05595% 1-Mar-16 0.718858 0.197 32.44%2-Mar-16 0.05595% 2-Mar-16 0.718754 0.200 32.42%3-Mar-16 0.05595% 3-Mar-16 0.718650 0.203 32.40%4-Mar-16 0.05595% 4-Mar-16 0.718546 0.206 32.38%7-Mar-16 0.05595% 7-Mar-16 0.718233 0.214 32.37%8-Mar-16 0.05595% 8-Mar-16 0.718129 0.217 32.35%9-Mar-16 0.05595% 9-Mar-16 0.718025 0.219 32.33%

10-Mar-16 0.05595% 10-Mar-16 0.717920 0.222 32.31%11-Mar-16 0.05595% 11-Mar-16 0.717816 0.225 32.29%14-Mar-16 0.05595% 14-Mar-16 0.717504 0.233 32.28%15-Mar-16 0.05595% 15-Mar-16 0.717399 0.236 32.26%16-Mar-16 0.05595% 16-Mar-16 0.717295 0.239 32.24%17-Mar-16 0.05595% 17-Mar-16 0.717191 0.242 32.22%18-Mar-16 0.05595% 18-Mar-16 0.717087 0.244 32.20%21-Mar-16 0.05595% 21-Mar-16 0.716774 0.253 32.19%22-Mar-16 0.05566% 22-Mar-16 0.716670 0.003 32.17%23-Mar-16 0.05566% 23-Mar-16 0.716566 0.006 32.15%24-Mar-16 0.05566% 24-Mar-16 0.716462 0.008 32.13%25-Mar-16 0.05566% 25-Mar-16 0.716357 0.011 32.11%28-Mar-16 0.05566% 28-Mar-16 0.716045 0.019 32.10%29-Mar-16 0.05566% 29-Mar-16 0.715940 0.022 32.08%30-Mar-16 0.05566% 30-Mar-16 0.715836 0.025 32.06%31-Mar-16 0.05566% 31-Mar-16 0.715732 0.028 32.04%

1-Apr-16 0.05566% 1-Apr-16 0.715628 0.031 32.02%4-Apr-16 0.05566% 4-Apr-16 0.715315 0.039 32.01%5-Apr-16 0.05566% 5-Apr-16 0.715211 0.042 31.99%6-Apr-16 0.05566% 6-Apr-16 0.715107 0.044 31.97%7-Apr-16 0.05566% 7-Apr-16 0.715002 0.047 31.95%8-Apr-16 0.05566% 8-Apr-16 0.714898 0.050 31.94%

11-Apr-16 0.05566% 11-Apr-16 0.714586 0.058 31.92%12-Apr-16 0.05566% 12-Apr-16 0.714481 0.061 31.90%13-Apr-16 0.05566% 13-Apr-16 0.714377 0.064 31.88%14-Apr-16 0.05566% 14-Apr-16 0.714273 0.067 31.86%15-Apr-16 0.05566% 15-Apr-16 0.714169 0.069 31.85%18-Apr-16 0.05566% 18-Apr-16 0.713856 0.078 31.83%19-Apr-16 0.05566% 19-Apr-16 0.713752 0.081 31.81%20-Apr-16 0.05566% 20-Apr-16 0.713648 0.083 31.79%21-Apr-16 0.05566% 21-Apr-16 0.713543 0.086 31.78%22-Apr-16 0.05566% 22-Apr-16 0.713439 0.089 31.76%25-Apr-16 0.05566% 25-Apr-16 0.713126 0.097 31.74%

Page 508: Ch 6 Credit Derivatives

26-Apr-16 0.05566% 26-Apr-16 0.713022 0.100 31.72%27-Apr-16 0.05566% 27-Apr-16 0.712918 0.103 31.71%28-Apr-16 0.05566% 28-Apr-16 0.712814 0.106 31.69%29-Apr-16 0.05566% 29-Apr-16 0.712709 0.108 31.67%2-May-16 0.05566% 2-May-16 0.712397 0.117 31.65%3-May-16 0.05566% 3-May-16 0.712292 0.119 31.63%4-May-16 0.05566% 4-May-16 0.712188 0.122 31.62%5-May-16 0.05566% 5-May-16 0.712084 0.125 31.60%6-May-16 0.05566% 6-May-16 0.711980 0.128 31.58%9-May-16 0.05566% 9-May-16 0.711668 0.136 31.56%

10-May-16 0.05566% 10-May-16 0.711564 0.139 31.55%11-May-16 0.05566% 11-May-16 0.711460 0.142 31.53%12-May-16 0.05566% 12-May-16 0.711356 0.144 31.51%13-May-16 0.05566% 13-May-16 0.711252 0.147 31.49%16-May-16 0.05566% 16-May-16 0.710939 0.156 31.48%17-May-16 0.05566% 17-May-16 0.710835 0.158 31.46%18-May-16 0.05566% 18-May-16 0.710731 0.161 31.44%19-May-16 0.05566% 19-May-16 0.710627 0.164 31.42%20-May-16 0.05566% 20-May-16 0.710523 0.167 31.41%23-May-16 0.05566% 23-May-16 0.710211 0.175 31.39%24-May-16 0.05566% 24-May-16 0.710107 0.178 31.37%25-May-16 0.05566% 25-May-16 0.710003 0.181 31.35%26-May-16 0.05566% 26-May-16 0.709899 0.183 31.34%27-May-16 0.05566% 27-May-16 0.709795 0.186 31.32%30-May-16 0.05566% 30-May-16 0.709483 0.194 31.30%31-May-16 0.05566% 31-May-16 0.709379 0.197 31.28%

1-Jun-16 0.05566% 1-Jun-16 0.709275 0.200 31.27%2-Jun-16 0.05566% 2-Jun-16 0.709171 0.203 31.25%3-Jun-16 0.05566% 3-Jun-16 0.709067 0.206 31.23%6-Jun-16 0.05566% 6-Jun-16 0.708754 0.214 31.21%7-Jun-16 0.05566% 7-Jun-16 0.708650 0.217 31.20%8-Jun-16 0.05566% 8-Jun-16 0.708546 0.219 31.18%9-Jun-16 0.05566% 9-Jun-16 0.708442 0.222 31.16%

10-Jun-16 0.05566% 10-Jun-16 0.708338 0.225 31.15%13-Jun-16 0.05566% 13-Jun-16 0.708026 0.233 31.13%14-Jun-16 0.05566% 14-Jun-16 0.707922 0.236 31.11%15-Jun-16 0.05566% 15-Jun-16 0.707818 0.239 31.09%16-Jun-16 0.05566% 16-Jun-16 0.707714 0.242 31.08%17-Jun-16 0.05566% 17-Jun-16 0.707610 0.244 31.06%20-Jun-16 0.05566% 20-Jun-16 0.707298 0.253 31.04%21-Jun-16 0.05511% 21-Jun-16 0.707194 0.003 31.02%22-Jun-16 0.05511% 22-Jun-16 0.707090 0.006 31.01%23-Jun-16 0.05511% 23-Jun-16 0.706985 0.008 30.99%24-Jun-16 0.05511% 24-Jun-16 0.706881 0.011 30.97%

Page 509: Ch 6 Credit Derivatives

27-Jun-16 0.05511% 27-Jun-16 0.706569 0.019 30.96%28-Jun-16 0.05511% 28-Jun-16 0.706465 0.022 30.94%29-Jun-16 0.05511% 29-Jun-16 0.706361 0.025 30.92%30-Jun-16 0.05511% 30-Jun-16 0.706257 0.028 30.90%

1-Jul-16 0.05511% 1-Jul-16 0.706153 0.031 30.89%4-Jul-16 0.05511% 4-Jul-16 0.705841 0.039 30.87%5-Jul-16 0.05511% 5-Jul-16 0.705737 0.042 30.85%6-Jul-16 0.05511% 6-Jul-16 0.705633 0.044 30.84%7-Jul-16 0.05511% 7-Jul-16 0.705529 0.047 30.82%8-Jul-16 0.05511% 8-Jul-16 0.705425 0.050 30.80%

11-Jul-16 0.05511% 11-Jul-16 0.705112 0.058 30.79%12-Jul-16 0.05511% 12-Jul-16 0.705008 0.061 30.77%13-Jul-16 0.05511% 13-Jul-16 0.704904 0.064 30.75%14-Jul-16 0.05511% 14-Jul-16 0.704800 0.067 30.73%15-Jul-16 0.05511% 15-Jul-16 0.704696 0.069 30.72%18-Jul-16 0.05511% 18-Jul-16 0.704384 0.078 30.70%19-Jul-16 0.05511% 19-Jul-16 0.704280 0.081 30.68%20-Jul-16 0.05511% 20-Jul-16 0.704176 0.083 30.67%21-Jul-16 0.05511% 21-Jul-16 0.704072 0.086 30.65%22-Jul-16 0.05511% 22-Jul-16 0.703968 0.089 30.63%25-Jul-16 0.05511% 25-Jul-16 0.703655 0.097 30.62%26-Jul-16 0.05511% 26-Jul-16 0.703551 0.100 30.60%27-Jul-16 0.05511% 27-Jul-16 0.703447 0.103 30.58%28-Jul-16 0.05511% 28-Jul-16 0.703343 0.106 30.57%29-Jul-16 0.05511% 29-Jul-16 0.703239 0.108 30.55%1-Aug-16 0.05511% 1-Aug-16 0.702927 0.117 30.53%2-Aug-16 0.05511% 2-Aug-16 0.702823 0.119 30.52%3-Aug-16 0.05511% 3-Aug-16 0.702719 0.122 30.50%4-Aug-16 0.05511% 4-Aug-16 0.702615 0.125 30.48%5-Aug-16 0.05511% 5-Aug-16 0.702511 0.128 30.47%8-Aug-16 0.05511% 8-Aug-16 0.702199 0.136 30.45%9-Aug-16 0.05511% 9-Aug-16 0.702095 0.139 30.43%

10-Aug-16 0.05511% 10-Aug-16 0.701991 0.142 30.41%11-Aug-16 0.05511% 11-Aug-16 0.701888 0.144 30.40%12-Aug-16 0.05511% 12-Aug-16 0.701784 0.147 30.38%15-Aug-16 0.05511% 15-Aug-16 0.701474 0.156 30.36%16-Aug-16 0.05511% 16-Aug-16 0.701370 0.158 30.35%17-Aug-16 0.05511% 17-Aug-16 0.701267 0.161 30.33%18-Aug-16 0.05511% 18-Aug-16 0.701163 0.164 30.31%19-Aug-16 0.05511% 19-Aug-16 0.701059 0.167 30.30%22-Aug-16 0.05511% 22-Aug-16 0.700749 0.175 30.28%23-Aug-16 0.05511% 23-Aug-16 0.700645 0.178 30.26%24-Aug-16 0.05511% 24-Aug-16 0.700542 0.181 30.25%25-Aug-16 0.05511% 25-Aug-16 0.700438 0.183 30.23%

Page 510: Ch 6 Credit Derivatives

26-Aug-16 0.05511% 26-Aug-16 0.700334 0.186 30.21%29-Aug-16 0.05511% 29-Aug-16 0.700024 0.194 30.20%30-Aug-16 0.05511% 30-Aug-16 0.699920 0.197 30.18%31-Aug-16 0.05511% 31-Aug-16 0.699817 0.200 30.16%

1-Sep-16 0.05511% 1-Sep-16 0.699713 0.203 30.15%2-Sep-16 0.05511% 2-Sep-16 0.699610 0.206 30.13%5-Sep-16 0.05511% 5-Sep-16 0.699299 0.214 30.11%6-Sep-16 0.05511% 6-Sep-16 0.699195 0.217 30.10%7-Sep-16 0.05511% 7-Sep-16 0.699092 0.219 30.08%8-Sep-16 0.05511% 8-Sep-16 0.698988 0.222 30.06%9-Sep-16 0.05511% 9-Sep-16 0.698885 0.225 30.05%

12-Sep-16 0.05511% 12-Sep-16 0.698574 0.233 30.03%13-Sep-16 0.05511% 13-Sep-16 0.698470 0.236 30.02%14-Sep-16 0.05511% 14-Sep-16 0.698367 0.239 30.00%15-Sep-16 0.05511% 15-Sep-16 0.698263 0.242 29.98%16-Sep-16 0.05511% 16-Sep-16 0.698160 0.244 29.97%19-Sep-16 0.05511% 19-Sep-16 0.697849 0.253 29.95%20-Sep-16 0.05511% 20-Sep-16 0.697746 0.256 29.93%21-Sep-16 0.05522% 21-Sep-16 0.697642 0.003 29.92%22-Sep-16 0.05522% 22-Sep-16 0.697538 0.006 29.90%23-Sep-16 0.05522% 23-Sep-16 0.697435 0.008 29.88%26-Sep-16 0.05522% 26-Sep-16 0.697124 0.017 29.87%27-Sep-16 0.05522% 27-Sep-16 0.697021 0.019 29.85%28-Sep-16 0.05522% 28-Sep-16 0.696917 0.022 29.83%29-Sep-16 0.05522% 29-Sep-16 0.696814 0.025 29.82%30-Sep-16 0.05522% 30-Sep-16 0.696710 0.028 29.80%

3-Oct-16 0.05522% 3-Oct-16 0.696399 0.036 29.78%4-Oct-16 0.05522% 4-Oct-16 0.696296 0.039 29.77%5-Oct-16 0.05522% 5-Oct-16 0.696192 0.042 29.75%6-Oct-16 0.05522% 6-Oct-16 0.696089 0.044 29.73%7-Oct-16 0.05522% 7-Oct-16 0.695985 0.047 29.72%

10-Oct-16 0.05522% 10-Oct-16 0.695675 0.056 29.70%11-Oct-16 0.05522% 11-Oct-16 0.695571 0.058 29.69%12-Oct-16 0.05522% 12-Oct-16 0.695467 0.061 29.67%13-Oct-16 0.05522% 13-Oct-16 0.695364 0.064 29.65%14-Oct-16 0.05522% 14-Oct-16 0.695260 0.067 29.64%17-Oct-16 0.05522% 17-Oct-16 0.694950 0.075 29.62%18-Oct-16 0.05522% 18-Oct-16 0.694846 0.078 29.60%19-Oct-16 0.05522% 19-Oct-16 0.694743 0.081 29.59%20-Oct-16 0.05522% 20-Oct-16 0.694639 0.083 29.57%21-Oct-16 0.05522% 21-Oct-16 0.694536 0.086 29.55%24-Oct-16 0.05522% 24-Oct-16 0.694225 0.094 29.54%25-Oct-16 0.05522% 25-Oct-16 0.694121 0.097 29.52%26-Oct-16 0.05522% 26-Oct-16 0.694018 0.100 29.51%

Page 511: Ch 6 Credit Derivatives

27-Oct-16 0.05522% 27-Oct-16 0.693914 0.103 29.49%28-Oct-16 0.05522% 28-Oct-16 0.693811 0.106 29.47%31-Oct-16 0.05522% 31-Oct-16 0.693500 0.114 29.46%1-Nov-16 0.05522% 1-Nov-16 0.693397 0.117 29.44%2-Nov-16 0.05522% 2-Nov-16 0.693293 0.119 29.42%3-Nov-16 0.05522% 3-Nov-16 0.693190 0.122 29.41%4-Nov-16 0.05522% 4-Nov-16 0.693086 0.125 29.39%7-Nov-16 0.05522% 7-Nov-16 0.692775 0.133 29.38%8-Nov-16 0.05522% 8-Nov-16 0.692673 0.136 29.36%9-Nov-16 0.05522% 9-Nov-16 0.692570 0.139 29.34%

10-Nov-16 0.05522% 10-Nov-16 0.692467 0.142 29.33%11-Nov-16 0.05522% 11-Nov-16 0.692365 0.144 29.31%14-Nov-16 0.05522% 14-Nov-16 0.692056 0.153 29.29%15-Nov-16 0.05522% 15-Nov-16 0.691954 0.156 29.28%16-Nov-16 0.05522% 16-Nov-16 0.691851 0.158 29.26%17-Nov-16 0.05522% 17-Nov-16 0.691748 0.161 29.25%18-Nov-16 0.05522% 18-Nov-16 0.691646 0.164 29.23%21-Nov-16 0.05522% 21-Nov-16 0.691337 0.172 29.21%22-Nov-16 0.05522% 22-Nov-16 0.691235 0.175 29.20%23-Nov-16 0.05522% 23-Nov-16 0.691132 0.178 29.18%24-Nov-16 0.05522% 24-Nov-16 0.691029 0.181 29.17%25-Nov-16 0.05522% 25-Nov-16 0.690927 0.183 29.15%28-Nov-16 0.05522% 28-Nov-16 0.690618 0.192 29.13%29-Nov-16 0.05522% 29-Nov-16 0.690516 0.194 29.12%30-Nov-16 0.05522% 30-Nov-16 0.690413 0.197 29.10%

1-Dec-16 0.05522% 1-Dec-16 0.690310 0.200 29.09%2-Dec-16 0.05522% 2-Dec-16 0.690208 0.203 29.07%5-Dec-16 0.05522% 5-Dec-16 0.689900 0.211 29.05%6-Dec-16 0.05522% 6-Dec-16 0.689797 0.214 29.04%7-Dec-16 0.05522% 7-Dec-16 0.689694 0.217 29.02%8-Dec-16 0.05522% 8-Dec-16 0.689592 0.219 29.00%9-Dec-16 0.05522% 9-Dec-16 0.689489 0.222 28.99%

12-Dec-16 0.05522% 12-Dec-16 0.689181 0.231 28.97%13-Dec-16 0.05522% 13-Dec-16 0.689078 0.233 28.96%14-Dec-16 0.05522% 14-Dec-16 0.688975 0.236 28.94%15-Dec-16 0.05522% 15-Dec-16 0.688873 0.239 28.92%16-Dec-16 0.05522% 16-Dec-16 0.688770 0.242 28.91%19-Dec-16 0.05522% 19-Dec-16 0.688462 0.250 28.89%20-Dec-16 0.05522% 20-Dec-16 0.688359 0.253 28.88%21-Dec-16 0.05538% 21-Dec-16 0.688257 0.003 28.86%22-Dec-16 0.05538% 22-Dec-16 0.688154 0.006 28.84%23-Dec-16 0.05538% 23-Dec-16 0.688051 0.008 28.83%26-Dec-16 0.05538% 26-Dec-16 0.687743 0.017 28.81%27-Dec-16 0.05538% 27-Dec-16 0.687640 0.019 28.80%

Page 512: Ch 6 Credit Derivatives

28-Dec-16 0.05538% 28-Dec-16 0.687538 0.022 28.78%29-Dec-16 0.05538% 29-Dec-16 0.687435 0.025 28.77%30-Dec-16 0.05538% 30-Dec-16 0.687332 0.028 28.75%

2-Jan-17 0.05538% 2-Jan-17 0.687024 0.036 28.73%3-Jan-17 0.05538% 3-Jan-17 0.686922 0.039 28.72%4-Jan-17 0.05538% 4-Jan-17 0.686819 0.042 28.70%5-Jan-17 0.05538% 5-Jan-17 0.686716 0.044 28.69%6-Jan-17 0.05538% 6-Jan-17 0.686614 0.047 28.67%9-Jan-17 0.05538% 9-Jan-17 0.686306 0.056 28.65%

10-Jan-17 0.05538% 10-Jan-17 0.686203 0.058 28.64%11-Jan-17 0.05538% 11-Jan-17 0.686100 0.061 28.62%12-Jan-17 0.05538% 12-Jan-17 0.685998 0.064 28.61%13-Jan-17 0.05538% 13-Jan-17 0.685895 0.067 28.59%16-Jan-17 0.05538% 16-Jan-17 0.685587 0.075 28.57%17-Jan-17 0.05538% 17-Jan-17 0.685484 0.078 28.56%18-Jan-17 0.05538% 18-Jan-17 0.685382 0.081 28.54%19-Jan-17 0.05538% 19-Jan-17 0.685279 0.083 28.53%20-Jan-17 0.05538% 20-Jan-17 0.685177 0.086 28.51%23-Jan-17 0.05538% 23-Jan-17 0.684869 0.094 28.50%24-Jan-17 0.05538% 24-Jan-17 0.684766 0.097 28.48%25-Jan-17 0.05538% 25-Jan-17 0.684663 0.100 28.46%26-Jan-17 0.05538% 26-Jan-17 0.684561 0.103 28.45%27-Jan-17 0.05538% 27-Jan-17 0.684458 0.106 28.43%30-Jan-17 0.05538% 30-Jan-17 0.684150 0.114 28.42%31-Jan-17 0.05538% 31-Jan-17 0.684047 0.117 28.40%1-Feb-17 0.05538% 1-Feb-17 0.683945 0.119 28.39%2-Feb-17 0.05538% 2-Feb-17 0.683842 0.122 28.37%3-Feb-17 0.05538% 3-Feb-17 0.683739 0.125 28.35%6-Feb-17 0.05538% 6-Feb-17 0.683432 0.133 28.34%7-Feb-17 0.05538% 7-Feb-17 0.683330 0.136 28.32%8-Feb-17 0.05538% 8-Feb-17 0.683229 0.139 28.31%9-Feb-17 0.05538% 9-Feb-17 0.683127 0.142 28.29%

10-Feb-17 0.05538% 10-Feb-17 0.683025 0.144 28.28%13-Feb-17 0.05538% 13-Feb-17 0.682721 0.153 28.26%14-Feb-17 0.05538% 14-Feb-17 0.682619 0.156 28.24%15-Feb-17 0.05538% 15-Feb-17 0.682518 0.158 28.23%16-Feb-17 0.05538% 16-Feb-17 0.682416 0.161 28.21%17-Feb-17 0.05538% 17-Feb-17 0.682315 0.164 28.20%20-Feb-17 0.05538% 20-Feb-17 0.682010 0.172 28.18%21-Feb-17 0.05538% 21-Feb-17 0.681909 0.175 28.17%22-Feb-17 0.05538% 22-Feb-17 0.681807 0.178 28.15%23-Feb-17 0.05538% 23-Feb-17 0.681706 0.181 28.13%24-Feb-17 0.05538% 24-Feb-17 0.681604 0.183 28.12%27-Feb-17 0.05538% 27-Feb-17 0.681300 0.192 28.10%

Page 513: Ch 6 Credit Derivatives

28-Feb-17 0.05538% 28-Feb-17 0.681198 0.194 28.09%1-Mar-17 0.05538% 1-Mar-17 0.681097 0.197 28.07%2-Mar-17 0.05538% 2-Mar-17 0.680995 0.200 28.06%3-Mar-17 0.05538% 3-Mar-17 0.680894 0.203 28.04%6-Mar-17 0.05538% 6-Mar-17 0.680589 0.211 28.03%7-Mar-17 0.05538% 7-Mar-17 0.680488 0.214 28.01%8-Mar-17 0.05538% 8-Mar-17 0.680386 0.217 27.99%9-Mar-17 0.05538% 9-Mar-17 0.680285 0.219 27.98%

10-Mar-17 0.05538% 10-Mar-17 0.680183 0.222 27.96%13-Mar-17 0.05538% 13-Mar-17 0.679879 0.231 27.95%14-Mar-17 0.05538% 14-Mar-17 0.679777 0.233 27.93%15-Mar-17 0.05538% 15-Mar-17 0.679676 0.236 27.92%16-Mar-17 0.05538% 16-Mar-17 0.679574 0.239 27.90%17-Mar-17 0.05538% 17-Mar-17 0.679473 0.242 27.89%20-Mar-17 0.05538% 20-Mar-17 0.679169 0.250 27.87%21-Mar-17 0.05473% 21-Mar-17 0.679067 0.003 27.86%22-Mar-17 0.05473% 22-Mar-17 0.678966 0.006 27.84%23-Mar-17 0.05473% 23-Mar-17 0.678864 0.008 27.83%24-Mar-17 0.05473% 24-Mar-17 0.678763 0.011 27.81%27-Mar-17 0.05473% 27-Mar-17 0.678458 0.019 27.79%28-Mar-17 0.05473% 28-Mar-17 0.678357 0.022 27.78%29-Mar-17 0.05473% 29-Mar-17 0.678255 0.025 27.76%30-Mar-17 0.05473% 30-Mar-17 0.678154 0.028 27.75%31-Mar-17 0.05473% 31-Mar-17 0.678052 0.031 27.73%

3-Apr-17 0.05473% 3-Apr-17 0.677748 0.039 27.72%4-Apr-17 0.05473% 4-Apr-17 0.677647 0.042 27.70%5-Apr-17 0.05473% 5-Apr-17 0.677545 0.044 27.69%6-Apr-17 0.05473% 6-Apr-17 0.677444 0.047 27.67%7-Apr-17 0.05473% 7-Apr-17 0.677342 0.050 27.66%

10-Apr-17 0.05473% 10-Apr-17 0.677038 0.058 27.64%11-Apr-17 0.05473% 11-Apr-17 0.676937 0.061 27.63%12-Apr-17 0.05473% 12-Apr-17 0.676835 0.064 27.61%13-Apr-17 0.05473% 13-Apr-17 0.676734 0.067 27.60%14-Apr-17 0.05473% 14-Apr-17 0.676632 0.069 27.58%17-Apr-17 0.05473% 17-Apr-17 0.676328 0.078 27.57%18-Apr-17 0.05473% 18-Apr-17 0.676227 0.081 27.55%19-Apr-17 0.05473% 19-Apr-17 0.676125 0.083 27.54%20-Apr-17 0.05473% 20-Apr-17 0.676024 0.086 27.52%21-Apr-17 0.05473% 21-Apr-17 0.675922 0.089 27.51%24-Apr-17 0.05473% 24-Apr-17 0.675618 0.097 27.49%25-Apr-17 0.05473% 25-Apr-17 0.675517 0.100 27.48%26-Apr-17 0.05473% 26-Apr-17 0.675415 0.103 27.46%27-Apr-17 0.05473% 27-Apr-17 0.675314 0.106 27.45%28-Apr-17 0.05473% 28-Apr-17 0.675213 0.108 27.43%

Page 514: Ch 6 Credit Derivatives

1-May-17 0.05473% 1-May-17 0.674908 0.117 27.42%2-May-17 0.05473% 2-May-17 0.674807 0.119 27.40%3-May-17 0.05473% 3-May-17 0.674706 0.122 27.39%4-May-17 0.05473% 4-May-17 0.674604 0.125 27.37%5-May-17 0.05473% 5-May-17 0.674503 0.128 27.36%8-May-17 0.05473% 8-May-17 0.674199 0.136 27.34%9-May-17 0.05473% 9-May-17 0.674098 0.139 27.33%

10-May-17 0.05473% 10-May-17 0.673998 0.142 27.31%11-May-17 0.05473% 11-May-17 0.673898 0.144 27.30%12-May-17 0.05473% 12-May-17 0.673797 0.147 27.28%15-May-17 0.05473% 15-May-17 0.673496 0.156 27.27%16-May-17 0.05473% 16-May-17 0.673396 0.158 27.25%17-May-17 0.05473% 17-May-17 0.673296 0.161 27.24%18-May-17 0.05473% 18-May-17 0.673195 0.164 27.22%19-May-17 0.05473% 19-May-17 0.673095 0.167 27.21%22-May-17 0.05473% 22-May-17 0.672794 0.175 27.19%23-May-17 0.05473% 23-May-17 0.672694 0.178 27.18%24-May-17 0.05473% 24-May-17 0.672593 0.181 27.16%25-May-17 0.05473% 25-May-17 0.672493 0.183 27.15%26-May-17 0.05473% 26-May-17 0.672393 0.186 27.13%29-May-17 0.05473% 29-May-17 0.672092 0.194 27.12%30-May-17 0.05473% 30-May-17 0.671992 0.197 27.10%31-May-17 0.05473% 31-May-17 0.671891 0.200 27.09%

1-Jun-17 0.05473% 1-Jun-17 0.671791 0.203 27.07%2-Jun-17 0.05473% 2-Jun-17 0.671691 0.206 27.06%5-Jun-17 0.05473% 5-Jun-17 0.671390 0.214 27.04%6-Jun-17 0.05473% 6-Jun-17 0.671290 0.217 27.03%7-Jun-17 0.05473% 7-Jun-17 0.671189 0.219 27.01%8-Jun-17 0.05473% 8-Jun-17 0.671089 0.222 27.00%9-Jun-17 0.05473% 9-Jun-17 0.670989 0.225 26.99%

12-Jun-17 0.05473% 12-Jun-17 0.670688 0.233 26.97%13-Jun-17 0.05473% 13-Jun-17 0.670588 0.236 26.96%14-Jun-17 0.05473% 14-Jun-17 0.670487 0.239 26.94%15-Jun-17 0.05473% 15-Jun-17 0.670387 0.242 26.93%16-Jun-17 0.05473% 16-Jun-17 0.670287 0.244 26.91%19-Jun-17 0.05473% 19-Jun-17 0.669986 0.253 26.90%20-Jun-17 0.05473% 20-Jun-17 0.669886 0.256 26.88%21-Jun-17 0.05481% 21-Jun-17 0.669786 0.003 26.87%22-Jun-17 0.05481% 22-Jun-17 0.669685 0.006 26.85%23-Jun-17 0.05481% 23-Jun-17 0.669585 0.008 26.84%26-Jun-17 0.05481% 26-Jun-17 0.669284 0.017 26.82%27-Jun-17 0.05481% 27-Jun-17 0.669184 0.019 26.81%28-Jun-17 0.05481% 28-Jun-17 0.669084 0.022 26.79%29-Jun-17 0.05481% 29-Jun-17 0.668984 0.025 26.78%

Page 515: Ch 6 Credit Derivatives

30-Jun-17 0.05481% 30-Jun-17 0.668884 0.028 26.76%3-Jul-17 0.05481% 3-Jul-17 0.668583 0.036 26.75%4-Jul-17 0.05481% 4-Jul-17 0.668483 0.039 26.74%5-Jul-17 0.05481% 5-Jul-17 0.668382 0.042 26.72%6-Jul-17 0.05481% 6-Jul-17 0.668282 0.044 26.71%7-Jul-17 0.05481% 7-Jul-17 0.668182 0.047 26.69%

10-Jul-17 0.05481% 10-Jul-17 0.667881 0.056 26.68%11-Jul-17 0.05481% 11-Jul-17 0.667781 0.058 26.66%12-Jul-17 0.05481% 12-Jul-17 0.667681 0.061 26.65%13-Jul-17 0.05481% 13-Jul-17 0.667581 0.064 26.63%14-Jul-17 0.05481% 14-Jul-17 0.667481 0.067 26.62%17-Jul-17 0.05481% 17-Jul-17 0.667180 0.075 26.60%18-Jul-17 0.05481% 18-Jul-17 0.667080 0.078 26.59%19-Jul-17 0.05481% 19-Jul-17 0.666980 0.081 26.57%20-Jul-17 0.05481% 20-Jul-17 0.666880 0.083 26.56%21-Jul-17 0.05481% 21-Jul-17 0.666779 0.086 26.55%24-Jul-17 0.05481% 24-Jul-17 0.666479 0.094 26.53%25-Jul-17 0.05481% 25-Jul-17 0.666379 0.097 26.52%26-Jul-17 0.05481% 26-Jul-17 0.666279 0.100 26.50%27-Jul-17 0.05481% 27-Jul-17 0.666178 0.103 26.49%28-Jul-17 0.05481% 28-Jul-17 0.666078 0.106 26.47%31-Jul-17 0.05481% 31-Jul-17 0.665778 0.114 26.46%1-Aug-17 0.05481% 1-Aug-17 0.665678 0.117 26.44%2-Aug-17 0.05481% 2-Aug-17 0.665577 0.119 26.43%3-Aug-17 0.05481% 3-Aug-17 0.665477 0.122 26.41%4-Aug-17 0.05481% 4-Aug-17 0.665377 0.125 26.40%7-Aug-17 0.05481% 7-Aug-17 0.665077 0.133 26.39%8-Aug-17 0.05481% 8-Aug-17 0.664978 0.136 26.37%9-Aug-17 0.05481% 9-Aug-17 0.664878 0.139 26.36%

10-Aug-17 0.05481% 10-Aug-17 0.664779 0.142 26.34%11-Aug-17 0.05481% 11-Aug-17 0.664680 0.144 26.33%14-Aug-17 0.05481% 14-Aug-17 0.664383 0.153 26.31%15-Aug-17 0.05481% 15-Aug-17 0.664284 0.156 26.30%16-Aug-17 0.05481% 16-Aug-17 0.664185 0.158 26.28%17-Aug-17 0.05481% 17-Aug-17 0.664085 0.161 26.27%18-Aug-17 0.05481% 18-Aug-17 0.663986 0.164 26.26%21-Aug-17 0.05481% 21-Aug-17 0.663689 0.172 26.24%22-Aug-17 0.05481% 22-Aug-17 0.663590 0.175 26.23%23-Aug-17 0.05481% 23-Aug-17 0.663491 0.178 26.21%24-Aug-17 0.05481% 24-Aug-17 0.663392 0.181 26.20%25-Aug-17 0.05481% 25-Aug-17 0.663293 0.183 26.18%28-Aug-17 0.05481% 28-Aug-17 0.662995 0.192 26.17%29-Aug-17 0.05481% 29-Aug-17 0.662896 0.194 26.16%30-Aug-17 0.05481% 30-Aug-17 0.662797 0.197 26.14%

Page 516: Ch 6 Credit Derivatives

31-Aug-17 0.05481% 31-Aug-17 0.662698 0.200 26.13%1-Sep-17 0.05481% 1-Sep-17 0.662599 0.203 26.11%4-Sep-17 0.05481% 4-Sep-17 0.662302 0.211 26.10%5-Sep-17 0.05481% 5-Sep-17 0.662203 0.214 26.08%6-Sep-17 0.05481% 6-Sep-17 0.662104 0.217 26.07%7-Sep-17 0.05481% 7-Sep-17 0.662004 0.219 26.06%8-Sep-17 0.05481% 8-Sep-17 0.661905 0.222 26.04%

11-Sep-17 0.05481% 11-Sep-17 0.661608 0.231 26.03%12-Sep-17 0.05481% 12-Sep-17 0.661509 0.233 26.01%13-Sep-17 0.05481% 13-Sep-17 0.661410 0.236 26.00%14-Sep-17 0.05481% 14-Sep-17 0.661311 0.239 25.98%15-Sep-17 0.05481% 15-Sep-17 0.661212 0.242 25.97%18-Sep-17 0.05481% 18-Sep-17 0.660915 0.250 25.96%19-Sep-17 0.05481% 19-Sep-17 0.660816 0.253 25.94%20-Sep-17 0.05481% 20-Sep-17 0.660717 0.256 25.93%21-Sep-17 0.05532% 21-Sep-17 0.660618 0.003 25.91%22-Sep-17 0.05532% 22-Sep-17 0.660519 0.006 25.90%25-Sep-17 0.05532% 25-Sep-17 0.660222 0.014 25.88%26-Sep-17 0.05532% 26-Sep-17 0.660123 0.017 25.87%27-Sep-17 0.05532% 27-Sep-17 0.660024 0.019 25.86%28-Sep-17 0.05532% 28-Sep-17 0.659925 0.022 25.84%29-Sep-17 0.05532% 29-Sep-17 0.659826 0.025 25.83%

2-Oct-17 0.05532% 2-Oct-17 0.659529 0.033 25.81%3-Oct-17 0.05532% 3-Oct-17 0.659430 0.036 25.80%4-Oct-17 0.05532% 4-Oct-17 0.659331 0.039 25.78%5-Oct-17 0.05532% 5-Oct-17 0.659232 0.042 25.77%6-Oct-17 0.05532% 6-Oct-17 0.659133 0.044 25.76%9-Oct-17 0.05532% 9-Oct-17 0.658836 0.053 25.74%

10-Oct-17 0.05532% 10-Oct-17 0.658737 0.056 25.73%11-Oct-17 0.05532% 11-Oct-17 0.658638 0.058 25.71%12-Oct-17 0.05532% 12-Oct-17 0.658539 0.061 25.70%13-Oct-17 0.05532% 13-Oct-17 0.658440 0.064 25.68%16-Oct-17 0.05532% 16-Oct-17 0.658143 0.072 25.67%17-Oct-17 0.05532% 17-Oct-17 0.658044 0.075 25.66%18-Oct-17 0.05532% 18-Oct-17 0.657945 0.078 25.64%19-Oct-17 0.05532% 19-Oct-17 0.657846 0.081 25.63%20-Oct-17 0.05532% 20-Oct-17 0.657747 0.083 25.61%23-Oct-17 0.05532% 23-Oct-17 0.657451 0.092 25.60%24-Oct-17 0.05532% 24-Oct-17 0.657352 0.094 25.58%25-Oct-17 0.05532% 25-Oct-17 0.657253 0.097 25.57%26-Oct-17 0.05532% 26-Oct-17 0.657154 0.100 25.56%27-Oct-17 0.05532% 27-Oct-17 0.657055 0.103 25.54%30-Oct-17 0.05532% 30-Oct-17 0.656758 0.111 25.53%31-Oct-17 0.05532% 31-Oct-17 0.656659 0.114 25.51%

Page 517: Ch 6 Credit Derivatives

1-Nov-17 0.05532% 1-Nov-17 0.656560 0.117 25.50%2-Nov-17 0.05532% 2-Nov-17 0.656462 0.119 25.49%3-Nov-17 0.05532% 3-Nov-17 0.656363 0.122 25.47%6-Nov-17 0.05532% 6-Nov-17 0.656066 0.131 25.46%7-Nov-17 0.05532% 7-Nov-17 0.655968 0.133 25.44%8-Nov-17 0.05532% 8-Nov-17 0.655870 0.136 25.43%9-Nov-17 0.05532% 9-Nov-17 0.655772 0.139 25.42%

10-Nov-17 0.05532% 10-Nov-17 0.655674 0.142 25.40%13-Nov-17 0.05532% 13-Nov-17 0.655380 0.150 25.39%14-Nov-17 0.05532% 14-Nov-17 0.655283 0.153 25.37%15-Nov-17 0.05532% 15-Nov-17 0.655185 0.156 25.36%16-Nov-17 0.05532% 16-Nov-17 0.655087 0.158 25.35%17-Nov-17 0.05532% 17-Nov-17 0.654989 0.161 25.33%20-Nov-17 0.05532% 20-Nov-17 0.654695 0.169 25.32%21-Nov-17 0.05532% 21-Nov-17 0.654597 0.172 25.30%22-Nov-17 0.05532% 22-Nov-17 0.654499 0.175 25.29%23-Nov-17 0.05532% 23-Nov-17 0.654402 0.178 25.28%24-Nov-17 0.05532% 24-Nov-17 0.654304 0.181 25.26%27-Nov-17 0.05532% 27-Nov-17 0.654010 0.189 25.25%28-Nov-17 0.05532% 28-Nov-17 0.653912 0.192 25.23%29-Nov-17 0.05532% 29-Nov-17 0.653814 0.194 25.22%30-Nov-17 0.05532% 30-Nov-17 0.653716 0.197 25.21%

1-Dec-17 0.05532% 1-Dec-17 0.653619 0.200 25.19%4-Dec-17 0.05532% 4-Dec-17 0.653325 0.208 25.18%5-Dec-17 0.05532% 5-Dec-17 0.653227 0.211 25.16%6-Dec-17 0.05532% 6-Dec-17 0.653129 0.214 25.15%7-Dec-17 0.05532% 7-Dec-17 0.653032 0.217 25.14%8-Dec-17 0.05532% 8-Dec-17 0.652934 0.219 25.12%

11-Dec-17 0.05532% 11-Dec-17 0.652640 0.228 25.11%12-Dec-17 0.05532% 12-Dec-17 0.652542 0.231 25.09%13-Dec-17 0.05532% 13-Dec-17 0.652445 0.233 25.08%14-Dec-17 0.05532% 14-Dec-17 0.652347 0.236 25.07%15-Dec-17 0.05532% 15-Dec-17 0.652249 0.239 25.05%18-Dec-17 0.05532% 18-Dec-17 0.651956 0.247 25.04%19-Dec-17 0.05532% 19-Dec-17 0.651858 0.250 25.02%20-Dec-17 0.05532% 20-Dec-17 0.651760 0.253 25.01%21-Dec-17 0.05600% 21-Dec-17 0.651662 0.003 25.00%22-Dec-17 0.05600% 22-Dec-17 0.651564 0.006 24.98%25-Dec-17 0.05600% 25-Dec-17 0.651271 0.014 24.97%26-Dec-17 0.05600% 26-Dec-17 0.651173 0.017 24.95%27-Dec-17 0.05600% 27-Dec-17 0.651075 0.019 24.94%28-Dec-17 0.05600% 28-Dec-17 0.650978 0.022 24.93%29-Dec-17 0.05600% 29-Dec-17 0.650880 0.025 24.91%

1-Jan-18 0.05600% 1-Jan-18 0.650587 0.033 24.90%

Page 518: Ch 6 Credit Derivatives

2-Jan-18 0.05600% 2-Jan-18 0.650489 0.036 24.89%3-Jan-18 0.05600% 3-Jan-18 0.650391 0.039 24.87%4-Jan-18 0.05600% 4-Jan-18 0.650293 0.042 24.86%5-Jan-18 0.05600% 5-Jan-18 0.650196 0.044 24.84%8-Jan-18 0.05600% 8-Jan-18 0.649903 0.053 24.83%9-Jan-18 0.05600% 9-Jan-18 0.649805 0.056 24.82%

10-Jan-18 0.05600% 10-Jan-18 0.649707 0.058 24.80%11-Jan-18 0.05600% 11-Jan-18 0.649609 0.061 24.79%12-Jan-18 0.05600% 12-Jan-18 0.649512 0.064 24.77%15-Jan-18 0.05600% 15-Jan-18 0.649219 0.072 24.76%16-Jan-18 0.05600% 16-Jan-18 0.649121 0.075 24.75%17-Jan-18 0.05600% 17-Jan-18 0.649023 0.078 24.73%18-Jan-18 0.05600% 18-Jan-18 0.648925 0.081 24.72%19-Jan-18 0.05600% 19-Jan-18 0.648828 0.083 24.70%22-Jan-18 0.05600% 22-Jan-18 0.648535 0.092 24.69%23-Jan-18 0.05600% 23-Jan-18 0.648437 0.094 24.68%24-Jan-18 0.05600% 24-Jan-18 0.648339 0.097 24.66%25-Jan-18 0.05600% 25-Jan-18 0.648242 0.100 24.65%26-Jan-18 0.05600% 26-Jan-18 0.648144 0.103 24.64%29-Jan-18 0.05600% 29-Jan-18 0.647851 0.111 24.62%30-Jan-18 0.05600% 30-Jan-18 0.647753 0.114 24.61%31-Jan-18 0.05600% 31-Jan-18 0.647656 0.117 24.59%1-Feb-18 0.05600% 1-Feb-18 0.647558 0.119 24.58%2-Feb-18 0.05600% 2-Feb-18 0.647460 0.122 24.57%5-Feb-18 0.05600% 5-Feb-18 0.647168 0.131 24.55%6-Feb-18 0.05600% 6-Feb-18 0.647070 0.133 24.54%7-Feb-18 0.05600% 7-Feb-18 0.646973 0.136 24.53%8-Feb-18 0.05600% 8-Feb-18 0.646876 0.139 24.51%9-Feb-18 0.05600% 9-Feb-18 0.646780 0.142 24.50%

12-Feb-18 0.05600% 12-Feb-18 0.646489 0.150 24.48%13-Feb-18 0.05600% 13-Feb-18 0.646393 0.153 24.47%14-Feb-18 0.05600% 14-Feb-18 0.646296 0.156 24.46%15-Feb-18 0.05600% 15-Feb-18 0.646199 0.158 24.44%16-Feb-18 0.05600% 16-Feb-18 0.646103 0.161 24.43%19-Feb-18 0.05600% 19-Feb-18 0.645812 0.169 24.42%20-Feb-18 0.05600% 20-Feb-18 0.645716 0.172 24.40%21-Feb-18 0.05600% 21-Feb-18 0.645619 0.175 24.39%22-Feb-18 0.05600% 22-Feb-18 0.645522 0.178 24.37%23-Feb-18 0.05600% 23-Feb-18 0.645426 0.181 24.36%26-Feb-18 0.05600% 26-Feb-18 0.645136 0.189 24.35%27-Feb-18 0.05600% 27-Feb-18 0.645039 0.192 24.33%28-Feb-18 0.05600% 28-Feb-18 0.644942 0.194 24.32%1-Mar-18 0.05600% 1-Mar-18 0.644846 0.197 24.31%2-Mar-18 0.05600% 2-Mar-18 0.644749 0.200 24.29%

Page 519: Ch 6 Credit Derivatives

5-Mar-18 0.05600% 5-Mar-18 0.644459 0.208 24.28%6-Mar-18 0.05600% 6-Mar-18 0.644362 0.211 24.27%7-Mar-18 0.05600% 7-Mar-18 0.644266 0.214 24.25%8-Mar-18 0.05600% 8-Mar-18 0.644169 0.217 24.24%9-Mar-18 0.05600% 9-Mar-18 0.644072 0.219 24.22%

12-Mar-18 0.05600% 12-Mar-18 0.643783 0.228 24.21%13-Mar-18 0.05600% 13-Mar-18 0.643686 0.231 24.20%14-Mar-18 0.05600% 14-Mar-18 0.643589 0.233 24.18%15-Mar-18 0.05600% 15-Mar-18 0.643493 0.236 24.17%16-Mar-18 0.05600% 16-Mar-18 0.643396 0.239 24.16%19-Mar-18 0.05600% 19-Mar-18 0.643106 0.247 24.14%20-Mar-18 0.05600% 20-Mar-18 0.643010 0.250 24.13%21-Mar-18 0.05530% 21-Mar-18 0.642913 0.003 24.12%22-Mar-18 0.05530% 22-Mar-18 0.642817 0.006 24.10%23-Mar-18 0.05530% 23-Mar-18 0.642720 0.008 24.09%26-Mar-18 0.05530% 26-Mar-18 0.642430 0.017 24.08%27-Mar-18 0.05530% 27-Mar-18 0.642334 0.019 24.06%28-Mar-18 0.05530% 28-Mar-18 0.642237 0.022 24.05%29-Mar-18 0.05530% 29-Mar-18 0.642141 0.025 24.04%30-Mar-18 0.05530% 30-Mar-18 0.642044 0.028 24.02%

2-Apr-18 0.05530% 2-Apr-18 0.641754 0.036 24.01%3-Apr-18 0.05530% 3-Apr-18 0.641658 0.039 24.00%4-Apr-18 0.05530% 4-Apr-18 0.641561 0.042 23.98%5-Apr-18 0.05530% 5-Apr-18 0.641465 0.044 23.97%6-Apr-18 0.05530% 6-Apr-18 0.641368 0.047 23.96%9-Apr-18 0.05530% 9-Apr-18 0.641079 0.056 23.94%

10-Apr-18 0.05530% 10-Apr-18 0.640982 0.058 23.93%11-Apr-18 0.05530% 11-Apr-18 0.640886 0.061 23.92%12-Apr-18 0.05530% 12-Apr-18 0.640789 0.064 23.90%13-Apr-18 0.05530% 13-Apr-18 0.640693 0.067 23.89%16-Apr-18 0.05530% 16-Apr-18 0.640403 0.075 23.88%17-Apr-18 0.05530% 17-Apr-18 0.640307 0.078 23.86%18-Apr-18 0.05530% 18-Apr-18 0.640210 0.081 23.85%19-Apr-18 0.05530% 19-Apr-18 0.640114 0.083 23.84%20-Apr-18 0.05530% 20-Apr-18 0.640017 0.086 23.83%23-Apr-18 0.05530% 23-Apr-18 0.639728 0.094 23.81%24-Apr-18 0.05530% 24-Apr-18 0.639632 0.097 23.80%25-Apr-18 0.05530% 25-Apr-18 0.639535 0.100 23.79%26-Apr-18 0.05530% 26-Apr-18 0.639439 0.103 23.77%27-Apr-18 0.05530% 27-Apr-18 0.639342 0.106 23.76%30-Apr-18 0.05530% 30-Apr-18 0.639053 0.114 23.75%1-May-18 0.05530% 1-May-18 0.638956 0.117 23.73%2-May-18 0.05530% 2-May-18 0.638860 0.119 23.72%3-May-18 0.05530% 3-May-18 0.638764 0.122 23.71%

Page 520: Ch 6 Credit Derivatives

4-May-18 0.05530% 4-May-18 0.638667 0.125 23.69%7-May-18 0.05530% 7-May-18 0.638378 0.133 23.68%8-May-18 0.05530% 8-May-18 0.638282 0.136 23.67%9-May-18 0.05530% 9-May-18 0.638187 0.139 23.65%

10-May-18 0.05530% 10-May-18 0.638091 0.142 23.64%11-May-18 0.05530% 11-May-18 0.637996 0.144 23.63%14-May-18 0.05530% 14-May-18 0.637709 0.153 23.62%15-May-18 0.05530% 15-May-18 0.637613 0.156 23.60%16-May-18 0.05530% 16-May-18 0.637518 0.158 23.59%17-May-18 0.05530% 17-May-18 0.637422 0.161 23.58%18-May-18 0.05530% 18-May-18 0.637327 0.164 23.56%21-May-18 0.05530% 21-May-18 0.637040 0.172 23.55%22-May-18 0.05530% 22-May-18 0.636945 0.175 23.54%23-May-18 0.05530% 23-May-18 0.636849 0.178 23.52%24-May-18 0.05530% 24-May-18 0.636754 0.181 23.51%25-May-18 0.05530% 25-May-18 0.636658 0.183 23.50%28-May-18 0.05530% 28-May-18 0.636371 0.192 23.48%29-May-18 0.05530% 29-May-18 0.636276 0.194 23.47%30-May-18 0.05530% 30-May-18 0.636180 0.197 23.46%31-May-18 0.05530% 31-May-18 0.636085 0.200 23.45%

1-Jun-18 0.05530% 1-Jun-18 0.635990 0.203 23.43%4-Jun-18 0.05530% 4-Jun-18 0.635703 0.211 23.42%5-Jun-18 0.05530% 5-Jun-18 0.635608 0.214 23.41%6-Jun-18 0.05530% 6-Jun-18 0.635512 0.217 23.39%7-Jun-18 0.05530% 7-Jun-18 0.635417 0.219 23.38%8-Jun-18 0.05530% 8-Jun-18 0.635321 0.222 23.37%

11-Jun-18 0.05530% 11-Jun-18 0.635035 0.231 23.36%12-Jun-18 0.05530% 12-Jun-18 0.634939 0.233 23.34%13-Jun-18 0.05530% 13-Jun-18 0.634844 0.236 23.33%14-Jun-18 0.05530% 14-Jun-18 0.634749 0.239 23.32%15-Jun-18 0.05530% 15-Jun-18 0.634653 0.242 23.30%18-Jun-18 0.05530% 18-Jun-18 0.634367 0.250 23.29%19-Jun-18 0.05530% 19-Jun-18 0.634271 0.253 23.28%20-Jun-18 0.05530% 20-Jun-18 0.634176 0.256 23.27%21-Jun-18 0.05464% 21-Jun-18 0.634081 0.003 23.25%22-Jun-18 0.05464% 22-Jun-18 0.633985 0.006 23.24%25-Jun-18 0.05464% 25-Jun-18 0.633699 0.014 23.23%26-Jun-18 0.05464% 26-Jun-18 0.633604 0.017 23.21%27-Jun-18 0.05464% 27-Jun-18 0.633508 0.019 23.20%28-Jun-18 0.05464% 28-Jun-18 0.633413 0.022 23.19%29-Jun-18 0.05464% 29-Jun-18 0.633318 0.025 23.18%

2-Jul-18 0.05464% 2-Jul-18 0.633032 0.033 23.16%3-Jul-18 0.05464% 3-Jul-18 0.632936 0.036 23.15%4-Jul-18 0.05464% 4-Jul-18 0.632841 0.039 23.14%

Page 521: Ch 6 Credit Derivatives

5-Jul-18 0.05464% 5-Jul-18 0.632745 0.042 23.13%6-Jul-18 0.05464% 6-Jul-18 0.632650 0.044 23.11%9-Jul-18 0.05464% 9-Jul-18 0.632364 0.053 23.10%

10-Jul-18 0.05464% 10-Jul-18 0.632269 0.056 23.09%11-Jul-18 0.05464% 11-Jul-18 0.632174 0.058 23.08%12-Jul-18 0.05464% 12-Jul-18 0.632078 0.061 23.06%13-Jul-18 0.05464% 13-Jul-18 0.631983 0.064 23.05%16-Jul-18 0.05464% 16-Jul-18 0.631697 0.072 23.04%17-Jul-18 0.05464% 17-Jul-18 0.631602 0.075 23.02%18-Jul-18 0.05464% 18-Jul-18 0.631506 0.078 23.01%19-Jul-18 0.05464% 19-Jul-18 0.631411 0.081 23.00%20-Jul-18 0.05464% 20-Jul-18 0.631316 0.083 22.99%23-Jul-18 0.05464% 23-Jul-18 0.631030 0.092 22.97%24-Jul-18 0.05464% 24-Jul-18 0.630935 0.094 22.96%25-Jul-18 0.05464% 25-Jul-18 0.630840 0.097 22.95%26-Jul-18 0.05464% 26-Jul-18 0.630744 0.100 22.94%27-Jul-18 0.05464% 27-Jul-18 0.630649 0.103 22.92%30-Jul-18 0.05464% 30-Jul-18 0.630363 0.111 22.91%31-Jul-18 0.05464% 31-Jul-18 0.630268 0.114 22.90%1-Aug-18 0.05464% 1-Aug-18 0.630173 0.117 22.89%2-Aug-18 0.05464% 2-Aug-18 0.630078 0.119 22.87%3-Aug-18 0.05464% 3-Aug-18 0.629982 0.122 22.86%6-Aug-18 0.05464% 6-Aug-18 0.629697 0.131 22.85%7-Aug-18 0.05464% 7-Aug-18 0.629602 0.133 22.84%8-Aug-18 0.05464% 8-Aug-18 0.629508 0.136 22.82%9-Aug-18 0.05464% 9-Aug-18 0.629413 0.139 22.81%

10-Aug-18 0.05464% 10-Aug-18 0.629319 0.142 22.80%13-Aug-18 0.05464% 13-Aug-18 0.629036 0.150 22.79%14-Aug-18 0.05464% 14-Aug-18 0.628941 0.153 22.77%15-Aug-18 0.05464% 15-Aug-18 0.628847 0.156 22.76%16-Aug-18 0.05464% 16-Aug-18 0.628752 0.158 22.75%17-Aug-18 0.05464% 17-Aug-18 0.628658 0.161 22.74%20-Aug-18 0.05464% 20-Aug-18 0.628375 0.169 22.72%21-Aug-18 0.05464% 21-Aug-18 0.628280 0.172 22.71%22-Aug-18 0.05464% 22-Aug-18 0.628186 0.175 22.70%23-Aug-18 0.05464% 23-Aug-18 0.628092 0.178 22.69%24-Aug-18 0.05464% 24-Aug-18 0.627997 0.181 22.68%27-Aug-18 0.05464% 27-Aug-18 0.627714 0.189 22.66%28-Aug-18 0.05464% 28-Aug-18 0.627620 0.192 22.65%29-Aug-18 0.05464% 29-Aug-18 0.627526 0.194 22.64%30-Aug-18 0.05464% 30-Aug-18 0.627431 0.197 22.63%31-Aug-18 0.05464% 31-Aug-18 0.627337 0.200 22.61%

3-Sep-18 0.05464% 3-Sep-18 0.627054 0.208 22.60%4-Sep-18 0.05464% 4-Sep-18 0.626959 0.211 22.59%

Page 522: Ch 6 Credit Derivatives

5-Sep-18 0.05464% 5-Sep-18 0.626865 0.214 22.58%6-Sep-18 0.05464% 6-Sep-18 0.626771 0.217 22.56%7-Sep-18 0.05464% 7-Sep-18 0.626677 0.219 22.55%

10-Sep-18 0.05464% 10-Sep-18 0.626394 0.228 22.54%11-Sep-18 0.05464% 11-Sep-18 0.626299 0.231 22.53%12-Sep-18 0.05464% 12-Sep-18 0.626205 0.233 22.51%13-Sep-18 0.05464% 13-Sep-18 0.626111 0.236 22.50%14-Sep-18 0.05464% 14-Sep-18 0.626016 0.239 22.49%17-Sep-18 0.05464% 17-Sep-18 0.625734 0.247 22.48%18-Sep-18 0.05464% 18-Sep-18 0.625639 0.250 22.47%19-Sep-18 0.05464% 19-Sep-18 0.625545 0.253 22.45%20-Sep-18 0.05464% 20-Sep-18 0.625451 0.256 22.44%21-Sep-18 0.05423% 21-Sep-18 0.625357 0.003 22.43%24-Sep-18 0.05423% 24-Sep-18 0.625074 0.011 22.42%25-Sep-18 0.05423% 25-Sep-18 0.624980 0.014 22.40%26-Sep-18 0.05423% 26-Sep-18 0.624886 0.017 22.39%27-Sep-18 0.05423% 27-Sep-18 0.624791 0.019 22.38%28-Sep-18 0.05423% 28-Sep-18 0.624697 0.022 22.37%

1-Oct-18 0.05423% 1-Oct-18 0.624414 0.031 22.36%2-Oct-18 0.05423% 2-Oct-18 0.624320 0.033 22.34%3-Oct-18 0.05423% 3-Oct-18 0.624226 0.036 22.33%4-Oct-18 0.05423% 4-Oct-18 0.624132 0.039 22.32%5-Oct-18 0.05423% 5-Oct-18 0.624038 0.042 22.31%8-Oct-18 0.05423% 8-Oct-18 0.623755 0.050 22.30%9-Oct-18 0.05423% 9-Oct-18 0.623661 0.053 22.28%

10-Oct-18 0.05423% 10-Oct-18 0.623567 0.056 22.27%11-Oct-18 0.05423% 11-Oct-18 0.623473 0.058 22.26%12-Oct-18 0.05423% 12-Oct-18 0.623379 0.061 22.25%15-Oct-18 0.05423% 15-Oct-18 0.623096 0.069 22.23%16-Oct-18 0.05423% 16-Oct-18 0.623002 0.072 22.22%17-Oct-18 0.05423% 17-Oct-18 0.622908 0.075 22.21%18-Oct-18 0.05423% 18-Oct-18 0.622814 0.078 22.20%19-Oct-18 0.05423% 19-Oct-18 0.622720 0.081 22.19%22-Oct-18 0.05423% 22-Oct-18 0.622437 0.089 22.17%23-Oct-18 0.05423% 23-Oct-18 0.622343 0.092 22.16%24-Oct-18 0.05423% 24-Oct-18 0.622249 0.094 22.15%25-Oct-18 0.05423% 25-Oct-18 0.622155 0.097 22.14%26-Oct-18 0.05423% 26-Oct-18 0.622061 0.100 22.13%29-Oct-18 0.05423% 29-Oct-18 0.621779 0.108 22.11%30-Oct-18 0.05423% 30-Oct-18 0.621685 0.111 22.10%31-Oct-18 0.05423% 31-Oct-18 0.621591 0.114 22.09%1-Nov-18 0.05423% 1-Nov-18 0.621497 0.117 22.08%2-Nov-18 0.05423% 2-Nov-18 0.621403 0.119 22.07%5-Nov-18 0.05423% 5-Nov-18 0.621120 0.128 22.05%

Page 523: Ch 6 Credit Derivatives

6-Nov-18 0.05423% 6-Nov-18 0.621026 0.131 22.04%7-Nov-18 0.05423% 7-Nov-18 0.620933 0.133 22.03%8-Nov-18 0.05423% 8-Nov-18 0.620840 0.136 22.02%9-Nov-18 0.05423% 9-Nov-18 0.620746 0.139 22.01%

12-Nov-18 0.05423% 12-Nov-18 0.620466 0.147 21.99%13-Nov-18 0.05423% 13-Nov-18 0.620373 0.150 21.98%14-Nov-18 0.05423% 14-Nov-18 0.620280 0.153 21.97%15-Nov-18 0.05423% 15-Nov-18 0.620186 0.156 21.96%16-Nov-18 0.05423% 16-Nov-18 0.620093 0.158 21.95%19-Nov-18 0.05423% 19-Nov-18 0.619813 0.167 21.94%20-Nov-18 0.05423% 20-Nov-18 0.619720 0.169 21.92%21-Nov-18 0.05423% 21-Nov-18 0.619627 0.172 21.91%22-Nov-18 0.05423% 22-Nov-18 0.619533 0.175 21.90%23-Nov-18 0.05423% 23-Nov-18 0.619440 0.178 21.89%26-Nov-18 0.05423% 26-Nov-18 0.619160 0.186 21.88%27-Nov-18 0.05423% 27-Nov-18 0.619067 0.189 21.86%28-Nov-18 0.05423% 28-Nov-18 0.618974 0.192 21.85%29-Nov-18 0.05423% 29-Nov-18 0.618880 0.194 21.84%30-Nov-18 0.05423% 30-Nov-18 0.618787 0.197 21.83%

3-Dec-18 0.05423% 3-Dec-18 0.618508 0.206 21.82%4-Dec-18 0.05423% 4-Dec-18 0.618414 0.208 21.80%5-Dec-18 0.05423% 5-Dec-18 0.618321 0.211 21.79%6-Dec-18 0.05423% 6-Dec-18 0.618228 0.214 21.78%7-Dec-18 0.05423% 7-Dec-18 0.618135 0.217 21.77%

10-Dec-18 0.05423% 10-Dec-18 0.617855 0.225 21.76%11-Dec-18 0.05423% 11-Dec-18 0.617762 0.228 21.75%12-Dec-18 0.05423% 12-Dec-18 0.617669 0.231 21.73%13-Dec-18 0.05423% 13-Dec-18 0.617576 0.233 21.72%14-Dec-18 0.05423% 14-Dec-18 0.617482 0.236 21.71%17-Dec-18 0.05423% 17-Dec-18 0.617203 0.244 21.70%18-Dec-18 0.05423% 18-Dec-18 0.617110 0.247 21.69%19-Dec-18 0.05423% 19-Dec-18 0.617017 0.250 21.68%20-Dec-18 0.05423% 20-Dec-18 0.616923 0.253 21.66%21-Dec-18 0.05378% 21-Dec-18 0.616830 0.003 21.65%24-Dec-18 0.05378% 24-Dec-18 0.616551 0.011 21.64%25-Dec-18 0.05378% 25-Dec-18 0.616458 0.014 21.63%26-Dec-18 0.05378% 26-Dec-18 0.616365 0.017 21.62%27-Dec-18 0.05378% 27-Dec-18 0.616272 0.019 21.61%28-Dec-18 0.05378% 28-Dec-18 0.616179 0.022 21.59%31-Dec-18 0.05378% 31-Dec-18 0.615899 0.031 21.58%

1-Jan-19 0.05378% 1-Jan-19 0.615806 0.033 21.57%2-Jan-19 0.05378% 2-Jan-19 0.615713 0.036 21.56%3-Jan-19 0.05378% 3-Jan-19 0.615620 0.039 21.55%4-Jan-19 0.05378% 4-Jan-19 0.615527 0.042 21.54%

Page 524: Ch 6 Credit Derivatives

7-Jan-19 0.05378% 7-Jan-19 0.615248 0.050 21.52%8-Jan-19 0.05378% 8-Jan-19 0.615155 0.053 21.51%9-Jan-19 0.05378% 9-Jan-19 0.615062 0.056 21.50%

10-Jan-19 0.05378% 10-Jan-19 0.614969 0.058 21.49%11-Jan-19 0.05378% 11-Jan-19 0.614876 0.061 21.48%14-Jan-19 0.05378% 14-Jan-19 0.614597 0.069 21.47%15-Jan-19 0.05378% 15-Jan-19 0.614504 0.072 21.45%16-Jan-19 0.05378% 16-Jan-19 0.614411 0.075 21.44%17-Jan-19 0.05378% 17-Jan-19 0.614318 0.078 21.43%18-Jan-19 0.05378% 18-Jan-19 0.614225 0.081 21.42%21-Jan-19 0.05378% 21-Jan-19 0.613946 0.089 21.41%22-Jan-19 0.05378% 22-Jan-19 0.613853 0.092 21.40%23-Jan-19 0.05378% 23-Jan-19 0.613760 0.094 21.39%24-Jan-19 0.05378% 24-Jan-19 0.613667 0.097 21.37%25-Jan-19 0.05378% 25-Jan-19 0.613574 0.100 21.36%28-Jan-19 0.05378% 28-Jan-19 0.613295 0.108 21.35%29-Jan-19 0.05378% 29-Jan-19 0.613202 0.111 21.34%30-Jan-19 0.05378% 30-Jan-19 0.613109 0.114 21.33%31-Jan-19 0.05378% 31-Jan-19 0.613016 0.117 21.32%1-Feb-19 0.05378% 1-Feb-19 0.612923 0.119 21.31%4-Feb-19 0.05378% 4-Feb-19 0.612644 0.128 21.29%5-Feb-19 0.05378% 5-Feb-19 0.612551 0.131 21.28%6-Feb-19 0.05378% 6-Feb-19 0.612459 0.133 21.27%7-Feb-19 0.05378% 7-Feb-19 0.612366 0.136 21.26%8-Feb-19 0.05378% 8-Feb-19 0.612274 0.139 21.25%

11-Feb-19 0.05378% 11-Feb-19 0.611997 0.147 21.24%12-Feb-19 0.05378% 12-Feb-19 0.611905 0.150 21.22%13-Feb-19 0.05378% 13-Feb-19 0.611812 0.153 21.21%14-Feb-19 0.05378% 14-Feb-19 0.611720 0.156 21.20%15-Feb-19 0.05378% 15-Feb-19 0.611628 0.158 21.19%18-Feb-19 0.05378% 18-Feb-19 0.611351 0.167 21.18%19-Feb-19 0.05378% 19-Feb-19 0.611259 0.169 21.17%20-Feb-19 0.05378% 20-Feb-19 0.611167 0.172 21.16%21-Feb-19 0.05378% 21-Feb-19 0.611074 0.175 21.15%22-Feb-19 0.05378% 22-Feb-19 0.610982 0.178 21.13%25-Feb-19 0.05378% 25-Feb-19 0.610705 0.186 21.12%26-Feb-19 0.05378% 26-Feb-19 0.610613 0.189 21.11%27-Feb-19 0.05378% 27-Feb-19 0.610521 0.192 21.10%28-Feb-19 0.05378% 28-Feb-19 0.610429 0.194 21.09%1-Mar-19 0.05378% 1-Mar-19 0.610336 0.197 21.08%4-Mar-19 0.05378% 4-Mar-19 0.610060 0.206 21.07%5-Mar-19 0.05378% 5-Mar-19 0.609968 0.208 21.05%6-Mar-19 0.05378% 6-Mar-19 0.609875 0.211 21.04%7-Mar-19 0.05378% 7-Mar-19 0.609783 0.214 21.03%

Page 525: Ch 6 Credit Derivatives

8-Mar-19 0.05378% 8-Mar-19 0.609691 0.217 21.02%11-Mar-19 0.05378% 11-Mar-19 0.609415 0.225 21.01%12-Mar-19 0.05378% 12-Mar-19 0.609322 0.228 21.00%13-Mar-19 0.05378% 13-Mar-19 0.609230 0.231 20.99%14-Mar-19 0.05378% 14-Mar-19 0.609138 0.233 20.98%15-Mar-19 0.05378% 15-Mar-19 0.609046 0.236 20.96%18-Mar-19 0.05378% 18-Mar-19 0.608770 0.244 20.95%19-Mar-19 0.05378% 19-Mar-19 0.608678 0.247 20.94%20-Mar-19 0.05378% 20-Mar-19 0.608585 0.250 20.93%21-Mar-19 0.05250% 21-Mar-19 0.608493 0.003 20.92%22-Mar-19 0.05250% 22-Mar-19 0.608401 0.006 20.91%25-Mar-19 0.05250% 25-Mar-19 0.608125 0.014 20.90%26-Mar-19 0.05250% 26-Mar-19 0.608033 0.017 20.89%27-Mar-19 0.05250% 27-Mar-19 0.607941 0.019 20.88%28-Mar-19 0.05250% 28-Mar-19 0.607849 0.022 20.86%29-Mar-19 0.05250% 29-Mar-19 0.607757 0.025 20.85%

1-Apr-19 0.05250% 1-Apr-19 0.607481 0.033 20.84%2-Apr-19 0.05250% 2-Apr-19 0.607389 0.036 20.83%3-Apr-19 0.05250% 3-Apr-19 0.607297 0.039 20.82%4-Apr-19 0.05250% 4-Apr-19 0.607204 0.042 20.81%5-Apr-19 0.05250% 5-Apr-19 0.607112 0.044 20.80%8-Apr-19 0.05250% 8-Apr-19 0.606836 0.053 20.79%9-Apr-19 0.05250% 9-Apr-19 0.606744 0.056 20.78%

10-Apr-19 0.05250% 10-Apr-19 0.606652 0.058 20.77%11-Apr-19 0.05250% 11-Apr-19 0.606560 0.061 20.76%12-Apr-19 0.05250% 12-Apr-19 0.606468 0.064 20.74%15-Apr-19 0.05250% 15-Apr-19 0.606192 0.072 20.73%16-Apr-19 0.05250% 16-Apr-19 0.606101 0.075 20.72%17-Apr-19 0.05250% 17-Apr-19 0.606009 0.078 20.71%18-Apr-19 0.05250% 18-Apr-19 0.605917 0.081 20.70%19-Apr-19 0.05250% 19-Apr-19 0.605825 0.083 20.69%22-Apr-19 0.05250% 22-Apr-19 0.605549 0.092 20.68%23-Apr-19 0.05250% 23-Apr-19 0.605457 0.094 20.67%24-Apr-19 0.05250% 24-Apr-19 0.605365 0.097 20.66%25-Apr-19 0.05250% 25-Apr-19 0.605273 0.100 20.65%26-Apr-19 0.05250% 26-Apr-19 0.605181 0.103 20.64%29-Apr-19 0.05250% 29-Apr-19 0.604905 0.111 20.62%30-Apr-19 0.05250% 30-Apr-19 0.604814 0.114 20.61%1-May-19 0.05250% 1-May-19 0.604722 0.117 20.60%2-May-19 0.05250% 2-May-19 0.604630 0.119 20.59%3-May-19 0.05250% 3-May-19 0.604538 0.122 20.58%6-May-19 0.05250% 6-May-19 0.604262 0.131 20.57%7-May-19 0.05250% 7-May-19 0.604171 0.133 20.56%8-May-19 0.05250% 8-May-19 0.604080 0.136 20.55%

Page 526: Ch 6 Credit Derivatives

9-May-19 0.05250% 9-May-19 0.603988 0.139 20.54%10-May-19 0.05250% 10-May-19 0.603897 0.142 20.53%13-May-19 0.05250% 13-May-19 0.603623 0.150 20.52%14-May-19 0.05250% 14-May-19 0.603532 0.153 20.51%15-May-19 0.05250% 15-May-19 0.603441 0.156 20.50%16-May-19 0.05250% 16-May-19 0.603350 0.158 20.48%17-May-19 0.05250% 17-May-19 0.603258 0.161 20.47%20-May-19 0.05250% 20-May-19 0.602985 0.169 20.46%21-May-19 0.05250% 21-May-19 0.602893 0.172 20.45%22-May-19 0.05250% 22-May-19 0.602802 0.175 20.44%23-May-19 0.05250% 23-May-19 0.602711 0.178 20.43%24-May-19 0.05250% 24-May-19 0.602620 0.181 20.42%27-May-19 0.05250% 27-May-19 0.602346 0.189 20.41%28-May-19 0.05250% 28-May-19 0.602255 0.192 20.40%29-May-19 0.05250% 29-May-19 0.602164 0.194 20.39%30-May-19 0.05250% 30-May-19 0.602073 0.197 20.38%31-May-19 0.05250% 31-May-19 0.601981 0.200 20.37%

3-Jun-19 0.05250% 3-Jun-19 0.601708 0.208 20.36%4-Jun-19 0.05250% 4-Jun-19 0.601617 0.211 20.34%5-Jun-19 0.05250% 5-Jun-19 0.601526 0.214 20.33%6-Jun-19 0.05250% 6-Jun-19 0.601435 0.217 20.32%7-Jun-19 0.05250% 7-Jun-19 0.601343 0.219 20.31%

10-Jun-19 0.05250% 10-Jun-19 0.601070 0.228 20.30%11-Jun-19 0.05250% 11-Jun-19 0.600979 0.231 20.29%12-Jun-19 0.05250% 12-Jun-19 0.600888 0.233 20.28%13-Jun-19 0.05250% 13-Jun-19 0.600797 0.236 20.27%14-Jun-19 0.05250% 14-Jun-19 0.600706 0.239 20.26%17-Jun-19 0.05250% 17-Jun-19 0.600432 0.247 20.25%18-Jun-19 0.05250% 18-Jun-19 0.600341 0.250 20.24%19-Jun-19 0.05250% 19-Jun-19 0.600250 0.253 20.23%20-Jun-19 0.05250% 20-Jun-19 0.600159 0.256 20.22%21-Jun-19 0.05181% 21-Jun-19 0.600068 0.003 20.21%24-Jun-19 0.05181% 24-Jun-19 0.599795 0.011 20.20%25-Jun-19 0.05181% 25-Jun-19 0.599704 0.014 20.19%26-Jun-19 0.05181% 26-Jun-19 0.599613 0.017 20.18%27-Jun-19 0.05181% 27-Jun-19 0.599522 0.019 20.16%28-Jun-19 0.05181% 28-Jun-19 0.599431 0.022 20.15%

1-Jul-19 0.05181% 1-Jul-19 0.599158 0.031 20.14%2-Jul-19 0.05181% 2-Jul-19 0.599067 0.033 20.13%3-Jul-19 0.05181% 3-Jul-19 0.598976 0.036 20.12%4-Jul-19 0.05181% 4-Jul-19 0.598885 0.039 20.11%5-Jul-19 0.05181% 5-Jul-19 0.598794 0.042 20.10%8-Jul-19 0.05181% 8-Jul-19 0.598521 0.050 20.09%9-Jul-19 0.05181% 9-Jul-19 0.598430 0.053 20.08%

Page 527: Ch 6 Credit Derivatives

10-Jul-19 0.05181% 10-Jul-19 0.598339 0.056 20.07%11-Jul-19 0.05181% 11-Jul-19 0.598248 0.058 20.06%12-Jul-19 0.05181% 12-Jul-19 0.598157 0.061 20.05%15-Jul-19 0.05181% 15-Jul-19 0.597885 0.069 20.04%16-Jul-19 0.05181% 16-Jul-19 0.597794 0.072 20.03%17-Jul-19 0.05181% 17-Jul-19 0.597703 0.075 20.02%18-Jul-19 0.05181% 18-Jul-19 0.597612 0.078 20.01%19-Jul-19 0.05181% 19-Jul-19 0.597521 0.081 20.00%22-Jul-19 0.05181% 22-Jul-19 0.597248 0.089 19.99%23-Jul-19 0.05181% 23-Jul-19 0.597157 0.092 19.98%24-Jul-19 0.05181% 24-Jul-19 0.597067 0.094 19.97%25-Jul-19 0.05181% 25-Jul-19 0.596976 0.097 19.96%26-Jul-19 0.05181% 26-Jul-19 0.596885 0.100 19.95%29-Jul-19 0.05181% 29-Jul-19 0.596612 0.108 19.94%30-Jul-19 0.05181% 30-Jul-19 0.596522 0.111 19.93%31-Jul-19 0.05181% 31-Jul-19 0.596431 0.114 19.92%1-Aug-19 0.05181% 1-Aug-19 0.596340 0.117 19.91%2-Aug-19 0.05181% 2-Aug-19 0.596249 0.119 19.89%5-Aug-19 0.05181% 5-Aug-19 0.595977 0.128 19.88%6-Aug-19 0.05181% 6-Aug-19 0.595886 0.131 19.87%7-Aug-19 0.05181% 7-Aug-19 0.595796 0.133 19.86%8-Aug-19 0.05181% 8-Aug-19 0.595705 0.136 19.85%9-Aug-19 0.05181% 9-Aug-19 0.595615 0.139 19.84%

12-Aug-19 0.05181% 12-Aug-19 0.595344 0.147 19.83%13-Aug-19 0.05181% 13-Aug-19 0.595254 0.150 19.82%14-Aug-19 0.05181% 14-Aug-19 0.595164 0.153 19.81%15-Aug-19 0.05181% 15-Aug-19 0.595073 0.156 19.80%16-Aug-19 0.05181% 16-Aug-19 0.594983 0.158 19.79%19-Aug-19 0.05181% 19-Aug-19 0.594712 0.167 19.78%20-Aug-19 0.05181% 20-Aug-19 0.594622 0.169 19.77%21-Aug-19 0.05181% 21-Aug-19 0.594532 0.172 19.76%22-Aug-19 0.05181% 22-Aug-19 0.594442 0.175 19.75%23-Aug-19 0.05181% 23-Aug-19 0.594352 0.178 19.74%26-Aug-19 0.05181% 26-Aug-19 0.594081 0.186 19.73%27-Aug-19 0.05181% 27-Aug-19 0.593991 0.189 19.72%28-Aug-19 0.05181% 28-Aug-19 0.593901 0.192 19.71%29-Aug-19 0.05181% 29-Aug-19 0.593810 0.194 19.70%30-Aug-19 0.05181% 30-Aug-19 0.593720 0.197 19.69%

2-Sep-19 0.05181% 2-Sep-19 0.593450 0.206 19.68%3-Sep-19 0.05181% 3-Sep-19 0.593360 0.208 19.67%4-Sep-19 0.05181% 4-Sep-19 0.593269 0.211 19.66%5-Sep-19 0.05181% 5-Sep-19 0.593179 0.214 19.65%6-Sep-19 0.05181% 6-Sep-19 0.593089 0.217 19.64%9-Sep-19 0.05181% 9-Sep-19 0.592819 0.225 19.63%

Page 528: Ch 6 Credit Derivatives

10-Sep-19 0.05181% 10-Sep-19 0.592729 0.228 19.62%11-Sep-19 0.05181% 11-Sep-19 0.592639 0.231 19.61%12-Sep-19 0.05181% 12-Sep-19 0.592549 0.233 19.60%13-Sep-19 0.05181% 13-Sep-19 0.592458 0.236 19.59%16-Sep-19 0.05181% 16-Sep-19 0.592188 0.244 19.58%17-Sep-19 0.05181% 17-Sep-19 0.592098 0.247 19.57%18-Sep-19 0.05181% 18-Sep-19 0.592008 0.250 19.56%19-Sep-19 0.05181% 19-Sep-19 0.591918 0.253 19.55%20-Sep-19 0.05181% 20-Sep-19 0.591828 0.256 19.54%23-Sep-19 0.05135% 23-Sep-19 0.591558 0.008 19.53%24-Sep-19 0.05135% 24-Sep-19 0.591468 0.011 19.52%25-Sep-19 0.05135% 25-Sep-19 0.591378 0.014 19.51%26-Sep-19 0.05135% 26-Sep-19 0.591288 0.017 19.50%27-Sep-19 0.05135% 27-Sep-19 0.591198 0.019 19.49%30-Sep-19 0.05135% 30-Sep-19 0.590928 0.028 19.48%

1-Oct-19 0.05135% 1-Oct-19 0.590838 0.031 19.47%2-Oct-19 0.05135% 2-Oct-19 0.590748 0.033 19.46%3-Oct-19 0.05135% 3-Oct-19 0.590658 0.036 19.45%4-Oct-19 0.05135% 4-Oct-19 0.590568 0.039 19.44%7-Oct-19 0.05135% 7-Oct-19 0.590298 0.047 19.43%8-Oct-19 0.05135% 8-Oct-19 0.590208 0.050 19.42%9-Oct-19 0.05135% 9-Oct-19 0.590118 0.053 19.41%

10-Oct-19 0.05135% 10-Oct-19 0.590028 0.056 19.40%11-Oct-19 0.05135% 11-Oct-19 0.589938 0.058 19.39%14-Oct-19 0.05135% 14-Oct-19 0.589669 0.067 19.38%15-Oct-19 0.05135% 15-Oct-19 0.589579 0.069 19.37%16-Oct-19 0.05135% 16-Oct-19 0.589489 0.072 19.36%17-Oct-19 0.05135% 17-Oct-19 0.589399 0.075 19.35%18-Oct-19 0.05135% 18-Oct-19 0.589309 0.078 19.34%21-Oct-19 0.05135% 21-Oct-19 0.589039 0.086 19.33%22-Oct-19 0.05135% 22-Oct-19 0.588950 0.089 19.32%23-Oct-19 0.05135% 23-Oct-19 0.588860 0.092 19.31%24-Oct-19 0.05135% 24-Oct-19 0.588770 0.094 19.30%25-Oct-19 0.05135% 25-Oct-19 0.588680 0.097 19.29%28-Oct-19 0.05135% 28-Oct-19 0.588410 0.106 19.28%29-Oct-19 0.05135% 29-Oct-19 0.588321 0.108 19.27%30-Oct-19 0.05135% 30-Oct-19 0.588231 0.111 19.26%31-Oct-19 0.05135% 31-Oct-19 0.588141 0.114 19.25%1-Nov-19 0.05135% 1-Nov-19 0.588051 0.117 19.24%4-Nov-19 0.05135% 4-Nov-19 0.587782 0.125 19.23%5-Nov-19 0.05135% 5-Nov-19 0.587692 0.128 19.22%6-Nov-19 0.05135% 6-Nov-19 0.587602 0.131 19.21%7-Nov-19 0.05135% 7-Nov-19 0.587513 0.133 19.20%8-Nov-19 0.05135% 8-Nov-19 0.587424 0.136 19.19%

Page 529: Ch 6 Credit Derivatives

11-Nov-19 0.05135% 11-Nov-19 0.587156 0.144 19.18%12-Nov-19 0.05135% 12-Nov-19 0.587066 0.147 19.17%13-Nov-19 0.05135% 13-Nov-19 0.586977 0.150 19.16%14-Nov-19 0.05135% 14-Nov-19 0.586888 0.153 19.15%15-Nov-19 0.05135% 15-Nov-19 0.586799 0.156 19.14%18-Nov-19 0.05135% 18-Nov-19 0.586531 0.164 19.13%19-Nov-19 0.05135% 19-Nov-19 0.586441 0.167 19.12%20-Nov-19 0.05135% 20-Nov-19 0.586352 0.169 19.11%21-Nov-19 0.05135% 21-Nov-19 0.586263 0.172 19.10%22-Nov-19 0.05135% 22-Nov-19 0.586174 0.175 19.09%25-Nov-19 0.05135% 25-Nov-19 0.585906 0.183 19.08%26-Nov-19 0.05135% 26-Nov-19 0.585817 0.186 19.07%27-Nov-19 0.05135% 27-Nov-19 0.585728 0.189 19.06%28-Nov-19 0.05135% 28-Nov-19 0.585638 0.192 19.05%29-Nov-19 0.05135% 29-Nov-19 0.585549 0.194 19.04%

2-Dec-19 0.05135% 2-Dec-19 0.585282 0.203 19.03%3-Dec-19 0.05135% 3-Dec-19 0.585192 0.206 19.02%4-Dec-19 0.05135% 4-Dec-19 0.585103 0.208 19.01%5-Dec-19 0.05135% 5-Dec-19 0.585014 0.211 19.00%6-Dec-19 0.05135% 6-Dec-19 0.584925 0.214 18.99%9-Dec-19 0.05135% 9-Dec-19 0.584658 0.222 18.98%

10-Dec-19 0.05135% 10-Dec-19 0.584568 0.225 18.97%11-Dec-19 0.05135% 11-Dec-19 0.584479 0.228 18.96%12-Dec-19 0.05135% 12-Dec-19 0.584390 0.231 18.95%13-Dec-19 0.05135% 13-Dec-19 0.584301 0.233 18.94%16-Dec-19 0.05135% 16-Dec-19 0.584034 0.242 18.93%17-Dec-19 0.05135% 17-Dec-19 0.583945 0.244 18.92%18-Dec-19 0.05135% 18-Dec-19 0.583856 0.247 18.92%19-Dec-19 0.05135% 19-Dec-19 0.583766 0.250 18.91%20-Dec-19 0.05135% 20-Dec-19 0.583677 0.253 18.90%23-Dec-19 0.05067% 23-Dec-19 0.583410 0.008 18.89%24-Dec-19 0.05067% 24-Dec-19 0.583321 0.011 18.88%25-Dec-19 0.05067% 25-Dec-19 0.583232 0.014 18.87%26-Dec-19 0.05067% 26-Dec-19 0.583143 0.017 18.86%27-Dec-19 0.05067% 27-Dec-19 0.583054 0.019 18.85%30-Dec-19 0.05067% 30-Dec-19 0.582787 0.028 18.84%31-Dec-19 0.05067% 31-Dec-19 0.582698 0.031 18.83%

1-Jan-20 0.05067% 1-Jan-20 0.582609 0.033 18.82%2-Jan-20 0.05067% 2-Jan-20 0.582520 0.036 18.81%3-Jan-20 0.05067% 3-Jan-20 0.582431 0.039 18.80%6-Jan-20 0.05067% 6-Jan-20 0.582164 0.047 18.79%7-Jan-20 0.05067% 7-Jan-20 0.582075 0.050 18.78%8-Jan-20 0.05067% 8-Jan-20 0.581986 0.053 18.77%9-Jan-20 0.05067% 9-Jan-20 0.581897 0.056 18.76%

Page 530: Ch 6 Credit Derivatives

10-Jan-20 0.05067% 10-Jan-20 0.581808 0.058 18.75%13-Jan-20 0.05067% 13-Jan-20 0.581541 0.067 18.74%14-Jan-20 0.05067% 14-Jan-20 0.581452 0.069 18.73%15-Jan-20 0.05067% 15-Jan-20 0.581364 0.072 18.72%16-Jan-20 0.05067% 16-Jan-20 0.581275 0.075 18.71%17-Jan-20 0.05067% 17-Jan-20 0.581186 0.078 18.71%20-Jan-20 0.05067% 20-Jan-20 0.580919 0.086 18.70%21-Jan-20 0.05067% 21-Jan-20 0.580830 0.089 18.69%22-Jan-20 0.05067% 22-Jan-20 0.580741 0.092 18.68%23-Jan-20 0.05067% 23-Jan-20 0.580652 0.094 18.67%24-Jan-20 0.05067% 24-Jan-20 0.580564 0.097 18.66%27-Jan-20 0.05067% 27-Jan-20 0.580297 0.106 18.65%28-Jan-20 0.05067% 28-Jan-20 0.580208 0.108 18.64%29-Jan-20 0.05067% 29-Jan-20 0.580119 0.111 18.63%30-Jan-20 0.05067% 30-Jan-20 0.580030 0.114 18.62%31-Jan-20 0.05067% 31-Jan-20 0.579942 0.117 18.61%3-Feb-20 0.05067% 3-Feb-20 0.579675 0.125 18.60%4-Feb-20 0.05067% 4-Feb-20 0.579586 0.128 18.59%5-Feb-20 0.05067% 5-Feb-20 0.579498 0.131 18.58%6-Feb-20 0.05067% 6-Feb-20 0.579409 0.133 18.57%7-Feb-20 0.05067% 7-Feb-20 0.579320 0.136 18.56%

10-Feb-20 0.05067% 10-Feb-20 0.579055 0.144 18.55%11-Feb-20 0.05067% 11-Feb-20 0.578967 0.147 18.54%12-Feb-20 0.05067% 12-Feb-20 0.578878 0.150 18.54%13-Feb-20 0.05067% 13-Feb-20 0.578790 0.153 18.53%14-Feb-20 0.05067% 14-Feb-20 0.578702 0.156 18.52%17-Feb-20 0.05067% 17-Feb-20 0.578437 0.164 18.51%18-Feb-20 0.05067% 18-Feb-20 0.578348 0.167 18.50%19-Feb-20 0.05067% 19-Feb-20 0.578260 0.169 18.49%20-Feb-20 0.05067% 20-Feb-20 0.578172 0.172 18.48%21-Feb-20 0.05067% 21-Feb-20 0.578083 0.175 18.47%24-Feb-20 0.05067% 24-Feb-20 0.577818 0.183 18.46%25-Feb-20 0.05067% 25-Feb-20 0.577730 0.186 18.45%26-Feb-20 0.05067% 26-Feb-20 0.577642 0.189 18.44%27-Feb-20 0.05067% 27-Feb-20 0.577554 0.192 18.43%28-Feb-20 0.05067% 28-Feb-20 0.577465 0.194 18.42%2-Mar-20 0.05067% 2-Mar-20 0.577200 0.203 18.41%3-Mar-20 0.05067% 3-Mar-20 0.577112 0.206 18.40%4-Mar-20 0.05067% 4-Mar-20 0.577024 0.208 18.40%5-Mar-20 0.05067% 5-Mar-20 0.576936 0.211 18.39%6-Mar-20 0.05067% 6-Mar-20 0.576847 0.214 18.38%9-Mar-20 0.05067% 9-Mar-20 0.576583 0.222 18.37%

10-Mar-20 0.05067% 10-Mar-20 0.576495 0.225 18.36%11-Mar-20 0.05067% 11-Mar-20 0.576406 0.228 18.35%

Page 531: Ch 6 Credit Derivatives

12-Mar-20 0.05067% 12-Mar-20 0.576318 0.231 18.34%13-Mar-20 0.05067% 13-Mar-20 0.576230 0.233 18.33%16-Mar-20 0.05067% 16-Mar-20 0.575965 0.242 18.32%17-Mar-20 0.05067% 17-Mar-20 0.575877 0.244 18.31%18-Mar-20 0.05067% 18-Mar-20 0.575789 0.247 18.30%19-Mar-20 0.05067% 19-Mar-20 0.575701 0.250 18.29%20-Mar-20 0.05067% 20-Mar-20 0.575613 0.253 18.28%23-Mar-20 0.05086% 23-Mar-20 0.575348 0.008 18.27%24-Mar-20 0.05086% 24-Mar-20 0.575260 0.011 18.26%25-Mar-20 0.05086% 25-Mar-20 0.575172 0.014 18.26%26-Mar-20 0.05086% 26-Mar-20 0.575084 0.017 18.25%27-Mar-20 0.05086% 27-Mar-20 0.574996 0.019 18.24%30-Mar-20 0.05086% 30-Mar-20 0.574732 0.028 18.23%31-Mar-20 0.05086% 31-Mar-20 0.574643 0.031 18.22%

1-Apr-20 0.05086% 1-Apr-20 0.574555 0.033 18.21%2-Apr-20 0.05086% 2-Apr-20 0.574467 0.036 18.20%3-Apr-20 0.05086% 3-Apr-20 0.574379 0.039 18.19%6-Apr-20 0.05086% 6-Apr-20 0.574115 0.047 18.18%7-Apr-20 0.05086% 7-Apr-20 0.574027 0.050 18.17%8-Apr-20 0.05086% 8-Apr-20 0.573939 0.053 18.16%9-Apr-20 0.05086% 9-Apr-20 0.573851 0.056 18.15%

10-Apr-20 0.05086% 10-Apr-20 0.573763 0.058 18.14%13-Apr-20 0.05086% 13-Apr-20 0.573499 0.067 18.14%14-Apr-20 0.05086% 14-Apr-20 0.573411 0.069 18.13%15-Apr-20 0.05086% 15-Apr-20 0.573323 0.072 18.12%16-Apr-20 0.05086% 16-Apr-20 0.573235 0.075 18.11%17-Apr-20 0.05086% 17-Apr-20 0.573147 0.078 18.10%20-Apr-20 0.05086% 20-Apr-20 0.572883 0.086 18.09%21-Apr-20 0.05086% 21-Apr-20 0.572795 0.089 18.08%22-Apr-20 0.05086% 22-Apr-20 0.572707 0.092 18.07%23-Apr-20 0.05086% 23-Apr-20 0.572619 0.094 18.06%24-Apr-20 0.05086% 24-Apr-20 0.572531 0.097 18.05%27-Apr-20 0.05086% 27-Apr-20 0.572267 0.106 18.04%28-Apr-20 0.05086% 28-Apr-20 0.572180 0.108 18.03%29-Apr-20 0.05086% 29-Apr-20 0.572092 0.111 18.02%30-Apr-20 0.05086% 30-Apr-20 0.572004 0.114 18.02%1-May-20 0.05086% 1-May-20 0.571916 0.117 18.01%4-May-20 0.05086% 4-May-20 0.571652 0.125 18.00%5-May-20 0.05086% 5-May-20 0.571564 0.128 17.99%6-May-20 0.05086% 6-May-20 0.571476 0.131 17.98%7-May-20 0.05086% 7-May-20 0.571389 0.133 17.97%8-May-20 0.05086% 8-May-20 0.571302 0.136 17.96%

11-May-20 0.05086% 11-May-20 0.571039 0.144 17.95%12-May-20 0.05086% 12-May-20 0.570952 0.147 17.94%

Page 532: Ch 6 Credit Derivatives

13-May-20 0.05086% 13-May-20 0.570865 0.150 17.93%14-May-20 0.05086% 14-May-20 0.570777 0.153 17.92%15-May-20 0.05086% 15-May-20 0.570690 0.156 17.92%18-May-20 0.05086% 18-May-20 0.570428 0.164 17.91%19-May-20 0.05086% 19-May-20 0.570340 0.167 17.90%20-May-20 0.05086% 20-May-20 0.570253 0.169 17.89%21-May-20 0.05086% 21-May-20 0.570166 0.172 17.88%22-May-20 0.05086% 22-May-20 0.570078 0.175 17.87%25-May-20 0.05086% 25-May-20 0.569816 0.183 17.86%26-May-20 0.05086% 26-May-20 0.569729 0.186 17.85%27-May-20 0.05086% 27-May-20 0.569642 0.189 17.84%28-May-20 0.05086% 28-May-20 0.569554 0.192 17.83%29-May-20 0.05086% 29-May-20 0.569467 0.194 17.82%

1-Jun-20 0.05086% 1-Jun-20 0.569205 0.203 17.82%2-Jun-20 0.05086% 2-Jun-20 0.569118 0.206 17.81%3-Jun-20 0.05086% 3-Jun-20 0.569031 0.208 17.80%4-Jun-20 0.05086% 4-Jun-20 0.568943 0.211 17.79%5-Jun-20 0.05086% 5-Jun-20 0.568856 0.214 17.78%8-Jun-20 0.05086% 8-Jun-20 0.568595 0.222 17.77%9-Jun-20 0.05086% 9-Jun-20 0.568507 0.225 17.76%

10-Jun-20 0.05086% 10-Jun-20 0.568420 0.228 17.75%11-Jun-20 0.05086% 11-Jun-20 0.568333 0.231 17.74%12-Jun-20 0.05086% 12-Jun-20 0.568246 0.233 17.73%15-Jun-20 0.05086% 15-Jun-20 0.567984 0.242 17.72%16-Jun-20 0.05086% 16-Jun-20 0.567897 0.244 17.72%17-Jun-20 0.05086% 17-Jun-20 0.567810 0.247 17.71%18-Jun-20 0.05086% 18-Jun-20 0.567723 0.250 17.70%19-Jun-20 0.05086% 19-Jun-20 0.567635 0.253 17.69%22-Jun-20 0.05086% 22-Jun-20 0.567374 0.261 17.68%23-Jun-20 0.04941% 23-Jun-20 0.567287 0.003 17.67%24-Jun-20 0.04941% 24-Jun-20 0.567200 0.006 17.66%25-Jun-20 0.04941% 25-Jun-20 0.567113 0.008 17.65%26-Jun-20 0.04941% 26-Jun-20 0.567025 0.011 17.64%29-Jun-20 0.04941% 29-Jun-20 0.566764 0.019 17.64%30-Jun-20 0.04941% 30-Jun-20 0.566677 0.022 17.63%

1-Jul-20 0.04941% 1-Jul-20 0.566590 0.025 17.62%2-Jul-20 0.04941% 2-Jul-20 0.566503 0.028 17.61%3-Jul-20 0.04941% 3-Jul-20 0.566416 0.031 17.60%6-Jul-20 0.04941% 6-Jul-20 0.566155 0.039 17.59%7-Jul-20 0.04941% 7-Jul-20 0.566068 0.042 17.58%8-Jul-20 0.04941% 8-Jul-20 0.565981 0.044 17.58%9-Jul-20 0.04941% 9-Jul-20 0.565894 0.047 17.57%

10-Jul-20 0.04941% 10-Jul-20 0.565807 0.050 17.56%13-Jul-20 0.04941% 13-Jul-20 0.565545 0.058 17.55%

Page 533: Ch 6 Credit Derivatives

14-Jul-20 0.04941% 14-Jul-20 0.565458 0.061 17.54%15-Jul-20 0.04941% 15-Jul-20 0.565371 0.064 17.53%16-Jul-20 0.04941% 16-Jul-20 0.565284 0.067 17.52%17-Jul-20 0.04941% 17-Jul-20 0.565197 0.069 17.51%20-Jul-20 0.04941% 20-Jul-20 0.564937 0.078 17.51%21-Jul-20 0.04941% 21-Jul-20 0.564850 0.081 17.50%22-Jul-20 0.04941% 22-Jul-20 0.564763 0.083 17.49%23-Jul-20 0.04941% 23-Jul-20 0.564676 0.086 17.48%24-Jul-20 0.04941% 24-Jul-20 0.564589 0.089 17.47%27-Jul-20 0.04941% 27-Jul-20 0.564328 0.097 17.46%28-Jul-20 0.04941% 28-Jul-20 0.564241 0.100 17.45%29-Jul-20 0.04941% 29-Jul-20 0.564154 0.103 17.45%30-Jul-20 0.04941% 30-Jul-20 0.564067 0.106 17.44%31-Jul-20 0.04941% 31-Jul-20 0.563980 0.108 17.43%3-Aug-20 0.04941% 3-Aug-20 0.563720 0.117 17.42%4-Aug-20 0.04941% 4-Aug-20 0.563633 0.119 17.41%5-Aug-20 0.04941% 5-Aug-20 0.563546 0.122 17.40%6-Aug-20 0.04941% 6-Aug-20 0.563459 0.125 17.39%7-Aug-20 0.04941% 7-Aug-20 0.563373 0.128 17.39%

10-Aug-20 0.04941% 10-Aug-20 0.563114 0.136 17.38%11-Aug-20 0.04941% 11-Aug-20 0.563027 0.139 17.37%12-Aug-20 0.04941% 12-Aug-20 0.562941 0.142 17.36%13-Aug-20 0.04941% 13-Aug-20 0.562854 0.144 17.35%14-Aug-20 0.04941% 14-Aug-20 0.562768 0.147 17.34%17-Aug-20 0.04941% 17-Aug-20 0.562509 0.156 17.33%18-Aug-20 0.04941% 18-Aug-20 0.562423 0.158 17.33%19-Aug-20 0.04941% 19-Aug-20 0.562336 0.161 17.32%20-Aug-20 0.04941% 20-Aug-20 0.562250 0.164 17.31%21-Aug-20 0.04941% 21-Aug-20 0.562164 0.167 17.30%24-Aug-20 0.04941% 24-Aug-20 0.561905 0.175 17.29%25-Aug-20 0.04941% 25-Aug-20 0.561819 0.178 17.28%26-Aug-20 0.04941% 26-Aug-20 0.561732 0.181 17.27%27-Aug-20 0.04941% 27-Aug-20 0.561646 0.183 17.27%28-Aug-20 0.04941% 28-Aug-20 0.561560 0.186 17.26%31-Aug-20 0.04941% 31-Aug-20 0.561301 0.194 17.25%

1-Sep-20 0.04941% 1-Sep-20 0.561215 0.197 17.24%2-Sep-20 0.04941% 2-Sep-20 0.561129 0.200 17.23%3-Sep-20 0.04941% 3-Sep-20 0.561042 0.203 17.22%4-Sep-20 0.04941% 4-Sep-20 0.560956 0.206 17.21%7-Sep-20 0.04941% 7-Sep-20 0.560698 0.214 17.21%8-Sep-20 0.04941% 8-Sep-20 0.560611 0.217 17.20%9-Sep-20 0.04941% 9-Sep-20 0.560525 0.219 17.19%

10-Sep-20 0.04941% 10-Sep-20 0.560439 0.222 17.18%11-Sep-20 0.04941% 11-Sep-20 0.560353 0.225 17.17%

Page 534: Ch 6 Credit Derivatives

14-Sep-20 0.04941% 14-Sep-20 0.560094 0.233 17.16%15-Sep-20 0.04941% 15-Sep-20 0.560008 0.236 17.15%16-Sep-20 0.04941% 16-Sep-20 0.559922 0.239 17.15%17-Sep-20 0.04941% 17-Sep-20 0.559836 0.242 17.14%18-Sep-20 0.04941% 18-Sep-20 0.559750 0.244 17.13%21-Sep-20 0.04941% 21-Sep-20 0.559491 0.253 17.12%22-Sep-20 0.04894% 22-Sep-20 0.559405 0.003 17.11%23-Sep-20 0.04894% 23-Sep-20 0.559319 0.006 17.10%24-Sep-20 0.04894% 24-Sep-20 0.559233 0.008 17.10%25-Sep-20 0.04894% 25-Sep-20 0.559147 0.011 17.09%28-Sep-20 0.04894% 28-Sep-20 0.558889 0.019 17.08%29-Sep-20 0.04894% 29-Sep-20 0.558803 0.022 17.07%30-Sep-20 0.04894% 30-Sep-20 0.558717 0.025 17.06%

1-Oct-20 0.04894% 1-Oct-20 0.558631 0.028 17.05%2-Oct-20 0.04894% 2-Oct-20 0.558545 0.031 17.05%5-Oct-20 0.04894% 5-Oct-20 0.558287 0.039 17.04%6-Oct-20 0.04894% 6-Oct-20 0.558201 0.042 17.03%7-Oct-20 0.04894% 7-Oct-20 0.558115 0.044 17.02%8-Oct-20 0.04894% 8-Oct-20 0.558029 0.047 17.01%9-Oct-20 0.04894% 9-Oct-20 0.557943 0.050 17.00%

12-Oct-20 0.04894% 12-Oct-20 0.557685 0.058 17.00%13-Oct-20 0.04894% 13-Oct-20 0.557599 0.061 16.99%14-Oct-20 0.04894% 14-Oct-20 0.557513 0.064 16.98%15-Oct-20 0.04894% 15-Oct-20 0.557427 0.067 16.97%16-Oct-20 0.04894% 16-Oct-20 0.557341 0.069 16.96%19-Oct-20 0.04894% 19-Oct-20 0.557083 0.078 16.95%20-Oct-20 0.04894% 20-Oct-20 0.556997 0.081 16.95%21-Oct-20 0.04894% 21-Oct-20 0.556911 0.083 16.94%22-Oct-20 0.04894% 22-Oct-20 0.556825 0.086 16.93%23-Oct-20 0.04894% 23-Oct-20 0.556739 0.089 16.92%26-Oct-20 0.04894% 26-Oct-20 0.556482 0.097 16.91%27-Oct-20 0.04894% 27-Oct-20 0.556396 0.100 16.90%28-Oct-20 0.04894% 28-Oct-20 0.556310 0.103 16.90%29-Oct-20 0.04894% 29-Oct-20 0.556224 0.106 16.89%30-Oct-20 0.04894% 30-Oct-20 0.556138 0.108 16.88%2-Nov-20 0.04894% 2-Nov-20 0.555881 0.117 16.87%3-Nov-20 0.04894% 3-Nov-20 0.555795 0.119 16.86%4-Nov-20 0.04894% 4-Nov-20 0.555709 0.122 16.85%5-Nov-20 0.04894% 5-Nov-20 0.555623 0.125 16.85%6-Nov-20 0.04894% 6-Nov-20 0.555537 0.128 16.84%9-Nov-20 0.04894% 9-Nov-20 0.555281 0.136 16.83%

10-Nov-20 0.04894% 10-Nov-20 0.555196 0.139 16.82%11-Nov-20 0.04894% 11-Nov-20 0.555111 0.142 16.81%12-Nov-20 0.04894% 12-Nov-20 0.555026 0.144 16.81%

Page 535: Ch 6 Credit Derivatives

13-Nov-20 0.04894% 13-Nov-20 0.554940 0.147 16.80%16-Nov-20 0.04894% 16-Nov-20 0.554685 0.156 16.79%17-Nov-20 0.04894% 17-Nov-20 0.554599 0.158 16.78%18-Nov-20 0.04894% 18-Nov-20 0.554514 0.161 16.77%19-Nov-20 0.04894% 19-Nov-20 0.554429 0.164 16.76%20-Nov-20 0.04894% 20-Nov-20 0.554344 0.167 16.76%23-Nov-20 0.04894% 23-Nov-20 0.554088 0.175 16.75%24-Nov-20 0.04894% 24-Nov-20 0.554003 0.178 16.74%25-Nov-20 0.04894% 25-Nov-20 0.553918 0.181 16.73%26-Nov-20 0.04894% 26-Nov-20 0.553832 0.183 16.72%27-Nov-20 0.04894% 27-Nov-20 0.553747 0.186 16.72%30-Nov-20 0.04894% 30-Nov-20 0.553492 0.194 16.71%

1-Dec-20 0.04894% 1-Dec-20 0.553407 0.197 16.70%2-Dec-20 0.04894% 2-Dec-20 0.553322 0.200 16.69%3-Dec-20 0.04894% 3-Dec-20 0.553236 0.203 16.68%4-Dec-20 0.04894% 4-Dec-20 0.553151 0.206 16.67%7-Dec-20 0.04894% 7-Dec-20 0.552896 0.214 16.67%8-Dec-20 0.04894% 8-Dec-20 0.552811 0.217 16.66%9-Dec-20 0.04894% 9-Dec-20 0.552726 0.219 16.65%

10-Dec-20 0.04894% 10-Dec-20 0.552641 0.222 16.64%11-Dec-20 0.04894% 11-Dec-20 0.552556 0.225 16.63%14-Dec-20 0.04894% 14-Dec-20 0.552300 0.233 16.63%15-Dec-20 0.04894% 15-Dec-20 0.552215 0.236 16.62%16-Dec-20 0.04894% 16-Dec-20 0.552130 0.239 16.61%17-Dec-20 0.04894% 17-Dec-20 0.552045 0.242 16.60%18-Dec-20 0.04894% 18-Dec-20 0.551960 0.244 16.59%21-Dec-20 0.04894% 21-Dec-20 0.551705 0.253 16.58%22-Dec-20 0.04852% 22-Dec-20 0.551620 0.003 16.58%23-Dec-20 0.04852% 23-Dec-20 0.551535 0.006 16.57%24-Dec-20 0.04852% 24-Dec-20 0.551450 0.008 16.56%25-Dec-20 0.04852% 25-Dec-20 0.551365 0.011 16.55%28-Dec-20 0.04852% 28-Dec-20 0.551110 0.019 16.54%29-Dec-20 0.04852% 29-Dec-20 0.551025 0.022 16.54%30-Dec-20 0.04852% 30-Dec-20 0.550940 0.025 16.53%31-Dec-20 0.04852% 31-Dec-20 0.550855 0.028 16.52%

1-Jan-21 0.04852% 1-Jan-21 0.550770 0.031 16.51%4-Jan-21 0.04852% 4-Jan-21 0.550515 0.039 16.50%5-Jan-21 0.04852% 5-Jan-21 0.550431 0.042 16.50%6-Jan-21 0.04852% 6-Jan-21 0.550346 0.044 16.49%7-Jan-21 0.04852% 7-Jan-21 0.550261 0.047 16.48%8-Jan-21 0.04852% 8-Jan-21 0.550176 0.050 16.47%

11-Jan-21 0.04852% 11-Jan-21 0.549921 0.058 16.46%12-Jan-21 0.04852% 12-Jan-21 0.549836 0.061 16.46%13-Jan-21 0.04852% 13-Jan-21 0.549751 0.064 16.45%

Page 536: Ch 6 Credit Derivatives

14-Jan-21 0.04852% 14-Jan-21 0.549667 0.067 16.44%15-Jan-21 0.04852% 15-Jan-21 0.549582 0.069 16.43%18-Jan-21 0.04852% 18-Jan-21 0.549327 0.078 16.42%19-Jan-21 0.04852% 19-Jan-21 0.549242 0.081 16.42%20-Jan-21 0.04852% 20-Jan-21 0.549158 0.083 16.41%21-Jan-21 0.04852% 21-Jan-21 0.549073 0.086 16.40%22-Jan-21 0.04852% 22-Jan-21 0.548988 0.089 16.39%25-Jan-21 0.04852% 25-Jan-21 0.548734 0.097 16.38%26-Jan-21 0.04852% 26-Jan-21 0.548649 0.100 16.38%27-Jan-21 0.04852% 27-Jan-21 0.548564 0.103 16.37%28-Jan-21 0.04852% 28-Jan-21 0.548479 0.106 16.36%29-Jan-21 0.04852% 29-Jan-21 0.548395 0.108 16.35%1-Feb-21 0.04852% 1-Feb-21 0.548140 0.117 16.35%2-Feb-21 0.04852% 2-Feb-21 0.548056 0.119 16.34%3-Feb-21 0.04852% 3-Feb-21 0.547971 0.122 16.33%4-Feb-21 0.04852% 4-Feb-21 0.547886 0.125 16.32%5-Feb-21 0.04852% 5-Feb-21 0.547801 0.128 16.31%8-Feb-21 0.04852% 8-Feb-21 0.547547 0.136 16.31%9-Feb-21 0.04852% 9-Feb-21 0.547463 0.139 16.30%

10-Feb-21 0.04852% 10-Feb-21 0.547379 0.142 16.29%11-Feb-21 0.04852% 11-Feb-21 0.547295 0.144 16.28%12-Feb-21 0.04852% 12-Feb-21 0.547210 0.147 16.27%15-Feb-21 0.04852% 15-Feb-21 0.546958 0.156 16.27%16-Feb-21 0.04852% 16-Feb-21 0.546874 0.158 16.26%17-Feb-21 0.04852% 17-Feb-21 0.546789 0.161 16.25%18-Feb-21 0.04852% 18-Feb-21 0.546705 0.164 16.24%19-Feb-21 0.04852% 19-Feb-21 0.546621 0.167 16.23%22-Feb-21 0.04852% 22-Feb-21 0.546369 0.175 16.23%23-Feb-21 0.04852% 23-Feb-21 0.546284 0.178 16.22%24-Feb-21 0.04852% 24-Feb-21 0.546200 0.181 16.21%25-Feb-21 0.04852% 25-Feb-21 0.546116 0.183 16.20%26-Feb-21 0.04852% 26-Feb-21 0.546032 0.186 16.20%1-Mar-21 0.04852% 1-Mar-21 0.545780 0.194 16.19%2-Mar-21 0.04852% 2-Mar-21 0.545696 0.197 16.18%3-Mar-21 0.04852% 3-Mar-21 0.545612 0.200 16.17%4-Mar-21 0.04852% 4-Mar-21 0.545527 0.203 16.16%5-Mar-21 0.04852% 5-Mar-21 0.545443 0.206 16.16%8-Mar-21 0.04852% 8-Mar-21 0.545191 0.214 16.15%9-Mar-21 0.04852% 9-Mar-21 0.545107 0.217 16.14%

10-Mar-21 0.04852% 10-Mar-21 0.545023 0.219 16.13%11-Mar-21 0.04852% 11-Mar-21 0.544939 0.222 16.12%12-Mar-21 0.04852% 12-Mar-21 0.544855 0.225 16.12%15-Mar-21 0.04852% 15-Mar-21 0.544603 0.233 16.11%16-Mar-21 0.04852% 16-Mar-21 0.544519 0.236 16.10%

Page 537: Ch 6 Credit Derivatives

17-Mar-21 0.04852% 17-Mar-21 0.544435 0.239 16.09%18-Mar-21 0.04852% 18-Mar-21 0.544351 0.242 16.09%19-Mar-21 0.04852% 19-Mar-21 0.544267 0.244 16.08%22-Mar-21 0.04852% 22-Mar-21 0.544015 0.253 16.07%23-Mar-21 0.04824% 23-Mar-21 0.543931 0.003 16.06%24-Mar-21 0.04824% 24-Mar-21 0.543847 0.006 16.05%25-Mar-21 0.04824% 25-Mar-21 0.543763 0.008 16.05%26-Mar-21 0.04824% 26-Mar-21 0.543679 0.011 16.04%29-Mar-21 0.04824% 29-Mar-21 0.543428 0.019 16.03%30-Mar-21 0.04824% 30-Mar-21 0.543344 0.022 16.02%31-Mar-21 0.04824% 31-Mar-21 0.543260 0.025 16.02%

1-Apr-21 0.04824% 1-Apr-21 0.543176 0.028 16.01%2-Apr-21 0.04824% 2-Apr-21 0.543092 0.031 16.00%5-Apr-21 0.04824% 5-Apr-21 0.542840 0.039 15.99%6-Apr-21 0.04824% 6-Apr-21 0.542757 0.042 15.98%7-Apr-21 0.04824% 7-Apr-21 0.542673 0.044 15.98%8-Apr-21 0.04824% 8-Apr-21 0.542589 0.047 15.97%9-Apr-21 0.04824% 9-Apr-21 0.542505 0.050 15.96%

12-Apr-21 0.04824% 12-Apr-21 0.542254 0.058 15.95%13-Apr-21 0.04824% 13-Apr-21 0.542170 0.061 15.95%14-Apr-21 0.04824% 14-Apr-21 0.542086 0.064 15.94%15-Apr-21 0.04824% 15-Apr-21 0.542002 0.067 15.93%16-Apr-21 0.04824% 16-Apr-21 0.541918 0.069 15.92%19-Apr-21 0.04824% 19-Apr-21 0.541667 0.078 15.92%20-Apr-21 0.04824% 20-Apr-21 0.541583 0.081 15.91%21-Apr-21 0.04824% 21-Apr-21 0.541500 0.083 15.90%22-Apr-21 0.04824% 22-Apr-21 0.541416 0.086 15.89%23-Apr-21 0.04824% 23-Apr-21 0.541332 0.089 15.88%26-Apr-21 0.04824% 26-Apr-21 0.541081 0.097 15.88%27-Apr-21 0.04824% 27-Apr-21 0.540997 0.100 15.87%28-Apr-21 0.04824% 28-Apr-21 0.540913 0.103 15.86%29-Apr-21 0.04824% 29-Apr-21 0.540830 0.106 15.85%30-Apr-21 0.04824% 30-Apr-21 0.540746 0.108 15.85%3-May-21 0.04824% 3-May-21 0.540495 0.117 15.84%4-May-21 0.04824% 4-May-21 0.540411 0.119 15.83%5-May-21 0.04824% 5-May-21 0.540328 0.122 15.82%6-May-21 0.04824% 6-May-21 0.540244 0.125 15.82%7-May-21 0.04824% 7-May-21 0.540161 0.128 15.81%

10-May-21 0.04824% 10-May-21 0.539912 0.136 15.80%11-May-21 0.04824% 11-May-21 0.539828 0.139 15.79%12-May-21 0.04824% 12-May-21 0.539745 0.142 15.79%13-May-21 0.04824% 13-May-21 0.539662 0.144 15.78%14-May-21 0.04824% 14-May-21 0.539579 0.147 15.77%17-May-21 0.04824% 17-May-21 0.539330 0.156 15.76%

Page 538: Ch 6 Credit Derivatives

18-May-21 0.04824% 18-May-21 0.539247 0.158 15.75%19-May-21 0.04824% 19-May-21 0.539164 0.161 15.75%20-May-21 0.04824% 20-May-21 0.539081 0.164 15.74%21-May-21 0.04824% 21-May-21 0.538998 0.167 15.73%24-May-21 0.04824% 24-May-21 0.538749 0.175 15.72%25-May-21 0.04824% 25-May-21 0.538666 0.178 15.72%26-May-21 0.04824% 26-May-21 0.538583 0.181 15.71%27-May-21 0.04824% 27-May-21 0.538500 0.183 15.70%28-May-21 0.04824% 28-May-21 0.538417 0.186 15.69%31-May-21 0.04824% 31-May-21 0.538168 0.194 15.69%

1-Jun-21 0.04824% 1-Jun-21 0.538085 0.197 15.68%2-Jun-21 0.04824% 2-Jun-21 0.538002 0.200 15.67%3-Jun-21 0.04824% 3-Jun-21 0.537919 0.203 15.66%4-Jun-21 0.04824% 4-Jun-21 0.537837 0.206 15.66%7-Jun-21 0.04824% 7-Jun-21 0.537588 0.214 15.65%8-Jun-21 0.04824% 8-Jun-21 0.537505 0.217 15.64%9-Jun-21 0.04824% 9-Jun-21 0.537422 0.219 15.63%

10-Jun-21 0.04824% 10-Jun-21 0.537339 0.222 15.63%11-Jun-21 0.04824% 11-Jun-21 0.537256 0.225 15.62%14-Jun-21 0.04824% 14-Jun-21 0.537008 0.233 15.61%15-Jun-21 0.04824% 15-Jun-21 0.536925 0.236 15.60%16-Jun-21 0.04824% 16-Jun-21 0.536842 0.239 15.60%17-Jun-21 0.04824% 17-Jun-21 0.536759 0.242 15.59%18-Jun-21 0.04824% 18-Jun-21 0.536676 0.244 15.58%21-Jun-21 0.04824% 21-Jun-21 0.536428 0.253 15.57%22-Jun-21 0.04809% 22-Jun-21 0.536345 0.003 15.57%23-Jun-21 0.04809% 23-Jun-21 0.536262 0.006 15.56%24-Jun-21 0.04809% 24-Jun-21 0.536180 0.008 15.55%25-Jun-21 0.04809% 25-Jun-21 0.536097 0.011 15.54%28-Jun-21 0.04809% 28-Jun-21 0.535849 0.019 15.54%29-Jun-21 0.04809% 29-Jun-21 0.535766 0.022 15.53%30-Jun-21 0.04809% 30-Jun-21 0.535683 0.025 15.52%

1-Jul-21 0.04809% 1-Jul-21 0.535600 0.028 15.51%2-Jul-21 0.04809% 2-Jul-21 0.535518 0.031 15.51%5-Jul-21 0.04809% 5-Jul-21 0.535270 0.039 15.50%6-Jul-21 0.04809% 6-Jul-21 0.535187 0.042 15.49%7-Jul-21 0.04809% 7-Jul-21 0.535104 0.044 15.48%8-Jul-21 0.04809% 8-Jul-21 0.535021 0.047 15.48%9-Jul-21 0.04809% 9-Jul-21 0.534939 0.050 15.47%

12-Jul-21 0.04809% 12-Jul-21 0.534691 0.058 15.46%13-Jul-21 0.04809% 13-Jul-21 0.534608 0.061 15.45%14-Jul-21 0.04809% 14-Jul-21 0.534526 0.064 15.45%15-Jul-21 0.04809% 15-Jul-21 0.534443 0.067 15.44%16-Jul-21 0.04809% 16-Jul-21 0.534360 0.069 15.43%

Page 539: Ch 6 Credit Derivatives

19-Jul-21 0.04809% 19-Jul-21 0.534112 0.078 15.42%20-Jul-21 0.04809% 20-Jul-21 0.534030 0.081 15.42%21-Jul-21 0.04809% 21-Jul-21 0.533947 0.083 15.41%22-Jul-21 0.04809% 22-Jul-21 0.533865 0.086 15.40%23-Jul-21 0.04809% 23-Jul-21 0.533782 0.089 15.39%26-Jul-21 0.04809% 26-Jul-21 0.533534 0.097 15.39%27-Jul-21 0.04809% 27-Jul-21 0.533452 0.100 15.38%28-Jul-21 0.04809% 28-Jul-21 0.533369 0.103 15.37%29-Jul-21 0.04809% 29-Jul-21 0.533287 0.106 15.37%30-Jul-21 0.04809% 30-Jul-21 0.533204 0.108 15.36%2-Aug-21 0.04809% 2-Aug-21 0.532957 0.117 15.35%3-Aug-21 0.04809% 3-Aug-21 0.532874 0.119 15.34%4-Aug-21 0.04809% 4-Aug-21 0.532792 0.122 15.34%5-Aug-21 0.04809% 5-Aug-21 0.532709 0.125 15.33%6-Aug-21 0.04809% 6-Aug-21 0.532627 0.128 15.32%9-Aug-21 0.04809% 9-Aug-21 0.532381 0.136 15.31%

10-Aug-21 0.04809% 10-Aug-21 0.532299 0.139 15.31%11-Aug-21 0.04809% 11-Aug-21 0.532217 0.142 15.30%12-Aug-21 0.04809% 12-Aug-21 0.532135 0.144 15.29%13-Aug-21 0.04809% 13-Aug-21 0.532053 0.147 15.28%16-Aug-21 0.04809% 16-Aug-21 0.531808 0.156 15.28%17-Aug-21 0.04809% 17-Aug-21 0.531726 0.158 15.27%18-Aug-21 0.04809% 18-Aug-21 0.531644 0.161 15.26%19-Aug-21 0.04809% 19-Aug-21 0.531562 0.164 15.25%20-Aug-21 0.04809% 20-Aug-21 0.531480 0.167 15.25%23-Aug-21 0.04809% 23-Aug-21 0.531235 0.175 15.24%24-Aug-21 0.04809% 24-Aug-21 0.531153 0.178 15.23%25-Aug-21 0.04809% 25-Aug-21 0.531071 0.181 15.23%26-Aug-21 0.04809% 26-Aug-21 0.530990 0.183 15.22%27-Aug-21 0.04809% 27-Aug-21 0.530908 0.186 15.21%30-Aug-21 0.04809% 30-Aug-21 0.530663 0.194 15.20%31-Aug-21 0.04809% 31-Aug-21 0.530581 0.197 15.20%

1-Sep-21 0.04809% 1-Sep-21 0.530499 0.200 15.19%2-Sep-21 0.04809% 2-Sep-21 0.530417 0.203 15.18%3-Sep-21 0.04809% 3-Sep-21 0.530336 0.206 15.17%6-Sep-21 0.04809% 6-Sep-21 0.530091 0.214 15.17%7-Sep-21 0.04809% 7-Sep-21 0.530009 0.217 15.16%8-Sep-21 0.04809% 8-Sep-21 0.529927 0.219 15.15%9-Sep-21 0.04809% 9-Sep-21 0.529845 0.222 15.15%

10-Sep-21 0.04809% 10-Sep-21 0.529764 0.225 15.14%13-Sep-21 0.04809% 13-Sep-21 0.529519 0.233 15.13%14-Sep-21 0.04809% 14-Sep-21 0.529437 0.236 15.12%15-Sep-21 0.04809% 15-Sep-21 0.529356 0.239 15.12%16-Sep-21 0.04809% 16-Sep-21 0.529274 0.242 15.11%

Page 540: Ch 6 Credit Derivatives

17-Sep-21 0.04809% 17-Sep-21 0.529192 0.244 15.10%20-Sep-21 0.04809% 20-Sep-21 0.528947 0.253 15.09%21-Sep-21 0.04810% 21-Sep-21 0.528866 0.003 15.09%22-Sep-21 0.04810% 22-Sep-21 0.528784 0.006 15.08%23-Sep-21 0.04810% 23-Sep-21 0.528703 0.008 15.07%24-Sep-21 0.04810% 24-Sep-21 0.528621 0.011 15.07%27-Sep-21 0.04810% 27-Sep-21 0.528376 0.019 15.06%28-Sep-21 0.04810% 28-Sep-21 0.528295 0.022 15.05%29-Sep-21 0.04810% 29-Sep-21 0.528213 0.025 15.04%30-Sep-21 0.04810% 30-Sep-21 0.528132 0.028 15.04%

1-Oct-21 0.04810% 1-Oct-21 0.528050 0.031 15.03%4-Oct-21 0.04810% 4-Oct-21 0.527806 0.039 15.02%5-Oct-21 0.04810% 5-Oct-21 0.527724 0.042 15.01%6-Oct-21 0.04810% 6-Oct-21 0.527643 0.044 15.01%7-Oct-21 0.04810% 7-Oct-21 0.527561 0.047 15.00%8-Oct-21 0.04810% 8-Oct-21 0.527480 0.050 14.99%

11-Oct-21 0.04810% 11-Oct-21 0.527235 0.058 14.99%12-Oct-21 0.04810% 12-Oct-21 0.527154 0.061 14.98%13-Oct-21 0.04810% 13-Oct-21 0.527072 0.064 14.97%14-Oct-21 0.04810% 14-Oct-21 0.526991 0.067 14.96%15-Oct-21 0.04810% 15-Oct-21 0.526909 0.069 14.96%18-Oct-21 0.04810% 18-Oct-21 0.526665 0.078 14.95%19-Oct-21 0.04810% 19-Oct-21 0.526584 0.081 14.94%20-Oct-21 0.04810% 20-Oct-21 0.526502 0.083 14.94%21-Oct-21 0.04810% 21-Oct-21 0.526421 0.086 14.93%22-Oct-21 0.04810% 22-Oct-21 0.526340 0.089 14.92%25-Oct-21 0.04810% 25-Oct-21 0.526096 0.097 14.91%26-Oct-21 0.04810% 26-Oct-21 0.526014 0.100 14.91%27-Oct-21 0.04810% 27-Oct-21 0.525933 0.103 14.90%28-Oct-21 0.04810% 28-Oct-21 0.525851 0.106 14.89%29-Oct-21 0.04810% 29-Oct-21 0.525770 0.108 14.89%1-Nov-21 0.04810% 1-Nov-21 0.525526 0.117 14.88%2-Nov-21 0.04810% 2-Nov-21 0.525445 0.119 14.87%3-Nov-21 0.04810% 3-Nov-21 0.525364 0.122 14.86%4-Nov-21 0.04810% 4-Nov-21 0.525282 0.125 14.86%5-Nov-21 0.04810% 5-Nov-21 0.525201 0.128 14.85%8-Nov-21 0.04810% 8-Nov-21 0.524957 0.136 14.84%9-Nov-21 0.04810% 9-Nov-21 0.524876 0.139 14.83%

10-Nov-21 0.04810% 10-Nov-21 0.524796 0.142 14.83%11-Nov-21 0.04810% 11-Nov-21 0.524715 0.144 14.82%12-Nov-21 0.04810% 12-Nov-21 0.524634 0.147 14.81%15-Nov-21 0.04810% 15-Nov-21 0.524392 0.156 14.81%16-Nov-21 0.04810% 16-Nov-21 0.524312 0.158 14.80%17-Nov-21 0.04810% 17-Nov-21 0.524231 0.161 14.79%

Page 541: Ch 6 Credit Derivatives

18-Nov-21 0.04810% 18-Nov-21 0.524150 0.164 14.79%19-Nov-21 0.04810% 19-Nov-21 0.524070 0.167 14.78%22-Nov-21 0.04810% 22-Nov-21 0.523828 0.175 14.77%23-Nov-21 0.04810% 23-Nov-21 0.523747 0.178 14.76%24-Nov-21 0.04810% 24-Nov-21 0.523667 0.181 14.76%25-Nov-21 0.04810% 25-Nov-21 0.523586 0.183 14.75%26-Nov-21 0.04810% 26-Nov-21 0.523505 0.186 14.74%29-Nov-21 0.04810% 29-Nov-21 0.523264 0.194 14.74%30-Nov-21 0.04810% 30-Nov-21 0.523183 0.197 14.73%

1-Dec-21 0.04810% 1-Dec-21 0.523103 0.200 14.72%2-Dec-21 0.04810% 2-Dec-21 0.523022 0.203 14.71%3-Dec-21 0.04810% 3-Dec-21 0.522942 0.206 14.71%6-Dec-21 0.04810% 6-Dec-21 0.522700 0.214 14.70%7-Dec-21 0.04810% 7-Dec-21 0.522619 0.217 14.69%8-Dec-21 0.04810% 8-Dec-21 0.522539 0.219 14.69%9-Dec-21 0.04810% 9-Dec-21 0.522458 0.222 14.68%

10-Dec-21 0.04810% 10-Dec-21 0.522378 0.225 14.67%13-Dec-21 0.04810% 13-Dec-21 0.522136 0.233 14.66%14-Dec-21 0.04810% 14-Dec-21 0.522056 0.236 14.66%15-Dec-21 0.04810% 15-Dec-21 0.521976 0.239 14.65%16-Dec-21 0.04810% 16-Dec-21 0.521895 0.242 14.64%17-Dec-21 0.04810% 17-Dec-21 0.521815 0.244 14.64%20-Dec-21 0.04810% 20-Dec-21 0.521573 0.253 14.63%21-Dec-21 0.04830% 21-Dec-21 0.521493 0.003 14.62%22-Dec-21 0.04830% 22-Dec-21 0.521413 0.006 14.62%23-Dec-21 0.04830% 23-Dec-21 0.521332 0.008 14.61%24-Dec-21 0.04830% 24-Dec-21 0.521252 0.011 14.60%27-Dec-21 0.04830% 27-Dec-21 0.521011 0.019 14.59%28-Dec-21 0.04830% 28-Dec-21 0.520930 0.022 14.59%29-Dec-21 0.04830% 29-Dec-21 0.520850 0.025 14.58%30-Dec-21 0.04830% 30-Dec-21 0.520770 0.028 14.57%31-Dec-21 0.04830% 31-Dec-21 0.520689 0.031 14.57%

3-Jan-22 0.04830% 3-Jan-22 0.520448 0.039 14.56%4-Jan-22 0.04830% 4-Jan-22 0.520368 0.042 14.55%5-Jan-22 0.04830% 5-Jan-22 0.520288 0.044 14.54%6-Jan-22 0.04830% 6-Jan-22 0.520207 0.047 14.54%7-Jan-22 0.04830% 7-Jan-22 0.520127 0.050 14.53%

10-Jan-22 0.04830% 10-Jan-22 0.519886 0.058 14.52%11-Jan-22 0.04830% 11-Jan-22 0.519806 0.061 14.52%12-Jan-22 0.04830% 12-Jan-22 0.519726 0.064 14.51%13-Jan-22 0.04830% 13-Jan-22 0.519645 0.067 14.50%14-Jan-22 0.04830% 14-Jan-22 0.519565 0.069 14.50%17-Jan-22 0.04830% 17-Jan-22 0.519324 0.078 14.49%18-Jan-22 0.04830% 18-Jan-22 0.519244 0.081 14.48%

Page 542: Ch 6 Credit Derivatives

19-Jan-22 0.04830% 19-Jan-22 0.519164 0.083 14.47%20-Jan-22 0.04830% 20-Jan-22 0.519084 0.086 14.47%21-Jan-22 0.04830% 21-Jan-22 0.519004 0.089 14.46%24-Jan-22 0.04830% 24-Jan-22 0.518763 0.097 14.45%25-Jan-22 0.04830% 25-Jan-22 0.518683 0.100 14.45%26-Jan-22 0.04830% 26-Jan-22 0.518603 0.103 14.44%27-Jan-22 0.04830% 27-Jan-22 0.518523 0.106 14.43%28-Jan-22 0.04830% 28-Jan-22 0.518442 0.108 14.43%31-Jan-22 0.04830% 31-Jan-22 0.518202 0.117 14.42%1-Feb-22 0.04830% 1-Feb-22 0.518122 0.119 14.41%2-Feb-22 0.04830% 2-Feb-22 0.518042 0.122 14.40%3-Feb-22 0.04830% 3-Feb-22 0.517962 0.125 14.40%4-Feb-22 0.04830% 4-Feb-22 0.517882 0.128 14.39%7-Feb-22 0.04830% 7-Feb-22 0.517641 0.136 14.38%8-Feb-22 0.04830% 8-Feb-22 0.517562 0.139 14.38%9-Feb-22 0.04830% 9-Feb-22 0.517482 0.142 14.37%

10-Feb-22 0.04830% 10-Feb-22 0.517403 0.144 14.36%11-Feb-22 0.04830% 11-Feb-22 0.517323 0.147 14.36%14-Feb-22 0.04830% 14-Feb-22 0.517085 0.156 14.35%15-Feb-22 0.04830% 15-Feb-22 0.517006 0.158 14.34%16-Feb-22 0.04830% 16-Feb-22 0.516926 0.161 14.34%17-Feb-22 0.04830% 17-Feb-22 0.516847 0.164 14.33%18-Feb-22 0.04830% 18-Feb-22 0.516767 0.167 14.32%21-Feb-22 0.04830% 21-Feb-22 0.516529 0.175 14.31%22-Feb-22 0.04830% 22-Feb-22 0.516449 0.178 14.31%23-Feb-22 0.04830% 23-Feb-22 0.516370 0.181 14.30%24-Feb-22 0.04830% 24-Feb-22 0.516291 0.183 14.29%25-Feb-22 0.04830% 25-Feb-22 0.516211 0.186 14.29%28-Feb-22 0.04830% 28-Feb-22 0.515973 0.194 14.28%1-Mar-22 0.04830% 1-Mar-22 0.515894 0.197 14.27%2-Mar-22 0.04830% 2-Mar-22 0.515814 0.200 14.27%3-Mar-22 0.04830% 3-Mar-22 0.515735 0.203 14.26%4-Mar-22 0.04830% 4-Mar-22 0.515656 0.206 14.25%7-Mar-22 0.04830% 7-Mar-22 0.515418 0.214 14.25%8-Mar-22 0.04830% 8-Mar-22 0.515338 0.217 14.24%9-Mar-22 0.04830% 9-Mar-22 0.515259 0.219 14.23%

10-Mar-22 0.04830% 10-Mar-22 0.515180 0.222 14.23%11-Mar-22 0.04830% 11-Mar-22 0.515100 0.225 14.22%14-Mar-22 0.04830% 14-Mar-22 0.514863 0.233 14.21%15-Mar-22 0.04830% 15-Mar-22 0.514783 0.236 14.20%16-Mar-22 0.04830% 16-Mar-22 0.514704 0.239 14.20%17-Mar-22 0.04830% 17-Mar-22 0.514625 0.242 14.19%18-Mar-22 0.04830% 18-Mar-22 0.514546 0.244 14.18%21-Mar-22 0.04830% 21-Mar-22 0.514308 0.253 14.18%

Page 543: Ch 6 Credit Derivatives

22-Mar-22 0.04872% 22-Mar-22 0.514229 0.003 14.17%23-Mar-22 0.04872% 23-Mar-22 0.514149 0.006 14.16%24-Mar-22 0.04872% 24-Mar-22 0.514070 0.008 14.16%25-Mar-22 0.04872% 25-Mar-22 0.513991 0.011 14.15%28-Mar-22 0.04872% 28-Mar-22 0.513754 0.019 14.14%29-Mar-22 0.04872% 29-Mar-22 0.513674 0.022 14.14%30-Mar-22 0.04872% 30-Mar-22 0.513595 0.025 14.13%31-Mar-22 0.04872% 31-Mar-22 0.513516 0.028 14.12%

1-Apr-22 0.04872% 1-Apr-22 0.513437 0.031 14.12%4-Apr-22 0.04872% 4-Apr-22 0.513199 0.039 14.11%5-Apr-22 0.04872% 5-Apr-22 0.513120 0.042 14.10%6-Apr-22 0.04872% 6-Apr-22 0.513041 0.044 14.09%7-Apr-22 0.04872% 7-Apr-22 0.512962 0.047 14.09%8-Apr-22 0.04872% 8-Apr-22 0.512883 0.050 14.08%

11-Apr-22 0.04872% 11-Apr-22 0.512646 0.058 14.07%12-Apr-22 0.04872% 12-Apr-22 0.512567 0.061 14.07%13-Apr-22 0.04872% 13-Apr-22 0.512488 0.064 14.06%14-Apr-22 0.04872% 14-Apr-22 0.512409 0.067 14.05%15-Apr-22 0.04872% 15-Apr-22 0.512330 0.069 14.05%18-Apr-22 0.04872% 18-Apr-22 0.512093 0.078 14.04%19-Apr-22 0.04872% 19-Apr-22 0.512014 0.081 14.03%20-Apr-22 0.04872% 20-Apr-22 0.511935 0.083 14.03%21-Apr-22 0.04872% 21-Apr-22 0.511856 0.086 14.02%22-Apr-22 0.04872% 22-Apr-22 0.511777 0.089 14.01%25-Apr-22 0.04872% 25-Apr-22 0.511540 0.097 14.01%26-Apr-22 0.04872% 26-Apr-22 0.511461 0.100 14.00%27-Apr-22 0.04872% 27-Apr-22 0.511382 0.103 13.99%28-Apr-22 0.04872% 28-Apr-22 0.511303 0.106 13.98%29-Apr-22 0.04872% 29-Apr-22 0.511224 0.108 13.98%2-May-22 0.04872% 2-May-22 0.510987 0.117 13.97%3-May-22 0.04872% 3-May-22 0.510908 0.119 13.96%4-May-22 0.04872% 4-May-22 0.510829 0.122 13.96%5-May-22 0.04872% 5-May-22 0.510750 0.125 13.95%6-May-22 0.04872% 6-May-22 0.510671 0.128 13.94%9-May-22 0.04872% 9-May-22 0.510437 0.136 13.94%

10-May-22 0.04872% 10-May-22 0.510358 0.139 13.93%11-May-22 0.04872% 11-May-22 0.510280 0.142 13.92%12-May-22 0.04872% 12-May-22 0.510202 0.144 13.92%13-May-22 0.04872% 13-May-22 0.510124 0.147 13.91%16-May-22 0.04872% 16-May-22 0.509889 0.156 13.90%17-May-22 0.04872% 17-May-22 0.509811 0.158 13.90%18-May-22 0.04872% 18-May-22 0.509733 0.161 13.89%19-May-22 0.04872% 19-May-22 0.509655 0.164 13.88%20-May-22 0.04872% 20-May-22 0.509576 0.167 13.88%

Page 544: Ch 6 Credit Derivatives

23-May-22 0.04872% 23-May-22 0.509342 0.175 13.87%24-May-22 0.04872% 24-May-22 0.509264 0.178 13.86%25-May-22 0.04872% 25-May-22 0.509186 0.181 13.86%26-May-22 0.04872% 26-May-22 0.509107 0.183 13.85%27-May-22 0.04872% 27-May-22 0.509029 0.186 13.84%30-May-22 0.04872% 30-May-22 0.508795 0.194 13.84%31-May-22 0.04872% 31-May-22 0.508717 0.197 13.83%

1-Jun-22 0.04872% 1-Jun-22 0.508639 0.200 13.82%2-Jun-22 0.04872% 2-Jun-22 0.508561 0.203 13.82%3-Jun-22 0.04872% 3-Jun-22 0.508483 0.206 13.81%6-Jun-22 0.04872% 6-Jun-22 0.508249 0.214 13.80%7-Jun-22 0.04872% 7-Jun-22 0.508171 0.217 13.80%8-Jun-22 0.04872% 8-Jun-22 0.508093 0.219 13.79%9-Jun-22 0.04872% 9-Jun-22 0.508014 0.222 13.78%

10-Jun-22 0.04872% 10-Jun-22 0.507936 0.225 13.78%13-Jun-22 0.04872% 13-Jun-22 0.507702 0.233 13.77%14-Jun-22 0.04872% 14-Jun-22 0.507624 0.236 13.76%15-Jun-22 0.04872% 15-Jun-22 0.507546 0.239 13.76%16-Jun-22 0.04872% 16-Jun-22 0.507469 0.242 13.75%17-Jun-22 0.04872% 17-Jun-22 0.507391 0.244 13.74%20-Jun-22 0.04872% 20-Jun-22 0.507157 0.253 13.74%21-Jun-22 0.04915% 21-Jun-22 0.507079 0.003 13.73%22-Jun-22 0.04915% 22-Jun-22 0.507001 0.006 13.72%23-Jun-22 0.04915% 23-Jun-22 0.506923 0.008 13.71%24-Jun-22 0.04915% 24-Jun-22 0.506845 0.011 13.71%27-Jun-22 0.04915% 27-Jun-22 0.506611 0.019 13.70%28-Jun-22 0.04915% 28-Jun-22 0.506533 0.022 13.69%29-Jun-22 0.04915% 29-Jun-22 0.506456 0.025 13.69%30-Jun-22 0.04915% 30-Jun-22 0.506378 0.028 13.68%

1-Jul-22 0.04915% 1-Jul-22 0.506300 0.031 13.67%4-Jul-22 0.04915% 4-Jul-22 0.506066 0.039 13.67%5-Jul-22 0.04915% 5-Jul-22 0.505988 0.042 13.66%6-Jul-22 0.04915% 6-Jul-22 0.505911 0.044 13.65%7-Jul-22 0.04915% 7-Jul-22 0.505833 0.047 13.65%8-Jul-22 0.04915% 8-Jul-22 0.505755 0.050 13.64%

11-Jul-22 0.04915% 11-Jul-22 0.505522 0.058 13.63%12-Jul-22 0.04915% 12-Jul-22 0.505444 0.061 13.63%13-Jul-22 0.04915% 13-Jul-22 0.505366 0.064 13.62%14-Jul-22 0.04915% 14-Jul-22 0.505288 0.067 13.61%15-Jul-22 0.04915% 15-Jul-22 0.505210 0.069 13.61%18-Jul-22 0.04915% 18-Jul-22 0.504977 0.078 13.60%19-Jul-22 0.04915% 19-Jul-22 0.504900 0.081 13.59%20-Jul-22 0.04915% 20-Jul-22 0.504822 0.083 13.59%21-Jul-22 0.04915% 21-Jul-22 0.504744 0.086 13.58%

Page 545: Ch 6 Credit Derivatives

22-Jul-22 0.04915% 22-Jul-22 0.504666 0.089 13.57%25-Jul-22 0.04915% 25-Jul-22 0.504433 0.097 13.57%26-Jul-22 0.04915% 26-Jul-22 0.504356 0.100 13.56%27-Jul-22 0.04915% 27-Jul-22 0.504278 0.103 13.55%28-Jul-22 0.04915% 28-Jul-22 0.504200 0.106 13.55%29-Jul-22 0.04915% 29-Jul-22 0.504123 0.108 13.54%1-Aug-22 0.04915% 1-Aug-22 0.503890 0.117 13.53%2-Aug-22 0.04915% 2-Aug-22 0.503812 0.119 13.53%3-Aug-22 0.04915% 3-Aug-22 0.503734 0.122 13.52%4-Aug-22 0.04915% 4-Aug-22 0.503657 0.125 13.51%5-Aug-22 0.04915% 5-Aug-22 0.503579 0.128 13.51%8-Aug-22 0.04915% 8-Aug-22 0.503346 0.136 13.50%9-Aug-22 0.04915% 9-Aug-22 0.503269 0.139 13.49%

10-Aug-22 0.04915% 10-Aug-22 0.503192 0.142 13.49%11-Aug-22 0.04915% 11-Aug-22 0.503115 0.144 13.48%12-Aug-22 0.04915% 12-Aug-22 0.503038 0.147 13.47%15-Aug-22 0.04915% 15-Aug-22 0.502808 0.156 13.47%16-Aug-22 0.04915% 16-Aug-22 0.502731 0.158 13.46%17-Aug-22 0.04915% 17-Aug-22 0.502654 0.161 13.45%18-Aug-22 0.04915% 18-Aug-22 0.502577 0.164 13.45%19-Aug-22 0.04915% 19-Aug-22 0.502500 0.167 13.44%22-Aug-22 0.04915% 22-Aug-22 0.502269 0.175 13.43%23-Aug-22 0.04915% 23-Aug-22 0.502192 0.178 13.43%24-Aug-22 0.04915% 24-Aug-22 0.502115 0.181 13.42%25-Aug-22 0.04915% 25-Aug-22 0.502039 0.183 13.41%26-Aug-22 0.04915% 26-Aug-22 0.501962 0.186 13.41%29-Aug-22 0.04915% 29-Aug-22 0.501731 0.194 13.40%30-Aug-22 0.04915% 30-Aug-22 0.501654 0.197 13.40%31-Aug-22 0.04915% 31-Aug-22 0.501577 0.200 13.39%

1-Sep-22 0.04915% 1-Sep-22 0.501501 0.203 13.38%2-Sep-22 0.04915% 2-Sep-22 0.501424 0.206 13.38%5-Sep-22 0.04915% 5-Sep-22 0.501193 0.214 13.37%6-Sep-22 0.04915% 6-Sep-22 0.501117 0.217 13.36%7-Sep-22 0.04915% 7-Sep-22 0.501040 0.219 13.36%8-Sep-22 0.04915% 8-Sep-22 0.500963 0.222 13.35%9-Sep-22 0.04915% 9-Sep-22 0.500886 0.225 13.34%

12-Sep-22 0.04915% 12-Sep-22 0.500656 0.233 13.34%13-Sep-22 0.04915% 13-Sep-22 0.500579 0.236 13.33%14-Sep-22 0.04915% 14-Sep-22 0.500503 0.239 13.32%15-Sep-22 0.04915% 15-Sep-22 0.500426 0.242 13.32%16-Sep-22 0.04915% 16-Sep-22 0.500349 0.244 13.31%19-Sep-22 0.04915% 19-Sep-22 0.500119 0.253 13.30%20-Sep-22 0.04915% 20-Sep-22 0.500042 0.256 13.30%21-Sep-22 0.05031% 21-Sep-22 0.499966 0.003 13.29%

Page 546: Ch 6 Credit Derivatives

22-Sep-22 0.05031% 22-Sep-22 0.499889 0.006 13.28%23-Sep-22 0.05031% 23-Sep-22 0.499812 0.008 13.28%26-Sep-22 0.05031% 26-Sep-22 0.499583 0.017 13.27%27-Sep-22 0.05031% 27-Sep-22 0.499506 0.019 13.26%28-Sep-22 0.05031% 28-Sep-22 0.499429 0.022 13.26%29-Sep-22 0.05031% 29-Sep-22 0.499353 0.025 13.25%30-Sep-22 0.05031% 30-Sep-22 0.499276 0.028 13.24%

3-Oct-22 0.05031% 3-Oct-22 0.499046 0.036 13.24%4-Oct-22 0.05031% 4-Oct-22 0.498970 0.039 13.23%5-Oct-22 0.05031% 5-Oct-22 0.498893 0.042 13.22%6-Oct-22 0.05031% 6-Oct-22 0.498817 0.044 13.22%7-Oct-22 0.05031% 7-Oct-22 0.498740 0.047 13.21%

10-Oct-22 0.05031% 10-Oct-22 0.498510 0.056 13.20%11-Oct-22 0.05031% 11-Oct-22 0.498434 0.058 13.20%12-Oct-22 0.05031% 12-Oct-22 0.498357 0.061 13.19%13-Oct-22 0.05031% 13-Oct-22 0.498281 0.064 13.18%14-Oct-22 0.05031% 14-Oct-22 0.498204 0.067 13.18%17-Oct-22 0.05031% 17-Oct-22 0.497975 0.075 13.17%18-Oct-22 0.05031% 18-Oct-22 0.497898 0.078 13.16%19-Oct-22 0.05031% 19-Oct-22 0.497822 0.081 13.16%20-Oct-22 0.05031% 20-Oct-22 0.497745 0.083 13.15%21-Oct-22 0.05031% 21-Oct-22 0.497669 0.086 13.14%24-Oct-22 0.05031% 24-Oct-22 0.497440 0.094 13.14%25-Oct-22 0.05031% 25-Oct-22 0.497363 0.097 13.13%26-Oct-22 0.05031% 26-Oct-22 0.497287 0.100 13.12%27-Oct-22 0.05031% 27-Oct-22 0.497210 0.103 13.12%28-Oct-22 0.05031% 28-Oct-22 0.497134 0.106 13.11%31-Oct-22 0.05031% 31-Oct-22 0.496905 0.114 13.10%1-Nov-22 0.05031% 1-Nov-22 0.496828 0.117 13.10%2-Nov-22 0.05031% 2-Nov-22 0.496752 0.119 13.09%3-Nov-22 0.05031% 3-Nov-22 0.496676 0.122 13.08%4-Nov-22 0.05031% 4-Nov-22 0.496599 0.125 13.08%7-Nov-22 0.05031% 7-Nov-22 0.496370 0.133 13.07%8-Nov-22 0.05031% 8-Nov-22 0.496295 0.136 13.06%9-Nov-22 0.05031% 9-Nov-22 0.496219 0.139 13.06%

10-Nov-22 0.05031% 10-Nov-22 0.496143 0.142 13.05%11-Nov-22 0.05031% 11-Nov-22 0.496068 0.144 13.04%14-Nov-22 0.05031% 14-Nov-22 0.495841 0.153 13.04%15-Nov-22 0.05031% 15-Nov-22 0.495765 0.156 13.03%16-Nov-22 0.05031% 16-Nov-22 0.495689 0.158 13.03%17-Nov-22 0.05031% 17-Nov-22 0.495614 0.161 13.02%18-Nov-22 0.05031% 18-Nov-22 0.495538 0.164 13.01%21-Nov-22 0.05031% 21-Nov-22 0.495311 0.172 13.01%22-Nov-22 0.05031% 22-Nov-22 0.495236 0.175 13.00%

Page 547: Ch 6 Credit Derivatives

23-Nov-22 0.05031% 23-Nov-22 0.495160 0.178 12.99%24-Nov-22 0.05031% 24-Nov-22 0.495084 0.181 12.99%25-Nov-22 0.05031% 25-Nov-22 0.495009 0.183 12.98%28-Nov-22 0.05031% 28-Nov-22 0.494782 0.192 12.97%29-Nov-22 0.05031% 29-Nov-22 0.494707 0.194 12.97%30-Nov-22 0.05031% 30-Nov-22 0.494631 0.197 12.96%

1-Dec-22 0.05031% 1-Dec-22 0.494555 0.200 12.95%2-Dec-22 0.05031% 2-Dec-22 0.494480 0.203 12.95%5-Dec-22 0.05031% 5-Dec-22 0.494253 0.211 12.94%6-Dec-22 0.05031% 6-Dec-22 0.494178 0.214 12.93%7-Dec-22 0.05031% 7-Dec-22 0.494102 0.217 12.93%8-Dec-22 0.05031% 8-Dec-22 0.494027 0.219 12.92%9-Dec-22 0.05031% 9-Dec-22 0.493951 0.222 12.91%

12-Dec-22 0.05031% 12-Dec-22 0.493725 0.231 12.91%13-Dec-22 0.05031% 13-Dec-22 0.493650 0.233 12.90%14-Dec-22 0.05031% 14-Dec-22 0.493574 0.236 12.89%15-Dec-22 0.05031% 15-Dec-22 0.493499 0.239 12.89%16-Dec-22 0.05031% 16-Dec-22 0.493423 0.242 12.88%19-Dec-22 0.05031% 19-Dec-22 0.493197 0.250 12.88%20-Dec-22 0.05031% 20-Dec-22 0.493122 0.253 12.87%21-Dec-22 0.05182% 21-Dec-22 0.493046 0.003 12.86%22-Dec-22 0.05182% 22-Dec-22 0.492971 0.006 12.86%23-Dec-22 0.05182% 23-Dec-22 0.492895 0.008 12.85%26-Dec-22 0.05182% 26-Dec-22 0.492669 0.017 12.84%27-Dec-22 0.05182% 27-Dec-22 0.492594 0.019 12.84%28-Dec-22 0.05182% 28-Dec-22 0.492519 0.022 12.83%29-Dec-22 0.05182% 29-Dec-22 0.492443 0.025 12.82%30-Dec-22 0.05182% 30-Dec-22 0.492368 0.028 12.82%

2-Jan-23 0.05182% 2-Jan-23 0.492142 0.036 12.81%3-Jan-23 0.05182% 3-Jan-23 0.492067 0.039 12.80%4-Jan-23 0.05182% 4-Jan-23 0.491992 0.042 12.80%5-Jan-23 0.05182% 5-Jan-23 0.491916 0.044 12.79%6-Jan-23 0.05182% 6-Jan-23 0.491841 0.047 12.78%9-Jan-23 0.05182% 9-Jan-23 0.491615 0.056 12.78%

10-Jan-23 0.05182% 10-Jan-23 0.491540 0.058 12.77%11-Jan-23 0.05182% 11-Jan-23 0.491465 0.061 12.76%12-Jan-23 0.05182% 12-Jan-23 0.491390 0.064 12.76%13-Jan-23 0.05182% 13-Jan-23 0.491314 0.067 12.75%16-Jan-23 0.05182% 16-Jan-23 0.491089 0.075 12.74%17-Jan-23 0.05182% 17-Jan-23 0.491013 0.078 12.74%18-Jan-23 0.05182% 18-Jan-23 0.490938 0.081 12.73%19-Jan-23 0.05182% 19-Jan-23 0.490863 0.083 12.72%20-Jan-23 0.05182% 20-Jan-23 0.490788 0.086 12.72%23-Jan-23 0.05182% 23-Jan-23 0.490563 0.094 12.71%

Page 548: Ch 6 Credit Derivatives

24-Jan-23 0.05182% 24-Jan-23 0.490487 0.097 12.70%25-Jan-23 0.05182% 25-Jan-23 0.490412 0.100 12.70%26-Jan-23 0.05182% 26-Jan-23 0.490337 0.103 12.69%27-Jan-23 0.05182% 27-Jan-23 0.490262 0.106 12.68%30-Jan-23 0.05182% 30-Jan-23 0.490037 0.114 12.68%31-Jan-23 0.05182% 31-Jan-23 0.489962 0.117 12.67%1-Feb-23 0.05182% 1-Feb-23 0.489887 0.119 12.66%2-Feb-23 0.05182% 2-Feb-23 0.489811 0.122 12.66%3-Feb-23 0.05182% 3-Feb-23 0.489736 0.125 12.65%6-Feb-23 0.05182% 6-Feb-23 0.489511 0.133 12.64%7-Feb-23 0.05182% 7-Feb-23 0.489437 0.136 12.64%8-Feb-23 0.05182% 8-Feb-23 0.489362 0.139 12.63%9-Feb-23 0.05182% 9-Feb-23 0.489288 0.142 12.62%

10-Feb-23 0.05182% 10-Feb-23 0.489214 0.144 12.62%13-Feb-23 0.05182% 13-Feb-23 0.488991 0.153 12.61%14-Feb-23 0.05182% 14-Feb-23 0.488916 0.156 12.60%15-Feb-23 0.05182% 15-Feb-23 0.488842 0.158 12.60%16-Feb-23 0.05182% 16-Feb-23 0.488767 0.161 12.59%17-Feb-23 0.05182% 17-Feb-23 0.488693 0.164 12.59%20-Feb-23 0.05182% 20-Feb-23 0.488470 0.172 12.58%21-Feb-23 0.05182% 21-Feb-23 0.488396 0.175 12.57%22-Feb-23 0.05182% 22-Feb-23 0.488322 0.178 12.57%23-Feb-23 0.05182% 23-Feb-23 0.488247 0.181 12.56%24-Feb-23 0.05182% 24-Feb-23 0.488173 0.183 12.55%27-Feb-23 0.05182% 27-Feb-23 0.487950 0.192 12.55%28-Feb-23 0.05182% 28-Feb-23 0.487876 0.194 12.54%1-Mar-23 0.05182% 1-Mar-23 0.487802 0.197 12.53%2-Mar-23 0.05182% 2-Mar-23 0.487727 0.200 12.53%3-Mar-23 0.05182% 3-Mar-23 0.487653 0.203 12.52%6-Mar-23 0.05182% 6-Mar-23 0.487431 0.211 12.51%7-Mar-23 0.05182% 7-Mar-23 0.487356 0.214 12.51%8-Mar-23 0.05182% 8-Mar-23 0.487282 0.217 12.50%9-Mar-23 0.05182% 9-Mar-23 0.487208 0.219 12.49%

10-Mar-23 0.05182% 10-Mar-23 0.487134 0.222 12.49%13-Mar-23 0.05182% 13-Mar-23 0.486911 0.231 12.48%14-Mar-23 0.05182% 14-Mar-23 0.486837 0.233 12.47%15-Mar-23 0.05182% 15-Mar-23 0.486763 0.236 12.47%16-Mar-23 0.05182% 16-Mar-23 0.486689 0.239 12.46%17-Mar-23 0.05182% 17-Mar-23 0.486615 0.242 12.46%20-Mar-23 0.05182% 20-Mar-23 0.486392 0.250 12.45%21-Mar-23 0.05217% 21-Mar-23 0.486318 0.003 12.44%22-Mar-23 0.05217% 22-Mar-23 0.486244 0.006 12.44%23-Mar-23 0.05217% 23-Mar-23 0.486170 0.008 12.43%24-Mar-23 0.05217% 24-Mar-23 0.486096 0.011 12.42%

Page 549: Ch 6 Credit Derivatives

27-Mar-23 0.05217% 27-Mar-23 0.485874 0.019 12.42%28-Mar-23 0.05217% 28-Mar-23 0.485800 0.022 12.41%29-Mar-23 0.05217% 29-Mar-23 0.485726 0.025 12.40%30-Mar-23 0.05217% 30-Mar-23 0.485652 0.028 12.40%31-Mar-23 0.05217% 31-Mar-23 0.485578 0.031 12.39%

3-Apr-23 0.05217% 3-Apr-23 0.485356 0.039 12.38%4-Apr-23 0.05217% 4-Apr-23 0.485282 0.042 12.38%5-Apr-23 0.05217% 5-Apr-23 0.485208 0.044 12.37%6-Apr-23 0.05217% 6-Apr-23 0.485134 0.047 12.36%7-Apr-23 0.05217% 7-Apr-23 0.485060 0.050 12.36%

10-Apr-23 0.05217% 10-Apr-23 0.484838 0.058 12.35%11-Apr-23 0.05217% 11-Apr-23 0.484764 0.061 12.35%12-Apr-23 0.05217% 12-Apr-23 0.484690 0.064 12.34%13-Apr-23 0.05217% 13-Apr-23 0.484616 0.067 12.33%14-Apr-23 0.05217% 14-Apr-23 0.484542 0.069 12.33%17-Apr-23 0.05217% 17-Apr-23 0.484320 0.078 12.32%18-Apr-23 0.05217% 18-Apr-23 0.484247 0.081 12.31%19-Apr-23 0.05217% 19-Apr-23 0.484173 0.083 12.31%20-Apr-23 0.05217% 20-Apr-23 0.484099 0.086 12.30%21-Apr-23 0.05217% 21-Apr-23 0.484025 0.089 12.29%24-Apr-23 0.05217% 24-Apr-23 0.483803 0.097 12.29%25-Apr-23 0.05217% 25-Apr-23 0.483730 0.100 12.28%26-Apr-23 0.05217% 26-Apr-23 0.483656 0.103 12.27%27-Apr-23 0.05217% 27-Apr-23 0.483582 0.106 12.27%28-Apr-23 0.05217% 28-Apr-23 0.483508 0.108 12.26%1-May-23 0.05217% 1-May-23 0.483287 0.117 12.26%2-May-23 0.05217% 2-May-23 0.483213 0.119 12.25%3-May-23 0.05217% 3-May-23 0.483139 0.122 12.24%4-May-23 0.05217% 4-May-23 0.483065 0.125 12.24%5-May-23 0.05217% 5-May-23 0.482992 0.128 12.23%8-May-23 0.05217% 8-May-23 0.482770 0.136 12.22%9-May-23 0.05217% 9-May-23 0.482697 0.139 12.22%

10-May-23 0.05217% 10-May-23 0.482624 0.142 12.21%11-May-23 0.05217% 11-May-23 0.482551 0.144 12.20%12-May-23 0.05217% 12-May-23 0.482478 0.147 12.20%15-May-23 0.05217% 15-May-23 0.482258 0.156 12.19%16-May-23 0.05217% 16-May-23 0.482185 0.158 12.19%17-May-23 0.05217% 17-May-23 0.482112 0.161 12.18%18-May-23 0.05217% 18-May-23 0.482039 0.164 12.17%19-May-23 0.05217% 19-May-23 0.481966 0.167 12.17%22-May-23 0.05217% 22-May-23 0.481747 0.175 12.16%23-May-23 0.05217% 23-May-23 0.481674 0.178 12.15%24-May-23 0.05217% 24-May-23 0.481601 0.181 12.15%25-May-23 0.05217% 25-May-23 0.481528 0.183 12.14%

Page 550: Ch 6 Credit Derivatives

26-May-23 0.05217% 26-May-23 0.481455 0.186 12.13%29-May-23 0.05217% 29-May-23 0.481236 0.194 12.13%30-May-23 0.05217% 30-May-23 0.481163 0.197 12.12%31-May-23 0.05217% 31-May-23 0.481090 0.200 12.12%

1-Jun-23 0.05217% 1-Jun-23 0.481017 0.203 12.11%2-Jun-23 0.05217% 2-Jun-23 0.480944 0.206 12.10%5-Jun-23 0.05217% 5-Jun-23 0.480725 0.214 12.10%6-Jun-23 0.05217% 6-Jun-23 0.480652 0.217 12.09%7-Jun-23 0.05217% 7-Jun-23 0.480579 0.219 12.08%8-Jun-23 0.05217% 8-Jun-23 0.480506 0.222 12.08%9-Jun-23 0.05217% 9-Jun-23 0.480433 0.225 12.07%

12-Jun-23 0.05217% 12-Jun-23 0.480215 0.233 12.07%13-Jun-23 0.05217% 13-Jun-23 0.480142 0.236 12.06%14-Jun-23 0.05217% 14-Jun-23 0.480069 0.239 12.05%15-Jun-23 0.05217% 15-Jun-23 0.479996 0.242 12.05%16-Jun-23 0.05217% 16-Jun-23 0.479923 0.244 12.04%19-Jun-23 0.05217% 19-Jun-23 0.479705 0.253 12.03%20-Jun-23 0.05217% 20-Jun-23 0.479632 0.256 12.03%21-Jun-23 0.05234% 21-Jun-23 0.479559 0.003 12.02%22-Jun-23 0.05234% 22-Jun-23 0.479486 0.006 12.01%23-Jun-23 0.05234% 23-Jun-23 0.479413 0.008 12.01%26-Jun-23 0.05234% 26-Jun-23 0.479195 0.017 12.00%27-Jun-23 0.05234% 27-Jun-23 0.479122 0.019 12.00%28-Jun-23 0.05234% 28-Jun-23 0.479049 0.022 11.99%29-Jun-23 0.05234% 29-Jun-23 0.478977 0.025 11.98%30-Jun-23 0.05234% 30-Jun-23 0.478904 0.028 11.98%

3-Jul-23 0.05234% 3-Jul-23 0.478686 0.036 11.97%4-Jul-23 0.05234% 4-Jul-23 0.478613 0.039 11.96%5-Jul-23 0.05234% 5-Jul-23 0.478540 0.042 11.96%6-Jul-23 0.05234% 6-Jul-23 0.478468 0.044 11.95%7-Jul-23 0.05234% 7-Jul-23 0.478395 0.047 11.95%

10-Jul-23 0.05234% 10-Jul-23 0.478177 0.056 11.94%11-Jul-23 0.05234% 11-Jul-23 0.478104 0.058 11.93%12-Jul-23 0.05234% 12-Jul-23 0.478031 0.061 11.93%13-Jul-23 0.05234% 13-Jul-23 0.477959 0.064 11.92%14-Jul-23 0.05234% 14-Jul-23 0.477886 0.067 11.91%17-Jul-23 0.05234% 17-Jul-23 0.477668 0.075 11.91%18-Jul-23 0.05234% 18-Jul-23 0.477596 0.078 11.90%19-Jul-23 0.05234% 19-Jul-23 0.477523 0.081 11.90%20-Jul-23 0.05234% 20-Jul-23 0.477450 0.083 11.89%21-Jul-23 0.05234% 21-Jul-23 0.477378 0.086 11.88%24-Jul-23 0.05234% 24-Jul-23 0.477160 0.094 11.88%25-Jul-23 0.05234% 25-Jul-23 0.477087 0.097 11.87%26-Jul-23 0.05234% 26-Jul-23 0.477015 0.100 11.86%

Page 551: Ch 6 Credit Derivatives

27-Jul-23 0.05234% 27-Jul-23 0.476942 0.103 11.86%28-Jul-23 0.05234% 28-Jul-23 0.476870 0.106 11.85%31-Jul-23 0.05234% 31-Jul-23 0.476652 0.114 11.85%1-Aug-23 0.05234% 1-Aug-23 0.476580 0.117 11.84%2-Aug-23 0.05234% 2-Aug-23 0.476507 0.119 11.83%3-Aug-23 0.05234% 3-Aug-23 0.476435 0.122 11.83%4-Aug-23 0.05234% 4-Aug-23 0.476362 0.125 11.82%7-Aug-23 0.05234% 7-Aug-23 0.476145 0.133 11.82%8-Aug-23 0.05234% 8-Aug-23 0.476073 0.136 11.81%9-Aug-23 0.05234% 9-Aug-23 0.476001 0.139 11.80%

10-Aug-23 0.05234% 10-Aug-23 0.475929 0.142 11.80%11-Aug-23 0.05234% 11-Aug-23 0.475857 0.144 11.79%14-Aug-23 0.05234% 14-Aug-23 0.475642 0.153 11.78%15-Aug-23 0.05234% 15-Aug-23 0.475570 0.156 11.78%16-Aug-23 0.05234% 16-Aug-23 0.475498 0.158 11.77%17-Aug-23 0.05234% 17-Aug-23 0.475426 0.161 11.77%18-Aug-23 0.05234% 18-Aug-23 0.475354 0.164 11.76%21-Aug-23 0.05234% 21-Aug-23 0.475139 0.172 11.75%22-Aug-23 0.05234% 22-Aug-23 0.475067 0.175 11.75%23-Aug-23 0.05234% 23-Aug-23 0.474995 0.178 11.74%24-Aug-23 0.05234% 24-Aug-23 0.474923 0.181 11.73%25-Aug-23 0.05234% 25-Aug-23 0.474852 0.183 11.73%28-Aug-23 0.05234% 28-Aug-23 0.474636 0.192 11.72%29-Aug-23 0.05234% 29-Aug-23 0.474564 0.194 11.72%30-Aug-23 0.05234% 30-Aug-23 0.474493 0.197 11.71%31-Aug-23 0.05234% 31-Aug-23 0.474421 0.200 11.70%

1-Sep-23 0.05234% 1-Sep-23 0.474349 0.203 11.70%4-Sep-23 0.05234% 4-Sep-23 0.474134 0.211 11.69%5-Sep-23 0.05234% 5-Sep-23 0.474062 0.214 11.69%6-Sep-23 0.05234% 6-Sep-23 0.473991 0.217 11.68%7-Sep-23 0.05234% 7-Sep-23 0.473919 0.219 11.67%8-Sep-23 0.05234% 8-Sep-23 0.473847 0.222 11.67%

11-Sep-23 0.05234% 11-Sep-23 0.473632 0.231 11.66%12-Sep-23 0.05234% 12-Sep-23 0.473561 0.233 11.66%13-Sep-23 0.05234% 13-Sep-23 0.473489 0.236 11.65%14-Sep-23 0.05234% 14-Sep-23 0.473417 0.239 11.64%15-Sep-23 0.05234% 15-Sep-23 0.473346 0.242 11.64%18-Sep-23 0.05234% 18-Sep-23 0.473131 0.250 11.63%19-Sep-23 0.05234% 19-Sep-23 0.473059 0.253 11.62%20-Sep-23 0.05234% 20-Sep-23 0.472988 0.256 11.62%21-Sep-23 0.05284% 21-Sep-23 0.472916 0.003 11.61%22-Sep-23 0.05284% 22-Sep-23 0.472845 0.006 11.61%25-Sep-23 0.05284% 25-Sep-23 0.472630 0.014 11.60%26-Sep-23 0.05284% 26-Sep-23 0.472559 0.017 11.59%

Page 552: Ch 6 Credit Derivatives

27-Sep-23 0.05284% 27-Sep-23 0.472487 0.019 11.59%28-Sep-23 0.05284% 28-Sep-23 0.472415 0.022 11.58%29-Sep-23 0.05284% 29-Sep-23 0.472344 0.025 11.58%

2-Oct-23 0.05284% 2-Oct-23 0.472129 0.033 11.57%3-Oct-23 0.05284% 3-Oct-23 0.472058 0.036 11.56%4-Oct-23 0.05284% 4-Oct-23 0.471986 0.039 11.56%5-Oct-23 0.05284% 5-Oct-23 0.471915 0.042 11.55%6-Oct-23 0.05284% 6-Oct-23 0.471844 0.044 11.55%9-Oct-23 0.05284% 9-Oct-23 0.471629 0.053 11.54%

10-Oct-23 0.05284% 10-Oct-23 0.471558 0.056 11.53%11-Oct-23 0.05284% 11-Oct-23 0.471486 0.058 11.53%12-Oct-23 0.05284% 12-Oct-23 0.471415 0.061 11.52%13-Oct-23 0.05284% 13-Oct-23 0.471343 0.064 11.51%16-Oct-23 0.05284% 16-Oct-23 0.471129 0.072 11.51%17-Oct-23 0.05284% 17-Oct-23 0.471058 0.075 11.50%18-Oct-23 0.05284% 18-Oct-23 0.470987 0.078 11.50%19-Oct-23 0.05284% 19-Oct-23 0.470915 0.081 11.49%20-Oct-23 0.05284% 20-Oct-23 0.470844 0.083 11.48%23-Oct-23 0.05284% 23-Oct-23 0.470630 0.092 11.48%24-Oct-23 0.05284% 24-Oct-23 0.470558 0.094 11.47%25-Oct-23 0.05284% 25-Oct-23 0.470487 0.097 11.47%26-Oct-23 0.05284% 26-Oct-23 0.470416 0.100 11.46%27-Oct-23 0.05284% 27-Oct-23 0.470344 0.103 11.45%30-Oct-23 0.05284% 30-Oct-23 0.470131 0.111 11.45%31-Oct-23 0.05284% 31-Oct-23 0.470059 0.114 11.44%1-Nov-23 0.05284% 1-Nov-23 0.469988 0.117 11.44%2-Nov-23 0.05284% 2-Nov-23 0.469917 0.119 11.43%3-Nov-23 0.05284% 3-Nov-23 0.469846 0.122 11.42%6-Nov-23 0.05284% 6-Nov-23 0.469632 0.131 11.42%7-Nov-23 0.05284% 7-Nov-23 0.469561 0.133 11.41%8-Nov-23 0.05284% 8-Nov-23 0.469490 0.136 11.41%9-Nov-23 0.05284% 9-Nov-23 0.469420 0.139 11.40%

10-Nov-23 0.05284% 10-Nov-23 0.469349 0.142 11.39%13-Nov-23 0.05284% 13-Nov-23 0.469137 0.150 11.39%14-Nov-23 0.05284% 14-Nov-23 0.469066 0.153 11.38%15-Nov-23 0.05284% 15-Nov-23 0.468996 0.156 11.38%16-Nov-23 0.05284% 16-Nov-23 0.468925 0.158 11.37%17-Nov-23 0.05284% 17-Nov-23 0.468855 0.161 11.36%20-Nov-23 0.05284% 20-Nov-23 0.468643 0.169 11.36%21-Nov-23 0.05284% 21-Nov-23 0.468572 0.172 11.35%22-Nov-23 0.05284% 22-Nov-23 0.468502 0.175 11.35%23-Nov-23 0.05284% 23-Nov-23 0.468431 0.178 11.34%24-Nov-23 0.05284% 24-Nov-23 0.468360 0.181 11.33%27-Nov-23 0.05284% 27-Nov-23 0.468149 0.189 11.33%

Page 553: Ch 6 Credit Derivatives

28-Nov-23 0.05284% 28-Nov-23 0.468078 0.192 11.32%29-Nov-23 0.05284% 29-Nov-23 0.468008 0.194 11.32%30-Nov-23 0.05284% 30-Nov-23 0.467937 0.197 11.31%

1-Dec-23 0.05284% 1-Dec-23 0.467867 0.200 11.30%4-Dec-23 0.05284% 4-Dec-23 0.467655 0.208 11.30%5-Dec-23 0.05284% 5-Dec-23 0.467585 0.211 11.29%6-Dec-23 0.05284% 6-Dec-23 0.467514 0.214 11.29%7-Dec-23 0.05284% 7-Dec-23 0.467444 0.217 11.28%8-Dec-23 0.05284% 8-Dec-23 0.467373 0.219 11.27%

11-Dec-23 0.05284% 11-Dec-23 0.467162 0.228 11.27%12-Dec-23 0.05284% 12-Dec-23 0.467092 0.231 11.26%13-Dec-23 0.05284% 13-Dec-23 0.467021 0.233 11.26%14-Dec-23 0.05284% 14-Dec-23 0.466951 0.236 11.25%15-Dec-23 0.05284% 15-Dec-23 0.466880 0.239 11.24%18-Dec-23 0.05284% 18-Dec-23 0.466669 0.247 11.24%19-Dec-23 0.05284% 19-Dec-23 0.466599 0.250 11.23%20-Dec-23 0.05284% 20-Dec-23 0.466528 0.253 11.23%21-Dec-23 0.05299% 21-Dec-23 0.466458 0.003 11.22%22-Dec-23 0.05299% 22-Dec-23 0.466388 0.006 11.21%25-Dec-23 0.05299% 25-Dec-23 0.466177 0.014 11.21%26-Dec-23 0.05299% 26-Dec-23 0.466106 0.017 11.20%27-Dec-23 0.05299% 27-Dec-23 0.466036 0.019 11.20%28-Dec-23 0.05299% 28-Dec-23 0.465966 0.022 11.19%29-Dec-23 0.05299% 29-Dec-23 0.465895 0.025 11.18%

1-Jan-24 0.05299% 1-Jan-24 0.465684 0.033 11.18%2-Jan-24 0.05299% 2-Jan-24 0.465614 0.036 11.17%3-Jan-24 0.05299% 3-Jan-24 0.465544 0.039 11.17%4-Jan-24 0.05299% 4-Jan-24 0.465474 0.042 11.16%5-Jan-24 0.05299% 5-Jan-24 0.465403 0.044 11.16%8-Jan-24 0.05299% 8-Jan-24 0.465193 0.053 11.15%9-Jan-24 0.05299% 9-Jan-24 0.465122 0.056 11.14%

10-Jan-24 0.05299% 10-Jan-24 0.465052 0.058 11.14%11-Jan-24 0.05299% 11-Jan-24 0.464982 0.061 11.13%12-Jan-24 0.05299% 12-Jan-24 0.464912 0.064 11.13%15-Jan-24 0.05299% 15-Jan-24 0.464701 0.072 11.12%16-Jan-24 0.05299% 16-Jan-24 0.464631 0.075 11.11%17-Jan-24 0.05299% 17-Jan-24 0.464561 0.078 11.11%18-Jan-24 0.05299% 18-Jan-24 0.464491 0.081 11.10%19-Jan-24 0.05299% 19-Jan-24 0.464421 0.083 11.10%22-Jan-24 0.05299% 22-Jan-24 0.464210 0.092 11.09%23-Jan-24 0.05299% 23-Jan-24 0.464140 0.094 11.08%24-Jan-24 0.05299% 24-Jan-24 0.464070 0.097 11.08%25-Jan-24 0.05299% 25-Jan-24 0.464000 0.100 11.07%26-Jan-24 0.05299% 26-Jan-24 0.463930 0.103 11.07%

Page 554: Ch 6 Credit Derivatives

29-Jan-24 0.05299% 29-Jan-24 0.463720 0.111 11.06%30-Jan-24 0.05299% 30-Jan-24 0.463650 0.114 11.06%31-Jan-24 0.05299% 31-Jan-24 0.463580 0.117 11.05%1-Feb-24 0.05299% 1-Feb-24 0.463509 0.119 11.04%2-Feb-24 0.05299% 2-Feb-24 0.463439 0.122 11.04%5-Feb-24 0.05299% 5-Feb-24 0.463229 0.131 11.03%6-Feb-24 0.05299% 6-Feb-24 0.463159 0.133 11.03%7-Feb-24 0.05299% 7-Feb-24 0.463090 0.136 11.02%8-Feb-24 0.05299% 8-Feb-24 0.463020 0.139 11.01%9-Feb-24 0.05299% 9-Feb-24 0.462951 0.142 11.01%

12-Feb-24 0.05299% 12-Feb-24 0.462742 0.150 11.00%13-Feb-24 0.05299% 13-Feb-24 0.462673 0.153 11.00%14-Feb-24 0.05299% 14-Feb-24 0.462603 0.156 10.99%15-Feb-24 0.05299% 15-Feb-24 0.462534 0.158 10.99%16-Feb-24 0.05299% 16-Feb-24 0.462464 0.161 10.98%19-Feb-24 0.05299% 19-Feb-24 0.462256 0.169 10.97%20-Feb-24 0.05299% 20-Feb-24 0.462187 0.172 10.97%21-Feb-24 0.05299% 21-Feb-24 0.462117 0.175 10.96%22-Feb-24 0.05299% 22-Feb-24 0.462048 0.178 10.96%23-Feb-24 0.05299% 23-Feb-24 0.461979 0.181 10.95%26-Feb-24 0.05299% 26-Feb-24 0.461770 0.189 10.94%27-Feb-24 0.05299% 27-Feb-24 0.461701 0.192 10.94%28-Feb-24 0.05299% 28-Feb-24 0.461632 0.194 10.93%29-Feb-24 0.05299% 29-Feb-24 0.461562 0.197 10.93%1-Mar-24 0.05299% 1-Mar-24 0.461493 0.200 10.92%4-Mar-24 0.05299% 4-Mar-24 0.461285 0.208 10.92%5-Mar-24 0.05299% 5-Mar-24 0.461216 0.211 10.91%6-Mar-24 0.05299% 6-Mar-24 0.461146 0.214 10.90%7-Mar-24 0.05299% 7-Mar-24 0.461077 0.217 10.90%8-Mar-24 0.05299% 8-Mar-24 0.461008 0.219 10.89%

11-Mar-24 0.05299% 11-Mar-24 0.460800 0.228 10.89%12-Mar-24 0.05299% 12-Mar-24 0.460731 0.231 10.88%13-Mar-24 0.05299% 13-Mar-24 0.460661 0.233 10.87%14-Mar-24 0.05299% 14-Mar-24 0.460592 0.236 10.87%15-Mar-24 0.05299% 15-Mar-24 0.460523 0.239 10.86%18-Mar-24 0.05299% 18-Mar-24 0.460315 0.247 10.86%19-Mar-24 0.05299% 19-Mar-24 0.460246 0.250 10.85%20-Mar-24 0.05299% 20-Mar-24 0.460177 0.253 10.85%21-Mar-24 0.05295% 21-Mar-24 0.460108 0.003 10.84%22-Mar-24 0.05295% 22-Mar-24 0.460038 0.006 10.83%25-Mar-24 0.05295% 25-Mar-24 0.459831 0.014 10.83%26-Mar-24 0.05295% 26-Mar-24 0.459762 0.017 10.82%27-Mar-24 0.05295% 27-Mar-24 0.459693 0.019 10.82%28-Mar-24 0.05295% 28-Mar-24 0.459623 0.022 10.81%

Page 555: Ch 6 Credit Derivatives

29-Mar-24 0.05295% 29-Mar-24 0.459554 0.025 10.81%1-Apr-24 0.05295% 1-Apr-24 0.459347 0.033 10.80%2-Apr-24 0.05295% 2-Apr-24 0.459278 0.036 10.79%3-Apr-24 0.05295% 3-Apr-24 0.459209 0.039 10.79%4-Apr-24 0.05295% 4-Apr-24 0.459140 0.042 10.78%5-Apr-24 0.05295% 5-Apr-24 0.459071 0.044 10.78%8-Apr-24 0.05295% 8-Apr-24 0.458863 0.053 10.77%9-Apr-24 0.05295% 9-Apr-24 0.458794 0.056 10.77%

10-Apr-24 0.05295% 10-Apr-24 0.458725 0.058 10.76%11-Apr-24 0.05295% 11-Apr-24 0.458656 0.061 10.75%12-Apr-24 0.05295% 12-Apr-24 0.458587 0.064 10.75%15-Apr-24 0.05295% 15-Apr-24 0.458380 0.072 10.74%16-Apr-24 0.05295% 16-Apr-24 0.458311 0.075 10.74%17-Apr-24 0.05295% 17-Apr-24 0.458242 0.078 10.73%18-Apr-24 0.05295% 18-Apr-24 0.458173 0.081 10.73%19-Apr-24 0.05295% 19-Apr-24 0.458104 0.083 10.72%22-Apr-24 0.05295% 22-Apr-24 0.457897 0.092 10.71%23-Apr-24 0.05295% 23-Apr-24 0.457828 0.094 10.71%24-Apr-24 0.05295% 24-Apr-24 0.457759 0.097 10.70%25-Apr-24 0.05295% 25-Apr-24 0.457691 0.100 10.70%26-Apr-24 0.05295% 26-Apr-24 0.457622 0.103 10.69%29-Apr-24 0.05295% 29-Apr-24 0.457415 0.111 10.69%30-Apr-24 0.05295% 30-Apr-24 0.457346 0.114 10.68%1-May-24 0.05295% 1-May-24 0.457277 0.117 10.68%2-May-24 0.05295% 2-May-24 0.457208 0.119 10.67%3-May-24 0.05295% 3-May-24 0.457139 0.122 10.66%6-May-24 0.05295% 6-May-24 0.456933 0.131 10.66%7-May-24 0.05295% 7-May-24 0.456864 0.133 10.65%8-May-24 0.05295% 8-May-24 0.456796 0.136 10.65%9-May-24 0.05295% 9-May-24 0.456728 0.139 10.64%

10-May-24 0.05295% 10-May-24 0.456659 0.142 10.64%13-May-24 0.05295% 13-May-24 0.456454 0.150 10.63%14-May-24 0.05295% 14-May-24 0.456386 0.153 10.62%15-May-24 0.05295% 15-May-24 0.456318 0.156 10.62%16-May-24 0.05295% 16-May-24 0.456249 0.158 10.61%17-May-24 0.05295% 17-May-24 0.456181 0.161 10.61%20-May-24 0.05295% 20-May-24 0.455976 0.169 10.60%21-May-24 0.05295% 21-May-24 0.455908 0.172 10.60%22-May-24 0.05295% 22-May-24 0.455840 0.175 10.59%23-May-24 0.05295% 23-May-24 0.455772 0.178 10.59%24-May-24 0.05295% 24-May-24 0.455703 0.181 10.58%27-May-24 0.05295% 27-May-24 0.455499 0.189 10.57%28-May-24 0.05295% 28-May-24 0.455430 0.192 10.57%29-May-24 0.05295% 29-May-24 0.455362 0.194 10.56%

Page 556: Ch 6 Credit Derivatives

30-May-24 0.05295% 30-May-24 0.455294 0.197 10.56%31-May-24 0.05295% 31-May-24 0.455226 0.200 10.55%

3-Jun-24 0.05295% 3-Jun-24 0.455021 0.208 10.55%4-Jun-24 0.05295% 4-Jun-24 0.454953 0.211 10.54%5-Jun-24 0.05295% 5-Jun-24 0.454885 0.214 10.53%6-Jun-24 0.05295% 6-Jun-24 0.454817 0.217 10.53%7-Jun-24 0.05295% 7-Jun-24 0.454749 0.219 10.52%

10-Jun-24 0.05295% 10-Jun-24 0.454544 0.228 10.52%11-Jun-24 0.05295% 11-Jun-24 0.454476 0.231 10.51%12-Jun-24 0.05295% 12-Jun-24 0.454408 0.233 10.51%13-Jun-24 0.05295% 13-Jun-24 0.454340 0.236 10.50%14-Jun-24 0.05295% 14-Jun-24 0.454272 0.239 10.50%17-Jun-24 0.05295% 17-Jun-24 0.454068 0.247 10.49%18-Jun-24 0.05295% 18-Jun-24 0.454000 0.250 10.48%19-Jun-24 0.05295% 19-Jun-24 0.453932 0.253 10.48%20-Jun-24 0.05295% 20-Jun-24 0.453864 0.256 10.47%21-Jun-24 0.05316% 21-Jun-24 0.453796 0.003 10.47%24-Jun-24 0.05316% 24-Jun-24 0.453592 0.011 10.46%25-Jun-24 0.05316% 25-Jun-24 0.453524 0.014 10.46%26-Jun-24 0.05316% 26-Jun-24 0.453456 0.017 10.45%27-Jun-24 0.05316% 27-Jun-24 0.453388 0.019 10.45%28-Jun-24 0.05316% 28-Jun-24 0.453320 0.022 10.44%

1-Jul-24 0.05316% 1-Jul-24 0.453116 0.031 10.43%2-Jul-24 0.05316% 2-Jul-24 0.453048 0.033 10.43%3-Jul-24 0.05316% 3-Jul-24 0.452980 0.036 10.42%4-Jul-24 0.05316% 4-Jul-24 0.452912 0.039 10.42%5-Jul-24 0.05316% 5-Jul-24 0.452844 0.042 10.41%8-Jul-24 0.05316% 8-Jul-24 0.452640 0.050 10.41%9-Jul-24 0.05316% 9-Jul-24 0.452573 0.053 10.40%

10-Jul-24 0.05316% 10-Jul-24 0.452505 0.056 10.40%11-Jul-24 0.05316% 11-Jul-24 0.452437 0.058 10.39%12-Jul-24 0.05316% 12-Jul-24 0.452369 0.061 10.38%15-Jul-24 0.05316% 15-Jul-24 0.452165 0.069 10.38%16-Jul-24 0.05316% 16-Jul-24 0.452098 0.072 10.37%17-Jul-24 0.05316% 17-Jul-24 0.452030 0.075 10.37%18-Jul-24 0.05316% 18-Jul-24 0.451962 0.078 10.36%19-Jul-24 0.05316% 19-Jul-24 0.451894 0.081 10.36%22-Jul-24 0.05316% 22-Jul-24 0.451691 0.089 10.35%23-Jul-24 0.05316% 23-Jul-24 0.451623 0.092 10.35%24-Jul-24 0.05316% 24-Jul-24 0.451555 0.094 10.34%25-Jul-24 0.05316% 25-Jul-24 0.451487 0.097 10.34%26-Jul-24 0.05316% 26-Jul-24 0.451420 0.100 10.33%29-Jul-24 0.05316% 29-Jul-24 0.451216 0.108 10.32%30-Jul-24 0.05316% 30-Jul-24 0.451149 0.111 10.32%

Page 557: Ch 6 Credit Derivatives

31-Jul-24 0.05316% 31-Jul-24 0.451081 0.114 10.31%1-Aug-24 0.05316% 1-Aug-24 0.451013 0.117 10.31%2-Aug-24 0.05316% 2-Aug-24 0.450945 0.119 10.30%5-Aug-24 0.05316% 5-Aug-24 0.450742 0.128 10.30%6-Aug-24 0.05316% 6-Aug-24 0.450675 0.131 10.29%7-Aug-24 0.05316% 7-Aug-24 0.450607 0.133 10.29%8-Aug-24 0.05316% 8-Aug-24 0.450540 0.136 10.28%9-Aug-24 0.05316% 9-Aug-24 0.450473 0.139 10.27%

12-Aug-24 0.05316% 12-Aug-24 0.450271 0.147 10.27%13-Aug-24 0.05316% 13-Aug-24 0.450204 0.150 10.26%14-Aug-24 0.05316% 14-Aug-24 0.450137 0.153 10.26%15-Aug-24 0.05316% 15-Aug-24 0.450070 0.156 10.25%16-Aug-24 0.05316% 16-Aug-24 0.450003 0.158 10.25%19-Aug-24 0.05316% 19-Aug-24 0.449801 0.167 10.24%20-Aug-24 0.05316% 20-Aug-24 0.449734 0.169 10.24%21-Aug-24 0.05316% 21-Aug-24 0.449667 0.172 10.23%22-Aug-24 0.05316% 22-Aug-24 0.449600 0.175 10.23%23-Aug-24 0.05316% 23-Aug-24 0.449533 0.178 10.22%26-Aug-24 0.05316% 26-Aug-24 0.449331 0.186 10.22%27-Aug-24 0.05316% 27-Aug-24 0.449264 0.189 10.21%28-Aug-24 0.05316% 28-Aug-24 0.449197 0.192 10.20%29-Aug-24 0.05316% 29-Aug-24 0.449130 0.194 10.20%30-Aug-24 0.05316% 30-Aug-24 0.449063 0.197 10.19%

2-Sep-24 0.05316% 2-Sep-24 0.448862 0.206 10.19%3-Sep-24 0.05316% 3-Sep-24 0.448795 0.208 10.18%4-Sep-24 0.05316% 4-Sep-24 0.448728 0.211 10.18%5-Sep-24 0.05316% 5-Sep-24 0.448661 0.214 10.17%6-Sep-24 0.05316% 6-Sep-24 0.448594 0.217 10.17%9-Sep-24 0.05316% 9-Sep-24 0.448393 0.225 10.16%

10-Sep-24 0.05316% 10-Sep-24 0.448326 0.228 10.16%11-Sep-24 0.05316% 11-Sep-24 0.448259 0.231 10.15%12-Sep-24 0.05316% 12-Sep-24 0.448192 0.233 10.14%13-Sep-24 0.05316% 13-Sep-24 0.448125 0.236 10.14%16-Sep-24 0.05316% 16-Sep-24 0.447924 0.244 10.13%17-Sep-24 0.05316% 17-Sep-24 0.447857 0.247 10.13%18-Sep-24 0.05316% 18-Sep-24 0.447790 0.250 10.12%19-Sep-24 0.05316% 19-Sep-24 0.447724 0.253 10.12%20-Sep-24 0.05316% 20-Sep-24 0.447657 0.256 10.11%23-Sep-24 0.05364% 23-Sep-24 0.447456 0.008 10.11%24-Sep-24 0.05364% 24-Sep-24 0.447389 0.011 10.10%25-Sep-24 0.05364% 25-Sep-24 0.447322 0.014 10.10%26-Sep-24 0.05364% 26-Sep-24 0.447255 0.017 10.09%27-Sep-24 0.05364% 27-Sep-24 0.447189 0.019 10.09%30-Sep-24 0.05364% 30-Sep-24 0.446988 0.028 10.08%

Page 558: Ch 6 Credit Derivatives

1-Oct-24 0.05364% 1-Oct-24 0.446921 0.031 10.07%2-Oct-24 0.05364% 2-Oct-24 0.446854 0.033 10.07%3-Oct-24 0.05364% 3-Oct-24 0.446788 0.036 10.06%4-Oct-24 0.05364% 4-Oct-24 0.446721 0.039 10.06%7-Oct-24 0.05364% 7-Oct-24 0.446521 0.047 10.05%8-Oct-24 0.05364% 8-Oct-24 0.446454 0.050 10.05%9-Oct-24 0.05364% 9-Oct-24 0.446387 0.053 10.04%

10-Oct-24 0.05364% 10-Oct-24 0.446320 0.056 10.04%11-Oct-24 0.05364% 11-Oct-24 0.446254 0.058 10.03%14-Oct-24 0.05364% 14-Oct-24 0.446053 0.067 10.03%15-Oct-24 0.05364% 15-Oct-24 0.445987 0.069 10.02%16-Oct-24 0.05364% 16-Oct-24 0.445920 0.072 10.02%17-Oct-24 0.05364% 17-Oct-24 0.445853 0.075 10.01%18-Oct-24 0.05364% 18-Oct-24 0.445787 0.078 10.00%21-Oct-24 0.05364% 21-Oct-24 0.445586 0.086 10.00%22-Oct-24 0.05364% 22-Oct-24 0.445520 0.089 9.99%23-Oct-24 0.05364% 23-Oct-24 0.445453 0.092 9.99%24-Oct-24 0.05364% 24-Oct-24 0.445387 0.094 9.98%25-Oct-24 0.05364% 25-Oct-24 0.445320 0.097 9.98%28-Oct-24 0.05364% 28-Oct-24 0.445120 0.106 9.97%29-Oct-24 0.05364% 29-Oct-24 0.445053 0.108 9.97%30-Oct-24 0.05364% 30-Oct-24 0.444987 0.111 9.96%31-Oct-24 0.05364% 31-Oct-24 0.444920 0.114 9.96%1-Nov-24 0.05364% 1-Nov-24 0.444854 0.117 9.95%4-Nov-24 0.05364% 4-Nov-24 0.444654 0.125 9.95%5-Nov-24 0.05364% 5-Nov-24 0.444587 0.128 9.94%6-Nov-24 0.05364% 6-Nov-24 0.444521 0.131 9.93%7-Nov-24 0.05364% 7-Nov-24 0.444455 0.133 9.93%8-Nov-24 0.05364% 8-Nov-24 0.444389 0.136 9.92%

11-Nov-24 0.05364% 11-Nov-24 0.444190 0.144 9.92%12-Nov-24 0.05364% 12-Nov-24 0.444124 0.147 9.91%13-Nov-24 0.05364% 13-Nov-24 0.444058 0.150 9.91%14-Nov-24 0.05364% 14-Nov-24 0.443992 0.153 9.90%15-Nov-24 0.05364% 15-Nov-24 0.443926 0.156 9.90%18-Nov-24 0.05364% 18-Nov-24 0.443728 0.164 9.89%19-Nov-24 0.05364% 19-Nov-24 0.443662 0.167 9.89%20-Nov-24 0.05364% 20-Nov-24 0.443596 0.169 9.88%21-Nov-24 0.05364% 21-Nov-24 0.443530 0.172 9.88%22-Nov-24 0.05364% 22-Nov-24 0.443464 0.175 9.87%25-Nov-24 0.05364% 25-Nov-24 0.443266 0.183 9.87%26-Nov-24 0.05364% 26-Nov-24 0.443200 0.186 9.86%27-Nov-24 0.05364% 27-Nov-24 0.443134 0.189 9.86%28-Nov-24 0.05364% 28-Nov-24 0.443068 0.192 9.85%29-Nov-24 0.05364% 29-Nov-24 0.443002 0.194 9.84%

Page 559: Ch 6 Credit Derivatives

2-Dec-24 0.05364% 2-Dec-24 0.442804 0.203 9.84%3-Dec-24 0.05364% 3-Dec-24 0.442738 0.206 9.83%4-Dec-24 0.05364% 4-Dec-24 0.442672 0.208 9.83%5-Dec-24 0.05364% 5-Dec-24 0.442606 0.211 9.82%6-Dec-24 0.05364% 6-Dec-24 0.442540 0.214 9.82%9-Dec-24 0.05364% 9-Dec-24 0.442343 0.222 9.81%

10-Dec-24 0.05364% 10-Dec-24 0.442277 0.225 9.81%11-Dec-24 0.05364% 11-Dec-24 0.442211 0.228 9.80%12-Dec-24 0.05364% 12-Dec-24 0.442145 0.231 9.80%13-Dec-24 0.05364% 13-Dec-24 0.442079 0.233 9.79%16-Dec-24 0.05364% 16-Dec-24 0.441882 0.242 9.79%17-Dec-24 0.05364% 17-Dec-24 0.441816 0.244 9.78%18-Dec-24 0.05364% 18-Dec-24 0.441750 0.247 9.78%19-Dec-24 0.05364% 19-Dec-24 0.441684 0.250 9.77%20-Dec-24 0.05364% 20-Dec-24 0.441619 0.253 9.77%23-Dec-24 0.05411% 23-Dec-24 0.441421 0.008 9.76%24-Dec-24 0.05411% 24-Dec-24 0.441355 0.011 9.76%25-Dec-24 0.05411% 25-Dec-24 0.441290 0.014 9.75%26-Dec-24 0.05411% 26-Dec-24 0.441224 0.017 9.74%27-Dec-24 0.05411% 27-Dec-24 0.441158 0.019 9.74%30-Dec-24 0.05411% 30-Dec-24 0.440961 0.028 9.73%31-Dec-24 0.05411% 31-Dec-24 0.440895 0.031 9.73%

1-Jan-25 0.05411% 1-Jan-25 0.440829 0.033 9.72%2-Jan-25 0.05411% 2-Jan-25 0.440764 0.036 9.72%3-Jan-25 0.05411% 3-Jan-25 0.440698 0.039 9.71%6-Jan-25 0.05411% 6-Jan-25 0.440501 0.047 9.71%7-Jan-25 0.05411% 7-Jan-25 0.440435 0.050 9.70%8-Jan-25 0.05411% 8-Jan-25 0.440370 0.053 9.70%9-Jan-25 0.05411% 9-Jan-25 0.440304 0.056 9.69%

10-Jan-25 0.05411% 10-Jan-25 0.440238 0.058 9.69%13-Jan-25 0.05411% 13-Jan-25 0.440042 0.067 9.68%14-Jan-25 0.05411% 14-Jan-25 0.439976 0.069 9.68%15-Jan-25 0.05411% 15-Jan-25 0.439910 0.072 9.67%16-Jan-25 0.05411% 16-Jan-25 0.439845 0.075 9.67%17-Jan-25 0.05411% 17-Jan-25 0.439779 0.078 9.66%20-Jan-25 0.05411% 20-Jan-25 0.439582 0.086 9.66%21-Jan-25 0.05411% 21-Jan-25 0.439517 0.089 9.65%22-Jan-25 0.05411% 22-Jan-25 0.439451 0.092 9.64%23-Jan-25 0.05411% 23-Jan-25 0.439386 0.094 9.64%24-Jan-25 0.05411% 24-Jan-25 0.439320 0.097 9.63%27-Jan-25 0.05411% 27-Jan-25 0.439124 0.106 9.63%28-Jan-25 0.05411% 28-Jan-25 0.439058 0.108 9.62%29-Jan-25 0.05411% 29-Jan-25 0.438993 0.111 9.62%30-Jan-25 0.05411% 30-Jan-25 0.438927 0.114 9.61%

Page 560: Ch 6 Credit Derivatives

31-Jan-25 0.05411% 31-Jan-25 0.438862 0.117 9.61%3-Feb-25 0.05411% 3-Feb-25 0.438665 0.125 9.60%4-Feb-25 0.05411% 4-Feb-25 0.438600 0.128 9.60%5-Feb-25 0.05411% 5-Feb-25 0.438534 0.131 9.59%6-Feb-25 0.05411% 6-Feb-25 0.438469 0.133 9.59%7-Feb-25 0.05411% 7-Feb-25 0.438404 0.136 9.58%

10-Feb-25 0.05411% 10-Feb-25 0.438209 0.144 9.58%11-Feb-25 0.05411% 11-Feb-25 0.438144 0.147 9.57%12-Feb-25 0.05411% 12-Feb-25 0.438079 0.150 9.57%13-Feb-25 0.05411% 13-Feb-25 0.438014 0.153 9.56%14-Feb-25 0.05411% 14-Feb-25 0.437949 0.156 9.56%17-Feb-25 0.05411% 17-Feb-25 0.437754 0.164 9.55%18-Feb-25 0.05411% 18-Feb-25 0.437689 0.167 9.55%19-Feb-25 0.05411% 19-Feb-25 0.437624 0.169 9.54%20-Feb-25 0.05411% 20-Feb-25 0.437559 0.172 9.54%21-Feb-25 0.05411% 21-Feb-25 0.437494 0.175 9.53%24-Feb-25 0.05411% 24-Feb-25 0.437299 0.183 9.53%25-Feb-25 0.05411% 25-Feb-25 0.437234 0.186 9.52%26-Feb-25 0.05411% 26-Feb-25 0.437169 0.189 9.52%27-Feb-25 0.05411% 27-Feb-25 0.437104 0.192 9.51%28-Feb-25 0.05411% 28-Feb-25 0.437039 0.194 9.51%3-Mar-25 0.05411% 3-Mar-25 0.436845 0.203 9.50%4-Mar-25 0.05411% 4-Mar-25 0.436780 0.206 9.49%5-Mar-25 0.05411% 5-Mar-25 0.436715 0.208 9.49%6-Mar-25 0.05411% 6-Mar-25 0.436650 0.211 9.48%7-Mar-25 0.05411% 7-Mar-25 0.436585 0.214 9.48%

10-Mar-25 0.05411% 10-Mar-25 0.436391 0.222 9.47%11-Mar-25 0.05411% 11-Mar-25 0.436326 0.225 9.47%12-Mar-25 0.05411% 12-Mar-25 0.436261 0.228 9.46%13-Mar-25 0.05411% 13-Mar-25 0.436196 0.231 9.46%14-Mar-25 0.05411% 14-Mar-25 0.436132 0.233 9.45%17-Mar-25 0.05411% 17-Mar-25 0.435937 0.242 9.45%18-Mar-25 0.05411% 18-Mar-25 0.435872 0.244 9.44%19-Mar-25 0.05411% 19-Mar-25 0.435808 0.247 9.44%20-Mar-25 0.05411% 20-Mar-25 0.435743 0.250 9.43%21-Mar-25 0.05373% 21-Mar-25 0.435678 0.003 9.43%24-Mar-25 0.05373% 24-Mar-25 0.435484 0.011 9.42%25-Mar-25 0.05373% 25-Mar-25 0.435419 0.014 9.42%26-Mar-25 0.05373% 26-Mar-25 0.435355 0.017 9.41%27-Mar-25 0.05373% 27-Mar-25 0.435290 0.019 9.41%28-Mar-25 0.05373% 28-Mar-25 0.435225 0.022 9.40%31-Mar-25 0.05373% 31-Mar-25 0.435031 0.031 9.40%

1-Apr-25 0.05373% 1-Apr-25 0.434966 0.033 9.39%2-Apr-25 0.05373% 2-Apr-25 0.434902 0.036 9.39%

Page 561: Ch 6 Credit Derivatives

3-Apr-25 0.05373% 3-Apr-25 0.434837 0.039 9.38%4-Apr-25 0.05373% 4-Apr-25 0.434773 0.042 9.38%7-Apr-25 0.05373% 7-Apr-25 0.434579 0.050 9.37%8-Apr-25 0.05373% 8-Apr-25 0.434514 0.053 9.37%9-Apr-25 0.05373% 9-Apr-25 0.434449 0.056 9.36%

10-Apr-25 0.05373% 10-Apr-25 0.434385 0.058 9.36%11-Apr-25 0.05373% 11-Apr-25 0.434320 0.061 9.35%14-Apr-25 0.05373% 14-Apr-25 0.434127 0.069 9.35%15-Apr-25 0.05373% 15-Apr-25 0.434062 0.072 9.34%16-Apr-25 0.05373% 16-Apr-25 0.433997 0.075 9.34%17-Apr-25 0.05373% 17-Apr-25 0.433933 0.078 9.33%18-Apr-25 0.05373% 18-Apr-25 0.433868 0.081 9.33%21-Apr-25 0.05373% 21-Apr-25 0.433675 0.089 9.32%22-Apr-25 0.05373% 22-Apr-25 0.433610 0.092 9.32%23-Apr-25 0.05373% 23-Apr-25 0.433546 0.094 9.31%24-Apr-25 0.05373% 24-Apr-25 0.433481 0.097 9.31%25-Apr-25 0.05373% 25-Apr-25 0.433417 0.100 9.30%28-Apr-25 0.05373% 28-Apr-25 0.433223 0.108 9.30%29-Apr-25 0.05373% 29-Apr-25 0.433159 0.111 9.29%30-Apr-25 0.05373% 30-Apr-25 0.433094 0.114 9.29%1-May-25 0.05373% 1-May-25 0.433030 0.117 9.28%2-May-25 0.05373% 2-May-25 0.432966 0.119 9.28%5-May-25 0.05373% 5-May-25 0.432772 0.128 9.27%6-May-25 0.05373% 6-May-25 0.432708 0.131 9.27%7-May-25 0.05373% 7-May-25 0.432644 0.133 9.26%8-May-25 0.05373% 8-May-25 0.432580 0.136 9.26%9-May-25 0.05373% 9-May-25 0.432516 0.139 9.25%

12-May-25 0.05373% 12-May-25 0.432324 0.147 9.25%13-May-25 0.05373% 13-May-25 0.432260 0.150 9.24%14-May-25 0.05373% 14-May-25 0.432196 0.153 9.24%15-May-25 0.05373% 15-May-25 0.432132 0.156 9.23%16-May-25 0.05373% 16-May-25 0.432068 0.158 9.23%19-May-25 0.05373% 19-May-25 0.431876 0.167 9.22%20-May-25 0.05373% 20-May-25 0.431812 0.169 9.22%21-May-25 0.05373% 21-May-25 0.431749 0.172 9.21%22-May-25 0.05373% 22-May-25 0.431685 0.175 9.21%23-May-25 0.05373% 23-May-25 0.431621 0.178 9.20%26-May-25 0.05373% 26-May-25 0.431429 0.186 9.20%27-May-25 0.05373% 27-May-25 0.431365 0.189 9.19%28-May-25 0.05373% 28-May-25 0.431301 0.192 9.19%29-May-25 0.05373% 29-May-25 0.431238 0.194 9.18%30-May-25 0.05373% 30-May-25 0.431174 0.197 9.18%

2-Jun-25 0.05373% 2-Jun-25 0.430982 0.206 9.17%3-Jun-25 0.05373% 3-Jun-25 0.430918 0.208 9.17%

Page 562: Ch 6 Credit Derivatives

4-Jun-25 0.05373% 4-Jun-25 0.430855 0.211 9.16%5-Jun-25 0.05373% 5-Jun-25 0.430791 0.214 9.16%6-Jun-25 0.05373% 6-Jun-25 0.430727 0.217 9.15%9-Jun-25 0.05373% 9-Jun-25 0.430536 0.225 9.15%

10-Jun-25 0.05373% 10-Jun-25 0.430472 0.228 9.14%11-Jun-25 0.05373% 11-Jun-25 0.430408 0.231 9.14%12-Jun-25 0.05373% 12-Jun-25 0.430345 0.233 9.13%13-Jun-25 0.05373% 13-Jun-25 0.430281 0.236 9.13%16-Jun-25 0.05373% 16-Jun-25 0.430090 0.244 9.12%17-Jun-25 0.05373% 17-Jun-25 0.430026 0.247 9.12%18-Jun-25 0.05373% 18-Jun-25 0.429962 0.250 9.11%19-Jun-25 0.05373% 19-Jun-25 0.429899 0.253 9.11%20-Jun-25 0.05373% 20-Jun-25 0.429835 0.256 9.10%23-Jun-25 0.05498% 23-Jun-25 0.429644 0.008 9.10%24-Jun-25 0.05498% 24-Jun-25 0.429580 0.011 9.09%25-Jun-25 0.05498% 25-Jun-25 0.429517 0.014 9.09%26-Jun-25 0.05498% 26-Jun-25 0.429453 0.017 9.08%27-Jun-25 0.05498% 27-Jun-25 0.429389 0.019 9.08%30-Jun-25 0.05498% 30-Jun-25 0.429198 0.028 9.07%

1-Jul-25 0.05498% 1-Jul-25 0.429135 0.031 9.07%2-Jul-25 0.05498% 2-Jul-25 0.429071 0.033 9.06%3-Jul-25 0.05498% 3-Jul-25 0.429008 0.036 9.06%4-Jul-25 0.05498% 4-Jul-25 0.428944 0.039 9.05%7-Jul-25 0.05498% 7-Jul-25 0.428753 0.047 9.05%8-Jul-25 0.05498% 8-Jul-25 0.428690 0.050 9.04%9-Jul-25 0.05498% 9-Jul-25 0.428626 0.053 9.04%

10-Jul-25 0.05498% 10-Jul-25 0.428563 0.056 9.03%11-Jul-25 0.05498% 11-Jul-25 0.428499 0.058 9.03%14-Jul-25 0.05498% 14-Jul-25 0.428309 0.067 9.02%15-Jul-25 0.05498% 15-Jul-25 0.428245 0.069 9.02%16-Jul-25 0.05498% 16-Jul-25 0.428182 0.072 9.01%17-Jul-25 0.05498% 17-Jul-25 0.428118 0.075 9.01%18-Jul-25 0.05498% 18-Jul-25 0.428055 0.078 9.00%21-Jul-25 0.05498% 21-Jul-25 0.427864 0.086 9.00%22-Jul-25 0.05498% 22-Jul-25 0.427801 0.089 9.00%23-Jul-25 0.05498% 23-Jul-25 0.427738 0.092 8.99%24-Jul-25 0.05498% 24-Jul-25 0.427674 0.094 8.99%25-Jul-25 0.05498% 25-Jul-25 0.427611 0.097 8.98%28-Jul-25 0.05498% 28-Jul-25 0.427420 0.106 8.98%29-Jul-25 0.05498% 29-Jul-25 0.427357 0.108 8.97%30-Jul-25 0.05498% 30-Jul-25 0.427294 0.111 8.97%31-Jul-25 0.05498% 31-Jul-25 0.427230 0.114 8.96%1-Aug-25 0.05498% 1-Aug-25 0.427167 0.117 8.96%4-Aug-25 0.05498% 4-Aug-25 0.426977 0.125 8.95%

Page 563: Ch 6 Credit Derivatives

5-Aug-25 0.05498% 5-Aug-25 0.426913 0.128 8.95%6-Aug-25 0.05498% 6-Aug-25 0.426850 0.131 8.94%7-Aug-25 0.05498% 7-Aug-25 0.426787 0.133 8.94%8-Aug-25 0.05498% 8-Aug-25 0.426724 0.136 8.93%

11-Aug-25 0.05498% 11-Aug-25 0.426535 0.144 8.93%12-Aug-25 0.05498% 12-Aug-25 0.426472 0.147 8.92%13-Aug-25 0.05498% 13-Aug-25 0.426409 0.150 8.92%14-Aug-25 0.05498% 14-Aug-25 0.426347 0.153 8.91%15-Aug-25 0.05498% 15-Aug-25 0.426284 0.156 8.91%18-Aug-25 0.05498% 18-Aug-25 0.426095 0.164 8.90%19-Aug-25 0.05498% 19-Aug-25 0.426032 0.167 8.90%20-Aug-25 0.05498% 20-Aug-25 0.425969 0.169 8.89%21-Aug-25 0.05498% 21-Aug-25 0.425906 0.172 8.89%22-Aug-25 0.05498% 22-Aug-25 0.425843 0.175 8.88%25-Aug-25 0.05498% 25-Aug-25 0.425655 0.183 8.88%26-Aug-25 0.05498% 26-Aug-25 0.425592 0.186 8.87%27-Aug-25 0.05498% 27-Aug-25 0.425529 0.189 8.87%28-Aug-25 0.05498% 28-Aug-25 0.425466 0.192 8.86%29-Aug-25 0.05498% 29-Aug-25 0.425404 0.194 8.86%

1-Sep-25 0.05498% 1-Sep-25 0.425215 0.203 8.85%2-Sep-25 0.05498% 2-Sep-25 0.425152 0.206 8.85%3-Sep-25 0.05498% 3-Sep-25 0.425090 0.208 8.84%4-Sep-25 0.05498% 4-Sep-25 0.425027 0.211 8.84%5-Sep-25 0.05498% 5-Sep-25 0.424964 0.214 8.83%8-Sep-25 0.05498% 8-Sep-25 0.424776 0.222 8.83%9-Sep-25 0.05498% 9-Sep-25 0.424713 0.225 8.82%

10-Sep-25 0.05498% 10-Sep-25 0.424650 0.228 8.82%11-Sep-25 0.05498% 11-Sep-25 0.424588 0.231 8.81%12-Sep-25 0.05498% 12-Sep-25 0.424525 0.233 8.81%15-Sep-25 0.05498% 15-Sep-25 0.424337 0.242 8.80%16-Sep-25 0.05498% 16-Sep-25 0.424274 0.244 8.80%17-Sep-25 0.05498% 17-Sep-25 0.424212 0.247 8.79%18-Sep-25 0.05498% 18-Sep-25 0.424149 0.250 8.79%19-Sep-25 0.05498% 19-Sep-25 0.424086 0.253 8.78%22-Sep-25 0.05498% 22-Sep-25 0.423898 0.261 8.78%23-Sep-25 0.05434% 23-Sep-25 0.423836 0.003 8.78%24-Sep-25 0.05434% 24-Sep-25 0.423773 0.006 8.77%25-Sep-25 0.05434% 25-Sep-25 0.423710 0.008 8.77%26-Sep-25 0.05434% 26-Sep-25 0.423648 0.011 8.76%29-Sep-25 0.05434% 29-Sep-25 0.423460 0.019 8.76%30-Sep-25 0.05434% 30-Sep-25 0.423398 0.022 8.75%

1-Oct-25 0.05434% 1-Oct-25 0.423335 0.025 8.75%2-Oct-25 0.05434% 2-Oct-25 0.423272 0.028 8.74%3-Oct-25 0.05434% 3-Oct-25 0.423210 0.031 8.74%

Page 564: Ch 6 Credit Derivatives

6-Oct-25 0.05434% 6-Oct-25 0.423022 0.039 8.73%7-Oct-25 0.05434% 7-Oct-25 0.422960 0.042 8.73%8-Oct-25 0.05434% 8-Oct-25 0.422897 0.044 8.72%9-Oct-25 0.05434% 9-Oct-25 0.422835 0.047 8.72%

10-Oct-25 0.05434% 10-Oct-25 0.422772 0.050 8.71%13-Oct-25 0.05434% 13-Oct-25 0.422585 0.058 8.71%14-Oct-25 0.05434% 14-Oct-25 0.422522 0.061 8.70%15-Oct-25 0.05434% 15-Oct-25 0.422460 0.064 8.70%16-Oct-25 0.05434% 16-Oct-25 0.422397 0.067 8.69%17-Oct-25 0.05434% 17-Oct-25 0.422335 0.069 8.69%20-Oct-25 0.05434% 20-Oct-25 0.422148 0.078 8.69%21-Oct-25 0.05434% 21-Oct-25 0.422085 0.081 8.68%22-Oct-25 0.05434% 22-Oct-25 0.422023 0.083 8.68%23-Oct-25 0.05434% 23-Oct-25 0.421960 0.086 8.67%24-Oct-25 0.05434% 24-Oct-25 0.421898 0.089 8.67%27-Oct-25 0.05434% 27-Oct-25 0.421711 0.097 8.66%28-Oct-25 0.05434% 28-Oct-25 0.421648 0.100 8.66%29-Oct-25 0.05434% 29-Oct-25 0.421586 0.103 8.65%30-Oct-25 0.05434% 30-Oct-25 0.421524 0.106 8.65%31-Oct-25 0.05434% 31-Oct-25 0.421461 0.108 8.64%3-Nov-25 0.05434% 3-Nov-25 0.421274 0.117 8.64%4-Nov-25 0.05434% 4-Nov-25 0.421212 0.119 8.63%5-Nov-25 0.05434% 5-Nov-25 0.421150 0.122 8.63%6-Nov-25 0.05434% 6-Nov-25 0.421087 0.125 8.62%7-Nov-25 0.05434% 7-Nov-25 0.421025 0.128 8.62%

10-Nov-25 0.05434% 10-Nov-25 0.420840 0.136 8.61%11-Nov-25 0.05434% 11-Nov-25 0.420778 0.139 8.61%12-Nov-25 0.05434% 12-Nov-25 0.420716 0.142 8.61%13-Nov-25 0.05434% 13-Nov-25 0.420654 0.144 8.60%14-Nov-25 0.05434% 14-Nov-25 0.420592 0.147 8.60%17-Nov-25 0.05434% 17-Nov-25 0.420406 0.156 8.59%18-Nov-25 0.05434% 18-Nov-25 0.420344 0.158 8.59%19-Nov-25 0.05434% 19-Nov-25 0.420282 0.161 8.58%20-Nov-25 0.05434% 20-Nov-25 0.420221 0.164 8.58%21-Nov-25 0.05434% 21-Nov-25 0.420159 0.167 8.57%24-Nov-25 0.05434% 24-Nov-25 0.419973 0.175 8.57%25-Nov-25 0.05434% 25-Nov-25 0.419911 0.178 8.56%26-Nov-25 0.05434% 26-Nov-25 0.419850 0.181 8.56%27-Nov-25 0.05434% 27-Nov-25 0.419788 0.183 8.55%28-Nov-25 0.05434% 28-Nov-25 0.419726 0.186 8.55%

1-Dec-25 0.05434% 1-Dec-25 0.419541 0.194 8.54%2-Dec-25 0.05434% 2-Dec-25 0.419479 0.197 8.54%3-Dec-25 0.05434% 3-Dec-25 0.419417 0.200 8.54%4-Dec-25 0.05434% 4-Dec-25 0.419355 0.203 8.53%

Page 565: Ch 6 Credit Derivatives

5-Dec-25 0.05434% 5-Dec-25 0.419293 0.206 8.53%8-Dec-25 0.05434% 8-Dec-25 0.419108 0.214 8.52%9-Dec-25 0.05434% 9-Dec-25 0.419047 0.217 8.52%

10-Dec-25 0.05434% 10-Dec-25 0.418985 0.219 8.51%11-Dec-25 0.05434% 11-Dec-25 0.418923 0.222 8.51%12-Dec-25 0.05434% 12-Dec-25 0.418861 0.225 8.50%15-Dec-25 0.05434% 15-Dec-25 0.418676 0.233 8.50%16-Dec-25 0.05434% 16-Dec-25 0.418615 0.236 8.49%17-Dec-25 0.05434% 17-Dec-25 0.418553 0.239 8.49%18-Dec-25 0.05434% 18-Dec-25 0.418491 0.242 8.48%19-Dec-25 0.05434% 19-Dec-25 0.418430 0.244 8.48%22-Dec-25 0.05434% 22-Dec-25 0.418245 0.253 8.48%23-Dec-25 0.05370% 23-Dec-25 0.418183 0.003 8.47%24-Dec-25 0.05370% 24-Dec-25 0.418122 0.006 8.47%25-Dec-25 0.05370% 25-Dec-25 0.418060 0.008 8.46%26-Dec-25 0.05370% 26-Dec-25 0.417998 0.011 8.46%29-Dec-25 0.05370% 29-Dec-25 0.417814 0.019 8.45%30-Dec-25 0.05370% 30-Dec-25 0.417752 0.022 8.45%31-Dec-25 0.05370% 31-Dec-25 0.417690 0.025 8.44%

1-Jan-26 0.05370% 1-Jan-26 0.417629 0.028 8.44%2-Jan-26 0.05370% 2-Jan-26 0.417567 0.031 8.43%5-Jan-26 0.05370% 5-Jan-26 0.417383 0.039 8.43%6-Jan-26 0.05370% 6-Jan-26 0.417321 0.042 8.43%7-Jan-26 0.05370% 7-Jan-26 0.417260 0.044 8.42%8-Jan-26 0.05370% 8-Jan-26 0.417198 0.047 8.42%9-Jan-26 0.05370% 9-Jan-26 0.417137 0.050 8.41%

12-Jan-26 0.05370% 12-Jan-26 0.416952 0.058 8.41%13-Jan-26 0.05370% 13-Jan-26 0.416891 0.061 8.40%14-Jan-26 0.05370% 14-Jan-26 0.416829 0.064 8.40%15-Jan-26 0.05370% 15-Jan-26 0.416768 0.067 8.39%16-Jan-26 0.05370% 16-Jan-26 0.416706 0.069 8.39%19-Jan-26 0.05370% 19-Jan-26 0.416522 0.078 8.38%20-Jan-26 0.05370% 20-Jan-26 0.416461 0.081 8.38%21-Jan-26 0.05370% 21-Jan-26 0.416399 0.083 8.38%22-Jan-26 0.05370% 22-Jan-26 0.416338 0.086 8.37%23-Jan-26 0.05370% 23-Jan-26 0.416276 0.089 8.37%26-Jan-26 0.05370% 26-Jan-26 0.416092 0.097 8.36%27-Jan-26 0.05370% 27-Jan-26 0.416031 0.100 8.36%28-Jan-26 0.05370% 28-Jan-26 0.415970 0.103 8.35%29-Jan-26 0.05370% 29-Jan-26 0.415908 0.106 8.35%30-Jan-26 0.05370% 30-Jan-26 0.415847 0.108 8.34%2-Feb-26 0.05370% 2-Feb-26 0.415663 0.117 8.34%3-Feb-26 0.05370% 3-Feb-26 0.415601 0.119 8.34%4-Feb-26 0.05370% 4-Feb-26 0.415540 0.122 8.33%

Page 566: Ch 6 Credit Derivatives

5-Feb-26 0.05370% 5-Feb-26 0.415479 0.125 8.33%6-Feb-26 0.05370% 6-Feb-26 0.415418 0.128 8.32%9-Feb-26 0.05370% 9-Feb-26 0.415235 0.136 8.32%

10-Feb-26 0.05370% 10-Feb-26 0.415174 0.139 8.31%11-Feb-26 0.05370% 11-Feb-26 0.415113 0.142 8.31%12-Feb-26 0.05370% 12-Feb-26 0.415052 0.144 8.30%13-Feb-26 0.05370% 13-Feb-26 0.414991 0.147 8.30%16-Feb-26 0.05370% 16-Feb-26 0.414808 0.156 8.30%17-Feb-26 0.05370% 17-Feb-26 0.414747 0.158 8.29%18-Feb-26 0.05370% 18-Feb-26 0.414686 0.161 8.29%19-Feb-26 0.05370% 19-Feb-26 0.414625 0.164 8.28%20-Feb-26 0.05370% 20-Feb-26 0.414564 0.167 8.28%23-Feb-26 0.05370% 23-Feb-26 0.414382 0.175 8.27%24-Feb-26 0.05370% 24-Feb-26 0.414321 0.178 8.27%25-Feb-26 0.05370% 25-Feb-26 0.414260 0.181 8.26%26-Feb-26 0.05370% 26-Feb-26 0.414199 0.183 8.26%27-Feb-26 0.05370% 27-Feb-26 0.414138 0.186 8.26%2-Mar-26 0.05370% 2-Mar-26 0.413956 0.194 8.25%3-Mar-26 0.05370% 3-Mar-26 0.413895 0.197 8.25%4-Mar-26 0.05370% 4-Mar-26 0.413834 0.200 8.24%5-Mar-26 0.05370% 5-Mar-26 0.413773 0.203 8.24%6-Mar-26 0.05370% 6-Mar-26 0.413713 0.206 8.23%9-Mar-26 0.05370% 9-Mar-26 0.413530 0.214 8.23%

10-Mar-26 0.05370% 10-Mar-26 0.413470 0.217 8.22%11-Mar-26 0.05370% 11-Mar-26 0.413409 0.219 8.22%12-Mar-26 0.05370% 12-Mar-26 0.413348 0.222 8.22%13-Mar-26 0.05370% 13-Mar-26 0.413287 0.225 8.21%16-Mar-26 0.05370% 16-Mar-26 0.413105 0.233 8.21%17-Mar-26 0.05370% 17-Mar-26 0.413044 0.236 8.20%18-Mar-26 0.05370% 18-Mar-26 0.412984 0.239 8.20%19-Mar-26 0.05370% 19-Mar-26 0.412923 0.242 8.19%20-Mar-26 0.05370% 20-Mar-26 0.412862 0.244 8.19%23-Mar-26 0.05545% 23-Mar-26 0.412680 0.008 8.18%24-Mar-26 0.05545% 24-Mar-26 0.412620 0.011 8.18%25-Mar-26 0.05545% 25-Mar-26 0.412559 0.014 8.18%26-Mar-26 0.05545% 26-Mar-26 0.412498 0.017 8.17%27-Mar-26 0.05545% 27-Mar-26 0.412438 0.019 8.17%30-Mar-26 0.05545% 30-Mar-26 0.412256 0.028 8.16%31-Mar-26 0.05545% 31-Mar-26 0.412195 0.031 8.16%

1-Apr-26 0.05545% 1-Apr-26 0.412135 0.033 8.15%2-Apr-26 0.05545% 2-Apr-26 0.412074 0.036 8.15%3-Apr-26 0.05545% 3-Apr-26 0.412013 0.039 8.14%6-Apr-26 0.05545% 6-Apr-26 0.411832 0.047 8.14%7-Apr-26 0.05545% 7-Apr-26 0.411771 0.050 8.13%

Page 567: Ch 6 Credit Derivatives

8-Apr-26 0.05545% 8-Apr-26 0.411711 0.053 8.13%9-Apr-26 0.05545% 9-Apr-26 0.411650 0.056 8.13%

10-Apr-26 0.05545% 10-Apr-26 0.411590 0.058 8.12%13-Apr-26 0.05545% 13-Apr-26 0.411408 0.067 8.12%14-Apr-26 0.05545% 14-Apr-26 0.411347 0.069 8.11%15-Apr-26 0.05545% 15-Apr-26 0.411287 0.072 8.11%16-Apr-26 0.05545% 16-Apr-26 0.411226 0.075 8.10%17-Apr-26 0.05545% 17-Apr-26 0.411166 0.078 8.10%20-Apr-26 0.05545% 20-Apr-26 0.410985 0.086 8.09%21-Apr-26 0.05545% 21-Apr-26 0.410924 0.089 8.09%22-Apr-26 0.05545% 22-Apr-26 0.410864 0.092 8.09%23-Apr-26 0.05545% 23-Apr-26 0.410803 0.094 8.08%24-Apr-26 0.05545% 24-Apr-26 0.410743 0.097 8.08%27-Apr-26 0.05545% 27-Apr-26 0.410561 0.106 8.07%28-Apr-26 0.05545% 28-Apr-26 0.410501 0.108 8.07%29-Apr-26 0.05545% 29-Apr-26 0.410441 0.111 8.06%30-Apr-26 0.05545% 30-Apr-26 0.410380 0.114 8.06%1-May-26 0.05545% 1-May-26 0.410320 0.117 8.05%4-May-26 0.05545% 4-May-26 0.410139 0.125 8.05%5-May-26 0.05545% 5-May-26 0.410078 0.128 8.04%6-May-26 0.05545% 6-May-26 0.410018 0.131 8.04%7-May-26 0.05545% 7-May-26 0.409958 0.133 8.04%8-May-26 0.05545% 8-May-26 0.409898 0.136 8.03%

11-May-26 0.05545% 11-May-26 0.409718 0.144 8.03%12-May-26 0.05545% 12-May-26 0.409658 0.147 8.02%13-May-26 0.05545% 13-May-26 0.409598 0.150 8.02%14-May-26 0.05545% 14-May-26 0.409538 0.153 8.01%15-May-26 0.05545% 15-May-26 0.409478 0.156 8.01%18-May-26 0.05545% 18-May-26 0.409298 0.164 8.00%19-May-26 0.05545% 19-May-26 0.409238 0.167 8.00%20-May-26 0.05545% 20-May-26 0.409178 0.169 8.00%21-May-26 0.05545% 21-May-26 0.409118 0.172 7.99%22-May-26 0.05545% 22-May-26 0.409058 0.175 7.99%25-May-26 0.05545% 25-May-26 0.408879 0.183 7.98%26-May-26 0.05545% 26-May-26 0.408819 0.186 7.98%27-May-26 0.05545% 27-May-26 0.408759 0.189 7.97%28-May-26 0.05545% 28-May-26 0.408699 0.192 7.97%29-May-26 0.05545% 29-May-26 0.408639 0.194 7.96%

1-Jun-26 0.05545% 1-Jun-26 0.408460 0.203 7.96%2-Jun-26 0.05545% 2-Jun-26 0.408400 0.206 7.96%3-Jun-26 0.05545% 3-Jun-26 0.408340 0.208 7.95%4-Jun-26 0.05545% 4-Jun-26 0.408280 0.211 7.95%5-Jun-26 0.05545% 5-Jun-26 0.408220 0.214 7.94%8-Jun-26 0.05545% 8-Jun-26 0.408041 0.222 7.94%

Page 568: Ch 6 Credit Derivatives

9-Jun-26 0.05545% 9-Jun-26 0.407981 0.225 7.93%10-Jun-26 0.05545% 10-Jun-26 0.407921 0.228 7.93%11-Jun-26 0.05545% 11-Jun-26 0.407862 0.231 7.93%12-Jun-26 0.05545% 12-Jun-26 0.407802 0.233 7.92%15-Jun-26 0.05545% 15-Jun-26 0.407622 0.242 7.92%16-Jun-26 0.05545% 16-Jun-26 0.407563 0.244 7.91%17-Jun-26 0.05545% 17-Jun-26 0.407503 0.247 7.91%18-Jun-26 0.05545% 18-Jun-26 0.407443 0.250 7.90%19-Jun-26 0.05545% 19-Jun-26 0.407384 0.253 7.90%22-Jun-26 0.05545% 22-Jun-26 0.407204 0.261 7.89%23-Jun-26 0.05478% 23-Jun-26 0.407145 0.003 7.89%24-Jun-26 0.05478% 24-Jun-26 0.407085 0.006 7.89%25-Jun-26 0.05478% 25-Jun-26 0.407025 0.008 7.88%26-Jun-26 0.05478% 26-Jun-26 0.406966 0.011 7.88%29-Jun-26 0.05478% 29-Jun-26 0.406787 0.019 7.87%30-Jun-26 0.05478% 30-Jun-26 0.406727 0.022 7.87%

1-Jul-26 0.05478% 1-Jul-26 0.406667 0.025 7.86%2-Jul-26 0.05478% 2-Jul-26 0.406608 0.028 7.86%3-Jul-26 0.05478% 3-Jul-26 0.406548 0.031 7.86%6-Jul-26 0.05478% 6-Jul-26 0.406369 0.039 7.85%7-Jul-26 0.05478% 7-Jul-26 0.406310 0.042 7.85%8-Jul-26 0.05478% 8-Jul-26 0.406250 0.044 7.84%9-Jul-26 0.05478% 9-Jul-26 0.406191 0.047 7.84%

10-Jul-26 0.05478% 10-Jul-26 0.406131 0.050 7.83%13-Jul-26 0.05478% 13-Jul-26 0.405952 0.058 7.83%14-Jul-26 0.05478% 14-Jul-26 0.405893 0.061 7.83%15-Jul-26 0.05478% 15-Jul-26 0.405833 0.064 7.82%16-Jul-26 0.05478% 16-Jul-26 0.405774 0.067 7.82%17-Jul-26 0.05478% 17-Jul-26 0.405714 0.069 7.81%20-Jul-26 0.05478% 20-Jul-26 0.405536 0.078 7.81%21-Jul-26 0.05478% 21-Jul-26 0.405476 0.081 7.80%22-Jul-26 0.05478% 22-Jul-26 0.405417 0.083 7.80%23-Jul-26 0.05478% 23-Jul-26 0.405357 0.086 7.80%24-Jul-26 0.05478% 24-Jul-26 0.405298 0.089 7.79%27-Jul-26 0.05478% 27-Jul-26 0.405119 0.097 7.79%28-Jul-26 0.05478% 28-Jul-26 0.405060 0.100 7.78%29-Jul-26 0.05478% 29-Jul-26 0.405001 0.103 7.78%30-Jul-26 0.05478% 30-Jul-26 0.404941 0.106 7.77%31-Jul-26 0.05478% 31-Jul-26 0.404882 0.108 7.77%3-Aug-26 0.05478% 3-Aug-26 0.404704 0.117 7.77%4-Aug-26 0.05478% 4-Aug-26 0.404644 0.119 7.76%5-Aug-26 0.05478% 5-Aug-26 0.404585 0.122 7.76%6-Aug-26 0.05478% 6-Aug-26 0.404525 0.125 7.75%7-Aug-26 0.05478% 7-Aug-26 0.404466 0.128 7.75%

Page 569: Ch 6 Credit Derivatives

10-Aug-26 0.05478% 10-Aug-26 0.404289 0.136 7.74%11-Aug-26 0.05478% 11-Aug-26 0.404230 0.139 7.74%12-Aug-26 0.05478% 12-Aug-26 0.404171 0.142 7.74%13-Aug-26 0.05478% 13-Aug-26 0.404112 0.144 7.73%14-Aug-26 0.05478% 14-Aug-26 0.404053 0.147 7.73%17-Aug-26 0.05478% 17-Aug-26 0.403876 0.156 7.72%18-Aug-26 0.05478% 18-Aug-26 0.403817 0.158 7.72%19-Aug-26 0.05478% 19-Aug-26 0.403758 0.161 7.71%20-Aug-26 0.05478% 20-Aug-26 0.403699 0.164 7.71%21-Aug-26 0.05478% 21-Aug-26 0.403640 0.167 7.71%24-Aug-26 0.05478% 24-Aug-26 0.403463 0.175 7.70%25-Aug-26 0.05478% 25-Aug-26 0.403404 0.178 7.70%26-Aug-26 0.05478% 26-Aug-26 0.403345 0.181 7.69%27-Aug-26 0.05478% 27-Aug-26 0.403286 0.183 7.69%28-Aug-26 0.05478% 28-Aug-26 0.403227 0.186 7.69%31-Aug-26 0.05478% 31-Aug-26 0.403050 0.194 7.68%

1-Sep-26 0.05478% 1-Sep-26 0.402992 0.197 7.68%2-Sep-26 0.05478% 2-Sep-26 0.402933 0.200 7.67%3-Sep-26 0.05478% 3-Sep-26 0.402874 0.203 7.67%4-Sep-26 0.05478% 4-Sep-26 0.402815 0.206 7.66%7-Sep-26 0.05478% 7-Sep-26 0.402638 0.214 7.66%8-Sep-26 0.05478% 8-Sep-26 0.402579 0.217 7.66%9-Sep-26 0.05478% 9-Sep-26 0.402521 0.219 7.65%

10-Sep-26 0.05478% 10-Sep-26 0.402462 0.222 7.65%11-Sep-26 0.05478% 11-Sep-26 0.402403 0.225 7.64%14-Sep-26 0.05478% 14-Sep-26 0.402226 0.233 7.64%15-Sep-26 0.05478% 15-Sep-26 0.402168 0.236 7.64%16-Sep-26 0.05478% 16-Sep-26 0.402109 0.239 7.63%17-Sep-26 0.05478% 17-Sep-26 0.402050 0.242 7.63%18-Sep-26 0.05478% 18-Sep-26 0.401991 0.244 7.62%21-Sep-26 0.05478% 21-Sep-26 0.401815 0.253 7.62%22-Sep-26 0.05489% 22-Sep-26 0.401756 0.003 7.61%23-Sep-26 0.05489% 23-Sep-26 0.401697 0.006 7.61%24-Sep-26 0.05489% 24-Sep-26 0.401639 0.008 7.61%25-Sep-26 0.05489% 25-Sep-26 0.401580 0.011 7.60%28-Sep-26 0.05489% 28-Sep-26 0.401404 0.019 7.60%29-Sep-26 0.05489% 29-Sep-26 0.401345 0.022 7.59%30-Sep-26 0.05489% 30-Sep-26 0.401286 0.025 7.59%

1-Oct-26 0.05489% 1-Oct-26 0.401228 0.028 7.58%2-Oct-26 0.05489% 2-Oct-26 0.401169 0.031 7.58%5-Oct-26 0.05489% 5-Oct-26 0.400993 0.039 7.58%6-Oct-26 0.05489% 6-Oct-26 0.400934 0.042 7.57%7-Oct-26 0.05489% 7-Oct-26 0.400876 0.044 7.57%8-Oct-26 0.05489% 8-Oct-26 0.400817 0.047 7.56%

Page 570: Ch 6 Credit Derivatives

9-Oct-26 0.05489% 9-Oct-26 0.400758 0.050 7.56%12-Oct-26 0.05489% 12-Oct-26 0.400583 0.058 7.56%13-Oct-26 0.05489% 13-Oct-26 0.400524 0.061 7.55%14-Oct-26 0.05489% 14-Oct-26 0.400465 0.064 7.55%15-Oct-26 0.05489% 15-Oct-26 0.400407 0.067 7.54%16-Oct-26 0.05489% 16-Oct-26 0.400348 0.069 7.54%19-Oct-26 0.05489% 19-Oct-26 0.400172 0.078 7.54%20-Oct-26 0.05489% 20-Oct-26 0.400114 0.081 7.53%21-Oct-26 0.05489% 21-Oct-26 0.400055 0.083 7.53%22-Oct-26 0.05489% 22-Oct-26 0.399997 0.086 7.52%23-Oct-26 0.05489% 23-Oct-26 0.399938 0.089 7.52%26-Oct-26 0.05489% 26-Oct-26 0.399763 0.097 7.51%27-Oct-26 0.05489% 27-Oct-26 0.399704 0.100 7.51%28-Oct-26 0.05489% 28-Oct-26 0.399646 0.103 7.51%29-Oct-26 0.05489% 29-Oct-26 0.399587 0.106 7.50%30-Oct-26 0.05489% 30-Oct-26 0.399529 0.108 7.50%2-Nov-26 0.05489% 2-Nov-26 0.399353 0.117 7.49%3-Nov-26 0.05489% 3-Nov-26 0.399295 0.119 7.49%4-Nov-26 0.05489% 4-Nov-26 0.399236 0.122 7.49%5-Nov-26 0.05489% 5-Nov-26 0.399178 0.125 7.48%6-Nov-26 0.05489% 6-Nov-26 0.399120 0.128 7.48%9-Nov-26 0.05489% 9-Nov-26 0.398945 0.136 7.47%

10-Nov-26 0.05489% 10-Nov-26 0.398887 0.139 7.47%11-Nov-26 0.05489% 11-Nov-26 0.398829 0.142 7.47%12-Nov-26 0.05489% 12-Nov-26 0.398771 0.144 7.46%13-Nov-26 0.05489% 13-Nov-26 0.398713 0.147 7.46%16-Nov-26 0.05489% 16-Nov-26 0.398538 0.156 7.45%17-Nov-26 0.05489% 17-Nov-26 0.398480 0.158 7.45%18-Nov-26 0.05489% 18-Nov-26 0.398422 0.161 7.44%19-Nov-26 0.05489% 19-Nov-26 0.398364 0.164 7.44%20-Nov-26 0.05489% 20-Nov-26 0.398306 0.167 7.44%23-Nov-26 0.05489% 23-Nov-26 0.398132 0.175 7.43%24-Nov-26 0.05489% 24-Nov-26 0.398074 0.178 7.43%25-Nov-26 0.05489% 25-Nov-26 0.398016 0.181 7.42%26-Nov-26 0.05489% 26-Nov-26 0.397958 0.183 7.42%27-Nov-26 0.05489% 27-Nov-26 0.397900 0.186 7.42%30-Nov-26 0.05489% 30-Nov-26 0.397726 0.194 7.41%

1-Dec-26 0.05489% 1-Dec-26 0.397668 0.197 7.41%2-Dec-26 0.05489% 2-Dec-26 0.397610 0.200 7.40%3-Dec-26 0.05489% 3-Dec-26 0.397552 0.203 7.40%4-Dec-26 0.05489% 4-Dec-26 0.397494 0.206 7.40%7-Dec-26 0.05489% 7-Dec-26 0.397320 0.214 7.39%8-Dec-26 0.05489% 8-Dec-26 0.397262 0.217 7.39%9-Dec-26 0.05489% 9-Dec-26 0.397204 0.219 7.38%

Page 571: Ch 6 Credit Derivatives

10-Dec-26 0.05489% 10-Dec-26 0.397146 0.222 7.38%11-Dec-26 0.05489% 11-Dec-26 0.397088 0.225 7.38%14-Dec-26 0.05489% 14-Dec-26 0.396915 0.233 7.37%15-Dec-26 0.05489% 15-Dec-26 0.396857 0.236 7.37%16-Dec-26 0.05489% 16-Dec-26 0.396799 0.239 7.36%17-Dec-26 0.05489% 17-Dec-26 0.396741 0.242 7.36%18-Dec-26 0.05489% 18-Dec-26 0.396683 0.244 7.36%21-Dec-26 0.05489% 21-Dec-26 0.396510 0.253 7.35%22-Dec-26 0.05498% 22-Dec-26 0.396452 0.003 7.35%23-Dec-26 0.05498% 23-Dec-26 0.396394 0.006 7.34%24-Dec-26 0.05498% 24-Dec-26 0.396336 0.008 7.34%25-Dec-26 0.05498% 25-Dec-26 0.396278 0.011 7.34%28-Dec-26 0.05498% 28-Dec-26 0.396105 0.019 7.33%29-Dec-26 0.05498% 29-Dec-26 0.396047 0.022 7.33%30-Dec-26 0.05498% 30-Dec-26 0.395990 0.025 7.32%31-Dec-26 0.05498% 31-Dec-26 0.395932 0.028 7.32%

1-Jan-27 0.05498% 1-Jan-27 0.395874 0.031 7.31%4-Jan-27 0.05498% 4-Jan-27 0.395701 0.039 7.31%5-Jan-27 0.05498% 5-Jan-27 0.395643 0.042 7.31%6-Jan-27 0.05498% 6-Jan-27 0.395585 0.044 7.30%7-Jan-27 0.05498% 7-Jan-27 0.395528 0.047 7.30%8-Jan-27 0.05498% 8-Jan-27 0.395470 0.050 7.29%

11-Jan-27 0.05498% 11-Jan-27 0.395297 0.058 7.29%12-Jan-27 0.05498% 12-Jan-27 0.395239 0.061 7.29%13-Jan-27 0.05498% 13-Jan-27 0.395181 0.064 7.28%14-Jan-27 0.05498% 14-Jan-27 0.395124 0.067 7.28%15-Jan-27 0.05498% 15-Jan-27 0.395066 0.069 7.27%18-Jan-27 0.05498% 18-Jan-27 0.394893 0.078 7.27%19-Jan-27 0.05498% 19-Jan-27 0.394836 0.081 7.27%20-Jan-27 0.05498% 20-Jan-27 0.394778 0.083 7.26%21-Jan-27 0.05498% 21-Jan-27 0.394720 0.086 7.26%22-Jan-27 0.05498% 22-Jan-27 0.394663 0.089 7.25%25-Jan-27 0.05498% 25-Jan-27 0.394490 0.097 7.25%26-Jan-27 0.05498% 26-Jan-27 0.394432 0.100 7.25%27-Jan-27 0.05498% 27-Jan-27 0.394375 0.103 7.24%28-Jan-27 0.05498% 28-Jan-27 0.394317 0.106 7.24%29-Jan-27 0.05498% 29-Jan-27 0.394260 0.108 7.23%1-Feb-27 0.05498% 1-Feb-27 0.394087 0.117 7.23%2-Feb-27 0.05498% 2-Feb-27 0.394029 0.119 7.23%3-Feb-27 0.05498% 3-Feb-27 0.393972 0.122 7.22%4-Feb-27 0.05498% 4-Feb-27 0.393914 0.125 7.22%5-Feb-27 0.05498% 5-Feb-27 0.393857 0.128 7.22%8-Feb-27 0.05498% 8-Feb-27 0.393684 0.136 7.21%9-Feb-27 0.05498% 9-Feb-27 0.393627 0.139 7.21%

Page 572: Ch 6 Credit Derivatives

10-Feb-27 0.05498% 10-Feb-27 0.393570 0.142 7.20%11-Feb-27 0.05498% 11-Feb-27 0.393513 0.144 7.20%12-Feb-27 0.05498% 12-Feb-27 0.393455 0.147 7.20%15-Feb-27 0.05498% 15-Feb-27 0.393284 0.156 7.19%16-Feb-27 0.05498% 16-Feb-27 0.393226 0.158 7.19%17-Feb-27 0.05498% 17-Feb-27 0.393169 0.161 7.18%18-Feb-27 0.05498% 18-Feb-27 0.393112 0.164 7.18%19-Feb-27 0.05498% 19-Feb-27 0.393055 0.167 7.18%22-Feb-27 0.05498% 22-Feb-27 0.392883 0.175 7.17%23-Feb-27 0.05498% 23-Feb-27 0.392826 0.178 7.17%24-Feb-27 0.05498% 24-Feb-27 0.392769 0.181 7.16%25-Feb-27 0.05498% 25-Feb-27 0.392712 0.183 7.16%26-Feb-27 0.05498% 26-Feb-27 0.392655 0.186 7.16%1-Mar-27 0.05498% 1-Mar-27 0.392483 0.194 7.15%2-Mar-27 0.05498% 2-Mar-27 0.392426 0.197 7.15%3-Mar-27 0.05498% 3-Mar-27 0.392369 0.200 7.14%4-Mar-27 0.05498% 4-Mar-27 0.392312 0.203 7.14%5-Mar-27 0.05498% 5-Mar-27 0.392255 0.206 7.14%8-Mar-27 0.05498% 8-Mar-27 0.392084 0.214 7.13%9-Mar-27 0.05498% 9-Mar-27 0.392027 0.217 7.13%

10-Mar-27 0.05498% 10-Mar-27 0.391970 0.219 7.12%11-Mar-27 0.05498% 11-Mar-27 0.391912 0.222 7.12%12-Mar-27 0.05498% 12-Mar-27 0.391855 0.225 7.12%15-Mar-27 0.05498% 15-Mar-27 0.391684 0.233 7.11%16-Mar-27 0.05498% 16-Mar-27 0.391627 0.236 7.11%17-Mar-27 0.05498% 17-Mar-27 0.391570 0.239 7.10%18-Mar-27 0.05498% 18-Mar-27 0.391513 0.242 7.10%19-Mar-27 0.05498% 19-Mar-27 0.391456 0.244 7.10%22-Mar-27 0.05498% 22-Mar-27 0.391285 0.253 7.09%23-Mar-27 0.05504% 23-Mar-27 0.391228 0.003 7.09%24-Mar-27 0.05504% 24-Mar-27 0.391171 0.006 7.09%25-Mar-27 0.05504% 25-Mar-27 0.391115 0.008 7.08%26-Mar-27 0.05504% 26-Mar-27 0.391058 0.011 7.08%29-Mar-27 0.05504% 29-Mar-27 0.390887 0.019 7.07%30-Mar-27 0.05504% 30-Mar-27 0.390830 0.022 7.07%31-Mar-27 0.05504% 31-Mar-27 0.390773 0.025 7.07%

1-Apr-27 0.05504% 1-Apr-27 0.390716 0.028 7.06%2-Apr-27 0.05504% 2-Apr-27 0.390659 0.031 7.06%5-Apr-27 0.05504% 5-Apr-27 0.390488 0.039 7.05%6-Apr-27 0.05504% 6-Apr-27 0.390432 0.042 7.05%7-Apr-27 0.05504% 7-Apr-27 0.390375 0.044 7.05%8-Apr-27 0.05504% 8-Apr-27 0.390318 0.047 7.04%9-Apr-27 0.05504% 9-Apr-27 0.390261 0.050 7.04%

12-Apr-27 0.05504% 12-Apr-27 0.390091 0.058 7.03%

Page 573: Ch 6 Credit Derivatives

13-Apr-27 0.05504% 13-Apr-27 0.390034 0.061 7.03%14-Apr-27 0.05504% 14-Apr-27 0.389977 0.064 7.03%15-Apr-27 0.05504% 15-Apr-27 0.389920 0.067 7.02%16-Apr-27 0.05504% 16-Apr-27 0.389863 0.069 7.02%19-Apr-27 0.05504% 19-Apr-27 0.389693 0.078 7.02%20-Apr-27 0.05504% 20-Apr-27 0.389636 0.081 7.01%21-Apr-27 0.05504% 21-Apr-27 0.389579 0.083 7.01%22-Apr-27 0.05504% 22-Apr-27 0.389523 0.086 7.00%23-Apr-27 0.05504% 23-Apr-27 0.389466 0.089 7.00%26-Apr-27 0.05504% 26-Apr-27 0.389296 0.097 7.00%27-Apr-27 0.05504% 27-Apr-27 0.389239 0.100 6.99%28-Apr-27 0.05504% 28-Apr-27 0.389182 0.103 6.99%29-Apr-27 0.05504% 29-Apr-27 0.389126 0.106 6.98%30-Apr-27 0.05504% 30-Apr-27 0.389069 0.108 6.98%3-May-27 0.05504% 3-May-27 0.388899 0.117 6.98%4-May-27 0.05504% 4-May-27 0.388842 0.119 6.97%5-May-27 0.05504% 5-May-27 0.388785 0.122 6.97%6-May-27 0.05504% 6-May-27 0.388729 0.125 6.97%7-May-27 0.05504% 7-May-27 0.388672 0.128 6.96%

10-May-27 0.05504% 10-May-27 0.388503 0.136 6.96%11-May-27 0.05504% 11-May-27 0.388447 0.139 6.95%12-May-27 0.05504% 12-May-27 0.388391 0.142 6.95%13-May-27 0.05504% 13-May-27 0.388334 0.144 6.95%14-May-27 0.05504% 14-May-27 0.388278 0.147 6.94%17-May-27 0.05504% 17-May-27 0.388109 0.156 6.94%18-May-27 0.05504% 18-May-27 0.388053 0.158 6.93%19-May-27 0.05504% 19-May-27 0.387996 0.161 6.93%20-May-27 0.05504% 20-May-27 0.387940 0.164 6.93%21-May-27 0.05504% 21-May-27 0.387884 0.167 6.92%24-May-27 0.05504% 24-May-27 0.387715 0.175 6.92%25-May-27 0.05504% 25-May-27 0.387658 0.178 6.92%26-May-27 0.05504% 26-May-27 0.387602 0.181 6.91%27-May-27 0.05504% 27-May-27 0.387546 0.183 6.91%28-May-27 0.05504% 28-May-27 0.387490 0.186 6.90%31-May-27 0.05504% 31-May-27 0.387321 0.194 6.90%

1-Jun-27 0.05504% 1-Jun-27 0.387265 0.197 6.90%2-Jun-27 0.05504% 2-Jun-27 0.387209 0.200 6.89%3-Jun-27 0.05504% 3-Jun-27 0.387152 0.203 6.89%4-Jun-27 0.05504% 4-Jun-27 0.387096 0.206 6.89%7-Jun-27 0.05504% 7-Jun-27 0.386928 0.214 6.88%8-Jun-27 0.05504% 8-Jun-27 0.386871 0.217 6.88%9-Jun-27 0.05504% 9-Jun-27 0.386815 0.219 6.87%

10-Jun-27 0.05504% 10-Jun-27 0.386759 0.222 6.87%11-Jun-27 0.05504% 11-Jun-27 0.386703 0.225 6.87%

Page 574: Ch 6 Credit Derivatives

14-Jun-27 0.05504% 14-Jun-27 0.386535 0.233 6.86%15-Jun-27 0.05504% 15-Jun-27 0.386478 0.236 6.86%16-Jun-27 0.05504% 16-Jun-27 0.386422 0.239 6.86%17-Jun-27 0.05504% 17-Jun-27 0.386366 0.242 6.85%18-Jun-27 0.05504% 18-Jun-27 0.386310 0.244 6.85%21-Jun-27 0.05504% 21-Jun-27 0.386142 0.253 6.84%22-Jun-27 0.05507% 22-Jun-27 0.386086 0.003 6.84%23-Jun-27 0.05507% 23-Jun-27 0.386030 0.006 6.84%24-Jun-27 0.05507% 24-Jun-27 0.385974 0.008 6.83%25-Jun-27 0.05507% 25-Jun-27 0.385918 0.011 6.83%28-Jun-27 0.05507% 28-Jun-27 0.385749 0.019 6.82%29-Jun-27 0.05507% 29-Jun-27 0.385693 0.022 6.82%30-Jun-27 0.05507% 30-Jun-27 0.385637 0.025 6.82%

1-Jul-27 0.05507% 1-Jul-27 0.385581 0.028 6.81%2-Jul-27 0.05507% 2-Jul-27 0.385525 0.031 6.81%5-Jul-27 0.05507% 5-Jul-27 0.385357 0.039 6.81%6-Jul-27 0.05507% 6-Jul-27 0.385301 0.042 6.80%7-Jul-27 0.05507% 7-Jul-27 0.385246 0.044 6.80%8-Jul-27 0.05507% 8-Jul-27 0.385190 0.047 6.79%9-Jul-27 0.05507% 9-Jul-27 0.385134 0.050 6.79%

12-Jul-27 0.05507% 12-Jul-27 0.384966 0.058 6.79%13-Jul-27 0.05507% 13-Jul-27 0.384910 0.061 6.78%14-Jul-27 0.05507% 14-Jul-27 0.384854 0.064 6.78%15-Jul-27 0.05507% 15-Jul-27 0.384798 0.067 6.78%16-Jul-27 0.05507% 16-Jul-27 0.384742 0.069 6.77%19-Jul-27 0.05507% 19-Jul-27 0.384574 0.078 6.77%20-Jul-27 0.05507% 20-Jul-27 0.384519 0.081 6.77%21-Jul-27 0.05507% 21-Jul-27 0.384463 0.083 6.76%22-Jul-27 0.05507% 22-Jul-27 0.384407 0.086 6.76%23-Jul-27 0.05507% 23-Jul-27 0.384351 0.089 6.75%26-Jul-27 0.05507% 26-Jul-27 0.384183 0.097 6.75%27-Jul-27 0.05507% 27-Jul-27 0.384128 0.100 6.75%28-Jul-27 0.05507% 28-Jul-27 0.384072 0.103 6.74%29-Jul-27 0.05507% 29-Jul-27 0.384016 0.106 6.74%30-Jul-27 0.05507% 30-Jul-27 0.383960 0.108 6.74%2-Aug-27 0.05507% 2-Aug-27 0.383793 0.117 6.73%3-Aug-27 0.05507% 3-Aug-27 0.383737 0.119 6.73%4-Aug-27 0.05507% 4-Aug-27 0.383681 0.122 6.72%5-Aug-27 0.05507% 5-Aug-27 0.383625 0.125 6.72%6-Aug-27 0.05507% 6-Aug-27 0.383570 0.128 6.72%9-Aug-27 0.05507% 9-Aug-27 0.383403 0.136 6.71%

10-Aug-27 0.05507% 10-Aug-27 0.383348 0.139 6.71%11-Aug-27 0.05507% 11-Aug-27 0.383292 0.142 6.71%12-Aug-27 0.05507% 12-Aug-27 0.383237 0.144 6.70%

Page 575: Ch 6 Credit Derivatives

13-Aug-27 0.05507% 13-Aug-27 0.383181 0.147 6.70%16-Aug-27 0.05507% 16-Aug-27 0.383015 0.156 6.69%17-Aug-27 0.05507% 17-Aug-27 0.382959 0.158 6.69%18-Aug-27 0.05507% 18-Aug-27 0.382904 0.161 6.69%19-Aug-27 0.05507% 19-Aug-27 0.382848 0.164 6.68%20-Aug-27 0.05507% 20-Aug-27 0.382793 0.167 6.68%23-Aug-27 0.05507% 23-Aug-27 0.382627 0.175 6.68%24-Aug-27 0.05507% 24-Aug-27 0.382571 0.178 6.67%25-Aug-27 0.05507% 25-Aug-27 0.382516 0.181 6.67%26-Aug-27 0.05507% 26-Aug-27 0.382461 0.183 6.67%27-Aug-27 0.05507% 27-Aug-27 0.382405 0.186 6.66%30-Aug-27 0.05507% 30-Aug-27 0.382239 0.194 6.66%31-Aug-27 0.05507% 31-Aug-27 0.382184 0.197 6.65%

1-Sep-27 0.05507% 1-Sep-27 0.382128 0.200 6.65%2-Sep-27 0.05507% 2-Sep-27 0.382073 0.203 6.65%3-Sep-27 0.05507% 3-Sep-27 0.382018 0.206 6.64%6-Sep-27 0.05507% 6-Sep-27 0.381852 0.214 6.64%7-Sep-27 0.05507% 7-Sep-27 0.381796 0.217 6.64%8-Sep-27 0.05507% 8-Sep-27 0.381741 0.219 6.63%9-Sep-27 0.05507% 9-Sep-27 0.381686 0.222 6.63%

10-Sep-27 0.05507% 10-Sep-27 0.381631 0.225 6.62%13-Sep-27 0.05507% 13-Sep-27 0.381465 0.233 6.62%14-Sep-27 0.05507% 14-Sep-27 0.381410 0.236 6.62%15-Sep-27 0.05507% 15-Sep-27 0.381354 0.239 6.61%16-Sep-27 0.05507% 16-Sep-27 0.381299 0.242 6.61%17-Sep-27 0.05507% 17-Sep-27 0.381244 0.244 6.61%20-Sep-27 0.05507% 20-Sep-27 0.381078 0.253 6.60%21-Sep-27 0.05507% 21-Sep-27 0.381023 0.003 6.60%22-Sep-27 0.05507% 22-Sep-27 0.380968 0.006 6.60%23-Sep-27 0.05507% 23-Sep-27 0.380913 0.008 6.59%24-Sep-27 0.05507% 24-Sep-27 0.380857 0.011 6.59%27-Sep-27 0.05507% 27-Sep-27 0.380692 0.019 6.58%28-Sep-27 0.05507% 28-Sep-27 0.380637 0.022 6.58%29-Sep-27 0.05507% 29-Sep-27 0.380582 0.025 6.58%30-Sep-27 0.05507% 30-Sep-27 0.380526 0.028 6.57%

1-Oct-27 0.05507% 1-Oct-27 0.380471 0.031 6.57%4-Oct-27 0.05507% 4-Oct-27 0.380306 0.039 6.57%5-Oct-27 0.05507% 5-Oct-27 0.380251 0.042 6.56%6-Oct-27 0.05507% 6-Oct-27 0.380196 0.044 6.56%7-Oct-27 0.05507% 7-Oct-27 0.380141 0.047 6.56%8-Oct-27 0.05507% 8-Oct-27 0.380085 0.050 6.55%

11-Oct-27 0.05507% 11-Oct-27 0.379920 0.058 6.55%12-Oct-27 0.05507% 12-Oct-27 0.379865 0.061 6.55%13-Oct-27 0.05507% 13-Oct-27 0.379810 0.064 6.54%

Page 576: Ch 6 Credit Derivatives

14-Oct-27 0.05507% 14-Oct-27 0.379755 0.067 6.54%15-Oct-27 0.05507% 15-Oct-27 0.379700 0.069 6.53%18-Oct-27 0.05507% 18-Oct-27 0.379535 0.078 6.53%19-Oct-27 0.05507% 19-Oct-27 0.379480 0.081 6.53%20-Oct-27 0.05507% 20-Oct-27 0.379425 0.083 6.52%21-Oct-27 0.05507% 21-Oct-27 0.379370 0.086 6.52%22-Oct-27 0.05507% 22-Oct-27 0.379315 0.089 6.52%25-Oct-27 0.05507% 25-Oct-27 0.379150 0.097 6.51%26-Oct-27 0.05507% 26-Oct-27 0.379095 0.100 6.51%27-Oct-27 0.05507% 27-Oct-27 0.379040 0.103 6.51%28-Oct-27 0.05507% 28-Oct-27 0.378985 0.106 6.50%29-Oct-27 0.05507% 29-Oct-27 0.378930 0.108 6.50%1-Nov-27 0.05507% 1-Nov-27 0.378765 0.117 6.49%2-Nov-27 0.05507% 2-Nov-27 0.378710 0.119 6.49%3-Nov-27 0.05507% 3-Nov-27 0.378655 0.122 6.49%4-Nov-27 0.05507% 4-Nov-27 0.378601 0.125 6.48%5-Nov-27 0.05507% 5-Nov-27 0.378546 0.128 6.48%8-Nov-27 0.05507% 8-Nov-27 0.378381 0.136 6.48%9-Nov-27 0.05507% 9-Nov-27 0.378326 0.139 6.47%

10-Nov-27 0.05507% 10-Nov-27 0.378272 0.142 6.47%11-Nov-27 0.05507% 11-Nov-27 0.378217 0.144 6.47%12-Nov-27 0.05507% 12-Nov-27 0.378162 0.147 6.46%15-Nov-27 0.05507% 15-Nov-27 0.377998 0.156 6.46%16-Nov-27 0.05507% 16-Nov-27 0.377944 0.158 6.46%17-Nov-27 0.05507% 17-Nov-27 0.377889 0.161 6.45%18-Nov-27 0.05507% 18-Nov-27 0.377835 0.164 6.45%19-Nov-27 0.05507% 19-Nov-27 0.377780 0.167 6.44%22-Nov-27 0.05507% 22-Nov-27 0.377616 0.175 6.44%23-Nov-27 0.05507% 23-Nov-27 0.377562 0.178 6.44%24-Nov-27 0.05507% 24-Nov-27 0.377507 0.181 6.43%25-Nov-27 0.05507% 25-Nov-27 0.377453 0.183 6.43%26-Nov-27 0.05507% 26-Nov-27 0.377398 0.186 6.43%29-Nov-27 0.05507% 29-Nov-27 0.377234 0.194 6.42%30-Nov-27 0.05507% 30-Nov-27 0.377180 0.197 6.42%

1-Dec-27 0.05507% 1-Dec-27 0.377125 0.200 6.42%2-Dec-27 0.05507% 2-Dec-27 0.377071 0.203 6.41%3-Dec-27 0.05507% 3-Dec-27 0.377016 0.206 6.41%6-Dec-27 0.05507% 6-Dec-27 0.376853 0.214 6.41%7-Dec-27 0.05507% 7-Dec-27 0.376798 0.217 6.40%8-Dec-27 0.05507% 8-Dec-27 0.376744 0.219 6.40%9-Dec-27 0.05507% 9-Dec-27 0.376689 0.222 6.40%

10-Dec-27 0.05507% 10-Dec-27 0.376635 0.225 6.39%13-Dec-27 0.05507% 13-Dec-27 0.376472 0.233 6.39%14-Dec-27 0.05507% 14-Dec-27 0.376417 0.236 6.38%

Page 577: Ch 6 Credit Derivatives

15-Dec-27 0.05507% 15-Dec-27 0.376363 0.239 6.38%16-Dec-27 0.05507% 16-Dec-27 0.376308 0.242 6.38%17-Dec-27 0.05507% 17-Dec-27 0.376254 0.244 6.37%20-Dec-27 0.05507% 20-Dec-27 0.376091 0.253 6.37%21-Dec-27 0.05503% 21-Dec-27 0.376036 0.003 6.37%22-Dec-27 0.05503% 22-Dec-27 0.375982 0.006 6.36%23-Dec-27 0.05503% 23-Dec-27 0.375928 0.008 6.36%24-Dec-27 0.05503% 24-Dec-27 0.375873 0.011 6.36%27-Dec-27 0.05503% 27-Dec-27 0.375710 0.019 6.35%28-Dec-27 0.05503% 28-Dec-27 0.375656 0.022 6.35%29-Dec-27 0.05503% 29-Dec-27 0.375602 0.025 6.35%30-Dec-27 0.05503% 30-Dec-27 0.375547 0.028 6.34%31-Dec-27 0.05503% 31-Dec-27 0.375493 0.031 6.34%

3-Jan-28 0.05503% 3-Jan-28 0.375330 0.039 6.34%4-Jan-28 0.05503% 4-Jan-28 0.375276 0.042 6.33%5-Jan-28 0.05503% 5-Jan-28 0.375221 0.044 6.33%6-Jan-28 0.05503% 6-Jan-28 0.375167 0.047 6.33%7-Jan-28 0.05503% 7-Jan-28 0.375113 0.050 6.32%

10-Jan-28 0.05503% 10-Jan-28 0.374950 0.058 6.32%11-Jan-28 0.05503% 11-Jan-28 0.374896 0.061 6.31%12-Jan-28 0.05503% 12-Jan-28 0.374842 0.064 6.31%13-Jan-28 0.05503% 13-Jan-28 0.374788 0.067 6.31%14-Jan-28 0.05503% 14-Jan-28 0.374733 0.069 6.30%17-Jan-28 0.05503% 17-Jan-28 0.374571 0.078 6.30%18-Jan-28 0.05503% 18-Jan-28 0.374516 0.081 6.30%19-Jan-28 0.05503% 19-Jan-28 0.374462 0.083 6.29%20-Jan-28 0.05503% 20-Jan-28 0.374408 0.086 6.29%21-Jan-28 0.05503% 21-Jan-28 0.374354 0.089 6.29%24-Jan-28 0.05503% 24-Jan-28 0.374191 0.097 6.28%25-Jan-28 0.05503% 25-Jan-28 0.374137 0.100 6.28%26-Jan-28 0.05503% 26-Jan-28 0.374083 0.103 6.28%27-Jan-28 0.05503% 27-Jan-28 0.374029 0.106 6.27%28-Jan-28 0.05503% 28-Jan-28 0.373975 0.108 6.27%31-Jan-28 0.05503% 31-Jan-28 0.373813 0.117 6.27%1-Feb-28 0.05503% 1-Feb-28 0.373759 0.119 6.26%2-Feb-28 0.05503% 2-Feb-28 0.373704 0.122 6.26%3-Feb-28 0.05503% 3-Feb-28 0.373650 0.125 6.26%4-Feb-28 0.05503% 4-Feb-28 0.373596 0.128 6.25%7-Feb-28 0.05503% 7-Feb-28 0.373434 0.136 6.25%8-Feb-28 0.05503% 8-Feb-28 0.373380 0.139 6.25%9-Feb-28 0.05503% 9-Feb-28 0.373326 0.142 6.24%

10-Feb-28 0.05503% 10-Feb-28 0.373273 0.144 6.24%11-Feb-28 0.05503% 11-Feb-28 0.373219 0.147 6.24%14-Feb-28 0.05503% 14-Feb-28 0.373057 0.156 6.23%

Page 578: Ch 6 Credit Derivatives

15-Feb-28 0.05503% 15-Feb-28 0.373003 0.158 6.23%16-Feb-28 0.05503% 16-Feb-28 0.372950 0.161 6.23%17-Feb-28 0.05503% 17-Feb-28 0.372896 0.164 6.22%18-Feb-28 0.05503% 18-Feb-28 0.372842 0.167 6.22%21-Feb-28 0.05503% 21-Feb-28 0.372681 0.175 6.21%22-Feb-28 0.05503% 22-Feb-28 0.372627 0.178 6.21%23-Feb-28 0.05503% 23-Feb-28 0.372573 0.181 6.21%24-Feb-28 0.05503% 24-Feb-28 0.372520 0.183 6.20%25-Feb-28 0.05503% 25-Feb-28 0.372466 0.186 6.20%28-Feb-28 0.05503% 28-Feb-28 0.372305 0.194 6.20%29-Feb-28 0.05503% 29-Feb-28 0.372251 0.197 6.19%1-Mar-28 0.05503% 1-Mar-28 0.372197 0.200 6.19%2-Mar-28 0.05503% 2-Mar-28 0.372144 0.203 6.19%3-Mar-28 0.05503% 3-Mar-28 0.372090 0.206 6.18%6-Mar-28 0.05503% 6-Mar-28 0.371929 0.214 6.18%7-Mar-28 0.05503% 7-Mar-28 0.371875 0.217 6.18%8-Mar-28 0.05503% 8-Mar-28 0.371822 0.219 6.17%9-Mar-28 0.05503% 9-Mar-28 0.371768 0.222 6.17%

10-Mar-28 0.05503% 10-Mar-28 0.371714 0.225 6.17%13-Mar-28 0.05503% 13-Mar-28 0.371553 0.233 6.16%14-Mar-28 0.05503% 14-Mar-28 0.371500 0.236 6.16%15-Mar-28 0.05503% 15-Mar-28 0.371446 0.239 6.16%16-Mar-28 0.05503% 16-Mar-28 0.371393 0.242 6.15%17-Mar-28 0.05503% 17-Mar-28 0.371339 0.244 6.15%20-Mar-28 0.05503% 20-Mar-28 0.371178 0.253 6.15%21-Mar-28 0.05468% 21-Mar-28 0.371125 0.003 6.14%22-Mar-28 0.05468% 22-Mar-28 0.371071 0.006 6.14%23-Mar-28 0.05468% 23-Mar-28 0.371018 0.008 6.14%24-Mar-28 0.05468% 24-Mar-28 0.370964 0.011 6.13%27-Mar-28 0.05468% 27-Mar-28 0.370803 0.019 6.13%28-Mar-28 0.05468% 28-Mar-28 0.370750 0.022 6.13%29-Mar-28 0.05468% 29-Mar-28 0.370696 0.025 6.12%30-Mar-28 0.05468% 30-Mar-28 0.370643 0.028 6.12%31-Mar-28 0.05468% 31-Mar-28 0.370589 0.031 6.12%

3-Apr-28 0.05468% 3-Apr-28 0.370429 0.039 6.11%4-Apr-28 0.05468% 4-Apr-28 0.370376 0.042 6.11%5-Apr-28 0.05468% 5-Apr-28 0.370322 0.044 6.11%6-Apr-28 0.05468% 6-Apr-28 0.370269 0.047 6.10%7-Apr-28 0.05468% 7-Apr-28 0.370215 0.050 6.10%

10-Apr-28 0.05468% 10-Apr-28 0.370055 0.058 6.10%11-Apr-28 0.05468% 11-Apr-28 0.370001 0.061 6.09%12-Apr-28 0.05468% 12-Apr-28 0.369948 0.064 6.09%13-Apr-28 0.05468% 13-Apr-28 0.369895 0.067 6.09%14-Apr-28 0.05468% 14-Apr-28 0.369841 0.069 6.08%

Page 579: Ch 6 Credit Derivatives

17-Apr-28 0.05468% 17-Apr-28 0.369681 0.078 6.08%18-Apr-28 0.05468% 18-Apr-28 0.369628 0.081 6.08%19-Apr-28 0.05468% 19-Apr-28 0.369574 0.083 6.07%20-Apr-28 0.05468% 20-Apr-28 0.369521 0.086 6.07%21-Apr-28 0.05468% 21-Apr-28 0.369468 0.089 6.07%24-Apr-28 0.05468% 24-Apr-28 0.369308 0.097 6.06%25-Apr-28 0.05468% 25-Apr-28 0.369254 0.100 6.06%26-Apr-28 0.05468% 26-Apr-28 0.369201 0.103 6.06%27-Apr-28 0.05468% 27-Apr-28 0.369148 0.106 6.05%28-Apr-28 0.05468% 28-Apr-28 0.369094 0.108 6.05%1-May-28 0.05468% 1-May-28 0.368934 0.117 6.05%2-May-28 0.05468% 2-May-28 0.368881 0.119 6.04%3-May-28 0.05468% 3-May-28 0.368828 0.122 6.04%4-May-28 0.05468% 4-May-28 0.368775 0.125 6.04%5-May-28 0.05468% 5-May-28 0.368721 0.128 6.03%8-May-28 0.05468% 8-May-28 0.368562 0.136 6.03%9-May-28 0.05468% 9-May-28 0.368509 0.139 6.03%

10-May-28 0.05468% 10-May-28 0.368456 0.142 6.02%11-May-28 0.05468% 11-May-28 0.368403 0.144 6.02%12-May-28 0.05468% 12-May-28 0.368350 0.147 6.02%15-May-28 0.05468% 15-May-28 0.368191 0.156 6.01%16-May-28 0.05468% 16-May-28 0.368138 0.158 6.01%17-May-28 0.05468% 17-May-28 0.368085 0.161 6.01%18-May-28 0.05468% 18-May-28 0.368032 0.164 6.00%19-May-28 0.05468% 19-May-28 0.367979 0.167 6.00%22-May-28 0.05468% 22-May-28 0.367820 0.175 6.00%23-May-28 0.05468% 23-May-28 0.367767 0.178 5.99%24-May-28 0.05468% 24-May-28 0.367714 0.181 5.99%25-May-28 0.05468% 25-May-28 0.367661 0.183 5.99%26-May-28 0.05468% 26-May-28 0.367608 0.186 5.98%29-May-28 0.05468% 29-May-28 0.367449 0.194 5.98%30-May-28 0.05468% 30-May-28 0.367396 0.197 5.98%31-May-28 0.05468% 31-May-28 0.367343 0.200 5.97%

1-Jun-28 0.05468% 1-Jun-28 0.367291 0.203 5.97%2-Jun-28 0.05468% 2-Jun-28 0.367238 0.206 5.97%5-Jun-28 0.05468% 5-Jun-28 0.367079 0.214 5.96%6-Jun-28 0.05468% 6-Jun-28 0.367026 0.217 5.96%7-Jun-28 0.05468% 7-Jun-28 0.366973 0.219 5.96%8-Jun-28 0.05468% 8-Jun-28 0.366921 0.222 5.95%9-Jun-28 0.05468% 9-Jun-28 0.366868 0.225 5.95%

12-Jun-28 0.05468% 12-Jun-28 0.366709 0.233 5.95%13-Jun-28 0.05468% 13-Jun-28 0.366657 0.236 5.95%14-Jun-28 0.05468% 14-Jun-28 0.366604 0.239 5.94%15-Jun-28 0.05468% 15-Jun-28 0.366551 0.242 5.94%

Page 580: Ch 6 Credit Derivatives

16-Jun-28 0.05468% 16-Jun-28 0.366498 0.244 5.94%19-Jun-28 0.05468% 19-Jun-28 0.366340 0.253 5.93%20-Jun-28 0.05468% 20-Jun-28 0.366287 0.256 5.93%21-Jun-28 0.05464% 21-Jun-28 0.366234 0.003 5.93%22-Jun-28 0.05464% 22-Jun-28 0.366182 0.006 5.92%23-Jun-28 0.05464% 23-Jun-28 0.366129 0.008 5.92%26-Jun-28 0.05464% 26-Jun-28 0.365971 0.017 5.92%27-Jun-28 0.05464% 27-Jun-28 0.365918 0.019 5.91%28-Jun-28 0.05464% 28-Jun-28 0.365865 0.022 5.91%29-Jun-28 0.05464% 29-Jun-28 0.365813 0.025 5.91%30-Jun-28 0.05464% 30-Jun-28 0.365760 0.028 5.90%

3-Jul-28 0.05464% 3-Jul-28 0.365602 0.036 5.90%4-Jul-28 0.05464% 4-Jul-28 0.365549 0.039 5.90%5-Jul-28 0.05464% 5-Jul-28 0.365497 0.042 5.89%6-Jul-28 0.05464% 6-Jul-28 0.365444 0.044 5.89%7-Jul-28 0.05464% 7-Jul-28 0.365391 0.047 5.89%

10-Jul-28 0.05464% 10-Jul-28 0.365233 0.056 5.88%11-Jul-28 0.05464% 11-Jul-28 0.365181 0.058 5.88%12-Jul-28 0.05464% 12-Jul-28 0.365128 0.061 5.88%13-Jul-28 0.05464% 13-Jul-28 0.365076 0.064 5.87%14-Jul-28 0.05464% 14-Jul-28 0.365023 0.067 5.87%17-Jul-28 0.05464% 17-Jul-28 0.364865 0.075 5.87%18-Jul-28 0.05464% 18-Jul-28 0.364813 0.078 5.86%19-Jul-28 0.05464% 19-Jul-28 0.364760 0.081 5.86%20-Jul-28 0.05464% 20-Jul-28 0.364708 0.083 5.86%21-Jul-28 0.05464% 21-Jul-28 0.364655 0.086 5.85%24-Jul-28 0.05464% 24-Jul-28 0.364497 0.094 5.85%25-Jul-28 0.05464% 25-Jul-28 0.364445 0.097 5.85%26-Jul-28 0.05464% 26-Jul-28 0.364392 0.100 5.85%27-Jul-28 0.05464% 27-Jul-28 0.364340 0.103 5.84%28-Jul-28 0.05464% 28-Jul-28 0.364287 0.106 5.84%31-Jul-28 0.05464% 31-Jul-28 0.364130 0.114 5.84%1-Aug-28 0.05464% 1-Aug-28 0.364077 0.117 5.83%2-Aug-28 0.05464% 2-Aug-28 0.364025 0.119 5.83%3-Aug-28 0.05464% 3-Aug-28 0.363973 0.122 5.83%4-Aug-28 0.05464% 4-Aug-28 0.363920 0.125 5.82%7-Aug-28 0.05464% 7-Aug-28 0.363763 0.133 5.82%8-Aug-28 0.05464% 8-Aug-28 0.363711 0.136 5.82%9-Aug-28 0.05464% 9-Aug-28 0.363658 0.139 5.81%

10-Aug-28 0.05464% 10-Aug-28 0.363606 0.142 5.81%11-Aug-28 0.05464% 11-Aug-28 0.363554 0.144 5.81%14-Aug-28 0.05464% 14-Aug-28 0.363397 0.153 5.80%15-Aug-28 0.05464% 15-Aug-28 0.363345 0.156 5.80%16-Aug-28 0.05464% 16-Aug-28 0.363293 0.158 5.80%

Page 581: Ch 6 Credit Derivatives

17-Aug-28 0.05464% 17-Aug-28 0.363241 0.161 5.79%18-Aug-28 0.05464% 18-Aug-28 0.363189 0.164 5.79%21-Aug-28 0.05464% 21-Aug-28 0.363032 0.172 5.79%22-Aug-28 0.05464% 22-Aug-28 0.362980 0.175 5.78%23-Aug-28 0.05464% 23-Aug-28 0.362928 0.178 5.78%24-Aug-28 0.05464% 24-Aug-28 0.362876 0.181 5.78%25-Aug-28 0.05464% 25-Aug-28 0.362824 0.183 5.78%28-Aug-28 0.05464% 28-Aug-28 0.362667 0.192 5.77%29-Aug-28 0.05464% 29-Aug-28 0.362615 0.194 5.77%30-Aug-28 0.05464% 30-Aug-28 0.362563 0.197 5.77%31-Aug-28 0.05464% 31-Aug-28 0.362511 0.200 5.76%

1-Sep-28 0.05464% 1-Sep-28 0.362459 0.203 5.76%4-Sep-28 0.05464% 4-Sep-28 0.362303 0.211 5.76%5-Sep-28 0.05464% 5-Sep-28 0.362251 0.214 5.75%6-Sep-28 0.05464% 6-Sep-28 0.362199 0.217 5.75%7-Sep-28 0.05464% 7-Sep-28 0.362147 0.219 5.75%8-Sep-28 0.05464% 8-Sep-28 0.362095 0.222 5.74%

11-Sep-28 0.05464% 11-Sep-28 0.361939 0.231 5.74%12-Sep-28 0.05464% 12-Sep-28 0.361887 0.233 5.74%13-Sep-28 0.05464% 13-Sep-28 0.361835 0.236 5.73%14-Sep-28 0.05464% 14-Sep-28 0.361783 0.239 5.73%15-Sep-28 0.05464% 15-Sep-28 0.361731 0.242 5.73%18-Sep-28 0.05464% 18-Sep-28 0.361575 0.250 5.73%19-Sep-28 0.05464% 19-Sep-28 0.361523 0.253 5.72%20-Sep-28 0.05464% 20-Sep-28 0.361471 0.256 5.72%21-Sep-28 0.05487% 21-Sep-28 0.361419 0.003 5.72%22-Sep-28 0.05487% 22-Sep-28 0.361367 0.006 5.71%25-Sep-28 0.05487% 25-Sep-28 0.361211 0.014 5.71%26-Sep-28 0.05487% 26-Sep-28 0.361159 0.017 5.71%27-Sep-28 0.05487% 27-Sep-28 0.361107 0.019 5.70%28-Sep-28 0.05487% 28-Sep-28 0.361055 0.022 5.70%29-Sep-28 0.05487% 29-Sep-28 0.361004 0.025 5.70%

2-Oct-28 0.05487% 2-Oct-28 0.360848 0.033 5.69%3-Oct-28 0.05487% 3-Oct-28 0.360796 0.036 5.69%4-Oct-28 0.05487% 4-Oct-28 0.360744 0.039 5.69%5-Oct-28 0.05487% 5-Oct-28 0.360692 0.042 5.68%6-Oct-28 0.05487% 6-Oct-28 0.360641 0.044 5.68%9-Oct-28 0.05487% 9-Oct-28 0.360485 0.053 5.68%

10-Oct-28 0.05487% 10-Oct-28 0.360433 0.056 5.68%11-Oct-28 0.05487% 11-Oct-28 0.360381 0.058 5.67%12-Oct-28 0.05487% 12-Oct-28 0.360330 0.061 5.67%13-Oct-28 0.05487% 13-Oct-28 0.360278 0.064 5.67%16-Oct-28 0.05487% 16-Oct-28 0.360122 0.072 5.66%17-Oct-28 0.05487% 17-Oct-28 0.360071 0.075 5.66%

Page 582: Ch 6 Credit Derivatives

18-Oct-28 0.05487% 18-Oct-28 0.360019 0.078 5.66%19-Oct-28 0.05487% 19-Oct-28 0.359967 0.081 5.65%20-Oct-28 0.05487% 20-Oct-28 0.359915 0.083 5.65%23-Oct-28 0.05487% 23-Oct-28 0.359760 0.092 5.65%24-Oct-28 0.05487% 24-Oct-28 0.359708 0.094 5.64%25-Oct-28 0.05487% 25-Oct-28 0.359657 0.097 5.64%26-Oct-28 0.05487% 26-Oct-28 0.359605 0.100 5.64%27-Oct-28 0.05487% 27-Oct-28 0.359553 0.103 5.63%30-Oct-28 0.05487% 30-Oct-28 0.359398 0.111 5.63%31-Oct-28 0.05487% 31-Oct-28 0.359347 0.114 5.63%1-Nov-28 0.05487% 1-Nov-28 0.359295 0.117 5.63%2-Nov-28 0.05487% 2-Nov-28 0.359243 0.119 5.62%3-Nov-28 0.05487% 3-Nov-28 0.359192 0.122 5.62%6-Nov-28 0.05487% 6-Nov-28 0.359037 0.131 5.62%7-Nov-28 0.05487% 7-Nov-28 0.358985 0.133 5.61%8-Nov-28 0.05487% 8-Nov-28 0.358934 0.136 5.61%9-Nov-28 0.05487% 9-Nov-28 0.358882 0.139 5.61%

10-Nov-28 0.05487% 10-Nov-28 0.358831 0.142 5.60%13-Nov-28 0.05487% 13-Nov-28 0.358677 0.150 5.60%14-Nov-28 0.05487% 14-Nov-28 0.358625 0.153 5.60%15-Nov-28 0.05487% 15-Nov-28 0.358574 0.156 5.59%16-Nov-28 0.05487% 16-Nov-28 0.358523 0.158 5.59%17-Nov-28 0.05487% 17-Nov-28 0.358471 0.161 5.59%20-Nov-28 0.05487% 20-Nov-28 0.358317 0.169 5.59%21-Nov-28 0.05487% 21-Nov-28 0.358266 0.172 5.58%22-Nov-28 0.05487% 22-Nov-28 0.358214 0.175 5.58%23-Nov-28 0.05487% 23-Nov-28 0.358163 0.178 5.58%24-Nov-28 0.05487% 24-Nov-28 0.358112 0.181 5.57%27-Nov-28 0.05487% 27-Nov-28 0.357958 0.189 5.57%28-Nov-28 0.05487% 28-Nov-28 0.357907 0.192 5.57%29-Nov-28 0.05487% 29-Nov-28 0.357855 0.194 5.56%30-Nov-28 0.05487% 30-Nov-28 0.357804 0.197 5.56%

1-Dec-28 0.05487% 1-Dec-28 0.357753 0.200 5.56%4-Dec-28 0.05487% 4-Dec-28 0.357599 0.208 5.55%5-Dec-28 0.05487% 5-Dec-28 0.357548 0.211 5.55%6-Dec-28 0.05487% 6-Dec-28 0.357496 0.214 5.55%7-Dec-28 0.05487% 7-Dec-28 0.357445 0.217 5.55%8-Dec-28 0.05487% 8-Dec-28 0.357394 0.219 5.54%

11-Dec-28 0.05487% 11-Dec-28 0.357240 0.228 5.54%12-Dec-28 0.05487% 12-Dec-28 0.357189 0.231 5.54%13-Dec-28 0.05487% 13-Dec-28 0.357138 0.233 5.53%14-Dec-28 0.05487% 14-Dec-28 0.357087 0.236 5.53%15-Dec-28 0.05487% 15-Dec-28 0.357035 0.239 5.53%18-Dec-28 0.05487% 18-Dec-28 0.356882 0.247 5.52%

Page 583: Ch 6 Credit Derivatives

19-Dec-28 0.05487% 19-Dec-28 0.356831 0.250 5.52%20-Dec-28 0.05487% 20-Dec-28 0.356780 0.253 5.52%21-Dec-28 0.05509% 21-Dec-28 0.356729 0.003 5.52%22-Dec-28 0.05509% 22-Dec-28 0.356677 0.006 5.51%25-Dec-28 0.05509% 25-Dec-28 0.356524 0.014 5.51%26-Dec-28 0.05509% 26-Dec-28 0.356473 0.017 5.51%27-Dec-28 0.05509% 27-Dec-28 0.356422 0.019 5.50%28-Dec-28 0.05509% 28-Dec-28 0.356371 0.022 5.50%29-Dec-28 0.05509% 29-Dec-28 0.356320 0.025 5.50%

1-Jan-29 0.05509% 1-Jan-29 0.356166 0.033 5.49%2-Jan-29 0.05509% 2-Jan-29 0.356115 0.036 5.49%3-Jan-29 0.05509% 3-Jan-29 0.356064 0.039 5.49%4-Jan-29 0.05509% 4-Jan-29 0.356013 0.042 5.49%5-Jan-29 0.05509% 5-Jan-29 0.355962 0.044 5.48%8-Jan-29 0.05509% 8-Jan-29 0.355809 0.053 5.48%9-Jan-29 0.05509% 9-Jan-29 0.355758 0.056 5.48%

10-Jan-29 0.05509% 10-Jan-29 0.355707 0.058 5.47%11-Jan-29 0.05509% 11-Jan-29 0.355656 0.061 5.47%12-Jan-29 0.05509% 12-Jan-29 0.355605 0.064 5.47%15-Jan-29 0.05509% 15-Jan-29 0.355452 0.072 5.46%16-Jan-29 0.05509% 16-Jan-29 0.355401 0.075 5.46%17-Jan-29 0.05509% 17-Jan-29 0.355350 0.078 5.46%18-Jan-29 0.05509% 18-Jan-29 0.355299 0.081 5.45%19-Jan-29 0.05509% 19-Jan-29 0.355248 0.083 5.45%22-Jan-29 0.05509% 22-Jan-29 0.355095 0.092 5.45%23-Jan-29 0.05509% 23-Jan-29 0.355044 0.094 5.45%24-Jan-29 0.05509% 24-Jan-29 0.354993 0.097 5.44%25-Jan-29 0.05509% 25-Jan-29 0.354942 0.100 5.44%26-Jan-29 0.05509% 26-Jan-29 0.354892 0.103 5.44%29-Jan-29 0.05509% 29-Jan-29 0.354739 0.111 5.43%30-Jan-29 0.05509% 30-Jan-29 0.354688 0.114 5.43%31-Jan-29 0.05509% 31-Jan-29 0.354637 0.117 5.43%1-Feb-29 0.05509% 1-Feb-29 0.354586 0.119 5.42%2-Feb-29 0.05509% 2-Feb-29 0.354535 0.122 5.42%5-Feb-29 0.05509% 5-Feb-29 0.354383 0.131 5.42%6-Feb-29 0.05509% 6-Feb-29 0.354332 0.133 5.42%7-Feb-29 0.05509% 7-Feb-29 0.354281 0.136 5.41%8-Feb-29 0.05509% 8-Feb-29 0.354231 0.139 5.41%9-Feb-29 0.05509% 9-Feb-29 0.354180 0.142 5.41%

12-Feb-29 0.05509% 12-Feb-29 0.354028 0.150 5.40%13-Feb-29 0.05509% 13-Feb-29 0.353977 0.153 5.40%14-Feb-29 0.05509% 14-Feb-29 0.353927 0.156 5.40%15-Feb-29 0.05509% 15-Feb-29 0.353876 0.158 5.40%16-Feb-29 0.05509% 16-Feb-29 0.353826 0.161 5.39%

Page 584: Ch 6 Credit Derivatives

19-Feb-29 0.05509% 19-Feb-29 0.353674 0.169 5.39%20-Feb-29 0.05509% 20-Feb-29 0.353623 0.172 5.39%21-Feb-29 0.05509% 21-Feb-29 0.353573 0.175 5.38%22-Feb-29 0.05509% 22-Feb-29 0.353522 0.178 5.38%23-Feb-29 0.05509% 23-Feb-29 0.353472 0.181 5.38%26-Feb-29 0.05509% 26-Feb-29 0.353320 0.189 5.37%27-Feb-29 0.05509% 27-Feb-29 0.353270 0.192 5.37%28-Feb-29 0.05509% 28-Feb-29 0.353219 0.194 5.37%1-Mar-29 0.05509% 1-Mar-29 0.353169 0.197 5.37%2-Mar-29 0.05509% 2-Mar-29 0.353118 0.200 5.36%5-Mar-29 0.05509% 5-Mar-29 0.352967 0.208 5.36%6-Mar-29 0.05509% 6-Mar-29 0.352916 0.211 5.36%7-Mar-29 0.05509% 7-Mar-29 0.352866 0.214 5.35%8-Mar-29 0.05509% 8-Mar-29 0.352815 0.217 5.35%9-Mar-29 0.05509% 9-Mar-29 0.352765 0.219 5.35%

12-Mar-29 0.05509% 12-Mar-29 0.352613 0.228 5.34%13-Mar-29 0.05509% 13-Mar-29 0.352563 0.231 5.34%14-Mar-29 0.05509% 14-Mar-29 0.352512 0.233 5.34%15-Mar-29 0.05509% 15-Mar-29 0.352462 0.236 5.34%16-Mar-29 0.05509% 16-Mar-29 0.352412 0.239 5.33%19-Mar-29 0.05509% 19-Mar-29 0.352260 0.247 5.33%20-Mar-29 0.05509% 20-Mar-29 0.352210 0.250 5.33%21-Mar-29 0.05450% 21-Mar-29 0.352160 0.003 5.32%22-Mar-29 0.05450% 22-Mar-29 0.352109 0.006 5.32%23-Mar-29 0.05450% 23-Mar-29 0.352059 0.008 5.32%26-Mar-29 0.05450% 26-Mar-29 0.351908 0.017 5.32%27-Mar-29 0.05450% 27-Mar-29 0.351857 0.019 5.31%28-Mar-29 0.05450% 28-Mar-29 0.351807 0.022 5.31%29-Mar-29 0.05450% 29-Mar-29 0.351757 0.025 5.31%30-Mar-29 0.05450% 30-Mar-29 0.351707 0.028 5.30%

2-Apr-29 0.05450% 2-Apr-29 0.351556 0.036 5.30%3-Apr-29 0.05450% 3-Apr-29 0.351505 0.039 5.30%4-Apr-29 0.05450% 4-Apr-29 0.351455 0.042 5.30%5-Apr-29 0.05450% 5-Apr-29 0.351405 0.044 5.29%6-Apr-29 0.05450% 6-Apr-29 0.351354 0.047 5.29%9-Apr-29 0.05450% 9-Apr-29 0.351204 0.056 5.29%

10-Apr-29 0.05450% 10-Apr-29 0.351153 0.058 5.28%11-Apr-29 0.05450% 11-Apr-29 0.351103 0.061 5.28%12-Apr-29 0.05450% 12-Apr-29 0.351053 0.064 5.28%13-Apr-29 0.05450% 13-Apr-29 0.351003 0.067 5.28%16-Apr-29 0.05450% 16-Apr-29 0.350852 0.075 5.27%17-Apr-29 0.05450% 17-Apr-29 0.350802 0.078 5.27%18-Apr-29 0.05450% 18-Apr-29 0.350752 0.081 5.27%19-Apr-29 0.05450% 19-Apr-29 0.350701 0.083 5.26%

Page 585: Ch 6 Credit Derivatives

20-Apr-29 0.05450% 20-Apr-29 0.350651 0.086 5.26%23-Apr-29 0.05450% 23-Apr-29 0.350501 0.094 5.26%24-Apr-29 0.05450% 24-Apr-29 0.350451 0.097 5.26%25-Apr-29 0.05450% 25-Apr-29 0.350400 0.100 5.25%26-Apr-29 0.05450% 26-Apr-29 0.350350 0.103 5.25%27-Apr-29 0.05450% 27-Apr-29 0.350300 0.106 5.25%30-Apr-29 0.05450% 30-Apr-29 0.350150 0.114 5.24%1-May-29 0.05450% 1-May-29 0.350100 0.117 5.24%2-May-29 0.05450% 2-May-29 0.350049 0.119 5.24%3-May-29 0.05450% 3-May-29 0.349999 0.122 5.24%4-May-29 0.05450% 4-May-29 0.349949 0.125 5.23%7-May-29 0.05450% 7-May-29 0.349799 0.133 5.23%8-May-29 0.05450% 8-May-29 0.349749 0.136 5.23%9-May-29 0.05450% 9-May-29 0.349699 0.139 5.22%

10-May-29 0.05450% 10-May-29 0.349649 0.142 5.22%11-May-29 0.05450% 11-May-29 0.349600 0.144 5.22%14-May-29 0.05450% 14-May-29 0.349450 0.153 5.22%15-May-29 0.05450% 15-May-29 0.349400 0.156 5.21%16-May-29 0.05450% 16-May-29 0.349350 0.158 5.21%17-May-29 0.05450% 17-May-29 0.349300 0.161 5.21%18-May-29 0.05450% 18-May-29 0.349251 0.164 5.20%21-May-29 0.05450% 21-May-29 0.349101 0.172 5.20%22-May-29 0.05450% 22-May-29 0.349051 0.175 5.20%23-May-29 0.05450% 23-May-29 0.349002 0.178 5.20%24-May-29 0.05450% 24-May-29 0.348952 0.181 5.19%25-May-29 0.05450% 25-May-29 0.348902 0.183 5.19%28-May-29 0.05450% 28-May-29 0.348753 0.192 5.19%29-May-29 0.05450% 29-May-29 0.348703 0.194 5.18%30-May-29 0.05450% 30-May-29 0.348653 0.197 5.18%31-May-29 0.05450% 31-May-29 0.348604 0.200 5.18%

1-Jun-29 0.05450% 1-Jun-29 0.348554 0.203 5.18%4-Jun-29 0.05450% 4-Jun-29 0.348405 0.211 5.17%5-Jun-29 0.05450% 5-Jun-29 0.348355 0.214 5.17%6-Jun-29 0.05450% 6-Jun-29 0.348305 0.217 5.17%7-Jun-29 0.05450% 7-Jun-29 0.348256 0.219 5.16%8-Jun-29 0.05450% 8-Jun-29 0.348206 0.222 5.16%

11-Jun-29 0.05450% 11-Jun-29 0.348057 0.231 5.16%12-Jun-29 0.05450% 12-Jun-29 0.348007 0.233 5.16%13-Jun-29 0.05450% 13-Jun-29 0.347958 0.236 5.15%14-Jun-29 0.05450% 14-Jun-29 0.347908 0.239 5.15%15-Jun-29 0.05450% 15-Jun-29 0.347858 0.242 5.15%18-Jun-29 0.05450% 18-Jun-29 0.347709 0.250 5.14%19-Jun-29 0.05450% 19-Jun-29 0.347660 0.253 5.14%20-Jun-29 0.05450% 20-Jun-29 0.347610 0.256 5.14%

Page 586: Ch 6 Credit Derivatives

21-Jun-29 0.05426% 21-Jun-29 0.347561 0.003 5.14%22-Jun-29 0.05426% 22-Jun-29 0.347511 0.006 5.13%25-Jun-29 0.05426% 25-Jun-29 0.347362 0.014 5.13%26-Jun-29 0.05426% 26-Jun-29 0.347313 0.017 5.13%27-Jun-29 0.05426% 27-Jun-29 0.347263 0.019 5.13%28-Jun-29 0.05426% 28-Jun-29 0.347214 0.022 5.12%29-Jun-29 0.05426% 29-Jun-29 0.347164 0.025 5.12%

2-Jul-29 0.05426% 2-Jul-29 0.347015 0.033 5.12%3-Jul-29 0.05426% 3-Jul-29 0.346966 0.036 5.11%4-Jul-29 0.05426% 4-Jul-29 0.346916 0.039 5.11%5-Jul-29 0.05426% 5-Jul-29 0.346867 0.042 5.11%6-Jul-29 0.05426% 6-Jul-29 0.346817 0.044 5.11%9-Jul-29 0.05426% 9-Jul-29 0.346669 0.053 5.10%

10-Jul-29 0.05426% 10-Jul-29 0.346619 0.056 5.10%11-Jul-29 0.05426% 11-Jul-29 0.346570 0.058 5.10%12-Jul-29 0.05426% 12-Jul-29 0.346520 0.061 5.09%13-Jul-29 0.05426% 13-Jul-29 0.346471 0.064 5.09%16-Jul-29 0.05426% 16-Jul-29 0.346323 0.072 5.09%17-Jul-29 0.05426% 17-Jul-29 0.346273 0.075 5.09%18-Jul-29 0.05426% 18-Jul-29 0.346224 0.078 5.08%19-Jul-29 0.05426% 19-Jul-29 0.346174 0.081 5.08%20-Jul-29 0.05426% 20-Jul-29 0.346125 0.083 5.08%23-Jul-29 0.05426% 23-Jul-29 0.345977 0.092 5.08%24-Jul-29 0.05426% 24-Jul-29 0.345927 0.094 5.07%25-Jul-29 0.05426% 25-Jul-29 0.345878 0.097 5.07%26-Jul-29 0.05426% 26-Jul-29 0.345829 0.100 5.07%27-Jul-29 0.05426% 27-Jul-29 0.345779 0.103 5.06%30-Jul-29 0.05426% 30-Jul-29 0.345631 0.111 5.06%31-Jul-29 0.05426% 31-Jul-29 0.345582 0.114 5.06%1-Aug-29 0.05426% 1-Aug-29 0.345532 0.117 5.06%2-Aug-29 0.05426% 2-Aug-29 0.345483 0.119 5.05%3-Aug-29 0.05426% 3-Aug-29 0.345434 0.122 5.05%6-Aug-29 0.05426% 6-Aug-29 0.345286 0.131 5.05%7-Aug-29 0.05426% 7-Aug-29 0.345237 0.133 5.05%8-Aug-29 0.05426% 8-Aug-29 0.345188 0.136 5.04%9-Aug-29 0.05426% 9-Aug-29 0.345138 0.139 5.04%

10-Aug-29 0.05426% 10-Aug-29 0.345089 0.142 5.04%13-Aug-29 0.05426% 13-Aug-29 0.344942 0.150 5.03%14-Aug-29 0.05426% 14-Aug-29 0.344893 0.153 5.03%15-Aug-29 0.05426% 15-Aug-29 0.344844 0.156 5.03%16-Aug-29 0.05426% 16-Aug-29 0.344795 0.158 5.03%17-Aug-29 0.05426% 17-Aug-29 0.344746 0.161 5.02%20-Aug-29 0.05426% 20-Aug-29 0.344599 0.169 5.02%21-Aug-29 0.05426% 21-Aug-29 0.344550 0.172 5.02%

Page 587: Ch 6 Credit Derivatives

22-Aug-29 0.05426% 22-Aug-29 0.344501 0.175 5.01%23-Aug-29 0.05426% 23-Aug-29 0.344452 0.178 5.01%24-Aug-29 0.05426% 24-Aug-29 0.344403 0.181 5.01%27-Aug-29 0.05426% 27-Aug-29 0.344256 0.189 5.01%28-Aug-29 0.05426% 28-Aug-29 0.344207 0.192 5.00%29-Aug-29 0.05426% 29-Aug-29 0.344158 0.194 5.00%30-Aug-29 0.05426% 30-Aug-29 0.344109 0.197 5.00%31-Aug-29 0.05426% 31-Aug-29 0.344060 0.200 5.00%

3-Sep-29 0.05426% 3-Sep-29 0.343913 0.208 4.99%4-Sep-29 0.05426% 4-Sep-29 0.343864 0.211 4.99%5-Sep-29 0.05426% 5-Sep-29 0.343815 0.214 4.99%6-Sep-29 0.05426% 6-Sep-29 0.343766 0.217 4.99%7-Sep-29 0.05426% 7-Sep-29 0.343717 0.219 4.98%

10-Sep-29 0.05426% 10-Sep-29 0.343571 0.228 4.98%11-Sep-29 0.05426% 11-Sep-29 0.343522 0.231 4.98%12-Sep-29 0.05426% 12-Sep-29 0.343473 0.233 4.97%13-Sep-29 0.05426% 13-Sep-29 0.343424 0.236 4.97%14-Sep-29 0.05426% 14-Sep-29 0.343375 0.239 4.97%17-Sep-29 0.05426% 17-Sep-29 0.343228 0.247 4.97%18-Sep-29 0.05426% 18-Sep-29 0.343180 0.250 4.96%19-Sep-29 0.05426% 19-Sep-29 0.343131 0.253 4.96%20-Sep-29 0.05426% 20-Sep-29 0.343082 0.256 4.96%21-Sep-29 0.05462% 21-Sep-29 0.343033 0.003 4.96%24-Sep-29 0.05462% 24-Sep-29 0.342887 0.011 4.95%25-Sep-29 0.05462% 25-Sep-29 0.342838 0.014 4.95%26-Sep-29 0.05462% 26-Sep-29 0.342789 0.017 4.95%27-Sep-29 0.05462% 27-Sep-29 0.342740 0.019 4.94%28-Sep-29 0.05462% 28-Sep-29 0.342691 0.022 4.94%

1-Oct-29 0.05462% 1-Oct-29 0.342545 0.031 4.94%2-Oct-29 0.05462% 2-Oct-29 0.342496 0.033 4.94%3-Oct-29 0.05462% 3-Oct-29 0.342448 0.036 4.93%4-Oct-29 0.05462% 4-Oct-29 0.342399 0.039 4.93%5-Oct-29 0.05462% 5-Oct-29 0.342350 0.042 4.93%8-Oct-29 0.05462% 8-Oct-29 0.342204 0.050 4.93%9-Oct-29 0.05462% 9-Oct-29 0.342155 0.053 4.92%

10-Oct-29 0.05462% 10-Oct-29 0.342106 0.056 4.92%11-Oct-29 0.05462% 11-Oct-29 0.342058 0.058 4.92%12-Oct-29 0.05462% 12-Oct-29 0.342009 0.061 4.91%15-Oct-29 0.05462% 15-Oct-29 0.341863 0.069 4.91%16-Oct-29 0.05462% 16-Oct-29 0.341814 0.072 4.91%17-Oct-29 0.05462% 17-Oct-29 0.341766 0.075 4.91%18-Oct-29 0.05462% 18-Oct-29 0.341717 0.078 4.90%19-Oct-29 0.05462% 19-Oct-29 0.341668 0.081 4.90%22-Oct-29 0.05462% 22-Oct-29 0.341522 0.089 4.90%

Page 588: Ch 6 Credit Derivatives

23-Oct-29 0.05462% 23-Oct-29 0.341474 0.092 4.90%24-Oct-29 0.05462% 24-Oct-29 0.341425 0.094 4.89%25-Oct-29 0.05462% 25-Oct-29 0.341377 0.097 4.89%26-Oct-29 0.05462% 26-Oct-29 0.341328 0.100 4.89%29-Oct-29 0.05462% 29-Oct-29 0.341182 0.108 4.89%30-Oct-29 0.05462% 30-Oct-29 0.341134 0.111 4.88%31-Oct-29 0.05462% 31-Oct-29 0.341085 0.114 4.88%1-Nov-29 0.05462% 1-Nov-29 0.341036 0.117 4.88%2-Nov-29 0.05462% 2-Nov-29 0.340988 0.119 4.87%5-Nov-29 0.05462% 5-Nov-29 0.340842 0.128 4.87%6-Nov-29 0.05462% 6-Nov-29 0.340794 0.131 4.87%7-Nov-29 0.05462% 7-Nov-29 0.340745 0.133 4.87%8-Nov-29 0.05462% 8-Nov-29 0.340697 0.136 4.86%9-Nov-29 0.05462% 9-Nov-29 0.340649 0.139 4.86%

12-Nov-29 0.05462% 12-Nov-29 0.340504 0.147 4.86%13-Nov-29 0.05462% 13-Nov-29 0.340455 0.150 4.86%14-Nov-29 0.05462% 14-Nov-29 0.340407 0.153 4.85%15-Nov-29 0.05462% 15-Nov-29 0.340359 0.156 4.85%16-Nov-29 0.05462% 16-Nov-29 0.340310 0.158 4.85%19-Nov-29 0.05462% 19-Nov-29 0.340166 0.167 4.85%20-Nov-29 0.05462% 20-Nov-29 0.340117 0.169 4.84%21-Nov-29 0.05462% 21-Nov-29 0.340069 0.172 4.84%22-Nov-29 0.05462% 22-Nov-29 0.340021 0.175 4.84%23-Nov-29 0.05462% 23-Nov-29 0.339972 0.178 4.84%26-Nov-29 0.05462% 26-Nov-29 0.339828 0.186 4.83%27-Nov-29 0.05462% 27-Nov-29 0.339780 0.189 4.83%28-Nov-29 0.05462% 28-Nov-29 0.339731 0.192 4.83%29-Nov-29 0.05462% 29-Nov-29 0.339683 0.194 4.82%30-Nov-29 0.05462% 30-Nov-29 0.339635 0.197 4.82%

3-Dec-29 0.05462% 3-Dec-29 0.339490 0.206 4.82%4-Dec-29 0.05462% 4-Dec-29 0.339442 0.208 4.82%5-Dec-29 0.05462% 5-Dec-29 0.339394 0.211 4.81%6-Dec-29 0.05462% 6-Dec-29 0.339346 0.214 4.81%7-Dec-29 0.05462% 7-Dec-29 0.339298 0.217 4.81%

10-Dec-29 0.05462% 10-Dec-29 0.339153 0.225 4.81%11-Dec-29 0.05462% 11-Dec-29 0.339105 0.228 4.80%12-Dec-29 0.05462% 12-Dec-29 0.339057 0.231 4.80%13-Dec-29 0.05462% 13-Dec-29 0.339009 0.233 4.80%14-Dec-29 0.05462% 14-Dec-29 0.338961 0.236 4.80%17-Dec-29 0.05462% 17-Dec-29 0.338816 0.244 4.79%18-Dec-29 0.05462% 18-Dec-29 0.338768 0.247 4.79%19-Dec-29 0.05462% 19-Dec-29 0.338720 0.250 4.79%20-Dec-29 0.05462% 20-Dec-29 0.338672 0.253 4.79%21-Dec-29 0.05464% 21-Dec-29 0.338624 0.003 4.78%

Page 589: Ch 6 Credit Derivatives

24-Dec-29 0.05464% 24-Dec-29 0.338480 0.011 4.78%25-Dec-29 0.05464% 25-Dec-29 0.338432 0.014 4.78%26-Dec-29 0.05464% 26-Dec-29 0.338384 0.017 4.77%27-Dec-29 0.05464% 27-Dec-29 0.338336 0.019 4.77%28-Dec-29 0.05464% 28-Dec-29 0.338287 0.022 4.77%31-Dec-29 0.05464% 31-Dec-29 0.338143 0.031 4.77%

1-Jan-30 0.05464% 1-Jan-30 0.338095 0.033 4.76%2-Jan-30 0.05464% 2-Jan-30 0.338047 0.036 4.76%3-Jan-30 0.05464% 3-Jan-30 0.337999 0.039 4.76%4-Jan-30 0.05464% 4-Jan-30 0.337951 0.042 4.76%7-Jan-30 0.05464% 7-Jan-30 0.337807 0.050 4.75%8-Jan-30 0.05464% 8-Jan-30 0.337760 0.053 4.75%9-Jan-30 0.05464% 9-Jan-30 0.337712 0.056 4.75%

10-Jan-30 0.05464% 10-Jan-30 0.337664 0.058 4.75%11-Jan-30 0.05464% 11-Jan-30 0.337616 0.061 4.74%14-Jan-30 0.05464% 14-Jan-30 0.337472 0.069 4.74%15-Jan-30 0.05464% 15-Jan-30 0.337424 0.072 4.74%16-Jan-30 0.05464% 16-Jan-30 0.337376 0.075 4.74%17-Jan-30 0.05464% 17-Jan-30 0.337328 0.078 4.73%18-Jan-30 0.05464% 18-Jan-30 0.337280 0.081 4.73%21-Jan-30 0.05464% 21-Jan-30 0.337137 0.089 4.73%22-Jan-30 0.05464% 22-Jan-30 0.337089 0.092 4.73%23-Jan-30 0.05464% 23-Jan-30 0.337041 0.094 4.72%24-Jan-30 0.05464% 24-Jan-30 0.336993 0.097 4.72%25-Jan-30 0.05464% 25-Jan-30 0.336945 0.100 4.72%28-Jan-30 0.05464% 28-Jan-30 0.336802 0.108 4.72%29-Jan-30 0.05464% 29-Jan-30 0.336754 0.111 4.71%30-Jan-30 0.05464% 30-Jan-30 0.336706 0.114 4.71%31-Jan-30 0.05464% 31-Jan-30 0.336658 0.117 4.71%1-Feb-30 0.05464% 1-Feb-30 0.336610 0.119 4.70%4-Feb-30 0.05464% 4-Feb-30 0.336467 0.128 4.70%5-Feb-30 0.05464% 5-Feb-30 0.336419 0.131 4.70%6-Feb-30 0.05464% 6-Feb-30 0.336371 0.133 4.70%7-Feb-30 0.05464% 7-Feb-30 0.336324 0.136 4.69%8-Feb-30 0.05464% 8-Feb-30 0.336276 0.139 4.69%

11-Feb-30 0.05464% 11-Feb-30 0.336133 0.147 4.69%12-Feb-30 0.05464% 12-Feb-30 0.336086 0.150 4.69%13-Feb-30 0.05464% 13-Feb-30 0.336038 0.153 4.68%14-Feb-30 0.05464% 14-Feb-30 0.335990 0.156 4.68%15-Feb-30 0.05464% 15-Feb-30 0.335943 0.158 4.68%18-Feb-30 0.05464% 18-Feb-30 0.335800 0.167 4.68%19-Feb-30 0.05464% 19-Feb-30 0.335753 0.169 4.67%20-Feb-30 0.05464% 20-Feb-30 0.335705 0.172 4.67%21-Feb-30 0.05464% 21-Feb-30 0.335658 0.175 4.67%

Page 590: Ch 6 Credit Derivatives

22-Feb-30 0.05464% 22-Feb-30 0.335610 0.178 4.67%25-Feb-30 0.05464% 25-Feb-30 0.335468 0.186 4.66%26-Feb-30 0.05464% 26-Feb-30 0.335420 0.189 4.66%27-Feb-30 0.05464% 27-Feb-30 0.335373 0.192 4.66%28-Feb-30 0.05464% 28-Feb-30 0.335325 0.194 4.66%1-Mar-30 0.05464% 1-Mar-30 0.335278 0.197 4.65%4-Mar-30 0.05464% 4-Mar-30 0.335135 0.206 4.65%5-Mar-30 0.05464% 5-Mar-30 0.335088 0.208 4.65%6-Mar-30 0.05464% 6-Mar-30 0.335040 0.211 4.65%7-Mar-30 0.05464% 7-Mar-30 0.334993 0.214 4.64%8-Mar-30 0.05464% 8-Mar-30 0.334945 0.217 4.64%

11-Mar-30 0.05464% 11-Mar-30 0.334803 0.225 4.64%12-Mar-30 0.05464% 12-Mar-30 0.334756 0.228 4.64%13-Mar-30 0.05464% 13-Mar-30 0.334708 0.231 4.63%14-Mar-30 0.05464% 14-Mar-30 0.334661 0.233 4.63%15-Mar-30 0.05464% 15-Mar-30 0.334614 0.236 4.63%18-Mar-30 0.05464% 18-Mar-30 0.334471 0.244 4.63%19-Mar-30 0.05464% 19-Mar-30 0.334424 0.247 4.62%20-Mar-30 0.05464% 20-Mar-30 0.334377 0.250 4.62%21-Mar-30 0.05411% 21-Mar-30 0.334329 0.003 4.62%22-Mar-30 0.05411% 22-Mar-30 0.334282 0.006 4.62%25-Mar-30 0.05411% 25-Mar-30 0.334140 0.014 4.61%26-Mar-30 0.05411% 26-Mar-30 0.334093 0.017 4.61%27-Mar-30 0.05411% 27-Mar-30 0.334045 0.019 4.61%28-Mar-30 0.05411% 28-Mar-30 0.333998 0.022 4.61%29-Mar-30 0.05411% 29-Mar-30 0.333951 0.025 4.60%

1-Apr-30 0.05411% 1-Apr-30 0.333809 0.033 4.60%2-Apr-30 0.05411% 2-Apr-30 0.333762 0.036 4.60%3-Apr-30 0.05411% 3-Apr-30 0.333714 0.039 4.60%4-Apr-30 0.05411% 4-Apr-30 0.333667 0.042 4.59%5-Apr-30 0.05411% 5-Apr-30 0.333620 0.044 4.59%8-Apr-30 0.05411% 8-Apr-30 0.333478 0.053 4.59%9-Apr-30 0.05411% 9-Apr-30 0.333431 0.056 4.59%

10-Apr-30 0.05411% 10-Apr-30 0.333384 0.058 4.58%11-Apr-30 0.05411% 11-Apr-30 0.333336 0.061 4.58%12-Apr-30 0.05411% 12-Apr-30 0.333289 0.064 4.58%15-Apr-30 0.05411% 15-Apr-30 0.333148 0.072 4.58%16-Apr-30 0.05411% 16-Apr-30 0.333100 0.075 4.57%17-Apr-30 0.05411% 17-Apr-30 0.333053 0.078 4.57%18-Apr-30 0.05411% 18-Apr-30 0.333006 0.081 4.57%19-Apr-30 0.05411% 19-Apr-30 0.332959 0.083 4.57%22-Apr-30 0.05411% 22-Apr-30 0.332817 0.092 4.56%23-Apr-30 0.05411% 23-Apr-30 0.332770 0.094 4.56%24-Apr-30 0.05411% 24-Apr-30 0.332723 0.097 4.56%

Page 591: Ch 6 Credit Derivatives

25-Apr-30 0.05411% 25-Apr-30 0.332676 0.100 4.56%26-Apr-30 0.05411% 26-Apr-30 0.332629 0.103 4.55%29-Apr-30 0.05411% 29-Apr-30 0.332487 0.111 4.55%30-Apr-30 0.05411% 30-Apr-30 0.332440 0.114 4.55%1-May-30 0.05411% 1-May-30 0.332393 0.117 4.55%2-May-30 0.05411% 2-May-30 0.332346 0.119 4.54%3-May-30 0.05411% 3-May-30 0.332299 0.122 4.54%6-May-30 0.05411% 6-May-30 0.332158 0.131 4.54%7-May-30 0.05411% 7-May-30 0.332111 0.133 4.54%8-May-30 0.05411% 8-May-30 0.332064 0.136 4.53%9-May-30 0.05411% 9-May-30 0.332017 0.139 4.53%

10-May-30 0.05411% 10-May-30 0.331970 0.142 4.53%13-May-30 0.05411% 13-May-30 0.331830 0.150 4.53%14-May-30 0.05411% 14-May-30 0.331783 0.153 4.52%15-May-30 0.05411% 15-May-30 0.331736 0.156 4.52%16-May-30 0.05411% 16-May-30 0.331689 0.158 4.52%17-May-30 0.05411% 17-May-30 0.331642 0.161 4.52%20-May-30 0.05411% 20-May-30 0.331502 0.169 4.51%21-May-30 0.05411% 21-May-30 0.331455 0.172 4.51%22-May-30 0.05411% 22-May-30 0.331408 0.175 4.51%23-May-30 0.05411% 23-May-30 0.331362 0.178 4.51%24-May-30 0.05411% 24-May-30 0.331315 0.181 4.50%27-May-30 0.05411% 27-May-30 0.331175 0.189 4.50%28-May-30 0.05411% 28-May-30 0.331128 0.192 4.50%29-May-30 0.05411% 29-May-30 0.331081 0.194 4.50%30-May-30 0.05411% 30-May-30 0.331034 0.197 4.49%31-May-30 0.05411% 31-May-30 0.330988 0.200 4.49%

3-Jun-30 0.05411% 3-Jun-30 0.330847 0.208 4.49%4-Jun-30 0.05411% 4-Jun-30 0.330801 0.211 4.49%5-Jun-30 0.05411% 5-Jun-30 0.330754 0.214 4.49%6-Jun-30 0.05411% 6-Jun-30 0.330707 0.217 4.48%7-Jun-30 0.05411% 7-Jun-30 0.330661 0.219 4.48%

10-Jun-30 0.05411% 10-Jun-30 0.330521 0.228 4.48%11-Jun-30 0.05411% 11-Jun-30 0.330474 0.231 4.48%12-Jun-30 0.05411% 12-Jun-30 0.330427 0.233 4.47%13-Jun-30 0.05411% 13-Jun-30 0.330381 0.236 4.47%14-Jun-30 0.05411% 14-Jun-30 0.330334 0.239 4.47%17-Jun-30 0.05411% 17-Jun-30 0.330194 0.247 4.47%18-Jun-30 0.05411% 18-Jun-30 0.330147 0.250 4.46%19-Jun-30 0.05411% 19-Jun-30 0.330101 0.253 4.46%20-Jun-30 0.05411% 20-Jun-30 0.330054 0.256 4.46%21-Jun-30 0.05385% 21-Jun-30 0.330008 0.003 4.46%24-Jun-30 0.05385% 24-Jun-30 0.329868 0.011 4.45%25-Jun-30 0.05385% 25-Jun-30 0.329821 0.014 4.45%

Page 592: Ch 6 Credit Derivatives

26-Jun-30 0.05385% 26-Jun-30 0.329775 0.017 4.45%27-Jun-30 0.05385% 27-Jun-30 0.329728 0.019 4.45%28-Jun-30 0.05385% 28-Jun-30 0.329681 0.022 4.44%

1-Jul-30 0.05385% 1-Jul-30 0.329542 0.031 4.44%2-Jul-30 0.05385% 2-Jul-30 0.329495 0.033 4.44%3-Jul-30 0.05385% 3-Jul-30 0.329449 0.036 4.44%4-Jul-30 0.05385% 4-Jul-30 0.329402 0.039 4.43%5-Jul-30 0.05385% 5-Jul-30 0.329356 0.042 4.43%8-Jul-30 0.05385% 8-Jul-30 0.329216 0.050 4.43%9-Jul-30 0.05385% 9-Jul-30 0.329170 0.053 4.43%

10-Jul-30 0.05385% 10-Jul-30 0.329123 0.056 4.43%11-Jul-30 0.05385% 11-Jul-30 0.329077 0.058 4.42%12-Jul-30 0.05385% 12-Jul-30 0.329030 0.061 4.42%15-Jul-30 0.05385% 15-Jul-30 0.328891 0.069 4.42%16-Jul-30 0.05385% 16-Jul-30 0.328844 0.072 4.42%17-Jul-30 0.05385% 17-Jul-30 0.328798 0.075 4.41%18-Jul-30 0.05385% 18-Jul-30 0.328752 0.078 4.41%19-Jul-30 0.05385% 19-Jul-30 0.328705 0.081 4.41%22-Jul-30 0.05385% 22-Jul-30 0.328566 0.089 4.41%23-Jul-30 0.05385% 23-Jul-30 0.328519 0.092 4.40%24-Jul-30 0.05385% 24-Jul-30 0.328473 0.094 4.40%25-Jul-30 0.05385% 25-Jul-30 0.328427 0.097 4.40%26-Jul-30 0.05385% 26-Jul-30 0.328380 0.100 4.40%29-Jul-30 0.05385% 29-Jul-30 0.328241 0.108 4.39%30-Jul-30 0.05385% 30-Jul-30 0.328195 0.111 4.39%31-Jul-30 0.05385% 31-Jul-30 0.328148 0.114 4.39%1-Aug-30 0.05385% 1-Aug-30 0.328102 0.117 4.39%2-Aug-30 0.05385% 2-Aug-30 0.328056 0.119 4.38%5-Aug-30 0.05385% 5-Aug-30 0.327917 0.128 4.38%6-Aug-30 0.05385% 6-Aug-30 0.327870 0.131 4.38%7-Aug-30 0.05385% 7-Aug-30 0.327824 0.133 4.38%8-Aug-30 0.05385% 8-Aug-30 0.327778 0.136 4.38%9-Aug-30 0.05385% 9-Aug-30 0.327732 0.139 4.37%

12-Aug-30 0.05385% 12-Aug-30 0.327593 0.147 4.37%13-Aug-30 0.05385% 13-Aug-30 0.327547 0.150 4.37%14-Aug-30 0.05385% 14-Aug-30 0.327501 0.153 4.37%15-Aug-30 0.05385% 15-Aug-30 0.327455 0.156 4.36%16-Aug-30 0.05385% 16-Aug-30 0.327409 0.158 4.36%19-Aug-30 0.05385% 19-Aug-30 0.327271 0.167 4.36%20-Aug-30 0.05385% 20-Aug-30 0.327225 0.169 4.36%21-Aug-30 0.05385% 21-Aug-30 0.327179 0.172 4.35%22-Aug-30 0.05385% 22-Aug-30 0.327133 0.175 4.35%23-Aug-30 0.05385% 23-Aug-30 0.327087 0.178 4.35%26-Aug-30 0.05385% 26-Aug-30 0.326948 0.186 4.35%

Page 593: Ch 6 Credit Derivatives

27-Aug-30 0.05385% 27-Aug-30 0.326902 0.189 4.34%28-Aug-30 0.05385% 28-Aug-30 0.326856 0.192 4.34%29-Aug-30 0.05385% 29-Aug-30 0.326810 0.194 4.34%30-Aug-30 0.05385% 30-Aug-30 0.326764 0.197 4.34%

2-Sep-30 0.05385% 2-Sep-30 0.326626 0.206 4.34%3-Sep-30 0.05385% 3-Sep-30 0.326580 0.208 4.33%4-Sep-30 0.05385% 4-Sep-30 0.326534 0.211 4.33%5-Sep-30 0.05385% 5-Sep-30 0.326488 0.214 4.33%6-Sep-30 0.05385% 6-Sep-30 0.326442 0.217 4.33%9-Sep-30 0.05385% 9-Sep-30 0.326305 0.225 4.32%

10-Sep-30 0.05385% 10-Sep-30 0.326259 0.228 4.32%11-Sep-30 0.05385% 11-Sep-30 0.326213 0.231 4.32%12-Sep-30 0.05385% 12-Sep-30 0.326167 0.233 4.32%13-Sep-30 0.05385% 13-Sep-30 0.326121 0.236 4.31%16-Sep-30 0.05385% 16-Sep-30 0.325983 0.244 4.31%17-Sep-30 0.05385% 17-Sep-30 0.325937 0.247 4.31%18-Sep-30 0.05385% 18-Sep-30 0.325891 0.250 4.31%19-Sep-30 0.05385% 19-Sep-30 0.325845 0.253 4.31%20-Sep-30 0.05385% 20-Sep-30 0.325800 0.256 4.30%23-Sep-30 0.05416% 23-Sep-30 0.325662 0.008 4.30%24-Sep-30 0.05416% 24-Sep-30 0.325616 0.011 4.30%25-Sep-30 0.05416% 25-Sep-30 0.325570 0.014 4.30%26-Sep-30 0.05416% 26-Sep-30 0.325524 0.017 4.29%27-Sep-30 0.05416% 27-Sep-30 0.325479 0.019 4.29%30-Sep-30 0.05416% 30-Sep-30 0.325341 0.028 4.29%

1-Oct-30 0.05416% 1-Oct-30 0.325295 0.031 4.29%2-Oct-30 0.05416% 2-Oct-30 0.325249 0.033 4.28%3-Oct-30 0.05416% 3-Oct-30 0.325204 0.036 4.28%4-Oct-30 0.05416% 4-Oct-30 0.325158 0.039 4.28%7-Oct-30 0.05416% 7-Oct-30 0.325020 0.047 4.28%8-Oct-30 0.05416% 8-Oct-30 0.324975 0.050 4.27%9-Oct-30 0.05416% 9-Oct-30 0.324929 0.053 4.27%

10-Oct-30 0.05416% 10-Oct-30 0.324883 0.056 4.27%11-Oct-30 0.05416% 11-Oct-30 0.324837 0.058 4.27%14-Oct-30 0.05416% 14-Oct-30 0.324700 0.067 4.27%15-Oct-30 0.05416% 15-Oct-30 0.324654 0.069 4.26%16-Oct-30 0.05416% 16-Oct-30 0.324609 0.072 4.26%17-Oct-30 0.05416% 17-Oct-30 0.324563 0.075 4.26%18-Oct-30 0.05416% 18-Oct-30 0.324517 0.078 4.26%21-Oct-30 0.05416% 21-Oct-30 0.324380 0.086 4.25%22-Oct-30 0.05416% 22-Oct-30 0.324334 0.089 4.25%23-Oct-30 0.05416% 23-Oct-30 0.324289 0.092 4.25%24-Oct-30 0.05416% 24-Oct-30 0.324243 0.094 4.25%25-Oct-30 0.05416% 25-Oct-30 0.324197 0.097 4.24%

Page 594: Ch 6 Credit Derivatives

28-Oct-30 0.05416% 28-Oct-30 0.324060 0.106 4.24%29-Oct-30 0.05416% 29-Oct-30 0.324015 0.108 4.24%30-Oct-30 0.05416% 30-Oct-30 0.323969 0.111 4.24%31-Oct-30 0.05416% 31-Oct-30 0.323924 0.114 4.24%1-Nov-30 0.05416% 1-Nov-30 0.323878 0.117 4.23%4-Nov-30 0.05416% 4-Nov-30 0.323741 0.125 4.23%5-Nov-30 0.05416% 5-Nov-30 0.323695 0.128 4.23%6-Nov-30 0.05416% 6-Nov-30 0.323650 0.131 4.23%7-Nov-30 0.05416% 7-Nov-30 0.323604 0.133 4.22%8-Nov-30 0.05416% 8-Nov-30 0.323559 0.136 4.22%

11-Nov-30 0.05416% 11-Nov-30 0.323423 0.144 4.22%12-Nov-30 0.05416% 12-Nov-30 0.323377 0.147 4.22%13-Nov-30 0.05416% 13-Nov-30 0.323332 0.150 4.22%14-Nov-30 0.05416% 14-Nov-30 0.323287 0.153 4.21%15-Nov-30 0.05416% 15-Nov-30 0.323241 0.156 4.21%18-Nov-30 0.05416% 18-Nov-30 0.323105 0.164 4.21%19-Nov-30 0.05416% 19-Nov-30 0.323060 0.167 4.21%20-Nov-30 0.05416% 20-Nov-30 0.323014 0.169 4.20%21-Nov-30 0.05416% 21-Nov-30 0.322969 0.172 4.20%22-Nov-30 0.05416% 22-Nov-30 0.322924 0.175 4.20%25-Nov-30 0.05416% 25-Nov-30 0.322788 0.183 4.20%26-Nov-30 0.05416% 26-Nov-30 0.322742 0.186 4.19%27-Nov-30 0.05416% 27-Nov-30 0.322697 0.189 4.19%28-Nov-30 0.05416% 28-Nov-30 0.322652 0.192 4.19%29-Nov-30 0.05416% 29-Nov-30 0.322607 0.194 4.19%

2-Dec-30 0.05416% 2-Dec-30 0.322471 0.203 4.19%3-Dec-30 0.05416% 3-Dec-30 0.322425 0.206 4.18%4-Dec-30 0.05416% 4-Dec-30 0.322380 0.208 4.18%5-Dec-30 0.05416% 5-Dec-30 0.322335 0.211 4.18%6-Dec-30 0.05416% 6-Dec-30 0.322290 0.214 4.18%9-Dec-30 0.05416% 9-Dec-30 0.322154 0.222 4.17%

10-Dec-30 0.05416% 10-Dec-30 0.322109 0.225 4.17%11-Dec-30 0.05416% 11-Dec-30 0.322063 0.228 4.17%12-Dec-30 0.05416% 12-Dec-30 0.322018 0.231 4.17%13-Dec-30 0.05416% 13-Dec-30 0.321973 0.233 4.17%16-Dec-30 0.05416% 16-Dec-30 0.321837 0.242 4.16%17-Dec-30 0.05416% 17-Dec-30 0.321792 0.244 4.16%18-Dec-30 0.05416% 18-Dec-30 0.321747 0.247 4.16%19-Dec-30 0.05416% 19-Dec-30 0.321702 0.250 4.16%20-Dec-30 0.05416% 20-Dec-30 0.321657 0.253 4.15%23-Dec-30 0.05416% 23-Dec-30 0.321521 0.008 4.15%24-Dec-30 0.05416% 24-Dec-30 0.321476 0.011 4.15%25-Dec-30 0.05416% 25-Dec-30 0.321431 0.014 4.15%26-Dec-30 0.05416% 26-Dec-30 0.321386 0.017 4.14%

Page 595: Ch 6 Credit Derivatives

27-Dec-30 0.05416% 27-Dec-30 0.321341 0.019 4.14%30-Dec-30 0.05416% 30-Dec-30 0.321205 0.028 4.14%31-Dec-30 0.05416% 31-Dec-30 0.321160 0.031 4.14%

1-Jan-31 0.05416% 1-Jan-31 0.321115 0.033 4.14%2-Jan-31 0.05416% 2-Jan-31 0.321070 0.036 4.13%3-Jan-31 0.05416% 3-Jan-31 0.321025 0.039 4.13%6-Jan-31 0.05416% 6-Jan-31 0.320890 0.047 4.13%7-Jan-31 0.05416% 7-Jan-31 0.320845 0.050 4.13%8-Jan-31 0.05416% 8-Jan-31 0.320800 0.053 4.12%9-Jan-31 0.05416% 9-Jan-31 0.320755 0.056 4.12%

10-Jan-31 0.05416% 10-Jan-31 0.320710 0.058 4.12%13-Jan-31 0.05416% 13-Jan-31 0.320574 0.067 4.12%14-Jan-31 0.05416% 14-Jan-31 0.320529 0.069 4.12%15-Jan-31 0.05416% 15-Jan-31 0.320484 0.072 4.11%16-Jan-31 0.05416% 16-Jan-31 0.320439 0.075 4.11%17-Jan-31 0.05416% 17-Jan-31 0.320394 0.078 4.11%20-Jan-31 0.05416% 20-Jan-31 0.320259 0.086 4.11%21-Jan-31 0.05416% 21-Jan-31 0.320214 0.089 4.10%22-Jan-31 0.05416% 22-Jan-31 0.320169 0.092 4.10%23-Jan-31 0.05416% 23-Jan-31 0.320125 0.094 4.10%24-Jan-31 0.05416% 24-Jan-31 0.320080 0.097 4.10%27-Jan-31 0.05416% 27-Jan-31 0.319945 0.106 4.10%28-Jan-31 0.05416% 28-Jan-31 0.319900 0.108 4.09%29-Jan-31 0.05416% 29-Jan-31 0.319855 0.111 4.09%30-Jan-31 0.05416% 30-Jan-31 0.319810 0.114 4.09%31-Jan-31 0.05416% 31-Jan-31 0.319765 0.117 4.09%3-Feb-31 0.05416% 3-Feb-31 0.319630 0.125 4.08%4-Feb-31 0.05416% 4-Feb-31 0.319585 0.128 4.08%5-Feb-31 0.05416% 5-Feb-31 0.319540 0.131 4.08%6-Feb-31 0.05416% 6-Feb-31 0.319496 0.133 4.08%7-Feb-31 0.05416% 7-Feb-31 0.319451 0.136 4.08%

10-Feb-31 0.05416% 10-Feb-31 0.319317 0.144 4.07%11-Feb-31 0.05416% 11-Feb-31 0.319272 0.147 4.07%12-Feb-31 0.05416% 12-Feb-31 0.319227 0.150 4.07%13-Feb-31 0.05416% 13-Feb-31 0.319183 0.153 4.07%14-Feb-31 0.05416% 14-Feb-31 0.319138 0.156 4.06%17-Feb-31 0.05416% 17-Feb-31 0.319004 0.164 4.06%18-Feb-31 0.05416% 18-Feb-31 0.318959 0.167 4.06%19-Feb-31 0.05416% 19-Feb-31 0.318915 0.169 4.06%20-Feb-31 0.05416% 20-Feb-31 0.318870 0.172 4.06%21-Feb-31 0.05416% 21-Feb-31 0.318825 0.175 4.05%24-Feb-31 0.05416% 24-Feb-31 0.318691 0.183 4.05%25-Feb-31 0.05416% 25-Feb-31 0.318647 0.186 4.05%26-Feb-31 0.05416% 26-Feb-31 0.318602 0.189 4.05%

Page 596: Ch 6 Credit Derivatives

27-Feb-31 0.05416% 27-Feb-31 0.318558 0.192 4.05%28-Feb-31 0.05416% 28-Feb-31 0.318513 0.194 4.04%3-Mar-31 0.05416% 3-Mar-31 0.318379 0.203 4.04%4-Mar-31 0.05416% 4-Mar-31 0.318335 0.206 4.04%5-Mar-31 0.05416% 5-Mar-31 0.318290 0.208 4.04%6-Mar-31 0.05416% 6-Mar-31 0.318246 0.211 4.03%7-Mar-31 0.05416% 7-Mar-31 0.318201 0.214 4.03%

10-Mar-31 0.05416% 10-Mar-31 0.318067 0.222 4.03%11-Mar-31 0.05416% 11-Mar-31 0.318023 0.225 4.03%12-Mar-31 0.05416% 12-Mar-31 0.317978 0.228 4.03%13-Mar-31 0.05416% 13-Mar-31 0.317934 0.231 4.02%14-Mar-31 0.05416% 14-Mar-31 0.317889 0.233 4.02%17-Mar-31 0.05416% 17-Mar-31 0.317756 0.242 4.02%18-Mar-31 0.05416% 18-Mar-31 0.317711 0.244 4.02%19-Mar-31 0.05416% 19-Mar-31 0.317667 0.247 4.01%20-Mar-31 0.05416% 20-Mar-31 0.317622 0.250 4.01%21-Mar-31 0.05361% 21-Mar-31 0.317578 0.003 4.01%24-Mar-31 0.05361% 24-Mar-31 0.317444 0.011 4.01%25-Mar-31 0.05361% 25-Mar-31 0.317400 0.014 4.01%26-Mar-31 0.05361% 26-Mar-31 0.317356 0.017 4.00%27-Mar-31 0.05361% 27-Mar-31 0.317311 0.019 4.00%28-Mar-31 0.05361% 28-Mar-31 0.317267 0.022 4.00%31-Mar-31 0.05361% 31-Mar-31 0.317133 0.031 4.00%

1-Apr-31 0.05361% 1-Apr-31 0.317089 0.033 4.00%2-Apr-31 0.05361% 2-Apr-31 0.317045 0.036 3.99%3-Apr-31 0.05361% 3-Apr-31 0.317000 0.039 3.99%4-Apr-31 0.05361% 4-Apr-31 0.316956 0.042 3.99%7-Apr-31 0.05361% 7-Apr-31 0.316823 0.050 3.99%8-Apr-31 0.05361% 8-Apr-31 0.316778 0.053 3.98%9-Apr-31 0.05361% 9-Apr-31 0.316734 0.056 3.98%

10-Apr-31 0.05361% 10-Apr-31 0.316690 0.058 3.98%11-Apr-31 0.05361% 11-Apr-31 0.316645 0.061 3.98%14-Apr-31 0.05361% 14-Apr-31 0.316512 0.069 3.98%15-Apr-31 0.05361% 15-Apr-31 0.316468 0.072 3.97%16-Apr-31 0.05361% 16-Apr-31 0.316424 0.075 3.97%17-Apr-31 0.05361% 17-Apr-31 0.316379 0.078 3.97%18-Apr-31 0.05361% 18-Apr-31 0.316335 0.081 3.97%21-Apr-31 0.05361% 21-Apr-31 0.316202 0.089 3.97%22-Apr-31 0.05361% 22-Apr-31 0.316158 0.092 3.96%23-Apr-31 0.05361% 23-Apr-31 0.316113 0.094 3.96%24-Apr-31 0.05361% 24-Apr-31 0.316069 0.097 3.96%25-Apr-31 0.05361% 25-Apr-31 0.316025 0.100 3.96%28-Apr-31 0.05361% 28-Apr-31 0.315892 0.108 3.95%29-Apr-31 0.05361% 29-Apr-31 0.315848 0.111 3.95%

Page 597: Ch 6 Credit Derivatives

30-Apr-31 0.05361% 30-Apr-31 0.315804 0.114 3.95%1-May-31 0.05361% 1-May-31 0.315759 0.117 3.95%2-May-31 0.05361% 2-May-31 0.315715 0.119 3.95%5-May-31 0.05361% 5-May-31 0.315583 0.128 3.94%6-May-31 0.05361% 6-May-31 0.315538 0.131 3.94%7-May-31 0.05361% 7-May-31 0.315494 0.133 3.94%8-May-31 0.05361% 8-May-31 0.315450 0.136 3.94%9-May-31 0.05361% 9-May-31 0.315406 0.139 3.94%

12-May-31 0.05361% 12-May-31 0.315274 0.147 3.93%13-May-31 0.05361% 13-May-31 0.315230 0.150 3.93%14-May-31 0.05361% 14-May-31 0.315186 0.153 3.93%15-May-31 0.05361% 15-May-31 0.315142 0.156 3.93%16-May-31 0.05361% 16-May-31 0.315098 0.158 3.93%19-May-31 0.05361% 19-May-31 0.314966 0.167 3.92%20-May-31 0.05361% 20-May-31 0.314922 0.169 3.92%21-May-31 0.05361% 21-May-31 0.314878 0.172 3.92%22-May-31 0.05361% 22-May-31 0.314835 0.175 3.92%23-May-31 0.05361% 23-May-31 0.314791 0.178 3.91%26-May-31 0.05361% 26-May-31 0.314659 0.186 3.91%27-May-31 0.05361% 27-May-31 0.314615 0.189 3.91%28-May-31 0.05361% 28-May-31 0.314571 0.192 3.91%29-May-31 0.05361% 29-May-31 0.314527 0.194 3.91%30-May-31 0.05361% 30-May-31 0.314483 0.197 3.90%

2-Jun-31 0.05361% 2-Jun-31 0.314352 0.206 3.90%3-Jun-31 0.05361% 3-Jun-31 0.314308 0.208 3.90%4-Jun-31 0.05361% 4-Jun-31 0.314264 0.211 3.90%5-Jun-31 0.05361% 5-Jun-31 0.314220 0.214 3.90%6-Jun-31 0.05361% 6-Jun-31 0.314176 0.217 3.89%9-Jun-31 0.05361% 9-Jun-31 0.314045 0.225 3.89%

10-Jun-31 0.05361% 10-Jun-31 0.314001 0.228 3.89%11-Jun-31 0.05361% 11-Jun-31 0.313957 0.231 3.89%12-Jun-31 0.05361% 12-Jun-31 0.313913 0.233 3.89%13-Jun-31 0.05361% 13-Jun-31 0.313869 0.236 3.88%16-Jun-31 0.05361% 16-Jun-31 0.313738 0.244 3.88%17-Jun-31 0.05361% 17-Jun-31 0.313694 0.247 3.88%18-Jun-31 0.05361% 18-Jun-31 0.313650 0.250 3.88%19-Jun-31 0.05361% 19-Jun-31 0.313607 0.253 3.87%20-Jun-31 0.05361% 20-Jun-31 0.313563 0.256 3.87%23-Jun-31 0.05439% 23-Jun-31 0.313431 0.008 3.87%24-Jun-31 0.05439% 24-Jun-31 0.313388 0.011 3.87%25-Jun-31 0.05439% 25-Jun-31 0.313344 0.014 3.87%26-Jun-31 0.05439% 26-Jun-31 0.313300 0.017 3.86%27-Jun-31 0.05439% 27-Jun-31 0.313257 0.019 3.86%30-Jun-31 0.05439% 30-Jun-31 0.313125 0.028 3.86%

Page 598: Ch 6 Credit Derivatives

1-Jul-31 0.05439% 1-Jul-31 0.313082 0.031 3.86%2-Jul-31 0.05439% 2-Jul-31 0.313038 0.033 3.86%3-Jul-31 0.05439% 3-Jul-31 0.312994 0.036 3.85%4-Jul-31 0.05439% 4-Jul-31 0.312951 0.039 3.85%7-Jul-31 0.05439% 7-Jul-31 0.312820 0.047 3.85%8-Jul-31 0.05439% 8-Jul-31 0.312776 0.050 3.85%9-Jul-31 0.05439% 9-Jul-31 0.312732 0.053 3.85%

10-Jul-31 0.05439% 10-Jul-31 0.312689 0.056 3.84%11-Jul-31 0.05439% 11-Jul-31 0.312645 0.058 3.84%14-Jul-31 0.05439% 14-Jul-31 0.312514 0.067 3.84%15-Jul-31 0.05439% 15-Jul-31 0.312470 0.069 3.84%16-Jul-31 0.05439% 16-Jul-31 0.312427 0.072 3.84%17-Jul-31 0.05439% 17-Jul-31 0.312383 0.075 3.83%18-Jul-31 0.05439% 18-Jul-31 0.312339 0.078 3.83%21-Jul-31 0.05439% 21-Jul-31 0.312209 0.086 3.83%22-Jul-31 0.05439% 22-Jul-31 0.312165 0.089 3.83%23-Jul-31 0.05439% 23-Jul-31 0.312122 0.092 3.82%24-Jul-31 0.05439% 24-Jul-31 0.312078 0.094 3.82%25-Jul-31 0.05439% 25-Jul-31 0.312034 0.097 3.82%28-Jul-31 0.05439% 28-Jul-31 0.311904 0.106 3.82%29-Jul-31 0.05439% 29-Jul-31 0.311860 0.108 3.82%30-Jul-31 0.05439% 30-Jul-31 0.311817 0.111 3.81%31-Jul-31 0.05439% 31-Jul-31 0.311773 0.114 3.81%1-Aug-31 0.05439% 1-Aug-31 0.311730 0.117 3.81%4-Aug-31 0.05439% 4-Aug-31 0.311599 0.125 3.81%5-Aug-31 0.05439% 5-Aug-31 0.311556 0.128 3.81%6-Aug-31 0.05439% 6-Aug-31 0.311512 0.131 3.80%7-Aug-31 0.05439% 7-Aug-31 0.311469 0.133 3.80%8-Aug-31 0.05439% 8-Aug-31 0.311425 0.136 3.80%

11-Aug-31 0.05439% 11-Aug-31 0.311295 0.144 3.80%12-Aug-31 0.05439% 12-Aug-31 0.311252 0.147 3.80%13-Aug-31 0.05439% 13-Aug-31 0.311209 0.150 3.79%14-Aug-31 0.05439% 14-Aug-31 0.311165 0.153 3.79%15-Aug-31 0.05439% 15-Aug-31 0.311122 0.156 3.79%18-Aug-31 0.05439% 18-Aug-31 0.310992 0.164 3.79%19-Aug-31 0.05439% 19-Aug-31 0.310949 0.167 3.79%20-Aug-31 0.05439% 20-Aug-31 0.310906 0.169 3.78%21-Aug-31 0.05439% 21-Aug-31 0.310863 0.172 3.78%22-Aug-31 0.05439% 22-Aug-31 0.310819 0.175 3.78%25-Aug-31 0.05439% 25-Aug-31 0.310690 0.183 3.78%26-Aug-31 0.05439% 26-Aug-31 0.310646 0.186 3.78%27-Aug-31 0.05439% 27-Aug-31 0.310603 0.189 3.77%28-Aug-31 0.05439% 28-Aug-31 0.310560 0.192 3.77%29-Aug-31 0.05439% 29-Aug-31 0.310517 0.194 3.77%

Page 599: Ch 6 Credit Derivatives

1-Sep-31 0.05439% 1-Sep-31 0.310387 0.203 3.77%2-Sep-31 0.05439% 2-Sep-31 0.310344 0.206 3.76%3-Sep-31 0.05439% 3-Sep-31 0.310301 0.208 3.76%4-Sep-31 0.05439% 4-Sep-31 0.310258 0.211 3.76%5-Sep-31 0.05439% 5-Sep-31 0.310214 0.214 3.76%8-Sep-31 0.05439% 8-Sep-31 0.310085 0.222 3.76%9-Sep-31 0.05439% 9-Sep-31 0.310042 0.225 3.75%

10-Sep-31 0.05439% 10-Sep-31 0.309999 0.228 3.75%11-Sep-31 0.05439% 11-Sep-31 0.309956 0.231 3.75%12-Sep-31 0.05439% 12-Sep-31 0.309912 0.233 3.75%15-Sep-31 0.05439% 15-Sep-31 0.309783 0.242 3.75%16-Sep-31 0.05439% 16-Sep-31 0.309740 0.244 3.74%17-Sep-31 0.05439% 17-Sep-31 0.309697 0.247 3.74%18-Sep-31 0.05439% 18-Sep-31 0.309654 0.250 3.74%19-Sep-31 0.05439% 19-Sep-31 0.309611 0.253 3.74%22-Sep-31 0.05439% 22-Sep-31 0.309481 0.261 3.74%23-Sep-31 0.05356% 23-Sep-31 0.309438 0.003 3.73%24-Sep-31 0.05356% 24-Sep-31 0.309395 0.006 3.73%25-Sep-31 0.05356% 25-Sep-31 0.309352 0.008 3.73%26-Sep-31 0.05356% 26-Sep-31 0.309309 0.011 3.73%29-Sep-31 0.05356% 29-Sep-31 0.309180 0.019 3.73%30-Sep-31 0.05356% 30-Sep-31 0.309137 0.022 3.72%

1-Oct-31 0.05356% 1-Oct-31 0.309094 0.025 3.72%2-Oct-31 0.05356% 2-Oct-31 0.309051 0.028 3.72%3-Oct-31 0.05356% 3-Oct-31 0.309008 0.031 3.72%6-Oct-31 0.05356% 6-Oct-31 0.308879 0.039 3.72%7-Oct-31 0.05356% 7-Oct-31 0.308836 0.042 3.71%8-Oct-31 0.05356% 8-Oct-31 0.308793 0.044 3.71%9-Oct-31 0.05356% 9-Oct-31 0.308750 0.047 3.71%

10-Oct-31 0.05356% 10-Oct-31 0.308707 0.050 3.71%13-Oct-31 0.05356% 13-Oct-31 0.308578 0.058 3.71%14-Oct-31 0.05356% 14-Oct-31 0.308535 0.061 3.70%15-Oct-31 0.05356% 15-Oct-31 0.308492 0.064 3.70%16-Oct-31 0.05356% 16-Oct-31 0.308449 0.067 3.70%17-Oct-31 0.05356% 17-Oct-31 0.308407 0.069 3.70%20-Oct-31 0.05356% 20-Oct-31 0.308278 0.078 3.70%21-Oct-31 0.05356% 21-Oct-31 0.308235 0.081 3.69%22-Oct-31 0.05356% 22-Oct-31 0.308192 0.083 3.69%23-Oct-31 0.05356% 23-Oct-31 0.308149 0.086 3.69%24-Oct-31 0.05356% 24-Oct-31 0.308106 0.089 3.69%27-Oct-31 0.05356% 27-Oct-31 0.307978 0.097 3.69%28-Oct-31 0.05356% 28-Oct-31 0.307935 0.100 3.68%29-Oct-31 0.05356% 29-Oct-31 0.307892 0.103 3.68%30-Oct-31 0.05356% 30-Oct-31 0.307849 0.106 3.68%

Page 600: Ch 6 Credit Derivatives

31-Oct-31 0.05356% 31-Oct-31 0.307806 0.108 3.68%3-Nov-31 0.05356% 3-Nov-31 0.307678 0.117 3.68%4-Nov-31 0.05356% 4-Nov-31 0.307635 0.119 3.67%5-Nov-31 0.05356% 5-Nov-31 0.307592 0.122 3.67%6-Nov-31 0.05356% 6-Nov-31 0.307549 0.125 3.67%7-Nov-31 0.05356% 7-Nov-31 0.307507 0.128 3.67%

10-Nov-31 0.05356% 10-Nov-31 0.307379 0.136 3.67%11-Nov-31 0.05356% 11-Nov-31 0.307336 0.139 3.66%12-Nov-31 0.05356% 12-Nov-31 0.307293 0.142 3.66%13-Nov-31 0.05356% 13-Nov-31 0.307251 0.144 3.66%14-Nov-31 0.05356% 14-Nov-31 0.307208 0.147 3.66%17-Nov-31 0.05356% 17-Nov-31 0.307080 0.156 3.66%18-Nov-31 0.05356% 18-Nov-31 0.307038 0.158 3.66%19-Nov-31 0.05356% 19-Nov-31 0.306995 0.161 3.65%20-Nov-31 0.05356% 20-Nov-31 0.306953 0.164 3.65%21-Nov-31 0.05356% 21-Nov-31 0.306910 0.167 3.65%24-Nov-31 0.05356% 24-Nov-31 0.306782 0.175 3.65%25-Nov-31 0.05356% 25-Nov-31 0.306740 0.178 3.65%26-Nov-31 0.05356% 26-Nov-31 0.306697 0.181 3.64%27-Nov-31 0.05356% 27-Nov-31 0.306655 0.183 3.64%28-Nov-31 0.05356% 28-Nov-31 0.306612 0.186 3.64%

1-Dec-31 0.05356% 1-Dec-31 0.306485 0.194 3.64%2-Dec-31 0.05356% 2-Dec-31 0.306442 0.197 3.64%3-Dec-31 0.05356% 3-Dec-31 0.306400 0.200 3.63%4-Dec-31 0.05356% 4-Dec-31 0.306357 0.203 3.63%5-Dec-31 0.05356% 5-Dec-31 0.306315 0.206 3.63%8-Dec-31 0.05356% 8-Dec-31 0.306187 0.214 3.63%9-Dec-31 0.05356% 9-Dec-31 0.306145 0.217 3.63%

10-Dec-31 0.05356% 10-Dec-31 0.306102 0.219 3.62%11-Dec-31 0.05356% 11-Dec-31 0.306060 0.222 3.62%12-Dec-31 0.05356% 12-Dec-31 0.306017 0.225 3.62%15-Dec-31 0.05356% 15-Dec-31 0.305890 0.233 3.62%16-Dec-31 0.05356% 16-Dec-31 0.305848 0.236 3.62%17-Dec-31 0.05356% 17-Dec-31 0.305805 0.239 3.61%18-Dec-31 0.05356% 18-Dec-31 0.305763 0.242 3.61%19-Dec-31 0.05356% 19-Dec-31 0.305720 0.244 3.61%22-Dec-31 0.05356% 22-Dec-31 0.305593 0.253 3.61%23-Dec-31 0.05341% 23-Dec-31 0.305551 0.003 3.61%24-Dec-31 0.05341% 24-Dec-31 0.305508 0.006 3.60%25-Dec-31 0.05341% 25-Dec-31 0.305466 0.008 3.60%26-Dec-31 0.05341% 26-Dec-31 0.305424 0.011 3.60%29-Dec-31 0.05341% 29-Dec-31 0.305297 0.019 3.60%30-Dec-31 0.05341% 30-Dec-31 0.305254 0.022 3.60%31-Dec-31 0.05341% 31-Dec-31 0.305212 0.025 3.59%

Page 601: Ch 6 Credit Derivatives

1-Jan-32 0.05341% 1-Jan-32 0.305169 0.028 3.59%2-Jan-32 0.05341% 2-Jan-32 0.305127 0.031 3.59%5-Jan-32 0.05341% 5-Jan-32 0.305000 0.039 3.59%6-Jan-32 0.05341% 6-Jan-32 0.304958 0.042 3.59%7-Jan-32 0.05341% 7-Jan-32 0.304916 0.044 3.59%8-Jan-32 0.05341% 8-Jan-32 0.304873 0.047 3.58%9-Jan-32 0.05341% 9-Jan-32 0.304831 0.050 3.58%

12-Jan-32 0.05341% 12-Jan-32 0.304704 0.058 3.58%13-Jan-32 0.05341% 13-Jan-32 0.304662 0.061 3.58%14-Jan-32 0.05341% 14-Jan-32 0.304620 0.064 3.58%15-Jan-32 0.05341% 15-Jan-32 0.304577 0.067 3.57%16-Jan-32 0.05341% 16-Jan-32 0.304535 0.069 3.57%19-Jan-32 0.05341% 19-Jan-32 0.304408 0.078 3.57%20-Jan-32 0.05341% 20-Jan-32 0.304366 0.081 3.57%21-Jan-32 0.05341% 21-Jan-32 0.304324 0.083 3.57%22-Jan-32 0.05341% 22-Jan-32 0.304282 0.086 3.56%23-Jan-32 0.05341% 23-Jan-32 0.304239 0.089 3.56%26-Jan-32 0.05341% 26-Jan-32 0.304113 0.097 3.56%27-Jan-32 0.05341% 27-Jan-32 0.304071 0.100 3.56%28-Jan-32 0.05341% 28-Jan-32 0.304028 0.103 3.56%29-Jan-32 0.05341% 29-Jan-32 0.303986 0.106 3.55%30-Jan-32 0.05341% 30-Jan-32 0.303944 0.108 3.55%2-Feb-32 0.05341% 2-Feb-32 0.303818 0.117 3.55%3-Feb-32 0.05341% 3-Feb-32 0.303775 0.119 3.55%4-Feb-32 0.05341% 4-Feb-32 0.303733 0.122 3.55%5-Feb-32 0.05341% 5-Feb-32 0.303691 0.125 3.55%6-Feb-32 0.05341% 6-Feb-32 0.303649 0.128 3.54%9-Feb-32 0.05341% 9-Feb-32 0.303523 0.136 3.54%

10-Feb-32 0.05341% 10-Feb-32 0.303481 0.139 3.54%11-Feb-32 0.05341% 11-Feb-32 0.303439 0.142 3.54%12-Feb-32 0.05341% 12-Feb-32 0.303397 0.144 3.54%13-Feb-32 0.05341% 13-Feb-32 0.303355 0.147 3.53%16-Feb-32 0.05341% 16-Feb-32 0.303229 0.156 3.53%17-Feb-32 0.05341% 17-Feb-32 0.303188 0.158 3.53%18-Feb-32 0.05341% 18-Feb-32 0.303146 0.161 3.53%19-Feb-32 0.05341% 19-Feb-32 0.303104 0.164 3.53%20-Feb-32 0.05341% 20-Feb-32 0.303062 0.167 3.52%23-Feb-32 0.05341% 23-Feb-32 0.302936 0.175 3.52%24-Feb-32 0.05341% 24-Feb-32 0.302894 0.178 3.52%25-Feb-32 0.05341% 25-Feb-32 0.302852 0.181 3.52%26-Feb-32 0.05341% 26-Feb-32 0.302810 0.183 3.52%27-Feb-32 0.05341% 27-Feb-32 0.302769 0.186 3.52%1-Mar-32 0.05341% 1-Mar-32 0.302643 0.194 3.51%2-Mar-32 0.05341% 2-Mar-32 0.302601 0.197 3.51%

Page 602: Ch 6 Credit Derivatives

3-Mar-32 0.05341% 3-Mar-32 0.302559 0.200 3.51%4-Mar-32 0.05341% 4-Mar-32 0.302517 0.203 3.51%5-Mar-32 0.05341% 5-Mar-32 0.302476 0.206 3.51%8-Mar-32 0.05341% 8-Mar-32 0.302350 0.214 3.50%9-Mar-32 0.05341% 9-Mar-32 0.302308 0.217 3.50%

10-Mar-32 0.05341% 10-Mar-32 0.302267 0.219 3.50%11-Mar-32 0.05341% 11-Mar-32 0.302225 0.222 3.50%12-Mar-32 0.05341% 12-Mar-32 0.302183 0.225 3.50%15-Mar-32 0.05341% 15-Mar-32 0.302058 0.233 3.49%16-Mar-32 0.05341% 16-Mar-32 0.302016 0.236 3.49%17-Mar-32 0.05341% 17-Mar-32 0.301974 0.239 3.49%18-Mar-32 0.05341% 18-Mar-32 0.301932 0.242 3.49%19-Mar-32 0.05341% 19-Mar-32 0.301891 0.244 3.49%22-Mar-32 0.05341% 22-Mar-32 0.301765 0.253 3.49%23-Mar-32 0.05307% 23-Mar-32 0.301724 0.003 3.48%24-Mar-32 0.05307% 24-Mar-32 0.301682 0.006 3.48%25-Mar-32 0.05307% 25-Mar-32 0.301640 0.008 3.48%26-Mar-32 0.05307% 26-Mar-32 0.301598 0.011 3.48%29-Mar-32 0.05307% 29-Mar-32 0.301473 0.019 3.48%30-Mar-32 0.05307% 30-Mar-32 0.301432 0.022 3.47%31-Mar-32 0.05307% 31-Mar-32 0.301390 0.025 3.47%

1-Apr-32 0.05307% 1-Apr-32 0.301348 0.028 3.47%2-Apr-32 0.05307% 2-Apr-32 0.301307 0.031 3.47%5-Apr-32 0.05307% 5-Apr-32 0.301182 0.039 3.47%6-Apr-32 0.05307% 6-Apr-32 0.301140 0.042 3.46%7-Apr-32 0.05307% 7-Apr-32 0.301098 0.044 3.46%8-Apr-32 0.05307% 8-Apr-32 0.301057 0.047 3.46%9-Apr-32 0.05307% 9-Apr-32 0.301015 0.050 3.46%

12-Apr-32 0.05307% 12-Apr-32 0.300890 0.058 3.46%13-Apr-32 0.05307% 13-Apr-32 0.300849 0.061 3.46%14-Apr-32 0.05307% 14-Apr-32 0.300807 0.064 3.45%15-Apr-32 0.05307% 15-Apr-32 0.300765 0.067 3.45%16-Apr-32 0.05307% 16-Apr-32 0.300724 0.069 3.45%19-Apr-32 0.05307% 19-Apr-32 0.300599 0.078 3.45%20-Apr-32 0.05307% 20-Apr-32 0.300557 0.081 3.45%21-Apr-32 0.05307% 21-Apr-32 0.300516 0.083 3.44%22-Apr-32 0.05307% 22-Apr-32 0.300474 0.086 3.44%23-Apr-32 0.05307% 23-Apr-32 0.300433 0.089 3.44%26-Apr-32 0.05307% 26-Apr-32 0.300308 0.097 3.44%27-Apr-32 0.05307% 27-Apr-32 0.300267 0.100 3.44%28-Apr-32 0.05307% 28-Apr-32 0.300225 0.103 3.44%29-Apr-32 0.05307% 29-Apr-32 0.300184 0.106 3.43%30-Apr-32 0.05307% 30-Apr-32 0.300142 0.108 3.43%3-May-32 0.05307% 3-May-32 0.300017 0.117 3.43%

Page 603: Ch 6 Credit Derivatives

4-May-32 0.05307% 4-May-32 0.299976 0.119 3.43%5-May-32 0.05307% 5-May-32 0.299935 0.122 3.43%6-May-32 0.05307% 6-May-32 0.299893 0.125 3.42%7-May-32 0.05307% 7-May-32 0.299852 0.128 3.42%

10-May-32 0.05307% 10-May-32 0.299728 0.136 3.42%11-May-32 0.05307% 11-May-32 0.299686 0.139 3.42%12-May-32 0.05307% 12-May-32 0.299645 0.142 3.42%13-May-32 0.05307% 13-May-32 0.299604 0.144 3.42%14-May-32 0.05307% 14-May-32 0.299563 0.147 3.41%17-May-32 0.05307% 17-May-32 0.299439 0.156 3.41%18-May-32 0.05307% 18-May-32 0.299397 0.158 3.41%19-May-32 0.05307% 19-May-32 0.299356 0.161 3.41%20-May-32 0.05307% 20-May-32 0.299315 0.164 3.41%21-May-32 0.05307% 21-May-32 0.299274 0.167 3.40%24-May-32 0.05307% 24-May-32 0.299150 0.175 3.40%25-May-32 0.05307% 25-May-32 0.299109 0.178 3.40%26-May-32 0.05307% 26-May-32 0.299068 0.181 3.40%27-May-32 0.05307% 27-May-32 0.299026 0.183 3.40%28-May-32 0.05307% 28-May-32 0.298985 0.186 3.40%31-May-32 0.05307% 31-May-32 0.298862 0.194 3.39%

1-Jun-32 0.05307% 1-Jun-32 0.298820 0.197 3.39%2-Jun-32 0.05307% 2-Jun-32 0.298779 0.200 3.39%3-Jun-32 0.05307% 3-Jun-32 0.298738 0.203 3.39%4-Jun-32 0.05307% 4-Jun-32 0.298697 0.206 3.39%7-Jun-32 0.05307% 7-Jun-32 0.298573 0.214 3.38%8-Jun-32 0.05307% 8-Jun-32 0.298532 0.217 3.38%9-Jun-32 0.05307% 9-Jun-32 0.298491 0.219 3.38%

10-Jun-32 0.05307% 10-Jun-32 0.298450 0.222 3.38%11-Jun-32 0.05307% 11-Jun-32 0.298409 0.225 3.38%14-Jun-32 0.05307% 14-Jun-32 0.298285 0.233 3.38%15-Jun-32 0.05307% 15-Jun-32 0.298244 0.236 3.37%16-Jun-32 0.05307% 16-Jun-32 0.298203 0.239 3.37%17-Jun-32 0.05307% 17-Jun-32 0.298162 0.242 3.37%18-Jun-32 0.05307% 18-Jun-32 0.298121 0.244 3.37%21-Jun-32 0.05307% 21-Jun-32 0.297998 0.253 3.37%22-Jun-32 0.05312% 22-Jun-32 0.297957 0.003 3.37%23-Jun-32 0.05312% 23-Jun-32 0.297916 0.006 3.36%24-Jun-32 0.05312% 24-Jun-32 0.297875 0.008 3.36%25-Jun-32 0.05312% 25-Jun-32 0.297834 0.011 3.36%28-Jun-32 0.05312% 28-Jun-32 0.297710 0.019 3.36%29-Jun-32 0.05312% 29-Jun-32 0.297669 0.022 3.36%30-Jun-32 0.05312% 30-Jun-32 0.297628 0.025 3.35%

1-Jul-32 0.05312% 1-Jul-32 0.297587 0.028 3.35%2-Jul-32 0.05312% 2-Jul-32 0.297546 0.031 3.35%

Page 604: Ch 6 Credit Derivatives

5-Jul-32 0.05312% 5-Jul-32 0.297423 0.039 3.35%6-Jul-32 0.05312% 6-Jul-32 0.297382 0.042 3.35%7-Jul-32 0.05312% 7-Jul-32 0.297341 0.044 3.35%8-Jul-32 0.05312% 8-Jul-32 0.297300 0.047 3.34%9-Jul-32 0.05312% 9-Jul-32 0.297259 0.050 3.34%

12-Jul-32 0.05312% 12-Jul-32 0.297137 0.058 3.34%13-Jul-32 0.05312% 13-Jul-32 0.297096 0.061 3.34%14-Jul-32 0.05312% 14-Jul-32 0.297055 0.064 3.34%15-Jul-32 0.05312% 15-Jul-32 0.297014 0.067 3.33%16-Jul-32 0.05312% 16-Jul-32 0.296973 0.069 3.33%19-Jul-32 0.05312% 19-Jul-32 0.296850 0.078 3.33%20-Jul-32 0.05312% 20-Jul-32 0.296809 0.081 3.33%21-Jul-32 0.05312% 21-Jul-32 0.296768 0.083 3.33%22-Jul-32 0.05312% 22-Jul-32 0.296727 0.086 3.33%23-Jul-32 0.05312% 23-Jul-32 0.296686 0.089 3.32%26-Jul-32 0.05312% 26-Jul-32 0.296564 0.097 3.32%27-Jul-32 0.05312% 27-Jul-32 0.296523 0.100 3.32%28-Jul-32 0.05312% 28-Jul-32 0.296482 0.103 3.32%29-Jul-32 0.05312% 29-Jul-32 0.296441 0.106 3.32%30-Jul-32 0.05312% 30-Jul-32 0.296400 0.108 3.32%2-Aug-32 0.05312% 2-Aug-32 0.296278 0.117 3.31%3-Aug-32 0.05312% 3-Aug-32 0.296237 0.119 3.31%4-Aug-32 0.05312% 4-Aug-32 0.296196 0.122 3.31%5-Aug-32 0.05312% 5-Aug-32 0.296155 0.125 3.31%6-Aug-32 0.05312% 6-Aug-32 0.296114 0.128 3.31%9-Aug-32 0.05312% 9-Aug-32 0.295992 0.136 3.30%

10-Aug-32 0.05312% 10-Aug-32 0.295952 0.139 3.30%11-Aug-32 0.05312% 11-Aug-32 0.295911 0.142 3.30%12-Aug-32 0.05312% 12-Aug-32 0.295871 0.144 3.30%13-Aug-32 0.05312% 13-Aug-32 0.295830 0.147 3.30%16-Aug-32 0.05312% 16-Aug-32 0.295708 0.156 3.30%17-Aug-32 0.05312% 17-Aug-32 0.295667 0.158 3.29%18-Aug-32 0.05312% 18-Aug-32 0.295627 0.161 3.29%19-Aug-32 0.05312% 19-Aug-32 0.295586 0.164 3.29%20-Aug-32 0.05312% 20-Aug-32 0.295546 0.167 3.29%23-Aug-32 0.05312% 23-Aug-32 0.295424 0.175 3.29%24-Aug-32 0.05312% 24-Aug-32 0.295383 0.178 3.29%25-Aug-32 0.05312% 25-Aug-32 0.295343 0.181 3.28%26-Aug-32 0.05312% 26-Aug-32 0.295302 0.183 3.28%27-Aug-32 0.05312% 27-Aug-32 0.295262 0.186 3.28%30-Aug-32 0.05312% 30-Aug-32 0.295140 0.194 3.28%31-Aug-32 0.05312% 31-Aug-32 0.295099 0.197 3.28%

1-Sep-32 0.05312% 1-Sep-32 0.295059 0.200 3.28%2-Sep-32 0.05312% 2-Sep-32 0.295018 0.203 3.27%

Page 605: Ch 6 Credit Derivatives

3-Sep-32 0.05312% 3-Sep-32 0.294978 0.206 3.27%6-Sep-32 0.05312% 6-Sep-32 0.294856 0.214 3.27%7-Sep-32 0.05312% 7-Sep-32 0.294816 0.217 3.27%8-Sep-32 0.05312% 8-Sep-32 0.294775 0.219 3.27%9-Sep-32 0.05312% 9-Sep-32 0.294735 0.222 3.26%

10-Sep-32 0.05312% 10-Sep-32 0.294694 0.225 3.26%13-Sep-32 0.05312% 13-Sep-32 0.294573 0.233 3.26%14-Sep-32 0.05312% 14-Sep-32 0.294533 0.236 3.26%15-Sep-32 0.05312% 15-Sep-32 0.294492 0.239 3.26%16-Sep-32 0.05312% 16-Sep-32 0.294452 0.242 3.26%17-Sep-32 0.05312% 17-Sep-32 0.294411 0.244 3.25%20-Sep-32 0.05312% 20-Sep-32 0.294290 0.253 3.25%21-Sep-32 0.05286% 21-Sep-32 0.294250 0.003 3.25%22-Sep-32 0.05286% 22-Sep-32 0.294209 0.006 3.25%23-Sep-32 0.05286% 23-Sep-32 0.294169 0.008 3.25%24-Sep-32 0.05286% 24-Sep-32 0.294128 0.011 3.25%27-Sep-32 0.05286% 27-Sep-32 0.294007 0.019 3.24%28-Sep-32 0.05286% 28-Sep-32 0.293967 0.022 3.24%29-Sep-32 0.05286% 29-Sep-32 0.293926 0.025 3.24%30-Sep-32 0.05286% 30-Sep-32 0.293886 0.028 3.24%

1-Oct-32 0.05286% 1-Oct-32 0.293846 0.031 3.24%4-Oct-32 0.05286% 4-Oct-32 0.293725 0.039 3.24%5-Oct-32 0.05286% 5-Oct-32 0.293684 0.042 3.23%6-Oct-32 0.05286% 6-Oct-32 0.293644 0.044 3.23%7-Oct-32 0.05286% 7-Oct-32 0.293604 0.047 3.23%8-Oct-32 0.05286% 8-Oct-32 0.293563 0.050 3.23%

11-Oct-32 0.05286% 11-Oct-32 0.293442 0.058 3.23%12-Oct-32 0.05286% 12-Oct-32 0.293402 0.061 3.23%13-Oct-32 0.05286% 13-Oct-32 0.293362 0.064 3.22%14-Oct-32 0.05286% 14-Oct-32 0.293321 0.067 3.22%15-Oct-32 0.05286% 15-Oct-32 0.293281 0.069 3.22%18-Oct-32 0.05286% 18-Oct-32 0.293160 0.078 3.22%19-Oct-32 0.05286% 19-Oct-32 0.293120 0.081 3.22%20-Oct-32 0.05286% 20-Oct-32 0.293080 0.083 3.22%21-Oct-32 0.05286% 21-Oct-32 0.293040 0.086 3.21%22-Oct-32 0.05286% 22-Oct-32 0.292999 0.089 3.21%25-Oct-32 0.05286% 25-Oct-32 0.292879 0.097 3.21%26-Oct-32 0.05286% 26-Oct-32 0.292838 0.100 3.21%27-Oct-32 0.05286% 27-Oct-32 0.292798 0.103 3.21%28-Oct-32 0.05286% 28-Oct-32 0.292758 0.106 3.20%29-Oct-32 0.05286% 29-Oct-32 0.292718 0.108 3.20%1-Nov-32 0.05286% 1-Nov-32 0.292597 0.117 3.20%2-Nov-32 0.05286% 2-Nov-32 0.292557 0.119 3.20%3-Nov-32 0.05286% 3-Nov-32 0.292517 0.122 3.20%

Page 606: Ch 6 Credit Derivatives

4-Nov-32 0.05286% 4-Nov-32 0.292477 0.125 3.20%5-Nov-32 0.05286% 5-Nov-32 0.292436 0.128 3.19%8-Nov-32 0.05286% 8-Nov-32 0.292316 0.136 3.19%9-Nov-32 0.05286% 9-Nov-32 0.292276 0.139 3.19%

10-Nov-32 0.05286% 10-Nov-32 0.292236 0.142 3.19%11-Nov-32 0.05286% 11-Nov-32 0.292196 0.144 3.19%12-Nov-32 0.05286% 12-Nov-32 0.292156 0.147 3.19%15-Nov-32 0.05286% 15-Nov-32 0.292036 0.156 3.18%16-Nov-32 0.05286% 16-Nov-32 0.291996 0.158 3.18%17-Nov-32 0.05286% 17-Nov-32 0.291956 0.161 3.18%18-Nov-32 0.05286% 18-Nov-32 0.291916 0.164 3.18%19-Nov-32 0.05286% 19-Nov-32 0.291876 0.167 3.18%22-Nov-32 0.05286% 22-Nov-32 0.291756 0.175 3.18%23-Nov-32 0.05286% 23-Nov-32 0.291716 0.178 3.17%24-Nov-32 0.05286% 24-Nov-32 0.291676 0.181 3.17%25-Nov-32 0.05286% 25-Nov-32 0.291636 0.183 3.17%26-Nov-32 0.05286% 26-Nov-32 0.291597 0.186 3.17%29-Nov-32 0.05286% 29-Nov-32 0.291477 0.194 3.17%30-Nov-32 0.05286% 30-Nov-32 0.291437 0.197 3.17%

1-Dec-32 0.05286% 1-Dec-32 0.291397 0.200 3.16%2-Dec-32 0.05286% 2-Dec-32 0.291357 0.203 3.16%3-Dec-32 0.05286% 3-Dec-32 0.291317 0.206 3.16%6-Dec-32 0.05286% 6-Dec-32 0.291198 0.214 3.16%7-Dec-32 0.05286% 7-Dec-32 0.291158 0.217 3.16%8-Dec-32 0.05286% 8-Dec-32 0.291118 0.219 3.16%9-Dec-32 0.05286% 9-Dec-32 0.291078 0.222 3.15%

10-Dec-32 0.05286% 10-Dec-32 0.291038 0.225 3.15%13-Dec-32 0.05286% 13-Dec-32 0.290919 0.233 3.15%14-Dec-32 0.05286% 14-Dec-32 0.290879 0.236 3.15%15-Dec-32 0.05286% 15-Dec-32 0.290839 0.239 3.15%16-Dec-32 0.05286% 16-Dec-32 0.290799 0.242 3.15%17-Dec-32 0.05286% 17-Dec-32 0.290759 0.244 3.14%20-Dec-32 0.05286% 20-Dec-32 0.290640 0.253 3.14%21-Dec-32 0.05282% 21-Dec-32 0.290600 0.003 3.14%22-Dec-32 0.05282% 22-Dec-32 0.290560 0.006 3.14%23-Dec-32 0.05282% 23-Dec-32 0.290521 0.008 3.14%24-Dec-32 0.05282% 24-Dec-32 0.290481 0.011 3.14%27-Dec-32 0.05282% 27-Dec-32 0.290362 0.019 3.13%28-Dec-32 0.05282% 28-Dec-32 0.290322 0.022 3.13%29-Dec-32 0.05282% 29-Dec-32 0.290282 0.025 3.13%30-Dec-32 0.05282% 30-Dec-32 0.290242 0.028 3.13%31-Dec-32 0.05282% 31-Dec-32 0.290203 0.031 3.13%

3-Jan-33 0.05282% 3-Jan-33 0.290084 0.039 3.13%4-Jan-33 0.05282% 4-Jan-33 0.290044 0.042 3.12%

Page 607: Ch 6 Credit Derivatives

5-Jan-33 0.05282% 5-Jan-33 0.290004 0.044 3.12%6-Jan-33 0.05282% 6-Jan-33 0.289964 0.047 3.12%7-Jan-33 0.05282% 7-Jan-33 0.289925 0.050 3.12%

10-Jan-33 0.05282% 10-Jan-33 0.289806 0.058 3.12%11-Jan-33 0.05282% 11-Jan-33 0.289766 0.061 3.12%12-Jan-33 0.05282% 12-Jan-33 0.289726 0.064 3.11%13-Jan-33 0.05282% 13-Jan-33 0.289687 0.067 3.11%14-Jan-33 0.05282% 14-Jan-33 0.289647 0.069 3.11%17-Jan-33 0.05282% 17-Jan-33 0.289528 0.078 3.11%18-Jan-33 0.05282% 18-Jan-33 0.289488 0.081 3.11%19-Jan-33 0.05282% 19-Jan-33 0.289449 0.083 3.11%20-Jan-33 0.05282% 20-Jan-33 0.289409 0.086 3.10%21-Jan-33 0.05282% 21-Jan-33 0.289370 0.089 3.10%24-Jan-33 0.05282% 24-Jan-33 0.289251 0.097 3.10%25-Jan-33 0.05282% 25-Jan-33 0.289211 0.100 3.10%26-Jan-33 0.05282% 26-Jan-33 0.289171 0.103 3.10%27-Jan-33 0.05282% 27-Jan-33 0.289132 0.106 3.10%28-Jan-33 0.05282% 28-Jan-33 0.289092 0.108 3.10%31-Jan-33 0.05282% 31-Jan-33 0.288974 0.117 3.09%1-Feb-33 0.05282% 1-Feb-33 0.288934 0.119 3.09%2-Feb-33 0.05282% 2-Feb-33 0.288894 0.122 3.09%3-Feb-33 0.05282% 3-Feb-33 0.288855 0.125 3.09%4-Feb-33 0.05282% 4-Feb-33 0.288815 0.128 3.09%7-Feb-33 0.05282% 7-Feb-33 0.288697 0.136 3.09%8-Feb-33 0.05282% 8-Feb-33 0.288657 0.139 3.08%9-Feb-33 0.05282% 9-Feb-33 0.288618 0.142 3.08%

10-Feb-33 0.05282% 10-Feb-33 0.288579 0.144 3.08%11-Feb-33 0.05282% 11-Feb-33 0.288539 0.147 3.08%14-Feb-33 0.05282% 14-Feb-33 0.288421 0.156 3.08%15-Feb-33 0.05282% 15-Feb-33 0.288382 0.158 3.08%16-Feb-33 0.05282% 16-Feb-33 0.288342 0.161 3.07%17-Feb-33 0.05282% 17-Feb-33 0.288303 0.164 3.07%18-Feb-33 0.05282% 18-Feb-33 0.288264 0.167 3.07%21-Feb-33 0.05282% 21-Feb-33 0.288146 0.175 3.07%22-Feb-33 0.05282% 22-Feb-33 0.288106 0.178 3.07%23-Feb-33 0.05282% 23-Feb-33 0.288067 0.181 3.07%24-Feb-33 0.05282% 24-Feb-33 0.288028 0.183 3.06%25-Feb-33 0.05282% 25-Feb-33 0.287989 0.186 3.06%28-Feb-33 0.05282% 28-Feb-33 0.287871 0.194 3.06%1-Mar-33 0.05282% 1-Mar-33 0.287831 0.197 3.06%2-Mar-33 0.05282% 2-Mar-33 0.287792 0.200 3.06%3-Mar-33 0.05282% 3-Mar-33 0.287753 0.203 3.06%4-Mar-33 0.05282% 4-Mar-33 0.287714 0.206 3.05%7-Mar-33 0.05282% 7-Mar-33 0.287596 0.214 3.05%

Page 608: Ch 6 Credit Derivatives

8-Mar-33 0.05282% 8-Mar-33 0.287557 0.217 3.05%9-Mar-33 0.05282% 9-Mar-33 0.287517 0.219 3.05%

10-Mar-33 0.05282% 10-Mar-33 0.287478 0.222 3.05%11-Mar-33 0.05282% 11-Mar-33 0.287439 0.225 3.05%14-Mar-33 0.05282% 14-Mar-33 0.287321 0.233 3.04%15-Mar-33 0.05282% 15-Mar-33 0.287282 0.236 3.04%16-Mar-33 0.05282% 16-Mar-33 0.287243 0.239 3.04%17-Mar-33 0.05282% 17-Mar-33 0.287204 0.242 3.04%18-Mar-33 0.05282% 18-Mar-33 0.287165 0.244 3.04%21-Mar-33 0.05282% 21-Mar-33 0.287047 0.253 3.04%22-Mar-33 0.05270% 22-Mar-33 0.287008 0.003 3.04%23-Mar-33 0.05270% 23-Mar-33 0.286969 0.006 3.03%24-Mar-33 0.05270% 24-Mar-33 0.286929 0.008 3.03%25-Mar-33 0.05270% 25-Mar-33 0.286890 0.011 3.03%28-Mar-33 0.05270% 28-Mar-33 0.286773 0.019 3.03%29-Mar-33 0.05270% 29-Mar-33 0.286734 0.022 3.03%30-Mar-33 0.05270% 30-Mar-33 0.286695 0.025 3.03%31-Mar-33 0.05270% 31-Mar-33 0.286656 0.028 3.02%

1-Apr-33 0.05270% 1-Apr-33 0.286616 0.031 3.02%4-Apr-33 0.05270% 4-Apr-33 0.286499 0.039 3.02%5-Apr-33 0.05270% 5-Apr-33 0.286460 0.042 3.02%6-Apr-33 0.05270% 6-Apr-33 0.286421 0.044 3.02%7-Apr-33 0.05270% 7-Apr-33 0.286382 0.047 3.02%8-Apr-33 0.05270% 8-Apr-33 0.286343 0.050 3.01%

11-Apr-33 0.05270% 11-Apr-33 0.286226 0.058 3.01%12-Apr-33 0.05270% 12-Apr-33 0.286187 0.061 3.01%13-Apr-33 0.05270% 13-Apr-33 0.286147 0.064 3.01%14-Apr-33 0.05270% 14-Apr-33 0.286108 0.067 3.01%15-Apr-33 0.05270% 15-Apr-33 0.286069 0.069 3.01%18-Apr-33 0.05270% 18-Apr-33 0.285952 0.078 3.00%19-Apr-33 0.05270% 19-Apr-33 0.285913 0.081 3.00%20-Apr-33 0.05270% 20-Apr-33 0.285874 0.083 3.00%21-Apr-33 0.05270% 21-Apr-33 0.285835 0.086 3.00%22-Apr-33 0.05270% 22-Apr-33 0.285796 0.089 3.00%25-Apr-33 0.05270% 25-Apr-33 0.285679 0.097 3.00%26-Apr-33 0.05270% 26-Apr-33 0.285640 0.100 3.00%27-Apr-33 0.05270% 27-Apr-33 0.285601 0.103 2.99%28-Apr-33 0.05270% 28-Apr-33 0.285562 0.106 2.99%29-Apr-33 0.05270% 29-Apr-33 0.285523 0.108 2.99%2-May-33 0.05270% 2-May-33 0.285407 0.117 2.99%3-May-33 0.05270% 3-May-33 0.285368 0.119 2.99%4-May-33 0.05270% 4-May-33 0.285329 0.122 2.99%5-May-33 0.05270% 5-May-33 0.285290 0.125 2.98%6-May-33 0.05270% 6-May-33 0.285251 0.128 2.98%

Page 609: Ch 6 Credit Derivatives

9-May-33 0.05270% 9-May-33 0.285134 0.136 2.98%10-May-33 0.05270% 10-May-33 0.285096 0.139 2.98%11-May-33 0.05270% 11-May-33 0.285057 0.142 2.98%12-May-33 0.05270% 12-May-33 0.285018 0.144 2.98%13-May-33 0.05270% 13-May-33 0.284979 0.147 2.97%16-May-33 0.05270% 16-May-33 0.284863 0.156 2.97%17-May-33 0.05270% 17-May-33 0.284825 0.158 2.97%18-May-33 0.05270% 18-May-33 0.284786 0.161 2.97%19-May-33 0.05270% 19-May-33 0.284747 0.164 2.97%20-May-33 0.05270% 20-May-33 0.284708 0.167 2.97%23-May-33 0.05270% 23-May-33 0.284592 0.175 2.97%24-May-33 0.05270% 24-May-33 0.284554 0.178 2.96%25-May-33 0.05270% 25-May-33 0.284515 0.181 2.96%26-May-33 0.05270% 26-May-33 0.284476 0.183 2.96%27-May-33 0.05270% 27-May-33 0.284438 0.186 2.96%30-May-33 0.05270% 30-May-33 0.284322 0.194 2.96%31-May-33 0.05270% 31-May-33 0.284283 0.197 2.96%

1-Jun-33 0.05270% 1-Jun-33 0.284244 0.200 2.95%2-Jun-33 0.05270% 2-Jun-33 0.284206 0.203 2.95%3-Jun-33 0.05270% 3-Jun-33 0.284167 0.206 2.95%6-Jun-33 0.05270% 6-Jun-33 0.284051 0.214 2.95%7-Jun-33 0.05270% 7-Jun-33 0.284013 0.217 2.95%8-Jun-33 0.05270% 8-Jun-33 0.283974 0.219 2.95%9-Jun-33 0.05270% 9-Jun-33 0.283935 0.222 2.95%

10-Jun-33 0.05270% 10-Jun-33 0.283897 0.225 2.94%13-Jun-33 0.05270% 13-Jun-33 0.283781 0.233 2.94%14-Jun-33 0.05270% 14-Jun-33 0.283742 0.236 2.94%15-Jun-33 0.05270% 15-Jun-33 0.283704 0.239 2.94%16-Jun-33 0.05270% 16-Jun-33 0.283665 0.242 2.94%17-Jun-33 0.05270% 17-Jun-33 0.283627 0.244 2.94%20-Jun-33 0.05270% 20-Jun-33 0.283511 0.253 2.93%21-Jun-33 0.05233% 21-Jun-33 0.283472 0.003 2.93%22-Jun-33 0.05233% 22-Jun-33 0.283434 0.006 2.93%23-Jun-33 0.05233% 23-Jun-33 0.283395 0.008 2.93%24-Jun-33 0.05233% 24-Jun-33 0.283357 0.011 2.93%27-Jun-33 0.05233% 27-Jun-33 0.283241 0.019 2.93%28-Jun-33 0.05233% 28-Jun-33 0.283203 0.022 2.93%29-Jun-33 0.05233% 29-Jun-33 0.283164 0.025 2.92%30-Jun-33 0.05233% 30-Jun-33 0.283126 0.028 2.92%

1-Jul-33 0.05233% 1-Jul-33 0.283087 0.031 2.92%4-Jul-33 0.05233% 4-Jul-33 0.282972 0.039 2.92%5-Jul-33 0.05233% 5-Jul-33 0.282933 0.042 2.92%6-Jul-33 0.05233% 6-Jul-33 0.282895 0.044 2.92%7-Jul-33 0.05233% 7-Jul-33 0.282857 0.047 2.91%

Page 610: Ch 6 Credit Derivatives

8-Jul-33 0.05233% 8-Jul-33 0.282818 0.050 2.91%11-Jul-33 0.05233% 11-Jul-33 0.282703 0.058 2.91%12-Jul-33 0.05233% 12-Jul-33 0.282664 0.061 2.91%13-Jul-33 0.05233% 13-Jul-33 0.282626 0.064 2.91%14-Jul-33 0.05233% 14-Jul-33 0.282587 0.067 2.91%15-Jul-33 0.05233% 15-Jul-33 0.282549 0.069 2.91%18-Jul-33 0.05233% 18-Jul-33 0.282434 0.078 2.90%19-Jul-33 0.05233% 19-Jul-33 0.282395 0.081 2.90%20-Jul-33 0.05233% 20-Jul-33 0.282357 0.083 2.90%21-Jul-33 0.05233% 21-Jul-33 0.282319 0.086 2.90%22-Jul-33 0.05233% 22-Jul-33 0.282280 0.089 2.90%25-Jul-33 0.05233% 25-Jul-33 0.282165 0.097 2.90%26-Jul-33 0.05233% 26-Jul-33 0.282127 0.100 2.89%27-Jul-33 0.05233% 27-Jul-33 0.282089 0.103 2.89%28-Jul-33 0.05233% 28-Jul-33 0.282050 0.106 2.89%29-Jul-33 0.05233% 29-Jul-33 0.282012 0.108 2.89%1-Aug-33 0.05233% 1-Aug-33 0.281897 0.117 2.89%2-Aug-33 0.05233% 2-Aug-33 0.281859 0.119 2.89%3-Aug-33 0.05233% 3-Aug-33 0.281820 0.122 2.89%4-Aug-33 0.05233% 4-Aug-33 0.281782 0.125 2.88%5-Aug-33 0.05233% 5-Aug-33 0.281744 0.128 2.88%8-Aug-33 0.05233% 8-Aug-33 0.281629 0.136 2.88%9-Aug-33 0.05233% 9-Aug-33 0.281591 0.139 2.88%

10-Aug-33 0.05233% 10-Aug-33 0.281552 0.142 2.88%11-Aug-33 0.05233% 11-Aug-33 0.281514 0.144 2.88%12-Aug-33 0.05233% 12-Aug-33 0.281476 0.147 2.88%15-Aug-33 0.05233% 15-Aug-33 0.281362 0.156 2.87%16-Aug-33 0.05233% 16-Aug-33 0.281323 0.158 2.87%17-Aug-33 0.05233% 17-Aug-33 0.281285 0.161 2.87%18-Aug-33 0.05233% 18-Aug-33 0.281247 0.164 2.87%19-Aug-33 0.05233% 19-Aug-33 0.281209 0.167 2.87%22-Aug-33 0.05233% 22-Aug-33 0.281095 0.175 2.87%23-Aug-33 0.05233% 23-Aug-33 0.281057 0.178 2.86%24-Aug-33 0.05233% 24-Aug-33 0.281019 0.181 2.86%25-Aug-33 0.05233% 25-Aug-33 0.280980 0.183 2.86%26-Aug-33 0.05233% 26-Aug-33 0.280942 0.186 2.86%29-Aug-33 0.05233% 29-Aug-33 0.280828 0.194 2.86%30-Aug-33 0.05233% 30-Aug-33 0.280790 0.197 2.86%31-Aug-33 0.05233% 31-Aug-33 0.280752 0.200 2.86%

1-Sep-33 0.05233% 1-Sep-33 0.280714 0.203 2.85%2-Sep-33 0.05233% 2-Sep-33 0.280676 0.206 2.85%5-Sep-33 0.05233% 5-Sep-33 0.280562 0.214 2.85%6-Sep-33 0.05233% 6-Sep-33 0.280524 0.217 2.85%7-Sep-33 0.05233% 7-Sep-33 0.280486 0.219 2.85%

Page 611: Ch 6 Credit Derivatives

8-Sep-33 0.05233% 8-Sep-33 0.280448 0.222 2.85%9-Sep-33 0.05233% 9-Sep-33 0.280410 0.225 2.85%

12-Sep-33 0.05233% 12-Sep-33 0.280296 0.233 2.84%13-Sep-33 0.05233% 13-Sep-33 0.280258 0.236 2.84%14-Sep-33 0.05233% 14-Sep-33 0.280220 0.239 2.84%15-Sep-33 0.05233% 15-Sep-33 0.280182 0.242 2.84%16-Sep-33 0.05233% 16-Sep-33 0.280144 0.244 2.84%19-Sep-33 0.05233% 19-Sep-33 0.280030 0.253 2.84%20-Sep-33 0.05233% 20-Sep-33 0.279992 0.256 2.83%21-Sep-33 0.05245% 21-Sep-33 0.279954 0.003 2.83%22-Sep-33 0.05245% 22-Sep-33 0.279916 0.006 2.83%23-Sep-33 0.05245% 23-Sep-33 0.279878 0.008 2.83%26-Sep-33 0.05245% 26-Sep-33 0.279764 0.017 2.83%27-Sep-33 0.05245% 27-Sep-33 0.279726 0.019 2.83%28-Sep-33 0.05245% 28-Sep-33 0.279688 0.022 2.83%29-Sep-33 0.05245% 29-Sep-33 0.279651 0.025 2.82%30-Sep-33 0.05245% 30-Sep-33 0.279613 0.028 2.82%

3-Oct-33 0.05245% 3-Oct-33 0.279499 0.036 2.82%4-Oct-33 0.05245% 4-Oct-33 0.279461 0.039 2.82%5-Oct-33 0.05245% 5-Oct-33 0.279423 0.042 2.82%6-Oct-33 0.05245% 6-Oct-33 0.279385 0.044 2.82%7-Oct-33 0.05245% 7-Oct-33 0.279347 0.047 2.82%

10-Oct-33 0.05245% 10-Oct-33 0.279234 0.056 2.81%11-Oct-33 0.05245% 11-Oct-33 0.279196 0.058 2.81%12-Oct-33 0.05245% 12-Oct-33 0.279158 0.061 2.81%13-Oct-33 0.05245% 13-Oct-33 0.279120 0.064 2.81%14-Oct-33 0.05245% 14-Oct-33 0.279082 0.067 2.81%17-Oct-33 0.05245% 17-Oct-33 0.278969 0.075 2.81%18-Oct-33 0.05245% 18-Oct-33 0.278931 0.078 2.81%19-Oct-33 0.05245% 19-Oct-33 0.278893 0.081 2.80%20-Oct-33 0.05245% 20-Oct-33 0.278856 0.083 2.80%21-Oct-33 0.05245% 21-Oct-33 0.278818 0.086 2.80%24-Oct-33 0.05245% 24-Oct-33 0.278704 0.094 2.80%25-Oct-33 0.05245% 25-Oct-33 0.278667 0.097 2.80%26-Oct-33 0.05245% 26-Oct-33 0.278629 0.100 2.80%27-Oct-33 0.05245% 27-Oct-33 0.278591 0.103 2.79%28-Oct-33 0.05245% 28-Oct-33 0.278553 0.106 2.79%31-Oct-33 0.05245% 31-Oct-33 0.278440 0.114 2.79%1-Nov-33 0.05245% 1-Nov-33 0.278402 0.117 2.79%2-Nov-33 0.05245% 2-Nov-33 0.278365 0.119 2.79%3-Nov-33 0.05245% 3-Nov-33 0.278327 0.122 2.79%4-Nov-33 0.05245% 4-Nov-33 0.278289 0.125 2.79%7-Nov-33 0.05245% 7-Nov-33 0.278176 0.133 2.78%8-Nov-33 0.05245% 8-Nov-33 0.278138 0.136 2.78%

Page 612: Ch 6 Credit Derivatives

9-Nov-33 0.05245% 9-Nov-33 0.278101 0.139 2.78%10-Nov-33 0.05245% 10-Nov-33 0.278063 0.142 2.78%11-Nov-33 0.05245% 11-Nov-33 0.278026 0.144 2.78%14-Nov-33 0.05245% 14-Nov-33 0.277913 0.153 2.78%15-Nov-33 0.05245% 15-Nov-33 0.277875 0.156 2.78%16-Nov-33 0.05245% 16-Nov-33 0.277838 0.158 2.77%17-Nov-33 0.05245% 17-Nov-33 0.277800 0.161 2.77%18-Nov-33 0.05245% 18-Nov-33 0.277763 0.164 2.77%21-Nov-33 0.05245% 21-Nov-33 0.277650 0.172 2.77%22-Nov-33 0.05245% 22-Nov-33 0.277613 0.175 2.77%23-Nov-33 0.05245% 23-Nov-33 0.277575 0.178 2.77%24-Nov-33 0.05245% 24-Nov-33 0.277538 0.181 2.77%25-Nov-33 0.05245% 25-Nov-33 0.277500 0.183 2.76%28-Nov-33 0.05245% 28-Nov-33 0.277388 0.192 2.76%29-Nov-33 0.05245% 29-Nov-33 0.277350 0.194 2.76%30-Nov-33 0.05245% 30-Nov-33 0.277313 0.197 2.76%

1-Dec-33 0.05245% 1-Dec-33 0.277275 0.200 2.76%2-Dec-33 0.05245% 2-Dec-33 0.277238 0.203 2.76%5-Dec-33 0.05245% 5-Dec-33 0.277125 0.211 2.76%6-Dec-33 0.05245% 6-Dec-33 0.277088 0.214 2.75%7-Dec-33 0.05245% 7-Dec-33 0.277050 0.217 2.75%8-Dec-33 0.05245% 8-Dec-33 0.277013 0.219 2.75%9-Dec-33 0.05245% 9-Dec-33 0.276975 0.222 2.75%

12-Dec-33 0.05245% 12-Dec-33 0.276863 0.231 2.75%13-Dec-33 0.05245% 13-Dec-33 0.276826 0.233 2.75%14-Dec-33 0.05245% 14-Dec-33 0.276788 0.236 2.75%15-Dec-33 0.05245% 15-Dec-33 0.276751 0.239 2.74%16-Dec-33 0.05245% 16-Dec-33 0.276714 0.242 2.74%19-Dec-33 0.05245% 19-Dec-33 0.276601 0.250 2.74%20-Dec-33 0.05245% 20-Dec-33 0.276564 0.253 2.74%21-Dec-33 0.05241% 21-Dec-33 0.276527 0.003 2.74%22-Dec-33 0.05241% 22-Dec-33 0.276489 0.006 2.74%23-Dec-33 0.05241% 23-Dec-33 0.276452 0.008 2.74%26-Dec-33 0.05241% 26-Dec-33 0.276340 0.017 2.73%27-Dec-33 0.05241% 27-Dec-33 0.276302 0.019 2.73%28-Dec-33 0.05241% 28-Dec-33 0.276265 0.022 2.73%29-Dec-33 0.05241% 29-Dec-33 0.276228 0.025 2.73%30-Dec-33 0.05241% 30-Dec-33 0.276190 0.028 2.73%

2-Jan-34 0.05241% 2-Jan-34 0.276079 0.036 2.73%3-Jan-34 0.05241% 3-Jan-34 0.276041 0.039 2.73%4-Jan-34 0.05241% 4-Jan-34 0.276004 0.042 2.72%5-Jan-34 0.05241% 5-Jan-34 0.275967 0.044 2.72%6-Jan-34 0.05241% 6-Jan-34 0.275929 0.047 2.72%9-Jan-34 0.05241% 9-Jan-34 0.275817 0.056 2.72%

Page 613: Ch 6 Credit Derivatives

10-Jan-34 0.05241% 10-Jan-34 0.275780 0.058 2.72%11-Jan-34 0.05241% 11-Jan-34 0.275743 0.061 2.72%12-Jan-34 0.05241% 12-Jan-34 0.275706 0.064 2.72%13-Jan-34 0.05241% 13-Jan-34 0.275668 0.067 2.71%16-Jan-34 0.05241% 16-Jan-34 0.275557 0.075 2.71%17-Jan-34 0.05241% 17-Jan-34 0.275519 0.078 2.71%18-Jan-34 0.05241% 18-Jan-34 0.275482 0.081 2.71%19-Jan-34 0.05241% 19-Jan-34 0.275445 0.083 2.71%20-Jan-34 0.05241% 20-Jan-34 0.275408 0.086 2.71%23-Jan-34 0.05241% 23-Jan-34 0.275296 0.094 2.71%24-Jan-34 0.05241% 24-Jan-34 0.275259 0.097 2.70%25-Jan-34 0.05241% 25-Jan-34 0.275222 0.100 2.70%26-Jan-34 0.05241% 26-Jan-34 0.275184 0.103 2.70%27-Jan-34 0.05241% 27-Jan-34 0.275147 0.106 2.70%30-Jan-34 0.05241% 30-Jan-34 0.275036 0.114 2.70%31-Jan-34 0.05241% 31-Jan-34 0.274999 0.117 2.70%1-Feb-34 0.05241% 1-Feb-34 0.274961 0.119 2.70%2-Feb-34 0.05241% 2-Feb-34 0.274924 0.122 2.69%3-Feb-34 0.05241% 3-Feb-34 0.274887 0.125 2.69%6-Feb-34 0.05241% 6-Feb-34 0.274776 0.133 2.69%7-Feb-34 0.05241% 7-Feb-34 0.274739 0.136 2.69%8-Feb-34 0.05241% 8-Feb-34 0.274702 0.139 2.69%9-Feb-34 0.05241% 9-Feb-34 0.274665 0.142 2.69%

10-Feb-34 0.05241% 10-Feb-34 0.274628 0.144 2.69%13-Feb-34 0.05241% 13-Feb-34 0.274517 0.153 2.68%14-Feb-34 0.05241% 14-Feb-34 0.274480 0.156 2.68%15-Feb-34 0.05241% 15-Feb-34 0.274443 0.158 2.68%16-Feb-34 0.05241% 16-Feb-34 0.274406 0.161 2.68%17-Feb-34 0.05241% 17-Feb-34 0.274369 0.164 2.68%20-Feb-34 0.05241% 20-Feb-34 0.274258 0.172 2.68%21-Feb-34 0.05241% 21-Feb-34 0.274221 0.175 2.68%22-Feb-34 0.05241% 22-Feb-34 0.274184 0.178 2.67%23-Feb-34 0.05241% 23-Feb-34 0.274147 0.181 2.67%24-Feb-34 0.05241% 24-Feb-34 0.274110 0.183 2.67%27-Feb-34 0.05241% 27-Feb-34 0.273999 0.192 2.67%28-Feb-34 0.05241% 28-Feb-34 0.273962 0.194 2.67%1-Mar-34 0.05241% 1-Mar-34 0.273925 0.197 2.67%2-Mar-34 0.05241% 2-Mar-34 0.273888 0.200 2.67%3-Mar-34 0.05241% 3-Mar-34 0.273851 0.203 2.66%6-Mar-34 0.05241% 6-Mar-34 0.273741 0.211 2.66%7-Mar-34 0.05241% 7-Mar-34 0.273704 0.214 2.66%8-Mar-34 0.05241% 8-Mar-34 0.273667 0.217 2.66%9-Mar-34 0.05241% 9-Mar-34 0.273630 0.219 2.66%

10-Mar-34 0.05241% 10-Mar-34 0.273593 0.222 2.66%

Page 614: Ch 6 Credit Derivatives

13-Mar-34 0.05241% 13-Mar-34 0.273482 0.231 2.66%14-Mar-34 0.05241% 14-Mar-34 0.273446 0.233 2.65%15-Mar-34 0.05241% 15-Mar-34 0.273409 0.236 2.65%16-Mar-34 0.05241% 16-Mar-34 0.273372 0.239 2.65%17-Mar-34 0.05241% 17-Mar-34 0.273335 0.242 2.65%20-Mar-34 0.05241% 20-Mar-34 0.273224 0.250 2.65%21-Mar-34 0.05208% 21-Mar-34 0.273188 0.003 2.65%22-Mar-34 0.05208% 22-Mar-34 0.273151 0.006 2.65%23-Mar-34 0.05208% 23-Mar-34 0.273114 0.008 2.65%24-Mar-34 0.05208% 24-Mar-34 0.273077 0.011 2.64%27-Mar-34 0.05208% 27-Mar-34 0.272967 0.019 2.64%28-Mar-34 0.05208% 28-Mar-34 0.272930 0.022 2.64%29-Mar-34 0.05208% 29-Mar-34 0.272893 0.025 2.64%30-Mar-34 0.05208% 30-Mar-34 0.272856 0.028 2.64%31-Mar-34 0.05208% 31-Mar-34 0.272820 0.031 2.64%

3-Apr-34 0.05208% 3-Apr-34 0.272709 0.039 2.64%4-Apr-34 0.05208% 4-Apr-34 0.272673 0.042 2.63%5-Apr-34 0.05208% 5-Apr-34 0.272636 0.044 2.63%6-Apr-34 0.05208% 6-Apr-34 0.272599 0.047 2.63%7-Apr-34 0.05208% 7-Apr-34 0.272562 0.050 2.63%

10-Apr-34 0.05208% 10-Apr-34 0.272452 0.058 2.63%11-Apr-34 0.05208% 11-Apr-34 0.272416 0.061 2.63%12-Apr-34 0.05208% 12-Apr-34 0.272379 0.064 2.63%13-Apr-34 0.05208% 13-Apr-34 0.272342 0.067 2.62%14-Apr-34 0.05208% 14-Apr-34 0.272305 0.069 2.62%17-Apr-34 0.05208% 17-Apr-34 0.272195 0.078 2.62%18-Apr-34 0.05208% 18-Apr-34 0.272159 0.081 2.62%19-Apr-34 0.05208% 19-Apr-34 0.272122 0.083 2.62%20-Apr-34 0.05208% 20-Apr-34 0.272085 0.086 2.62%21-Apr-34 0.05208% 21-Apr-34 0.272049 0.089 2.62%24-Apr-34 0.05208% 24-Apr-34 0.271939 0.097 2.62%25-Apr-34 0.05208% 25-Apr-34 0.271902 0.100 2.61%26-Apr-34 0.05208% 26-Apr-34 0.271865 0.103 2.61%27-Apr-34 0.05208% 27-Apr-34 0.271829 0.106 2.61%28-Apr-34 0.05208% 28-Apr-34 0.271792 0.108 2.61%1-May-34 0.05208% 1-May-34 0.271682 0.117 2.61%2-May-34 0.05208% 2-May-34 0.271646 0.119 2.61%3-May-34 0.05208% 3-May-34 0.271609 0.122 2.61%4-May-34 0.05208% 4-May-34 0.271572 0.125 2.60%5-May-34 0.05208% 5-May-34 0.271536 0.128 2.60%8-May-34 0.05208% 8-May-34 0.271426 0.136 2.60%9-May-34 0.05208% 9-May-34 0.271390 0.139 2.60%

10-May-34 0.05208% 10-May-34 0.271353 0.142 2.60%11-May-34 0.05208% 11-May-34 0.271317 0.144 2.60%

Page 615: Ch 6 Credit Derivatives

12-May-34 0.05208% 12-May-34 0.271280 0.147 2.60%15-May-34 0.05208% 15-May-34 0.271171 0.156 2.59%16-May-34 0.05208% 16-May-34 0.271134 0.158 2.59%17-May-34 0.05208% 17-May-34 0.271098 0.161 2.59%18-May-34 0.05208% 18-May-34 0.271061 0.164 2.59%19-May-34 0.05208% 19-May-34 0.271025 0.167 2.59%22-May-34 0.05208% 22-May-34 0.270916 0.175 2.59%23-May-34 0.05208% 23-May-34 0.270879 0.178 2.59%24-May-34 0.05208% 24-May-34 0.270843 0.181 2.59%25-May-34 0.05208% 25-May-34 0.270806 0.183 2.58%26-May-34 0.05208% 26-May-34 0.270770 0.186 2.58%29-May-34 0.05208% 29-May-34 0.270661 0.194 2.58%30-May-34 0.05208% 30-May-34 0.270624 0.197 2.58%31-May-34 0.05208% 31-May-34 0.270588 0.200 2.58%

1-Jun-34 0.05208% 1-Jun-34 0.270552 0.203 2.58%2-Jun-34 0.05208% 2-Jun-34 0.270515 0.206 2.58%5-Jun-34 0.05208% 5-Jun-34 0.270406 0.214 2.57%6-Jun-34 0.05208% 6-Jun-34 0.270370 0.217 2.57%7-Jun-34 0.05208% 7-Jun-34 0.270333 0.219 2.57%8-Jun-34 0.05208% 8-Jun-34 0.270297 0.222 2.57%9-Jun-34 0.05208% 9-Jun-34 0.270261 0.225 2.57%

12-Jun-34 0.05208% 12-Jun-34 0.270152 0.233 2.57%13-Jun-34 0.05208% 13-Jun-34 0.270115 0.236 2.57%14-Jun-34 0.05208% 14-Jun-34 0.270079 0.239 2.57%15-Jun-34 0.05208% 15-Jun-34 0.270043 0.242 2.56%16-Jun-34 0.05208% 16-Jun-34 0.270007 0.244 2.56%19-Jun-34 0.05208% 19-Jun-34 0.269898 0.253 2.56%20-Jun-34 0.05208% 20-Jun-34 0.269861 0.256 2.56%21-Jun-34 0.05201% 21-Jun-34 0.269825 0.003 2.56%22-Jun-34 0.05201% 22-Jun-34 0.269789 0.006 2.56%23-Jun-34 0.05201% 23-Jun-34 0.269753 0.008 2.56%26-Jun-34 0.05201% 26-Jun-34 0.269644 0.017 2.55%27-Jun-34 0.05201% 27-Jun-34 0.269608 0.019 2.55%28-Jun-34 0.05201% 28-Jun-34 0.269571 0.022 2.55%29-Jun-34 0.05201% 29-Jun-34 0.269535 0.025 2.55%30-Jun-34 0.05201% 30-Jun-34 0.269499 0.028 2.55%

3-Jul-34 0.05201% 3-Jul-34 0.269390 0.036 2.55%4-Jul-34 0.05201% 4-Jul-34 0.269354 0.039 2.55%5-Jul-34 0.05201% 5-Jul-34 0.269318 0.042 2.55%6-Jul-34 0.05201% 6-Jul-34 0.269282 0.044 2.54%7-Jul-34 0.05201% 7-Jul-34 0.269245 0.047 2.54%

10-Jul-34 0.05201% 10-Jul-34 0.269137 0.056 2.54%11-Jul-34 0.05201% 11-Jul-34 0.269101 0.058 2.54%12-Jul-34 0.05201% 12-Jul-34 0.269064 0.061 2.54%

Page 616: Ch 6 Credit Derivatives

13-Jul-34 0.05201% 13-Jul-34 0.269028 0.064 2.54%14-Jul-34 0.05201% 14-Jul-34 0.268992 0.067 2.54%17-Jul-34 0.05201% 17-Jul-34 0.268884 0.075 2.53%18-Jul-34 0.05201% 18-Jul-34 0.268847 0.078 2.53%19-Jul-34 0.05201% 19-Jul-34 0.268811 0.081 2.53%20-Jul-34 0.05201% 20-Jul-34 0.268775 0.083 2.53%21-Jul-34 0.05201% 21-Jul-34 0.268739 0.086 2.53%24-Jul-34 0.05201% 24-Jul-34 0.268631 0.094 2.53%25-Jul-34 0.05201% 25-Jul-34 0.268595 0.097 2.53%26-Jul-34 0.05201% 26-Jul-34 0.268558 0.100 2.53%27-Jul-34 0.05201% 27-Jul-34 0.268522 0.103 2.52%28-Jul-34 0.05201% 28-Jul-34 0.268486 0.106 2.52%31-Jul-34 0.05201% 31-Jul-34 0.268378 0.114 2.52%1-Aug-34 0.05201% 1-Aug-34 0.268342 0.117 2.52%2-Aug-34 0.05201% 2-Aug-34 0.268306 0.119 2.52%3-Aug-34 0.05201% 3-Aug-34 0.268270 0.122 2.52%4-Aug-34 0.05201% 4-Aug-34 0.268234 0.125 2.52%7-Aug-34 0.05201% 7-Aug-34 0.268126 0.133 2.51%8-Aug-34 0.05201% 8-Aug-34 0.268090 0.136 2.51%9-Aug-34 0.05201% 9-Aug-34 0.268054 0.139 2.51%

10-Aug-34 0.05201% 10-Aug-34 0.268018 0.142 2.51%11-Aug-34 0.05201% 11-Aug-34 0.267982 0.144 2.51%14-Aug-34 0.05201% 14-Aug-34 0.267874 0.153 2.51%15-Aug-34 0.05201% 15-Aug-34 0.267838 0.156 2.51%16-Aug-34 0.05201% 16-Aug-34 0.267802 0.158 2.51%17-Aug-34 0.05201% 17-Aug-34 0.267766 0.161 2.50%18-Aug-34 0.05201% 18-Aug-34 0.267730 0.164 2.50%21-Aug-34 0.05201% 21-Aug-34 0.267623 0.172 2.50%22-Aug-34 0.05201% 22-Aug-34 0.267587 0.175 2.50%23-Aug-34 0.05201% 23-Aug-34 0.267551 0.178 2.50%24-Aug-34 0.05201% 24-Aug-34 0.267515 0.181 2.50%25-Aug-34 0.05201% 25-Aug-34 0.267479 0.183 2.50%28-Aug-34 0.05201% 28-Aug-34 0.267371 0.192 2.50%29-Aug-34 0.05201% 29-Aug-34 0.267336 0.194 2.49%30-Aug-34 0.05201% 30-Aug-34 0.267300 0.197 2.49%31-Aug-34 0.05201% 31-Aug-34 0.267264 0.200 2.49%

1-Sep-34 0.05201% 1-Sep-34 0.267228 0.203 2.49%4-Sep-34 0.05201% 4-Sep-34 0.267121 0.211 2.49%5-Sep-34 0.05201% 5-Sep-34 0.267085 0.214 2.49%6-Sep-34 0.05201% 6-Sep-34 0.267049 0.217 2.49%7-Sep-34 0.05201% 7-Sep-34 0.267013 0.219 2.49%8-Sep-34 0.05201% 8-Sep-34 0.266977 0.222 2.48%

11-Sep-34 0.05201% 11-Sep-34 0.266870 0.231 2.48%12-Sep-34 0.05201% 12-Sep-34 0.266834 0.233 2.48%

Page 617: Ch 6 Credit Derivatives

13-Sep-34 0.05201% 13-Sep-34 0.266798 0.236 2.48%14-Sep-34 0.05201% 14-Sep-34 0.266762 0.239 2.48%15-Sep-34 0.05201% 15-Sep-34 0.266727 0.242 2.48%18-Sep-34 0.05201% 18-Sep-34 0.266619 0.250 2.48%19-Sep-34 0.05201% 19-Sep-34 0.266584 0.253 2.47%20-Sep-34 0.05201% 20-Sep-34 0.266548 0.256 2.47%21-Sep-34 0.05221% 21-Sep-34 0.266512 0.003 2.47%22-Sep-34 0.05221% 22-Sep-34 0.266476 0.006 2.47%25-Sep-34 0.05221% 25-Sep-34 0.266369 0.014 2.47%26-Sep-34 0.05221% 26-Sep-34 0.266333 0.017 2.47%27-Sep-34 0.05221% 27-Sep-34 0.266298 0.019 2.47%28-Sep-34 0.05221% 28-Sep-34 0.266262 0.022 2.47%29-Sep-34 0.05221% 29-Sep-34 0.266226 0.025 2.46%

2-Oct-34 0.05221% 2-Oct-34 0.266119 0.033 2.46%3-Oct-34 0.05221% 3-Oct-34 0.266084 0.036 2.46%4-Oct-34 0.05221% 4-Oct-34 0.266048 0.039 2.46%5-Oct-34 0.05221% 5-Oct-34 0.266012 0.042 2.46%6-Oct-34 0.05221% 6-Oct-34 0.265977 0.044 2.46%9-Oct-34 0.05221% 9-Oct-34 0.265870 0.053 2.46%

10-Oct-34 0.05221% 10-Oct-34 0.265834 0.056 2.46%11-Oct-34 0.05221% 11-Oct-34 0.265798 0.058 2.45%12-Oct-34 0.05221% 12-Oct-34 0.265763 0.061 2.45%13-Oct-34 0.05221% 13-Oct-34 0.265727 0.064 2.45%16-Oct-34 0.05221% 16-Oct-34 0.265620 0.072 2.45%17-Oct-34 0.05221% 17-Oct-34 0.265584 0.075 2.45%18-Oct-34 0.05221% 18-Oct-34 0.265549 0.078 2.45%19-Oct-34 0.05221% 19-Oct-34 0.265513 0.081 2.45%20-Oct-34 0.05221% 20-Oct-34 0.265478 0.083 2.45%23-Oct-34 0.05221% 23-Oct-34 0.265371 0.092 2.44%24-Oct-34 0.05221% 24-Oct-34 0.265335 0.094 2.44%25-Oct-34 0.05221% 25-Oct-34 0.265300 0.097 2.44%26-Oct-34 0.05221% 26-Oct-34 0.265264 0.100 2.44%27-Oct-34 0.05221% 27-Oct-34 0.265229 0.103 2.44%30-Oct-34 0.05221% 30-Oct-34 0.265122 0.111 2.44%31-Oct-34 0.05221% 31-Oct-34 0.265086 0.114 2.44%1-Nov-34 0.05221% 1-Nov-34 0.265051 0.117 2.43%2-Nov-34 0.05221% 2-Nov-34 0.265015 0.119 2.43%3-Nov-34 0.05221% 3-Nov-34 0.264980 0.122 2.43%6-Nov-34 0.05221% 6-Nov-34 0.264873 0.131 2.43%7-Nov-34 0.05221% 7-Nov-34 0.264838 0.133 2.43%8-Nov-34 0.05221% 8-Nov-34 0.264802 0.136 2.43%9-Nov-34 0.05221% 9-Nov-34 0.264767 0.139 2.43%

10-Nov-34 0.05221% 10-Nov-34 0.264731 0.142 2.43%13-Nov-34 0.05221% 13-Nov-34 0.264625 0.150 2.42%

Page 618: Ch 6 Credit Derivatives

14-Nov-34 0.05221% 14-Nov-34 0.264590 0.153 2.42%15-Nov-34 0.05221% 15-Nov-34 0.264554 0.156 2.42%16-Nov-34 0.05221% 16-Nov-34 0.264519 0.158 2.42%17-Nov-34 0.05221% 17-Nov-34 0.264483 0.161 2.42%20-Nov-34 0.05221% 20-Nov-34 0.264377 0.169 2.42%21-Nov-34 0.05221% 21-Nov-34 0.264342 0.172 2.42%22-Nov-34 0.05221% 22-Nov-34 0.264306 0.175 2.42%23-Nov-34 0.05221% 23-Nov-34 0.264271 0.178 2.41%24-Nov-34 0.05221% 24-Nov-34 0.264236 0.181 2.41%27-Nov-34 0.05221% 27-Nov-34 0.264130 0.189 2.41%28-Nov-34 0.05221% 28-Nov-34 0.264094 0.192 2.41%29-Nov-34 0.05221% 29-Nov-34 0.264059 0.194 2.41%30-Nov-34 0.05221% 30-Nov-34 0.264024 0.197 2.41%

1-Dec-34 0.05221% 1-Dec-34 0.263988 0.200 2.41%4-Dec-34 0.05221% 4-Dec-34 0.263882 0.208 2.41%5-Dec-34 0.05221% 5-Dec-34 0.263847 0.211 2.40%6-Dec-34 0.05221% 6-Dec-34 0.263812 0.214 2.40%7-Dec-34 0.05221% 7-Dec-34 0.263776 0.217 2.40%8-Dec-34 0.05221% 8-Dec-34 0.263741 0.219 2.40%

11-Dec-34 0.05221% 11-Dec-34 0.263635 0.228 2.40%12-Dec-34 0.05221% 12-Dec-34 0.263600 0.231 2.40%13-Dec-34 0.05221% 13-Dec-34 0.263565 0.233 2.40%14-Dec-34 0.05221% 14-Dec-34 0.263529 0.236 2.40%15-Dec-34 0.05221% 15-Dec-34 0.263494 0.239 2.39%18-Dec-34 0.05221% 18-Dec-34 0.263388 0.247 2.39%19-Dec-34 0.05221% 19-Dec-34 0.263353 0.250 2.39%20-Dec-34 0.05221% 20-Dec-34 0.263318 0.253 2.39%21-Dec-34 0.05248% 21-Dec-34 0.263283 0.003 2.39%22-Dec-34 0.05248% 22-Dec-34 0.263248 0.006 2.39%25-Dec-34 0.05248% 25-Dec-34 0.263142 0.014 2.39%26-Dec-34 0.05248% 26-Dec-34 0.263107 0.017 2.39%27-Dec-34 0.05248% 27-Dec-34 0.263071 0.019 2.38%28-Dec-34 0.05248% 28-Dec-34 0.263036 0.022 2.38%29-Dec-34 0.05248% 29-Dec-34 0.263001 0.025 2.38%

1-Jan-35 0.05248% 1-Jan-35 0.262895 0.033 2.38%2-Jan-35 0.05248% 2-Jan-35 0.262860 0.036 2.38%3-Jan-35 0.05248% 3-Jan-35 0.262825 0.039 2.38%4-Jan-35 0.05248% 4-Jan-35 0.262790 0.042 2.38%5-Jan-35 0.05248% 5-Jan-35 0.262755 0.044 2.38%8-Jan-35 0.05248% 8-Jan-35 0.262649 0.053 2.37%9-Jan-35 0.05248% 9-Jan-35 0.262614 0.056 2.37%

10-Jan-35 0.05248% 10-Jan-35 0.262579 0.058 2.37%11-Jan-35 0.05248% 11-Jan-35 0.262544 0.061 2.37%12-Jan-35 0.05248% 12-Jan-35 0.262509 0.064 2.37%

Page 619: Ch 6 Credit Derivatives

15-Jan-35 0.05248% 15-Jan-35 0.262403 0.072 2.37%16-Jan-35 0.05248% 16-Jan-35 0.262368 0.075 2.37%17-Jan-35 0.05248% 17-Jan-35 0.262333 0.078 2.37%18-Jan-35 0.05248% 18-Jan-35 0.262298 0.081 2.36%19-Jan-35 0.05248% 19-Jan-35 0.262263 0.083 2.36%22-Jan-35 0.05248% 22-Jan-35 0.262158 0.092 2.36%23-Jan-35 0.05248% 23-Jan-35 0.262123 0.094 2.36%24-Jan-35 0.05248% 24-Jan-35 0.262088 0.097 2.36%25-Jan-35 0.05248% 25-Jan-35 0.262053 0.100 2.36%26-Jan-35 0.05248% 26-Jan-35 0.262018 0.103 2.36%29-Jan-35 0.05248% 29-Jan-35 0.261912 0.111 2.36%30-Jan-35 0.05248% 30-Jan-35 0.261877 0.114 2.35%31-Jan-35 0.05248% 31-Jan-35 0.261842 0.117 2.35%1-Feb-35 0.05248% 1-Feb-35 0.261807 0.119 2.35%2-Feb-35 0.05248% 2-Feb-35 0.261772 0.122 2.35%5-Feb-35 0.05248% 5-Feb-35 0.261667 0.131 2.35%6-Feb-35 0.05248% 6-Feb-35 0.261632 0.133 2.35%7-Feb-35 0.05248% 7-Feb-35 0.261597 0.136 2.35%8-Feb-35 0.05248% 8-Feb-35 0.261562 0.139 2.35%9-Feb-35 0.05248% 9-Feb-35 0.261527 0.142 2.34%

12-Feb-35 0.05248% 12-Feb-35 0.261423 0.150 2.34%13-Feb-35 0.05248% 13-Feb-35 0.261388 0.153 2.34%14-Feb-35 0.05248% 14-Feb-35 0.261353 0.156 2.34%15-Feb-35 0.05248% 15-Feb-35 0.261318 0.158 2.34%16-Feb-35 0.05248% 16-Feb-35 0.261283 0.161 2.34%19-Feb-35 0.05248% 19-Feb-35 0.261178 0.169 2.34%20-Feb-35 0.05248% 20-Feb-35 0.261143 0.172 2.34%21-Feb-35 0.05248% 21-Feb-35 0.261108 0.175 2.34%22-Feb-35 0.05248% 22-Feb-35 0.261074 0.178 2.33%23-Feb-35 0.05248% 23-Feb-35 0.261039 0.181 2.33%26-Feb-35 0.05248% 26-Feb-35 0.260934 0.189 2.33%27-Feb-35 0.05248% 27-Feb-35 0.260899 0.192 2.33%28-Feb-35 0.05248% 28-Feb-35 0.260864 0.194 2.33%1-Mar-35 0.05248% 1-Mar-35 0.260830 0.197 2.33%2-Mar-35 0.05248% 2-Mar-35 0.260795 0.200 2.33%5-Mar-35 0.05248% 5-Mar-35 0.260690 0.208 2.33%6-Mar-35 0.05248% 6-Mar-35 0.260655 0.211 2.32%7-Mar-35 0.05248% 7-Mar-35 0.260621 0.214 2.32%8-Mar-35 0.05248% 8-Mar-35 0.260586 0.217 2.32%9-Mar-35 0.05248% 9-Mar-35 0.260551 0.219 2.32%

12-Mar-35 0.05248% 12-Mar-35 0.260447 0.228 2.32%13-Mar-35 0.05248% 13-Mar-35 0.260412 0.231 2.32%14-Mar-35 0.05248% 14-Mar-35 0.260377 0.233 2.32%15-Mar-35 0.05248% 15-Mar-35 0.260342 0.236 2.32%

Page 620: Ch 6 Credit Derivatives

16-Mar-35 0.05248% 16-Mar-35 0.260307 0.239 2.31%19-Mar-35 0.05248% 19-Mar-35 0.260203 0.247 2.31%20-Mar-35 0.05248% 20-Mar-35 0.260168 0.250 2.31%21-Mar-35 0.05206% 21-Mar-35 0.260134 0.003 2.31%22-Mar-35 0.05206% 22-Mar-35 0.260099 0.006 2.31%23-Mar-35 0.05206% 23-Mar-35 0.260064 0.008 2.31%26-Mar-35 0.05206% 26-Mar-35 0.259960 0.017 2.31%27-Mar-35 0.05206% 27-Mar-35 0.259925 0.019 2.31%28-Mar-35 0.05206% 28-Mar-35 0.259891 0.022 2.30%29-Mar-35 0.05206% 29-Mar-35 0.259856 0.025 2.30%30-Mar-35 0.05206% 30-Mar-35 0.259821 0.028 2.30%

2-Apr-35 0.05206% 2-Apr-35 0.259717 0.036 2.30%3-Apr-35 0.05206% 3-Apr-35 0.259682 0.039 2.30%4-Apr-35 0.05206% 4-Apr-35 0.259648 0.042 2.30%5-Apr-35 0.05206% 5-Apr-35 0.259613 0.044 2.30%6-Apr-35 0.05206% 6-Apr-35 0.259578 0.047 2.30%9-Apr-35 0.05206% 9-Apr-35 0.259474 0.056 2.30%

10-Apr-35 0.05206% 10-Apr-35 0.259440 0.058 2.29%11-Apr-35 0.05206% 11-Apr-35 0.259405 0.061 2.29%12-Apr-35 0.05206% 12-Apr-35 0.259370 0.064 2.29%13-Apr-35 0.05206% 13-Apr-35 0.259336 0.067 2.29%16-Apr-35 0.05206% 16-Apr-35 0.259232 0.075 2.29%17-Apr-35 0.05206% 17-Apr-35 0.259197 0.078 2.29%18-Apr-35 0.05206% 18-Apr-35 0.259163 0.081 2.29%19-Apr-35 0.05206% 19-Apr-35 0.259128 0.083 2.29%20-Apr-35 0.05206% 20-Apr-35 0.259094 0.086 2.28%23-Apr-35 0.05206% 23-Apr-35 0.258990 0.094 2.28%24-Apr-35 0.05206% 24-Apr-35 0.258955 0.097 2.28%25-Apr-35 0.05206% 25-Apr-35 0.258921 0.100 2.28%26-Apr-35 0.05206% 26-Apr-35 0.258886 0.103 2.28%27-Apr-35 0.05206% 27-Apr-35 0.258851 0.106 2.28%30-Apr-35 0.05206% 30-Apr-35 0.258748 0.114 2.28%1-May-35 0.05206% 1-May-35 0.258713 0.117 2.28%2-May-35 0.05206% 2-May-35 0.258679 0.119 2.27%3-May-35 0.05206% 3-May-35 0.258644 0.122 2.27%4-May-35 0.05206% 4-May-35 0.258610 0.125 2.27%7-May-35 0.05206% 7-May-35 0.258506 0.133 2.27%8-May-35 0.05206% 8-May-35 0.258471 0.136 2.27%9-May-35 0.05206% 9-May-35 0.258437 0.139 2.27%

10-May-35 0.05206% 10-May-35 0.258403 0.142 2.27%11-May-35 0.05206% 11-May-35 0.258368 0.144 2.27%14-May-35 0.05206% 14-May-35 0.258265 0.153 2.27%15-May-35 0.05206% 15-May-35 0.258230 0.156 2.26%16-May-35 0.05206% 16-May-35 0.258196 0.158 2.26%

Page 621: Ch 6 Credit Derivatives

17-May-35 0.05206% 17-May-35 0.258162 0.161 2.26%18-May-35 0.05206% 18-May-35 0.258127 0.164 2.26%21-May-35 0.05206% 21-May-35 0.258024 0.172 2.26%22-May-35 0.05206% 22-May-35 0.257989 0.175 2.26%23-May-35 0.05206% 23-May-35 0.257955 0.178 2.26%24-May-35 0.05206% 24-May-35 0.257921 0.181 2.26%25-May-35 0.05206% 25-May-35 0.257886 0.183 2.25%28-May-35 0.05206% 28-May-35 0.257783 0.192 2.25%29-May-35 0.05206% 29-May-35 0.257749 0.194 2.25%30-May-35 0.05206% 30-May-35 0.257714 0.197 2.25%31-May-35 0.05206% 31-May-35 0.257680 0.200 2.25%

1-Jun-35 0.05206% 1-Jun-35 0.257646 0.203 2.25%4-Jun-35 0.05206% 4-Jun-35 0.257543 0.211 2.25%5-Jun-35 0.05206% 5-Jun-35 0.257508 0.214 2.25%6-Jun-35 0.05206% 6-Jun-35 0.257474 0.217 2.25%7-Jun-35 0.05206% 7-Jun-35 0.257440 0.219 2.24%8-Jun-35 0.05206% 8-Jun-35 0.257405 0.222 2.24%

11-Jun-35 0.05206% 11-Jun-35 0.257302 0.231 2.24%12-Jun-35 0.05206% 12-Jun-35 0.257268 0.233 2.24%13-Jun-35 0.05206% 13-Jun-35 0.257234 0.236 2.24%14-Jun-35 0.05206% 14-Jun-35 0.257200 0.239 2.24%15-Jun-35 0.05206% 15-Jun-35 0.257165 0.242 2.24%18-Jun-35 0.05206% 18-Jun-35 0.257062 0.250 2.24%19-Jun-35 0.05206% 19-Jun-35 0.257028 0.253 2.23%20-Jun-35 0.05206% 20-Jun-35 0.256994 0.256 2.23%21-Jun-35 0.05160% 21-Jun-35 0.256960 0.003 2.23%22-Jun-35 0.05160% 22-Jun-35 0.256925 0.006 2.23%25-Jun-35 0.05160% 25-Jun-35 0.256823 0.014 2.23%26-Jun-35 0.05160% 26-Jun-35 0.256788 0.017 2.23%27-Jun-35 0.05160% 27-Jun-35 0.256754 0.019 2.23%28-Jun-35 0.05160% 28-Jun-35 0.256720 0.022 2.23%29-Jun-35 0.05160% 29-Jun-35 0.256686 0.025 2.23%

2-Jul-35 0.05160% 2-Jul-35 0.256583 0.033 2.22%3-Jul-35 0.05160% 3-Jul-35 0.256549 0.036 2.22%4-Jul-35 0.05160% 4-Jul-35 0.256515 0.039 2.22%5-Jul-35 0.05160% 5-Jul-35 0.256481 0.042 2.22%6-Jul-35 0.05160% 6-Jul-35 0.256446 0.044 2.22%9-Jul-35 0.05160% 9-Jul-35 0.256344 0.053 2.22%

10-Jul-35 0.05160% 10-Jul-35 0.256310 0.056 2.22%11-Jul-35 0.05160% 11-Jul-35 0.256275 0.058 2.22%12-Jul-35 0.05160% 12-Jul-35 0.256241 0.061 2.22%13-Jul-35 0.05160% 13-Jul-35 0.256207 0.064 2.21%16-Jul-35 0.05160% 16-Jul-35 0.256105 0.072 2.21%17-Jul-35 0.05160% 17-Jul-35 0.256071 0.075 2.21%

Page 622: Ch 6 Credit Derivatives

18-Jul-35 0.05160% 18-Jul-35 0.256036 0.078 2.21%19-Jul-35 0.05160% 19-Jul-35 0.256002 0.081 2.21%20-Jul-35 0.05160% 20-Jul-35 0.255968 0.083 2.21%23-Jul-35 0.05160% 23-Jul-35 0.255866 0.092 2.21%24-Jul-35 0.05160% 24-Jul-35 0.255832 0.094 2.21%25-Jul-35 0.05160% 25-Jul-35 0.255798 0.097 2.21%26-Jul-35 0.05160% 26-Jul-35 0.255764 0.100 2.20%27-Jul-35 0.05160% 27-Jul-35 0.255730 0.103 2.20%30-Jul-35 0.05160% 30-Jul-35 0.255627 0.111 2.20%31-Jul-35 0.05160% 31-Jul-35 0.255593 0.114 2.20%1-Aug-35 0.05160% 1-Aug-35 0.255559 0.117 2.20%2-Aug-35 0.05160% 2-Aug-35 0.255525 0.119 2.20%3-Aug-35 0.05160% 3-Aug-35 0.255491 0.122 2.20%6-Aug-35 0.05160% 6-Aug-35 0.255389 0.131 2.20%7-Aug-35 0.05160% 7-Aug-35 0.255355 0.133 2.19%8-Aug-35 0.05160% 8-Aug-35 0.255321 0.136 2.19%9-Aug-35 0.05160% 9-Aug-35 0.255287 0.139 2.19%

10-Aug-35 0.05160% 10-Aug-35 0.255253 0.142 2.19%13-Aug-35 0.05160% 13-Aug-35 0.255151 0.150 2.19%14-Aug-35 0.05160% 14-Aug-35 0.255117 0.153 2.19%15-Aug-35 0.05160% 15-Aug-35 0.255083 0.156 2.19%16-Aug-35 0.05160% 16-Aug-35 0.255049 0.158 2.19%17-Aug-35 0.05160% 17-Aug-35 0.255015 0.161 2.19%20-Aug-35 0.05160% 20-Aug-35 0.254913 0.169 2.18%21-Aug-35 0.05160% 21-Aug-35 0.254879 0.172 2.18%22-Aug-35 0.05160% 22-Aug-35 0.254846 0.175 2.18%23-Aug-35 0.05160% 23-Aug-35 0.254812 0.178 2.18%24-Aug-35 0.05160% 24-Aug-35 0.254778 0.181 2.18%27-Aug-35 0.05160% 27-Aug-35 0.254676 0.189 2.18%28-Aug-35 0.05160% 28-Aug-35 0.254642 0.192 2.18%29-Aug-35 0.05160% 29-Aug-35 0.254608 0.194 2.18%30-Aug-35 0.05160% 30-Aug-35 0.254574 0.197 2.18%31-Aug-35 0.05160% 31-Aug-35 0.254540 0.200 2.17%

3-Sep-35 0.05160% 3-Sep-35 0.254439 0.208 2.17%4-Sep-35 0.05160% 4-Sep-35 0.254405 0.211 2.17%5-Sep-35 0.05160% 5-Sep-35 0.254371 0.214 2.17%6-Sep-35 0.05160% 6-Sep-35 0.254337 0.217 2.17%7-Sep-35 0.05160% 7-Sep-35 0.254303 0.219 2.17%

10-Sep-35 0.05160% 10-Sep-35 0.254202 0.228 2.17%11-Sep-35 0.05160% 11-Sep-35 0.254168 0.231 2.17%12-Sep-35 0.05160% 12-Sep-35 0.254134 0.233 2.17%13-Sep-35 0.05160% 13-Sep-35 0.254100 0.236 2.16%14-Sep-35 0.05160% 14-Sep-35 0.254067 0.239 2.16%17-Sep-35 0.05160% 17-Sep-35 0.253965 0.247 2.16%

Page 623: Ch 6 Credit Derivatives

18-Sep-35 0.05160% 18-Sep-35 0.253931 0.250 2.16%19-Sep-35 0.05160% 19-Sep-35 0.253898 0.253 2.16%20-Sep-35 0.05160% 20-Sep-35 0.253864 0.256 2.16%21-Sep-35 0.05249% 21-Sep-35 0.253830 0.003 2.16%24-Sep-35 0.05249% 24-Sep-35 0.253729 0.011 2.16%25-Sep-35 0.05249% 25-Sep-35 0.253695 0.014 2.16%26-Sep-35 0.05249% 26-Sep-35 0.253661 0.017 2.15%27-Sep-35 0.05249% 27-Sep-35 0.253627 0.019 2.15%28-Sep-35 0.05249% 28-Sep-35 0.253594 0.022 2.15%

1-Oct-35 0.05249% 1-Oct-35 0.253493 0.031 2.15%2-Oct-35 0.05249% 2-Oct-35 0.253459 0.033 2.15%3-Oct-35 0.05249% 3-Oct-35 0.253425 0.036 2.15%4-Oct-35 0.05249% 4-Oct-35 0.253391 0.039 2.15%5-Oct-35 0.05249% 5-Oct-35 0.253358 0.042 2.15%8-Oct-35 0.05249% 8-Oct-35 0.253256 0.050 2.15%9-Oct-35 0.05249% 9-Oct-35 0.253223 0.053 2.14%

10-Oct-35 0.05249% 10-Oct-35 0.253189 0.056 2.14%11-Oct-35 0.05249% 11-Oct-35 0.253155 0.058 2.14%12-Oct-35 0.05249% 12-Oct-35 0.253122 0.061 2.14%15-Oct-35 0.05249% 15-Oct-35 0.253021 0.069 2.14%16-Oct-35 0.05249% 16-Oct-35 0.252987 0.072 2.14%17-Oct-35 0.05249% 17-Oct-35 0.252953 0.075 2.14%18-Oct-35 0.05249% 18-Oct-35 0.252920 0.078 2.14%19-Oct-35 0.05249% 19-Oct-35 0.252886 0.081 2.14%22-Oct-35 0.05249% 22-Oct-35 0.252785 0.089 2.13%23-Oct-35 0.05249% 23-Oct-35 0.252751 0.092 2.13%24-Oct-35 0.05249% 24-Oct-35 0.252718 0.094 2.13%25-Oct-35 0.05249% 25-Oct-35 0.252684 0.097 2.13%26-Oct-35 0.05249% 26-Oct-35 0.252651 0.100 2.13%29-Oct-35 0.05249% 29-Oct-35 0.252550 0.108 2.13%30-Oct-35 0.05249% 30-Oct-35 0.252516 0.111 2.13%31-Oct-35 0.05249% 31-Oct-35 0.252483 0.114 2.13%1-Nov-35 0.05249% 1-Nov-35 0.252449 0.117 2.13%2-Nov-35 0.05249% 2-Nov-35 0.252415 0.119 2.12%5-Nov-35 0.05249% 5-Nov-35 0.252315 0.128 2.12%6-Nov-35 0.05249% 6-Nov-35 0.252281 0.131 2.12%7-Nov-35 0.05249% 7-Nov-35 0.252248 0.133 2.12%8-Nov-35 0.05249% 8-Nov-35 0.252214 0.136 2.12%9-Nov-35 0.05249% 9-Nov-35 0.252181 0.139 2.12%

12-Nov-35 0.05249% 12-Nov-35 0.252080 0.147 2.12%13-Nov-35 0.05249% 13-Nov-35 0.252046 0.150 2.12%14-Nov-35 0.05249% 14-Nov-35 0.252013 0.153 2.12%15-Nov-35 0.05249% 15-Nov-35 0.251979 0.156 2.11%16-Nov-35 0.05249% 16-Nov-35 0.251946 0.158 2.11%

Page 624: Ch 6 Credit Derivatives

19-Nov-35 0.05249% 19-Nov-35 0.251846 0.167 2.11%20-Nov-35 0.05249% 20-Nov-35 0.251812 0.169 2.11%21-Nov-35 0.05249% 21-Nov-35 0.251779 0.172 2.11%22-Nov-35 0.05249% 22-Nov-35 0.251745 0.175 2.11%23-Nov-35 0.05249% 23-Nov-35 0.251712 0.178 2.11%26-Nov-35 0.05249% 26-Nov-35 0.251611 0.186 2.11%27-Nov-35 0.05249% 27-Nov-35 0.251578 0.189 2.11%28-Nov-35 0.05249% 28-Nov-35 0.251545 0.192 2.10%29-Nov-35 0.05249% 29-Nov-35 0.251511 0.194 2.10%30-Nov-35 0.05249% 30-Nov-35 0.251478 0.197 2.10%

3-Dec-35 0.05249% 3-Dec-35 0.251377 0.206 2.10%4-Dec-35 0.05249% 4-Dec-35 0.251344 0.208 2.10%5-Dec-35 0.05249% 5-Dec-35 0.251311 0.211 2.10%6-Dec-35 0.05249% 6-Dec-35 0.251277 0.214 2.10%7-Dec-35 0.05249% 7-Dec-35 0.251244 0.217 2.10%

10-Dec-35 0.05249% 10-Dec-35 0.251144 0.225 2.10%11-Dec-35 0.05249% 11-Dec-35 0.251110 0.228 2.09%12-Dec-35 0.05249% 12-Dec-35 0.251077 0.231 2.09%13-Dec-35 0.05249% 13-Dec-35 0.251044 0.233 2.09%14-Dec-35 0.05249% 14-Dec-35 0.251010 0.236 2.09%17-Dec-35 0.05249% 17-Dec-35 0.250910 0.244 2.09%18-Dec-35 0.05249% 18-Dec-35 0.250877 0.247 2.09%19-Dec-35 0.05249% 19-Dec-35 0.250844 0.250 2.09%20-Dec-35 0.05249% 20-Dec-35 0.250810 0.253 2.09%21-Dec-35 0.05271% 21-Dec-35 0.250777 0.003 2.09%24-Dec-35 0.05271% 24-Dec-35 0.250677 0.011 2.08%25-Dec-35 0.05271% 25-Dec-35 0.250644 0.014 2.08%26-Dec-35 0.05271% 26-Dec-35 0.250610 0.017 2.08%27-Dec-35 0.05271% 27-Dec-35 0.250577 0.019 2.08%28-Dec-35 0.05271% 28-Dec-35 0.250544 0.022 2.08%31-Dec-35 0.05271% 31-Dec-35 0.250444 0.031 2.08%

1-Jan-36 0.05271% 1-Jan-36 0.250411 0.033 2.08%2-Jan-36 0.05271% 2-Jan-36 0.250377 0.036 2.08%3-Jan-36 0.05271% 3-Jan-36 0.250344 0.039 2.08%4-Jan-36 0.05271% 4-Jan-36 0.250311 0.042 2.07%7-Jan-36 0.05271% 7-Jan-36 0.250211 0.050 2.07%8-Jan-36 0.05271% 8-Jan-36 0.250178 0.053 2.07%9-Jan-36 0.05271% 9-Jan-36 0.250145 0.056 2.07%

10-Jan-36 0.05271% 10-Jan-36 0.250111 0.058 2.07%11-Jan-36 0.05271% 11-Jan-36 0.250078 0.061 2.07%14-Jan-36 0.05271% 14-Jan-36 0.249978 0.069 2.07%15-Jan-36 0.05271% 15-Jan-36 0.249945 0.072 2.07%16-Jan-36 0.05271% 16-Jan-36 0.249912 0.075 2.07%17-Jan-36 0.05271% 17-Jan-36 0.249879 0.078 2.06%

Page 625: Ch 6 Credit Derivatives

18-Jan-36 0.05271% 18-Jan-36 0.249846 0.081 2.06%21-Jan-36 0.05271% 21-Jan-36 0.249746 0.089 2.06%22-Jan-36 0.05271% 22-Jan-36 0.249713 0.092 2.06%23-Jan-36 0.05271% 23-Jan-36 0.249680 0.094 2.06%24-Jan-36 0.05271% 24-Jan-36 0.249646 0.097 2.06%25-Jan-36 0.05271% 25-Jan-36 0.249613 0.100 2.06%28-Jan-36 0.05271% 28-Jan-36 0.249514 0.108 2.06%29-Jan-36 0.05271% 29-Jan-36 0.249481 0.111 2.06%30-Jan-36 0.05271% 30-Jan-36 0.249448 0.114 2.05%31-Jan-36 0.05271% 31-Jan-36 0.249414 0.117 2.05%1-Feb-36 0.05271% 1-Feb-36 0.249381 0.119 2.05%4-Feb-36 0.05271% 4-Feb-36 0.249282 0.128 2.05%5-Feb-36 0.05271% 5-Feb-36 0.249249 0.131 2.05%6-Feb-36 0.05271% 6-Feb-36 0.249216 0.133 2.05%7-Feb-36 0.05271% 7-Feb-36 0.249183 0.136 2.05%8-Feb-36 0.05271% 8-Feb-36 0.249149 0.139 2.05%

11-Feb-36 0.05271% 11-Feb-36 0.249050 0.147 2.05%12-Feb-36 0.05271% 12-Feb-36 0.249017 0.150 2.05%13-Feb-36 0.05271% 13-Feb-36 0.248984 0.153 2.04%14-Feb-36 0.05271% 14-Feb-36 0.248951 0.156 2.04%15-Feb-36 0.05271% 15-Feb-36 0.248918 0.158 2.04%18-Feb-36 0.05271% 18-Feb-36 0.248819 0.167 2.04%19-Feb-36 0.05271% 19-Feb-36 0.248786 0.169 2.04%20-Feb-36 0.05271% 20-Feb-36 0.248753 0.172 2.04%21-Feb-36 0.05271% 21-Feb-36 0.248720 0.175 2.04%22-Feb-36 0.05271% 22-Feb-36 0.248687 0.178 2.04%25-Feb-36 0.05271% 25-Feb-36 0.248588 0.186 2.04%26-Feb-36 0.05271% 26-Feb-36 0.248555 0.189 2.03%27-Feb-36 0.05271% 27-Feb-36 0.248522 0.192 2.03%28-Feb-36 0.05271% 28-Feb-36 0.248489 0.194 2.03%29-Feb-36 0.05271% 29-Feb-36 0.248456 0.197 2.03%3-Mar-36 0.05271% 3-Mar-36 0.248357 0.206 2.03%4-Mar-36 0.05271% 4-Mar-36 0.248324 0.208 2.03%5-Mar-36 0.05271% 5-Mar-36 0.248291 0.211 2.03%6-Mar-36 0.05271% 6-Mar-36 0.248258 0.214 2.03%7-Mar-36 0.05271% 7-Mar-36 0.248225 0.217 2.03%

10-Mar-36 0.05271% 10-Mar-36 0.248126 0.225 2.02%11-Mar-36 0.05271% 11-Mar-36 0.248093 0.228 2.02%12-Mar-36 0.05271% 12-Mar-36 0.248060 0.231 2.02%13-Mar-36 0.05271% 13-Mar-36 0.248028 0.233 2.02%14-Mar-36 0.05271% 14-Mar-36 0.247995 0.236 2.02%17-Mar-36 0.05271% 17-Mar-36 0.247896 0.244 2.02%18-Mar-36 0.05271% 18-Mar-36 0.247863 0.247 2.02%19-Mar-36 0.05271% 19-Mar-36 0.247830 0.250 2.02%

Page 626: Ch 6 Credit Derivatives

20-Mar-36 0.05271% 20-Mar-36 0.247797 0.253 2.02%21-Mar-36 0.05271% 21-Mar-36 0.247764 0.003 2.02%24-Mar-36 0.05271% 24-Mar-36 0.247666 0.011 2.01%25-Mar-36 0.05271% 25-Mar-36 0.247633 0.014 2.01%26-Mar-36 0.05271% 26-Mar-36 0.247600 0.017 2.01%27-Mar-36 0.05271% 27-Mar-36 0.247567 0.019 2.01%28-Mar-36 0.05271% 28-Mar-36 0.247534 0.022 2.01%31-Mar-36 0.05271% 31-Mar-36 0.247436 0.031 2.01%

1-Apr-36 0.05271% 1-Apr-36 0.247403 0.033 2.01%2-Apr-36 0.05271% 2-Apr-36 0.247370 0.036 2.01%3-Apr-36 0.05271% 3-Apr-36 0.247337 0.039 2.01%4-Apr-36 0.05271% 4-Apr-36 0.247304 0.042 2.00%7-Apr-36 0.05271% 7-Apr-36 0.247206 0.050 2.00%8-Apr-36 0.05271% 8-Apr-36 0.247173 0.053 2.00%9-Apr-36 0.05271% 9-Apr-36 0.247140 0.056 2.00%

10-Apr-36 0.05271% 10-Apr-36 0.247107 0.058 2.00%11-Apr-36 0.05271% 11-Apr-36 0.247075 0.061 2.00%14-Apr-36 0.05271% 14-Apr-36 0.246976 0.069 2.00%15-Apr-36 0.05271% 15-Apr-36 0.246944 0.072 2.00%16-Apr-36 0.05271% 16-Apr-36 0.246911 0.075 2.00%17-Apr-36 0.05271% 17-Apr-36 0.246878 0.078 2.00%18-Apr-36 0.05271% 18-Apr-36 0.246845 0.081 1.99%21-Apr-36 0.05271% 21-Apr-36 0.246747 0.089 1.99%22-Apr-36 0.05271% 22-Apr-36 0.246714 0.092 1.99%23-Apr-36 0.05271% 23-Apr-36 0.246682 0.094 1.99%24-Apr-36 0.05271% 24-Apr-36 0.246649 0.097 1.99%25-Apr-36 0.05271% 25-Apr-36 0.246616 0.100 1.99%28-Apr-36 0.05271% 28-Apr-36 0.246518 0.108 1.99%29-Apr-36 0.05271% 29-Apr-36 0.246485 0.111 1.99%30-Apr-36 0.05271% 30-Apr-36 0.246452 0.114 1.99%1-May-36 0.05271% 1-May-36 0.246420 0.117 1.98%2-May-36 0.05271% 2-May-36 0.246387 0.119 1.98%5-May-36 0.05271% 5-May-36 0.246289 0.128 1.98%6-May-36 0.05271% 6-May-36 0.246256 0.131 1.98%7-May-36 0.05271% 7-May-36 0.246224 0.133 1.98%8-May-36 0.05271% 8-May-36 0.246191 0.136 1.98%9-May-36 0.05271% 9-May-36 0.246158 0.139 1.98%

12-May-36 0.05271% 12-May-36 0.246061 0.147 1.98%13-May-36 0.05271% 13-May-36 0.246028 0.150 1.98%14-May-36 0.05271% 14-May-36 0.245995 0.153 1.98%15-May-36 0.05271% 15-May-36 0.245963 0.156 1.97%16-May-36 0.05271% 16-May-36 0.245930 0.158 1.97%19-May-36 0.05271% 19-May-36 0.245832 0.167 1.97%20-May-36 0.05271% 20-May-36 0.245800 0.169 1.97%

Page 627: Ch 6 Credit Derivatives

21-May-36 0.05271% 21-May-36 0.245767 0.172 1.97%22-May-36 0.05271% 22-May-36 0.245734 0.175 1.97%23-May-36 0.05271% 23-May-36 0.245702 0.178 1.97%26-May-36 0.05271% 26-May-36 0.245604 0.186 1.97%27-May-36 0.05271% 27-May-36 0.245572 0.189 1.97%28-May-36 0.05271% 28-May-36 0.245539 0.192 1.96%29-May-36 0.05271% 29-May-36 0.245507 0.194 1.96%30-May-36 0.05271% 30-May-36 0.245474 0.197 1.96%

2-Jun-36 0.05271% 2-Jun-36 0.245376 0.206 1.96%3-Jun-36 0.05271% 3-Jun-36 0.245344 0.208 1.96%4-Jun-36 0.05271% 4-Jun-36 0.245311 0.211 1.96%5-Jun-36 0.05271% 5-Jun-36 0.245279 0.214 1.96%6-Jun-36 0.05271% 6-Jun-36 0.245246 0.217 1.96%9-Jun-36 0.05271% 9-Jun-36 0.245149 0.225 1.96%

10-Jun-36 0.05271% 10-Jun-36 0.245116 0.228 1.96%11-Jun-36 0.05271% 11-Jun-36 0.245084 0.231 1.95%12-Jun-36 0.05271% 12-Jun-36 0.245051 0.233 1.95%13-Jun-36 0.05271% 13-Jun-36 0.245019 0.236 1.95%16-Jun-36 0.05271% 16-Jun-36 0.244921 0.244 1.95%17-Jun-36 0.05271% 17-Jun-36 0.244889 0.247 1.95%18-Jun-36 0.05271% 18-Jun-36 0.244856 0.250 1.95%19-Jun-36 0.05271% 19-Jun-36 0.244824 0.253 1.95%20-Jun-36 0.05271% 20-Jun-36 0.244792 0.256 1.95%23-Jun-36 0.05411% 23-Jun-36 0.244694 0.008 1.95%24-Jun-36 0.05411% 24-Jun-36 0.244662 0.011 1.95%25-Jun-36 0.05411% 25-Jun-36 0.244629 0.014 1.94%26-Jun-36 0.05411% 26-Jun-36 0.244597 0.017 1.94%27-Jun-36 0.05411% 27-Jun-36 0.244565 0.019 1.94%30-Jun-36 0.05411% 30-Jun-36 0.244467 0.028 1.94%

1-Jul-36 0.05411% 1-Jul-36 0.244435 0.031 1.94%2-Jul-36 0.05411% 2-Jul-36 0.244402 0.033 1.94%3-Jul-36 0.05411% 3-Jul-36 0.244370 0.036 1.94%4-Jul-36 0.05411% 4-Jul-36 0.244338 0.039 1.94%7-Jul-36 0.05411% 7-Jul-36 0.244241 0.047 1.94%8-Jul-36 0.05411% 8-Jul-36 0.244208 0.050 1.93%9-Jul-36 0.05411% 9-Jul-36 0.244176 0.053 1.93%

10-Jul-36 0.05411% 10-Jul-36 0.244143 0.056 1.93%11-Jul-36 0.05411% 11-Jul-36 0.244111 0.058 1.93%14-Jul-36 0.05411% 14-Jul-36 0.244014 0.067 1.93%15-Jul-36 0.05411% 15-Jul-36 0.243982 0.069 1.93%16-Jul-36 0.05411% 16-Jul-36 0.243949 0.072 1.93%17-Jul-36 0.05411% 17-Jul-36 0.243917 0.075 1.93%18-Jul-36 0.05411% 18-Jul-36 0.243885 0.078 1.93%21-Jul-36 0.05411% 21-Jul-36 0.243788 0.086 1.93%

Page 628: Ch 6 Credit Derivatives

22-Jul-36 0.05411% 22-Jul-36 0.243755 0.089 1.92%23-Jul-36 0.05411% 23-Jul-36 0.243723 0.092 1.92%24-Jul-36 0.05411% 24-Jul-36 0.243691 0.094 1.92%25-Jul-36 0.05411% 25-Jul-36 0.243659 0.097 1.92%28-Jul-36 0.05411% 28-Jul-36 0.243562 0.106 1.92%29-Jul-36 0.05411% 29-Jul-36 0.243529 0.108 1.92%30-Jul-36 0.05411% 30-Jul-36 0.243497 0.111 1.92%31-Jul-36 0.05411% 31-Jul-36 0.243465 0.114 1.92%1-Aug-36 0.05411% 1-Aug-36 0.243433 0.117 1.92%4-Aug-36 0.05411% 4-Aug-36 0.243336 0.125 1.91%5-Aug-36 0.05411% 5-Aug-36 0.243304 0.128 1.91%6-Aug-36 0.05411% 6-Aug-36 0.243271 0.131 1.91%7-Aug-36 0.05411% 7-Aug-36 0.243239 0.133 1.91%8-Aug-36 0.05411% 8-Aug-36 0.243207 0.136 1.91%

11-Aug-36 0.05411% 11-Aug-36 0.243110 0.144 1.91%12-Aug-36 0.05411% 12-Aug-36 0.243078 0.147 1.91%13-Aug-36 0.05411% 13-Aug-36 0.243046 0.150 1.91%14-Aug-36 0.05411% 14-Aug-36 0.243014 0.153 1.91%15-Aug-36 0.05411% 15-Aug-36 0.242982 0.156 1.91%18-Aug-36 0.05411% 18-Aug-36 0.242885 0.164 1.90%19-Aug-36 0.05411% 19-Aug-36 0.242853 0.167 1.90%20-Aug-36 0.05411% 20-Aug-36 0.242821 0.169 1.90%21-Aug-36 0.05411% 21-Aug-36 0.242788 0.172 1.90%22-Aug-36 0.05411% 22-Aug-36 0.242756 0.175 1.90%25-Aug-36 0.05411% 25-Aug-36 0.242660 0.183 1.90%26-Aug-36 0.05411% 26-Aug-36 0.242628 0.186 1.90%27-Aug-36 0.05411% 27-Aug-36 0.242596 0.189 1.90%28-Aug-36 0.05411% 28-Aug-36 0.242563 0.192 1.90%29-Aug-36 0.05411% 29-Aug-36 0.242531 0.194 1.90%

1-Sep-36 0.05411% 1-Sep-36 0.242435 0.203 1.89%2-Sep-36 0.05411% 2-Sep-36 0.242403 0.206 1.89%3-Sep-36 0.05411% 3-Sep-36 0.242371 0.208 1.89%4-Sep-36 0.05411% 4-Sep-36 0.242339 0.211 1.89%5-Sep-36 0.05411% 5-Sep-36 0.242307 0.214 1.89%8-Sep-36 0.05411% 8-Sep-36 0.242210 0.222 1.89%9-Sep-36 0.05411% 9-Sep-36 0.242178 0.225 1.89%

10-Sep-36 0.05411% 10-Sep-36 0.242146 0.228 1.89%11-Sep-36 0.05411% 11-Sep-36 0.242114 0.231 1.89%12-Sep-36 0.05411% 12-Sep-36 0.242082 0.233 1.89%15-Sep-36 0.05411% 15-Sep-36 0.241986 0.242 1.88%16-Sep-36 0.05411% 16-Sep-36 0.241954 0.244 1.88%17-Sep-36 0.05411% 17-Sep-36 0.241922 0.247 1.88%18-Sep-36 0.05411% 18-Sep-36 0.241890 0.250 1.88%19-Sep-36 0.05411% 19-Sep-36 0.241858 0.253 1.88%

Page 629: Ch 6 Credit Derivatives

22-Sep-36 0.05411% 22-Sep-36 0.241762 0.261 1.88%23-Sep-36 0.05359% 23-Sep-36 0.241730 0.003 1.88%24-Sep-36 0.05359% 24-Sep-36 0.241698 0.006 1.88%25-Sep-36 0.05359% 25-Sep-36 0.241666 0.008 1.88%26-Sep-36 0.05359% 26-Sep-36 0.241634 0.011 1.87%29-Sep-36 0.05359% 29-Sep-36 0.241538 0.019 1.87%30-Sep-36 0.05359% 30-Sep-36 0.241506 0.022 1.87%

1-Oct-36 0.05359% 1-Oct-36 0.241474 0.025 1.87%2-Oct-36 0.05359% 2-Oct-36 0.241442 0.028 1.87%3-Oct-36 0.05359% 3-Oct-36 0.241410 0.031 1.87%6-Oct-36 0.05359% 6-Oct-36 0.241314 0.039 1.87%7-Oct-36 0.05359% 7-Oct-36 0.241282 0.042 1.87%8-Oct-36 0.05359% 8-Oct-36 0.241250 0.044 1.87%9-Oct-36 0.05359% 9-Oct-36 0.241218 0.047 1.87%

10-Oct-36 0.05359% 10-Oct-36 0.241186 0.050 1.86%13-Oct-36 0.05359% 13-Oct-36 0.241090 0.058 1.86%14-Oct-36 0.05359% 14-Oct-36 0.241058 0.061 1.86%15-Oct-36 0.05359% 15-Oct-36 0.241026 0.064 1.86%16-Oct-36 0.05359% 16-Oct-36 0.240995 0.067 1.86%17-Oct-36 0.05359% 17-Oct-36 0.240963 0.069 1.86%20-Oct-36 0.05359% 20-Oct-36 0.240867 0.078 1.86%21-Oct-36 0.05359% 21-Oct-36 0.240835 0.081 1.86%22-Oct-36 0.05359% 22-Oct-36 0.240803 0.083 1.86%23-Oct-36 0.05359% 23-Oct-36 0.240771 0.086 1.86%24-Oct-36 0.05359% 24-Oct-36 0.240739 0.089 1.85%27-Oct-36 0.05359% 27-Oct-36 0.240644 0.097 1.85%28-Oct-36 0.05359% 28-Oct-36 0.240612 0.100 1.85%29-Oct-36 0.05359% 29-Oct-36 0.240580 0.103 1.85%30-Oct-36 0.05359% 30-Oct-36 0.240548 0.106 1.85%31-Oct-36 0.05359% 31-Oct-36 0.240516 0.108 1.85%3-Nov-36 0.05359% 3-Nov-36 0.240421 0.117 1.85%4-Nov-36 0.05359% 4-Nov-36 0.240389 0.119 1.85%5-Nov-36 0.05359% 5-Nov-36 0.240357 0.122 1.85%6-Nov-36 0.05359% 6-Nov-36 0.240325 0.125 1.85%7-Nov-36 0.05359% 7-Nov-36 0.240294 0.128 1.85%

10-Nov-36 0.05359% 10-Nov-36 0.240198 0.136 1.84%11-Nov-36 0.05359% 11-Nov-36 0.240166 0.139 1.84%12-Nov-36 0.05359% 12-Nov-36 0.240135 0.142 1.84%13-Nov-36 0.05359% 13-Nov-36 0.240103 0.144 1.84%14-Nov-36 0.05359% 14-Nov-36 0.240071 0.147 1.84%17-Nov-36 0.05359% 17-Nov-36 0.239976 0.156 1.84%18-Nov-36 0.05359% 18-Nov-36 0.239944 0.158 1.84%19-Nov-36 0.05359% 19-Nov-36 0.239912 0.161 1.84%20-Nov-36 0.05359% 20-Nov-36 0.239880 0.164 1.84%

Page 630: Ch 6 Credit Derivatives

21-Nov-36 0.05359% 21-Nov-36 0.239849 0.167 1.84%24-Nov-36 0.05359% 24-Nov-36 0.239754 0.175 1.83%25-Nov-36 0.05359% 25-Nov-36 0.239722 0.178 1.83%26-Nov-36 0.05359% 26-Nov-36 0.239690 0.181 1.83%27-Nov-36 0.05359% 27-Nov-36 0.239658 0.183 1.83%28-Nov-36 0.05359% 28-Nov-36 0.239627 0.186 1.83%

1-Dec-36 0.05359% 1-Dec-36 0.239532 0.194 1.83%2-Dec-36 0.05359% 2-Dec-36 0.239500 0.197 1.83%3-Dec-36 0.05359% 3-Dec-36 0.239468 0.200 1.83%4-Dec-36 0.05359% 4-Dec-36 0.239436 0.203 1.83%5-Dec-36 0.05359% 5-Dec-36 0.239405 0.206 1.83%8-Dec-36 0.05359% 8-Dec-36 0.239310 0.214 1.82%9-Dec-36 0.05359% 9-Dec-36 0.239278 0.217 1.82%

10-Dec-36 0.05359% 10-Dec-36 0.239246 0.219 1.82%11-Dec-36 0.05359% 11-Dec-36 0.239215 0.222 1.82%12-Dec-36 0.05359% 12-Dec-36 0.239183 0.225 1.82%15-Dec-36 0.05359% 15-Dec-36 0.239088 0.233 1.82%16-Dec-36 0.05359% 16-Dec-36 0.239057 0.236 1.82%17-Dec-36 0.05359% 17-Dec-36 0.239025 0.239 1.82%18-Dec-36 0.05359% 18-Dec-36 0.238993 0.242 1.82%19-Dec-36 0.05359% 19-Dec-36 0.238962 0.244 1.82%22-Dec-36 0.05359% 22-Dec-36 0.238867 0.253 1.81%23-Dec-36 0.05330% 23-Dec-36 0.238835 0.003 1.81%24-Dec-36 0.05330% 24-Dec-36 0.238804 0.006 1.81%25-Dec-36 0.05330% 25-Dec-36 0.238772 0.008 1.81%26-Dec-36 0.05330% 26-Dec-36 0.238740 0.011 1.81%29-Dec-36 0.05330% 29-Dec-36 0.238646 0.019 1.81%30-Dec-36 0.05330% 30-Dec-36 0.238614 0.022 1.81%31-Dec-36 0.05330% 31-Dec-36 0.238582 0.025 1.81%

1-Jan-37 0.05330% 1-Jan-37 0.238551 0.028 1.81%2-Jan-37 0.05330% 2-Jan-37 0.238519 0.031 1.81%5-Jan-37 0.05330% 5-Jan-37 0.238425 0.039 1.80%6-Jan-37 0.05330% 6-Jan-37 0.238393 0.042 1.80%7-Jan-37 0.05330% 7-Jan-37 0.238362 0.044 1.80%8-Jan-37 0.05330% 8-Jan-37 0.238330 0.047 1.80%9-Jan-37 0.05330% 9-Jan-37 0.238299 0.050 1.80%

12-Jan-37 0.05330% 12-Jan-37 0.238204 0.058 1.80%13-Jan-37 0.05330% 13-Jan-37 0.238172 0.061 1.80%14-Jan-37 0.05330% 14-Jan-37 0.238141 0.064 1.80%15-Jan-37 0.05330% 15-Jan-37 0.238109 0.067 1.80%16-Jan-37 0.05330% 16-Jan-37 0.238078 0.069 1.80%19-Jan-37 0.05330% 19-Jan-37 0.237983 0.078 1.80%20-Jan-37 0.05330% 20-Jan-37 0.237952 0.081 1.79%21-Jan-37 0.05330% 21-Jan-37 0.237920 0.083 1.79%

Page 631: Ch 6 Credit Derivatives

22-Jan-37 0.05330% 22-Jan-37 0.237889 0.086 1.79%23-Jan-37 0.05330% 23-Jan-37 0.237858 0.089 1.79%26-Jan-37 0.05330% 26-Jan-37 0.237763 0.097 1.79%27-Jan-37 0.05330% 27-Jan-37 0.237732 0.100 1.79%28-Jan-37 0.05330% 28-Jan-37 0.237700 0.103 1.79%29-Jan-37 0.05330% 29-Jan-37 0.237669 0.106 1.79%30-Jan-37 0.05330% 30-Jan-37 0.237637 0.108 1.79%2-Feb-37 0.05330% 2-Feb-37 0.237543 0.117 1.79%3-Feb-37 0.05330% 3-Feb-37 0.237512 0.119 1.78%4-Feb-37 0.05330% 4-Feb-37 0.237480 0.122 1.78%5-Feb-37 0.05330% 5-Feb-37 0.237449 0.125 1.78%6-Feb-37 0.05330% 6-Feb-37 0.237417 0.128 1.78%9-Feb-37 0.05330% 9-Feb-37 0.237323 0.136 1.78%

10-Feb-37 0.05330% 10-Feb-37 0.237292 0.139 1.78%11-Feb-37 0.05330% 11-Feb-37 0.237260 0.142 1.78%12-Feb-37 0.05330% 12-Feb-37 0.237229 0.144 1.78%13-Feb-37 0.05330% 13-Feb-37 0.237198 0.147 1.78%16-Feb-37 0.05330% 16-Feb-37 0.237103 0.156 1.78%17-Feb-37 0.05330% 17-Feb-37 0.237072 0.158 1.78%18-Feb-37 0.05330% 18-Feb-37 0.237041 0.161 1.77%19-Feb-37 0.05330% 19-Feb-37 0.237009 0.164 1.77%20-Feb-37 0.05330% 20-Feb-37 0.236978 0.167 1.77%23-Feb-37 0.05330% 23-Feb-37 0.236884 0.175 1.77%24-Feb-37 0.05330% 24-Feb-37 0.236853 0.178 1.77%25-Feb-37 0.05330% 25-Feb-37 0.236821 0.181 1.77%26-Feb-37 0.05330% 26-Feb-37 0.236790 0.183 1.77%27-Feb-37 0.05330% 27-Feb-37 0.236759 0.186 1.77%2-Mar-37 0.05330% 2-Mar-37 0.236665 0.194 1.77%3-Mar-37 0.05330% 3-Mar-37 0.236633 0.197 1.77%4-Mar-37 0.05330% 4-Mar-37 0.236602 0.200 1.76%5-Mar-37 0.05330% 5-Mar-37 0.236571 0.203 1.76%6-Mar-37 0.05330% 6-Mar-37 0.236540 0.206 1.76%9-Mar-37 0.05330% 9-Mar-37 0.236446 0.214 1.76%

10-Mar-37 0.05330% 10-Mar-37 0.236414 0.217 1.76%11-Mar-37 0.05330% 11-Mar-37 0.236383 0.219 1.76%12-Mar-37 0.05330% 12-Mar-37 0.236352 0.222 1.76%13-Mar-37 0.05330% 13-Mar-37 0.236321 0.225 1.76%16-Mar-37 0.05330% 16-Mar-37 0.236227 0.233 1.76%17-Mar-37 0.05330% 17-Mar-37 0.236196 0.236 1.76%18-Mar-37 0.05330% 18-Mar-37 0.236164 0.239 1.76%19-Mar-37 0.05330% 19-Mar-37 0.236133 0.242 1.75%20-Mar-37 0.05330% 20-Mar-37 0.236102 0.244 1.75%23-Mar-37 0.05562% 23-Mar-37 0.236008 0.008 1.75%24-Mar-37 0.05562% 24-Mar-37 0.235977 0.011 1.75%

Page 632: Ch 6 Credit Derivatives

25-Mar-37 0.05562% 25-Mar-37 0.235946 0.014 1.75%26-Mar-37 0.05562% 26-Mar-37 0.235915 0.017 1.75%27-Mar-37 0.05562% 27-Mar-37 0.235883 0.019 1.75%30-Mar-37 0.05562% 30-Mar-37 0.235790 0.028 1.75%31-Mar-37 0.05562% 31-Mar-37 0.235759 0.031 1.75%

1-Apr-37 0.05562% 1-Apr-37 0.235728 0.033 1.75%2-Apr-37 0.05562% 2-Apr-37 0.235696 0.036 1.74%3-Apr-37 0.05562% 3-Apr-37 0.235665 0.039 1.74%6-Apr-37 0.05562% 6-Apr-37 0.235572 0.047 1.74%7-Apr-37 0.05562% 7-Apr-37 0.235541 0.050 1.74%8-Apr-37 0.05562% 8-Apr-37 0.235509 0.053 1.74%9-Apr-37 0.05562% 9-Apr-37 0.235478 0.056 1.74%

10-Apr-37 0.05562% 10-Apr-37 0.235447 0.058 1.74%13-Apr-37 0.05562% 13-Apr-37 0.235354 0.067 1.74%14-Apr-37 0.05562% 14-Apr-37 0.235323 0.069 1.74%15-Apr-37 0.05562% 15-Apr-37 0.235291 0.072 1.74%16-Apr-37 0.05562% 16-Apr-37 0.235260 0.075 1.74%17-Apr-37 0.05562% 17-Apr-37 0.235229 0.078 1.73%20-Apr-37 0.05562% 20-Apr-37 0.235136 0.086 1.73%21-Apr-37 0.05562% 21-Apr-37 0.235105 0.089 1.73%22-Apr-37 0.05562% 22-Apr-37 0.235074 0.092 1.73%23-Apr-37 0.05562% 23-Apr-37 0.235043 0.094 1.73%24-Apr-37 0.05562% 24-Apr-37 0.235012 0.097 1.73%27-Apr-37 0.05562% 27-Apr-37 0.234918 0.106 1.73%28-Apr-37 0.05562% 28-Apr-37 0.234887 0.108 1.73%29-Apr-37 0.05562% 29-Apr-37 0.234856 0.111 1.73%30-Apr-37 0.05562% 30-Apr-37 0.234825 0.114 1.73%1-May-37 0.05562% 1-May-37 0.234794 0.117 1.72%4-May-37 0.05562% 4-May-37 0.234701 0.125 1.72%5-May-37 0.05562% 5-May-37 0.234670 0.128 1.72%6-May-37 0.05562% 6-May-37 0.234639 0.131 1.72%7-May-37 0.05562% 7-May-37 0.234608 0.133 1.72%8-May-37 0.05562% 8-May-37 0.234577 0.136 1.72%

11-May-37 0.05562% 11-May-37 0.234484 0.144 1.72%12-May-37 0.05562% 12-May-37 0.234453 0.147 1.72%13-May-37 0.05562% 13-May-37 0.234422 0.150 1.72%14-May-37 0.05562% 14-May-37 0.234391 0.153 1.72%15-May-37 0.05562% 15-May-37 0.234360 0.156 1.72%18-May-37 0.05562% 18-May-37 0.234267 0.164 1.71%19-May-37 0.05562% 19-May-37 0.234236 0.167 1.71%20-May-37 0.05562% 20-May-37 0.234205 0.169 1.71%21-May-37 0.05562% 21-May-37 0.234174 0.172 1.71%22-May-37 0.05562% 22-May-37 0.234143 0.175 1.71%25-May-37 0.05562% 25-May-37 0.234050 0.183 1.71%

Page 633: Ch 6 Credit Derivatives

26-May-37 0.05562% 26-May-37 0.234019 0.186 1.71%27-May-37 0.05562% 27-May-37 0.233988 0.189 1.71%28-May-37 0.05562% 28-May-37 0.233957 0.192 1.71%29-May-37 0.05562% 29-May-37 0.233927 0.194 1.71%

1-Jun-37 0.05562% 1-Jun-37 0.233834 0.203 1.70%2-Jun-37 0.05562% 2-Jun-37 0.233803 0.206 1.70%3-Jun-37 0.05562% 3-Jun-37 0.233772 0.208 1.70%4-Jun-37 0.05562% 4-Jun-37 0.233741 0.211 1.70%5-Jun-37 0.05562% 5-Jun-37 0.233710 0.214 1.70%8-Jun-37 0.05562% 8-Jun-37 0.233617 0.222 1.70%9-Jun-37 0.05562% 9-Jun-37 0.233587 0.225 1.70%

10-Jun-37 0.05562% 10-Jun-37 0.233556 0.228 1.70%11-Jun-37 0.05562% 11-Jun-37 0.233525 0.231 1.70%12-Jun-37 0.05562% 12-Jun-37 0.233494 0.233 1.70%15-Jun-37 0.05562% 15-Jun-37 0.233401 0.242 1.70%16-Jun-37 0.05562% 16-Jun-37 0.233371 0.244 1.69%17-Jun-37 0.05562% 17-Jun-37 0.233340 0.247 1.69%18-Jun-37 0.05562% 18-Jun-37 0.233309 0.250 1.69%19-Jun-37 0.05562% 19-Jun-37 0.233278 0.253 1.69%22-Jun-37 0.05562% 22-Jun-37 0.233186 0.261 1.69%23-Jun-37 0.05484% 23-Jun-37 0.233155 0.003 1.69%24-Jun-37 0.05484% 24-Jun-37 0.233124 0.006 1.69%25-Jun-37 0.05484% 25-Jun-37 0.233093 0.008 1.69%26-Jun-37 0.05484% 26-Jun-37 0.233062 0.011 1.69%29-Jun-37 0.05484% 29-Jun-37 0.232970 0.019 1.69%30-Jun-37 0.05484% 30-Jun-37 0.232939 0.022 1.68%

1-Jul-37 0.05484% 1-Jul-37 0.232908 0.025 1.68%2-Jul-37 0.05484% 2-Jul-37 0.232878 0.028 1.68%3-Jul-37 0.05484% 3-Jul-37 0.232847 0.031 1.68%6-Jul-37 0.05484% 6-Jul-37 0.232754 0.039 1.68%7-Jul-37 0.05484% 7-Jul-37 0.232724 0.042 1.68%8-Jul-37 0.05484% 8-Jul-37 0.232693 0.044 1.68%9-Jul-37 0.05484% 9-Jul-37 0.232662 0.047 1.68%

10-Jul-37 0.05484% 10-Jul-37 0.232631 0.050 1.68%13-Jul-37 0.05484% 13-Jul-37 0.232539 0.058 1.68%14-Jul-37 0.05484% 14-Jul-37 0.232509 0.061 1.68%15-Jul-37 0.05484% 15-Jul-37 0.232478 0.064 1.67%16-Jul-37 0.05484% 16-Jul-37 0.232447 0.067 1.67%17-Jul-37 0.05484% 17-Jul-37 0.232416 0.069 1.67%20-Jul-37 0.05484% 20-Jul-37 0.232324 0.078 1.67%21-Jul-37 0.05484% 21-Jul-37 0.232293 0.081 1.67%22-Jul-37 0.05484% 22-Jul-37 0.232263 0.083 1.67%23-Jul-37 0.05484% 23-Jul-37 0.232232 0.086 1.67%24-Jul-37 0.05484% 24-Jul-37 0.232201 0.089 1.67%

Page 634: Ch 6 Credit Derivatives

27-Jul-37 0.05484% 27-Jul-37 0.232109 0.097 1.67%28-Jul-37 0.05484% 28-Jul-37 0.232079 0.100 1.67%29-Jul-37 0.05484% 29-Jul-37 0.232048 0.103 1.67%30-Jul-37 0.05484% 30-Jul-37 0.232017 0.106 1.66%31-Jul-37 0.05484% 31-Jul-37 0.231987 0.108 1.66%3-Aug-37 0.05484% 3-Aug-37 0.231895 0.117 1.66%4-Aug-37 0.05484% 4-Aug-37 0.231864 0.119 1.66%5-Aug-37 0.05484% 5-Aug-37 0.231833 0.122 1.66%6-Aug-37 0.05484% 6-Aug-37 0.231803 0.125 1.66%7-Aug-37 0.05484% 7-Aug-37 0.231772 0.128 1.66%

10-Aug-37 0.05484% 10-Aug-37 0.231680 0.136 1.66%11-Aug-37 0.05484% 11-Aug-37 0.231650 0.139 1.66%12-Aug-37 0.05484% 12-Aug-37 0.231619 0.142 1.66%13-Aug-37 0.05484% 13-Aug-37 0.231588 0.144 1.66%14-Aug-37 0.05484% 14-Aug-37 0.231558 0.147 1.65%17-Aug-37 0.05484% 17-Aug-37 0.231466 0.156 1.65%18-Aug-37 0.05484% 18-Aug-37 0.231435 0.158 1.65%19-Aug-37 0.05484% 19-Aug-37 0.231405 0.161 1.65%20-Aug-37 0.05484% 20-Aug-37 0.231374 0.164 1.65%21-Aug-37 0.05484% 21-Aug-37 0.231344 0.167 1.65%24-Aug-37 0.05484% 24-Aug-37 0.231252 0.175 1.65%25-Aug-37 0.05484% 25-Aug-37 0.231221 0.178 1.65%26-Aug-37 0.05484% 26-Aug-37 0.231191 0.181 1.65%27-Aug-37 0.05484% 27-Aug-37 0.231160 0.183 1.65%28-Aug-37 0.05484% 28-Aug-37 0.231130 0.186 1.65%31-Aug-37 0.05484% 31-Aug-37 0.231038 0.194 1.64%

1-Sep-37 0.05484% 1-Sep-37 0.231008 0.197 1.64%2-Sep-37 0.05484% 2-Sep-37 0.230977 0.200 1.64%3-Sep-37 0.05484% 3-Sep-37 0.230947 0.203 1.64%4-Sep-37 0.05484% 4-Sep-37 0.230916 0.206 1.64%7-Sep-37 0.05484% 7-Sep-37 0.230825 0.214 1.64%8-Sep-37 0.05484% 8-Sep-37 0.230794 0.217 1.64%9-Sep-37 0.05484% 9-Sep-37 0.230764 0.219 1.64%

10-Sep-37 0.05484% 10-Sep-37 0.230733 0.222 1.64%11-Sep-37 0.05484% 11-Sep-37 0.230703 0.225 1.64%14-Sep-37 0.05484% 14-Sep-37 0.230611 0.233 1.64%15-Sep-37 0.05484% 15-Sep-37 0.230581 0.236 1.63%16-Sep-37 0.05484% 16-Sep-37 0.230550 0.239 1.63%17-Sep-37 0.05484% 17-Sep-37 0.230520 0.242 1.63%18-Sep-37 0.05484% 18-Sep-37 0.230489 0.244 1.63%21-Sep-37 0.05484% 21-Sep-37 0.230398 0.253 1.63%22-Sep-37 0.05627% 22-Sep-37 0.230368 0.003 1.63%23-Sep-37 0.05627% 23-Sep-37 0.230337 0.006 1.63%24-Sep-37 0.05627% 24-Sep-37 0.230307 0.008 1.63%

Page 635: Ch 6 Credit Derivatives

25-Sep-37 0.05627% 25-Sep-37 0.230276 0.011 1.63%28-Sep-37 0.05627% 28-Sep-37 0.230185 0.019 1.63%29-Sep-37 0.05627% 29-Sep-37 0.230155 0.022 1.63%30-Sep-37 0.05627% 30-Sep-37 0.230124 0.025 1.62%

1-Oct-37 0.05627% 1-Oct-37 0.230094 0.028 1.62%2-Oct-37 0.05627% 2-Oct-37 0.230063 0.031 1.62%5-Oct-37 0.05627% 5-Oct-37 0.229972 0.039 1.62%6-Oct-37 0.05627% 6-Oct-37 0.229942 0.042 1.62%7-Oct-37 0.05627% 7-Oct-37 0.229911 0.044 1.62%8-Oct-37 0.05627% 8-Oct-37 0.229881 0.047 1.62%9-Oct-37 0.05627% 9-Oct-37 0.229851 0.050 1.62%

12-Oct-37 0.05627% 12-Oct-37 0.229760 0.058 1.62%13-Oct-37 0.05627% 13-Oct-37 0.229729 0.061 1.62%14-Oct-37 0.05627% 14-Oct-37 0.229699 0.064 1.62%15-Oct-37 0.05627% 15-Oct-37 0.229669 0.067 1.61%16-Oct-37 0.05627% 16-Oct-37 0.229638 0.069 1.61%19-Oct-37 0.05627% 19-Oct-37 0.229547 0.078 1.61%20-Oct-37 0.05627% 20-Oct-37 0.229517 0.081 1.61%21-Oct-37 0.05627% 21-Oct-37 0.229487 0.083 1.61%22-Oct-37 0.05627% 22-Oct-37 0.229456 0.086 1.61%23-Oct-37 0.05627% 23-Oct-37 0.229426 0.089 1.61%26-Oct-37 0.05627% 26-Oct-37 0.229335 0.097 1.61%27-Oct-37 0.05627% 27-Oct-37 0.229305 0.100 1.61%28-Oct-37 0.05627% 28-Oct-37 0.229274 0.103 1.61%29-Oct-37 0.05627% 29-Oct-37 0.229244 0.106 1.61%30-Oct-37 0.05627% 30-Oct-37 0.229214 0.108 1.60%2-Nov-37 0.05627% 2-Nov-37 0.229123 0.117 1.60%3-Nov-37 0.05627% 3-Nov-37 0.229093 0.119 1.60%4-Nov-37 0.05627% 4-Nov-37 0.229062 0.122 1.60%5-Nov-37 0.05627% 5-Nov-37 0.229032 0.125 1.60%6-Nov-37 0.05627% 6-Nov-37 0.229002 0.128 1.60%9-Nov-37 0.05627% 9-Nov-37 0.228911 0.136 1.60%

10-Nov-37 0.05627% 10-Nov-37 0.228881 0.139 1.60%11-Nov-37 0.05627% 11-Nov-37 0.228851 0.142 1.60%12-Nov-37 0.05627% 12-Nov-37 0.228820 0.144 1.60%13-Nov-37 0.05627% 13-Nov-37 0.228790 0.147 1.60%16-Nov-37 0.05627% 16-Nov-37 0.228700 0.156 1.59%17-Nov-37 0.05627% 17-Nov-37 0.228669 0.158 1.59%18-Nov-37 0.05627% 18-Nov-37 0.228639 0.161 1.59%19-Nov-37 0.05627% 19-Nov-37 0.228609 0.164 1.59%20-Nov-37 0.05627% 20-Nov-37 0.228579 0.167 1.59%23-Nov-37 0.05627% 23-Nov-37 0.228488 0.175 1.59%24-Nov-37 0.05627% 24-Nov-37 0.228458 0.178 1.59%25-Nov-37 0.05627% 25-Nov-37 0.228428 0.181 1.59%

Page 636: Ch 6 Credit Derivatives

26-Nov-37 0.05627% 26-Nov-37 0.228398 0.183 1.59%27-Nov-37 0.05627% 27-Nov-37 0.228367 0.186 1.59%30-Nov-37 0.05627% 30-Nov-37 0.228277 0.194 1.59%

1-Dec-37 0.05627% 1-Dec-37 0.228247 0.197 1.59%2-Dec-37 0.05627% 2-Dec-37 0.228217 0.200 1.58%3-Dec-37 0.05627% 3-Dec-37 0.228186 0.203 1.58%4-Dec-37 0.05627% 4-Dec-37 0.228156 0.206 1.58%7-Dec-37 0.05627% 7-Dec-37 0.228066 0.214 1.58%8-Dec-37 0.05627% 8-Dec-37 0.228036 0.217 1.58%9-Dec-37 0.05627% 9-Dec-37 0.228006 0.219 1.58%

10-Dec-37 0.05627% 10-Dec-37 0.227976 0.222 1.58%11-Dec-37 0.05627% 11-Dec-37 0.227945 0.225 1.58%14-Dec-37 0.05627% 14-Dec-37 0.227855 0.233 1.58%15-Dec-37 0.05627% 15-Dec-37 0.227825 0.236 1.58%16-Dec-37 0.05627% 16-Dec-37 0.227795 0.239 1.58%17-Dec-37 0.05627% 17-Dec-37 0.227765 0.242 1.57%18-Dec-37 0.05627% 18-Dec-37 0.227735 0.244 1.57%21-Dec-37 0.05627% 21-Dec-37 0.227645 0.253 1.57%22-Dec-37 0.05723% 22-Dec-37 0.227614 0.003 1.57%23-Dec-37 0.05723% 23-Dec-37 0.227584 0.006 1.57%24-Dec-37 0.05723% 24-Dec-37 0.227554 0.008 1.57%25-Dec-37 0.05723% 25-Dec-37 0.227524 0.011 1.57%28-Dec-37 0.05723% 28-Dec-37 0.227434 0.019 1.57%29-Dec-37 0.05723% 29-Dec-37 0.227404 0.022 1.57%30-Dec-37 0.05723% 30-Dec-37 0.227374 0.025 1.57%31-Dec-37 0.05723% 31-Dec-37 0.227344 0.028 1.57%

1-Jan-38 0.05723% 1-Jan-38 0.227314 0.031 1.56%4-Jan-38 0.05723% 4-Jan-38 0.227224 0.039 1.56%5-Jan-38 0.05723% 5-Jan-38 0.227194 0.042 1.56%6-Jan-38 0.05723% 6-Jan-38 0.227164 0.044 1.56%7-Jan-38 0.05723% 7-Jan-38 0.227134 0.047 1.56%8-Jan-38 0.05723% 8-Jan-38 0.227104 0.050 1.56%

11-Jan-38 0.05723% 11-Jan-38 0.227014 0.058 1.56%12-Jan-38 0.05723% 12-Jan-38 0.226984 0.061 1.56%13-Jan-38 0.05723% 13-Jan-38 0.226954 0.064 1.56%14-Jan-38 0.05723% 14-Jan-38 0.226924 0.067 1.56%15-Jan-38 0.05723% 15-Jan-38 0.226894 0.069 1.56%18-Jan-38 0.05723% 18-Jan-38 0.226804 0.078 1.55%19-Jan-38 0.05723% 19-Jan-38 0.226774 0.081 1.55%20-Jan-38 0.05723% 20-Jan-38 0.226744 0.083 1.55%21-Jan-38 0.05723% 21-Jan-38 0.226714 0.086 1.55%22-Jan-38 0.05723% 22-Jan-38 0.226684 0.089 1.55%25-Jan-38 0.05723% 25-Jan-38 0.226595 0.097 1.55%26-Jan-38 0.05723% 26-Jan-38 0.226565 0.100 1.55%

Page 637: Ch 6 Credit Derivatives

27-Jan-38 0.05723% 27-Jan-38 0.226535 0.103 1.55%28-Jan-38 0.05723% 28-Jan-38 0.226505 0.106 1.55%29-Jan-38 0.05723% 29-Jan-38 0.226475 0.108 1.55%1-Feb-38 0.05723% 1-Feb-38 0.226385 0.117 1.55%2-Feb-38 0.05723% 2-Feb-38 0.226355 0.119 1.55%3-Feb-38 0.05723% 3-Feb-38 0.226325 0.122 1.54%4-Feb-38 0.05723% 4-Feb-38 0.226295 0.125 1.54%5-Feb-38 0.05723% 5-Feb-38 0.226266 0.128 1.54%8-Feb-38 0.05723% 8-Feb-38 0.226176 0.136 1.54%9-Feb-38 0.05723% 9-Feb-38 0.226145 0.139 1.54%

10-Feb-38 0.05723% 10-Feb-38 0.226115 0.142 1.54%11-Feb-38 0.05723% 11-Feb-38 0.226084 0.144 1.54%12-Feb-38 0.05723% 12-Feb-38 0.226053 0.147 1.54%15-Feb-38 0.05723% 15-Feb-38 0.225961 0.156 1.54%16-Feb-38 0.05723% 16-Feb-38 0.225931 0.158 1.54%17-Feb-38 0.05723% 17-Feb-38 0.225900 0.161 1.54%18-Feb-38 0.05723% 18-Feb-38 0.225869 0.164 1.53%19-Feb-38 0.05723% 19-Feb-38 0.225839 0.167 1.53%22-Feb-38 0.05723% 22-Feb-38 0.225747 0.175 1.53%23-Feb-38 0.05723% 23-Feb-38 0.225716 0.178 1.53%24-Feb-38 0.05723% 24-Feb-38 0.225686 0.181 1.53%25-Feb-38 0.05723% 25-Feb-38 0.225655 0.183 1.53%26-Feb-38 0.05723% 26-Feb-38 0.225624 0.186 1.53%1-Mar-38 0.05723% 1-Mar-38 0.225533 0.194 1.53%2-Mar-38 0.05723% 2-Mar-38 0.225502 0.197 1.53%3-Mar-38 0.05723% 3-Mar-38 0.225471 0.200 1.53%4-Mar-38 0.05723% 4-Mar-38 0.225441 0.203 1.53%5-Mar-38 0.05723% 5-Mar-38 0.225410 0.206 1.52%8-Mar-38 0.05723% 8-Mar-38 0.225319 0.214 1.52%9-Mar-38 0.05723% 9-Mar-38 0.225288 0.217 1.52%

10-Mar-38 0.05723% 10-Mar-38 0.225258 0.219 1.52%11-Mar-38 0.05723% 11-Mar-38 0.225227 0.222 1.52%12-Mar-38 0.05723% 12-Mar-38 0.225196 0.225 1.52%15-Mar-38 0.05723% 15-Mar-38 0.225105 0.233 1.52%16-Mar-38 0.05723% 16-Mar-38 0.225074 0.236 1.52%17-Mar-38 0.05723% 17-Mar-38 0.225044 0.239 1.52%18-Mar-38 0.05723% 18-Mar-38 0.225013 0.242 1.52%19-Mar-38 0.05723% 19-Mar-38 0.224983 0.244 1.52%22-Mar-38 0.05723% 22-Mar-38 0.224891 0.253 1.52%

Page 638: Ch 6 Credit Derivatives

Hazard Accumulative Accumulative MarginPremium Premium Payment

0.01% 0.000000 0.000000 0.000036 21600.000%0.01% 0.000000 0.000000 0.000071 14400.357%0.01% 0.000001 0.000001 0.000107 8101.025%0.01% 0.000001 0.000002 0.000143 6172.334%0.01% 0.000001 0.000003 0.000178 5143.677%0.01% 0.000001 0.000005 0.000214 4469.734%0.01% 0.000001 0.000006 0.000250 3979.686%0.01% 0.000002 0.000008 0.000285 3456.815%0.01% 0.000002 0.000010 0.000321 3086.547%0.01% 0.000002 0.000013 0.000357 2806.025%0.01% 0.000002 0.000015 0.000392 2583.430%0.01% 0.000003 0.000018 0.000428 2400.811%0.01% 0.000003 0.000021 0.000463 2211.863%0.01% 0.000003 0.000024 0.000499 2057.994%0.01% 0.000003 0.000028 0.000535 1929.424%0.01% 0.000004 0.000031 0.000570 1819.797%0.01% 0.000004 0.000035 0.000606 1724.788%0.01% 0.000004 0.000039 0.000641 1627.637%0.01% 0.000004 0.000044 0.000677 1543.723%0.01% 0.000005 0.000048 0.000713 1470.255%0.01% 0.000005 0.000053 0.000748 1405.200%0.01% 0.000005 0.000058 0.000784 1347.038%0.01% 0.000005 0.000064 0.000819 1287.918%0.01% 0.000006 0.000069 0.000855 1235.162%0.01% 0.000006 0.000075 0.000890 1187.691%0.01% 0.000006 0.000081 0.000926 1144.665%0.01% 0.000006 0.000087 0.000961 1105.420%0.01% 0.000007 0.000094 0.000997 1065.670%0.01% 0.000007 0.000100 0.001032 1029.456%0.01% 0.000007 0.000107 0.001068 996.277%0.01% 0.118781 0.118888 0.001103 0.928%

Page 639: Ch 6 Credit Derivatives

0.01% 0.000000 0.118889 0.001191 1.002%0.01% 0.000002 0.118890 0.001279 1.076%0.01% 0.000002 0.118893 0.001367 1.150%0.01% 0.000002 0.118895 0.001455 1.224%0.01% 0.000003 0.118898 0.001543 1.298%0.01% 0.000003 0.118901 0.001631 1.372%0.01% 0.000004 0.118906 0.001719 1.446%0.01% 0.000005 0.118910 0.001807 1.519%0.01% 0.000005 0.118916 0.001894 1.593%0.01% 0.000006 0.118921 0.001982 1.667%0.01% 0.000006 0.118927 0.002070 1.741%0.01% 0.000007 0.118935 0.002158 1.814%0.01% 0.000008 0.118943 0.002245 1.888%0.01% 0.000008 0.118951 0.002333 1.961%0.01% 0.000009 0.118959 0.002421 2.035%0.01% 0.000009 0.118968 0.002508 2.108%0.01% 0.000010 0.118978 0.002596 2.182%0.01% 0.000011 0.118989 0.002684 2.255%0.01% 0.000011 0.119000 0.002771 2.329%0.01% 0.000011 0.119011 0.002859 2.402%0.01% 0.000012 0.119023 0.002946 2.475%0.01% 0.000013 0.119036 0.003034 2.549%0.01% 0.000013 0.119049 0.003121 2.622%0.01% 0.000014 0.119063 0.003209 2.695%0.01% 0.000014 0.119077 0.003296 2.768%0.01% 0.000015 0.119092 0.003383 2.841%0.01% 0.000016 0.119107 0.003471 2.914%0.01% 0.000016 0.119124 0.003558 2.987%0.01% 0.000017 0.119140 0.003646 3.060%0.01% 0.000017 0.119157 0.003733 3.133%0.01% 0.000017 0.119175 0.003820 3.206%0.01% 0.000019 0.119193 0.003907 3.278%0.01% 0.000019 0.119212 0.003995 3.351%0.01% 0.000019 0.119231 0.004082 3.423%0.01% 0.000020 0.119251 0.004169 3.496%0.01% 0.000020 0.119271 0.004256 3.569%0.01% 0.000021 0.119293 0.004343 3.641%0.01% 0.000022 0.119315 0.004430 3.713%0.01% 0.000022 0.119337 0.004518 3.786%0.01% 0.000023 0.119359 0.004605 3.858%0.01% 0.000023 0.119382 0.004692 3.930%0.01% 0.000024 0.119406 0.004779 4.002%0.01% 0.000025 0.119431 0.004866 4.074%0.01% 0.000025 0.119456 0.004953 4.146%

Page 640: Ch 6 Credit Derivatives

0.01% 0.000025 0.119481 0.005040 4.218%0.01% 0.000026 0.119507 0.005127 4.290%0.01% 0.000027 0.119534 0.005214 4.362%0.01% 0.000027 0.119561 0.005300 4.433%0.01% 0.000028 0.119589 0.005387 4.505%0.01% 0.000028 0.119617 0.005474 4.576%0.01% 0.000029 0.119646 0.005561 4.648%0.01% 0.000030 0.119676 0.005648 4.719%0.01% 0.000030 0.119706 0.005735 4.791%0.01% 0.000031 0.119736 0.005821 4.862%0.01% 0.000031 0.119767 0.005908 4.933%0.01% 0.000031 0.119799 0.005995 5.004%0.01% 0.000033 0.119831 0.006081 5.075%0.01% 0.000033 0.119864 0.006168 5.146%0.01% 0.000033 0.119897 0.006255 5.217%0.01% 0.000034 0.119931 0.006341 5.287%0.01% 0.000034 0.119965 0.006428 5.358%0.01% 0.000035 0.120000 0.006514 5.429%0.01% 0.000036 0.120036 0.006601 5.499%0.01% 0.000036 0.120072 0.006688 5.570%0.01% 0.000036 0.120108 0.006774 5.640%0.01% 0.249727 0.369835 0.006861 1.855%0.03% 0.000002 0.369837 0.007015 1.897%0.03% 0.000003 0.369840 0.007170 1.939%0.03% 0.000004 0.369844 0.007324 1.980%0.03% 0.000004 0.369848 0.007479 2.022%0.03% 0.000005 0.369853 0.007633 2.064%0.03% 0.000007 0.369860 0.007787 2.105%0.03% 0.000008 0.369868 0.007941 2.147%0.03% 0.000009 0.369877 0.008096 2.189%0.03% 0.000009 0.369886 0.008250 2.230%0.03% 0.000010 0.369896 0.008404 2.272%0.03% 0.000012 0.369908 0.008558 2.313%0.03% 0.000013 0.369921 0.008712 2.355%0.03% 0.000014 0.369935 0.008866 2.397%0.03% 0.000014 0.369949 0.009019 2.438%0.03% 0.000015 0.369964 0.009173 2.479%0.03% 0.000017 0.369981 0.009327 2.521%0.03% 0.000018 0.369999 0.009481 2.562%0.03% 0.000018 0.370017 0.009634 2.604%0.03% 0.000019 0.370036 0.009788 2.645%0.03% 0.000020 0.370056 0.009941 2.686%0.03% 0.000022 0.370078 0.010095 2.728%0.03% 0.000023 0.370101 0.010248 2.769%

Page 641: Ch 6 Credit Derivatives

0.03% 0.000023 0.370124 0.010401 2.810%0.03% 0.000024 0.370148 0.010554 2.851%0.03% 0.000025 0.370173 0.010708 2.893%0.03% 0.000027 0.370200 0.010861 2.934%0.03% 0.000028 0.370228 0.011014 2.975%0.03% 0.000028 0.370256 0.011167 3.016%0.03% 0.000029 0.370285 0.011320 3.057%0.03% 0.000030 0.370315 0.011473 3.098%0.03% 0.000032 0.370347 0.011626 3.139%0.03% 0.000033 0.370379 0.011778 3.180%0.03% 0.000033 0.370413 0.011931 3.221%0.03% 0.000034 0.370446 0.012084 3.262%0.03% 0.000035 0.370481 0.012236 3.303%0.03% 0.000037 0.370518 0.012389 3.344%0.03% 0.000037 0.370555 0.012541 3.384%0.03% 0.000038 0.370593 0.012694 3.425%0.03% 0.000039 0.370632 0.012846 3.466%0.03% 0.000039 0.370672 0.012999 3.507%0.03% 0.000042 0.370713 0.013151 3.547%0.03% 0.000042 0.370756 0.013303 3.588%0.03% 0.000043 0.370798 0.013455 3.629%0.03% 0.000044 0.370842 0.013607 3.669%0.03% 0.000044 0.370886 0.013759 3.710%0.03% 0.000046 0.370933 0.013911 3.750%0.03% 0.000047 0.370980 0.014063 3.791%0.03% 0.000048 0.371028 0.014215 3.831%0.03% 0.000048 0.371076 0.014367 3.872%0.03% 0.000049 0.371126 0.014519 3.912%0.03% 0.000051 0.371177 0.014670 3.952%0.03% 0.000052 0.371229 0.014822 3.993%0.03% 0.000053 0.371281 0.014974 4.033%0.03% 0.000053 0.371335 0.015125 4.073%0.03% 0.000054 0.371389 0.015277 4.113%0.03% 0.000056 0.371445 0.015428 4.154%0.03% 0.000057 0.371502 0.015579 4.194%0.03% 0.000057 0.371559 0.015731 4.234%0.03% 0.000058 0.371617 0.015882 4.274%0.03% 0.000059 0.371676 0.016033 4.314%0.03% 0.000061 0.371737 0.016184 4.354%0.03% 0.000062 0.371798 0.016335 4.394%0.03% 0.000062 0.371861 0.016486 4.433%0.03% 0.000063 0.371923 0.016637 4.473%0.03% 0.000064 0.371987 0.016788 4.513%0.03% 0.248900 0.620887 0.016939 2.728%

Page 642: Ch 6 Credit Derivatives

0.02% 0.000001 0.620888 0.017049 2.746%0.02% 0.000001 0.620889 0.017160 2.764%0.02% 0.000002 0.620890 0.017270 2.781%0.02% 0.000002 0.620893 0.017380 2.799%0.02% 0.000004 0.620896 0.017490 2.817%0.02% 0.000004 0.620900 0.017600 2.835%0.02% 0.000005 0.620905 0.017710 2.852%0.02% 0.000005 0.620910 0.017820 2.870%0.02% 0.000006 0.620915 0.017930 2.888%0.02% 0.000007 0.620923 0.018040 2.905%0.02% 0.000008 0.620930 0.018150 2.923%0.02% 0.000008 0.620938 0.018259 2.941%0.02% 0.000009 0.620947 0.018369 2.958%0.02% 0.000009 0.620956 0.018479 2.976%0.02% 0.000011 0.620967 0.018589 2.994%0.02% 0.000011 0.620978 0.018698 3.011%0.02% 0.000012 0.620990 0.018808 3.029%0.02% 0.000012 0.621002 0.018918 3.046%0.02% 0.000013 0.621015 0.019027 3.064%0.02% 0.000014 0.621029 0.019137 3.081%0.02% 0.000015 0.621043 0.019246 3.099%0.02% 0.000015 0.621059 0.019356 3.117%0.02% 0.000016 0.621074 0.019465 3.134%0.02% 0.000016 0.621091 0.019575 3.152%0.02% 0.000018 0.621108 0.019684 3.169%0.02% 0.000018 0.621127 0.019794 3.187%0.02% 0.000019 0.621145 0.019903 3.204%0.02% 0.000019 0.621164 0.020012 3.222%0.02% 0.000020 0.621184 0.020122 3.239%0.02% 0.000021 0.621205 0.020231 3.257%0.02% 0.000022 0.621227 0.020340 3.274%0.02% 0.000022 0.621249 0.020449 3.292%0.02% 0.000023 0.621272 0.020559 3.309%0.02% 0.000023 0.621295 0.020668 3.327%0.02% 0.000025 0.621320 0.020777 3.344%0.02% 0.000025 0.621345 0.020886 3.361%0.02% 0.000026 0.621371 0.020995 3.379%0.02% 0.000026 0.621397 0.021104 3.396%0.02% 0.000027 0.621424 0.021213 3.414%0.02% 0.000028 0.621452 0.021322 3.431%0.02% 0.000029 0.621481 0.021431 3.448%0.02% 0.000029 0.621510 0.021540 3.466%0.02% 0.000030 0.621540 0.021648 3.483%0.02% 0.000030 0.621570 0.021757 3.500%

Page 643: Ch 6 Credit Derivatives

0.02% 0.000032 0.621602 0.021866 3.518%0.02% 0.000032 0.621634 0.021975 3.535%0.02% 0.000033 0.621667 0.022083 3.552%0.02% 0.000033 0.621700 0.022192 3.570%0.02% 0.000034 0.621734 0.022301 3.587%0.02% 0.000035 0.621769 0.022409 3.604%0.02% 0.000036 0.621805 0.022518 3.621%0.02% 0.000036 0.621841 0.022626 3.639%0.02% 0.000037 0.621878 0.022735 3.656%0.02% 0.000037 0.621915 0.022843 3.673%0.02% 0.000039 0.621953 0.022952 3.690%0.02% 0.000039 0.621993 0.023060 3.707%0.02% 0.000040 0.622032 0.023169 3.725%0.02% 0.000040 0.622072 0.023277 3.742%0.02% 0.000041 0.622113 0.023385 3.759%0.02% 0.000042 0.622155 0.023494 3.776%0.02% 0.000043 0.622198 0.023602 3.793%0.02% 0.000043 0.622241 0.023710 3.810%0.02% 0.000044 0.622284 0.023818 3.828%0.02% 0.000044 0.622328 0.023927 3.845%0.02% 0.236362 0.858690 0.024035 2.799%0.02% 0.000001 0.858691 0.024163 2.814%0.02% 0.000001 0.858692 0.024291 2.829%0.02% 0.000002 0.858694 0.024418 2.844%0.02% 0.000002 0.858696 0.024546 2.859%0.02% 0.000004 0.858700 0.024674 2.873%0.02% 0.000005 0.858705 0.024802 2.888%0.02% 0.000005 0.858710 0.024929 2.903%0.02% 0.000006 0.858716 0.025057 2.918%0.02% 0.000006 0.858723 0.025185 2.933%0.02% 0.000008 0.858731 0.025312 2.948%0.02% 0.000009 0.858740 0.025440 2.962%0.02% 0.000009 0.858749 0.025567 2.977%0.02% 0.000010 0.858759 0.025695 2.992%0.02% 0.000011 0.858770 0.025822 3.007%0.02% 0.000012 0.858782 0.025949 3.022%0.02% 0.000013 0.858795 0.026077 3.036%0.02% 0.000014 0.858809 0.026204 3.051%0.02% 0.000014 0.858823 0.026331 3.066%0.02% 0.000015 0.858838 0.026458 3.081%0.02% 0.000016 0.858854 0.026586 3.095%0.02% 0.000017 0.858871 0.026713 3.110%0.02% 0.000018 0.858889 0.026840 3.125%0.02% 0.000018 0.858907 0.026967 3.140%

Page 644: Ch 6 Credit Derivatives

0.02% 0.000019 0.858926 0.027094 3.154%0.02% 0.000021 0.858946 0.027221 3.169%0.02% 0.000021 0.858968 0.027348 3.184%0.02% 0.000022 0.858989 0.027474 3.198%0.02% 0.000022 0.859012 0.027601 3.213%0.02% 0.000023 0.859034 0.027728 3.228%0.02% 0.000025 0.859059 0.027855 3.242%0.02% 0.000025 0.859084 0.027981 3.257%0.02% 0.000026 0.859110 0.028108 3.272%0.02% 0.000026 0.859137 0.028235 3.286%0.02% 0.000027 0.859163 0.028361 3.301%0.02% 0.000029 0.859192 0.028488 3.316%0.02% 0.000029 0.859221 0.028614 3.330%0.02% 0.000030 0.859251 0.028741 3.345%0.02% 0.000030 0.859282 0.028867 3.359%0.02% 0.000031 0.859313 0.028994 3.374%0.02% 0.000033 0.859346 0.029120 3.389%0.02% 0.000033 0.859379 0.029246 3.403%0.02% 0.000034 0.859413 0.029372 3.418%0.02% 0.000034 0.859447 0.029499 3.432%0.02% 0.000035 0.859482 0.029625 3.447%0.02% 0.000037 0.859519 0.029751 3.461%0.02% 0.000037 0.859556 0.029877 3.476%0.02% 0.000038 0.859594 0.030003 3.490%0.02% 0.000038 0.859633 0.030129 3.505%0.02% 0.000039 0.859672 0.030255 3.519%0.02% 0.000041 0.859713 0.030381 3.534%0.02% 0.000041 0.859754 0.030507 3.548%0.02% 0.000042 0.859796 0.030633 3.563%0.02% 0.000043 0.859839 0.030758 3.577%0.02% 0.000043 0.859882 0.030884 3.592%0.02% 0.000045 0.859926 0.031010 3.606%0.02% 0.000045 0.859972 0.031135 3.621%0.02% 0.000046 0.860018 0.031261 3.635%0.02% 0.000047 0.860064 0.031387 3.649%0.02% 0.000047 0.860111 0.031512 3.664%0.02% 0.000049 0.860160 0.031638 3.678%0.02% 0.000049 0.860210 0.031763 3.692%0.02% 0.000050 0.860259 0.031889 3.707%0.02% 0.000051 0.860310 0.032014 3.721%0.02% 0.223879 1.084189 0.032139 2.964%0.03% 0.000002 1.084191 0.032305 2.980%0.03% 0.000003 1.084194 0.032471 2.995%0.03% 0.000004 1.084198 0.032637 3.010%

Page 645: Ch 6 Credit Derivatives

0.03% 0.000005 1.084203 0.032803 3.026%0.03% 0.000005 1.084208 0.032969 3.041%0.03% 0.000008 1.084216 0.033134 3.056%0.03% 0.000008 1.084224 0.033300 3.071%0.03% 0.000009 1.084233 0.033465 3.087%0.03% 0.000010 1.084243 0.033631 3.102%0.03% 0.000011 1.084254 0.033796 3.117%0.03% 0.000013 1.084267 0.033962 3.132%0.03% 0.000014 1.084281 0.034127 3.147%0.03% 0.000015 1.084295 0.034292 3.163%0.03% 0.000015 1.084311 0.034457 3.178%0.03% 0.000016 1.084327 0.034622 3.193%0.03% 0.000018 1.084345 0.034787 3.208%0.03% 0.000019 1.084364 0.034952 3.223%0.03% 0.000020 1.084384 0.035117 3.238%0.03% 0.000021 1.084405 0.035282 3.254%0.03% 0.000021 1.084426 0.035446 3.269%0.03% 0.000024 1.084450 0.035611 3.284%0.03% 0.000024 1.084474 0.035776 3.299%0.03% 0.000025 1.084499 0.035940 3.314%0.03% 0.000026 1.084525 0.036105 3.329%0.03% 0.000027 1.084552 0.036269 3.344%0.03% 0.000029 1.084580 0.036433 3.359%0.03% 0.000030 1.084610 0.036598 3.374%0.03% 0.000030 1.084641 0.036762 3.389%0.03% 0.000031 1.084672 0.036926 3.404%0.03% 0.000032 1.084704 0.037090 3.419%0.03% 0.000034 1.084738 0.037254 3.434%0.03% 0.000035 1.084773 0.037418 3.449%0.03% 0.000036 1.084808 0.037582 3.464%0.03% 0.000036 1.084845 0.037746 3.479%0.03% 0.000037 1.084882 0.037910 3.494%0.03% 0.000039 1.084921 0.038073 3.509%0.03% 0.000040 1.084961 0.038237 3.524%0.03% 0.000041 1.085002 0.038400 3.539%0.03% 0.000042 1.085044 0.038564 3.554%0.03% 0.000042 1.085086 0.038727 3.569%0.03% 0.000045 1.085131 0.038891 3.584%0.03% 0.000045 1.085176 0.039054 3.599%0.03% 0.000046 1.085222 0.039217 3.614%0.03% 0.000047 1.085269 0.039380 3.629%0.03% 0.000048 1.085317 0.039543 3.643%0.03% 0.000050 1.085367 0.039706 3.658%0.03% 0.000051 1.085417 0.039869 3.673%

Page 646: Ch 6 Credit Derivatives

0.03% 0.000051 1.085468 0.040032 3.688%0.03% 0.000052 1.085520 0.040195 3.703%0.03% 0.000053 1.085573 0.040358 3.718%0.03% 0.000055 1.085628 0.040521 3.732%0.03% 0.000056 1.085684 0.040683 3.747%0.03% 0.000056 1.085740 0.040846 3.762%0.03% 0.000057 1.085798 0.041008 3.777%0.03% 0.000058 1.085855 0.041171 3.792%0.03% 0.000060 1.085916 0.041333 3.806%0.03% 0.000061 1.085976 0.041495 3.821%0.03% 0.000062 1.086038 0.041658 3.836%0.03% 0.000062 1.086100 0.041820 3.850%0.03% 0.000063 1.086163 0.041982 3.865%0.03% 0.000065 1.086229 0.042144 3.880%0.03% 0.000066 1.086295 0.042306 3.895%0.03% 0.000067 1.086361 0.042468 3.909%0.03% 0.000067 1.086429 0.042630 3.924%0.03% 0.000068 1.086497 0.042792 3.938%0.03% 0.232897 1.319394 0.042953 3.256%0.04% 0.000001 1.319395 0.043164 3.271%0.04% 0.000002 1.319397 0.043374 3.287%0.04% 0.000003 1.319400 0.043584 3.303%0.04% 0.000004 1.319404 0.043794 3.319%0.04% 0.000007 1.319411 0.044004 3.335%0.04% 0.000008 1.319419 0.044214 3.351%0.04% 0.000009 1.319427 0.044424 3.367%0.04% 0.000010 1.319437 0.044633 3.383%0.04% 0.000011 1.319448 0.044843 3.399%0.04% 0.000014 1.319461 0.045052 3.414%0.04% 0.000015 1.319476 0.045262 3.430%0.04% 0.000015 1.319491 0.045471 3.446%0.04% 0.000016 1.319508 0.045680 3.462%0.04% 0.000017 1.319525 0.045889 3.478%0.04% 0.000020 1.319546 0.046098 3.493%0.04% 0.000021 1.319567 0.046307 3.509%0.04% 0.000022 1.319589 0.046515 3.525%0.04% 0.000023 1.319612 0.046724 3.541%0.04% 0.000024 1.319636 0.046932 3.556%0.04% 0.000027 1.319663 0.047141 3.572%0.04% 0.000028 1.319691 0.047349 3.588%0.04% 0.000029 1.319720 0.047557 3.604%0.04% 0.000030 1.319750 0.047765 3.619%0.04% 0.000031 1.319781 0.047973 3.635%0.04% 0.000034 1.319815 0.048181 3.651%

Page 647: Ch 6 Credit Derivatives

0.04% 0.000035 1.319849 0.048389 3.666%0.04% 0.000036 1.319885 0.048597 3.682%0.04% 0.000037 1.319921 0.048804 3.698%0.04% 0.000037 1.319959 0.049012 3.713%0.04% 0.000040 1.319999 0.049219 3.729%0.04% 0.000041 1.320040 0.049427 3.744%0.04% 0.000042 1.320083 0.049634 3.760%0.04% 0.000043 1.320126 0.049841 3.775%0.04% 0.000044 1.320170 0.050048 3.791%0.04% 0.000047 1.320217 0.050255 3.807%0.04% 0.000048 1.320265 0.050461 3.822%0.04% 0.000049 1.320314 0.050668 3.838%0.04% 0.000050 1.320363 0.050875 3.853%0.04% 0.000051 1.320414 0.051081 3.869%0.04% 0.000053 1.320467 0.051287 3.884%0.04% 0.000054 1.320522 0.051494 3.899%0.04% 0.000055 1.320577 0.051700 3.915%0.04% 0.000056 1.320633 0.051906 3.930%0.04% 0.000057 1.320691 0.052112 3.946%0.04% 0.000060 1.320751 0.052318 3.961%0.04% 0.000061 1.320812 0.052523 3.977%0.04% 0.000062 1.320874 0.052729 3.992%0.04% 0.000063 1.320936 0.052935 4.007%0.04% 0.000064 1.321000 0.053140 4.023%0.04% 0.000067 1.321067 0.053345 4.038%0.04% 0.000067 1.321134 0.053551 4.053%0.04% 0.000068 1.321202 0.053756 4.069%0.04% 0.000069 1.321272 0.053961 4.084%0.04% 0.000070 1.321342 0.054166 4.099%0.04% 0.000073 1.321415 0.054371 4.115%0.04% 0.000074 1.321489 0.054575 4.130%0.04% 0.000075 1.321564 0.054780 4.145%0.04% 0.000076 1.321639 0.054984 4.160%0.04% 0.000077 1.321716 0.055189 4.176%0.04% 0.000079 1.321796 0.055393 4.191%0.04% 0.000080 1.321876 0.055597 4.206%0.04% 0.000081 1.321957 0.055801 4.221%0.04% 0.000082 1.322039 0.056006 4.236%0.04% 0.000083 1.322122 0.056209 4.251%0.04% 0.218352 1.540474 0.056413 3.662%0.04% 0.000001 1.540475 0.056662 3.678%0.04% 0.000002 1.540478 0.056911 3.694%0.04% 0.000003 1.540481 0.057159 3.710%0.04% 0.000005 1.540486 0.057408 3.727%

Page 648: Ch 6 Credit Derivatives

0.04% 0.000008 1.540494 0.057656 3.743%0.04% 0.000009 1.540503 0.057904 3.759%0.04% 0.000010 1.540513 0.058152 3.775%0.04% 0.000011 1.540525 0.058400 3.791%0.04% 0.000013 1.540537 0.058647 3.807%0.04% 0.000016 1.540553 0.058895 3.823%0.04% 0.000017 1.540571 0.059142 3.839%0.04% 0.000018 1.540589 0.059390 3.855%0.04% 0.000019 1.540608 0.059637 3.871%0.04% 0.000021 1.540629 0.059884 3.887%0.04% 0.000024 1.540653 0.060130 3.903%0.04% 0.000025 1.540678 0.060377 3.919%0.04% 0.000026 1.540704 0.060624 3.935%0.04% 0.000027 1.540732 0.060870 3.951%0.04% 0.000029 1.540760 0.061116 3.967%0.04% 0.000032 1.540792 0.061362 3.983%0.04% 0.000033 1.540825 0.061608 3.998%0.04% 0.000034 1.540859 0.061854 4.014%0.04% 0.000035 1.540894 0.062100 4.030%0.04% 0.000036 1.540931 0.062345 4.046%0.04% 0.000040 1.540971 0.062591 4.062%0.04% 0.000041 1.541011 0.062836 4.078%0.04% 0.000042 1.541053 0.063081 4.093%0.04% 0.000043 1.541097 0.063326 4.109%0.04% 0.000044 1.541141 0.063571 4.125%0.04% 0.000048 1.541188 0.063815 4.141%0.04% 0.000049 1.541237 0.064060 4.156%0.04% 0.000050 1.541287 0.064304 4.172%0.04% 0.000051 1.541338 0.064548 4.188%0.04% 0.000052 1.541390 0.064792 4.204%0.04% 0.000055 1.541445 0.065036 4.219%0.04% 0.000056 1.541501 0.065280 4.235%0.04% 0.000058 1.541559 0.065524 4.250%0.04% 0.000059 1.541618 0.065767 4.266%0.04% 0.000060 1.541677 0.066011 4.282%0.04% 0.000063 1.541740 0.066254 4.297%0.04% 0.000064 1.541804 0.066497 4.313%0.04% 0.000065 1.541870 0.066740 4.329%0.04% 0.000066 1.541936 0.066983 4.344%0.04% 0.000067 1.542003 0.067225 4.360%0.04% 0.000071 1.542074 0.067468 4.375%0.04% 0.000072 1.542146 0.067710 4.391%0.04% 0.000073 1.542219 0.067952 4.406%0.04% 0.000074 1.542293 0.068194 4.422%

Page 649: Ch 6 Credit Derivatives

0.04% 0.000075 1.542368 0.068436 4.437%0.04% 0.000078 1.542446 0.068678 4.453%0.04% 0.000079 1.542526 0.068920 4.468%0.04% 0.000080 1.542606 0.069161 4.483%0.04% 0.000082 1.542688 0.069403 4.499%0.04% 0.000083 1.542770 0.069644 4.514%0.04% 0.000086 1.542856 0.069885 4.530%0.04% 0.000087 1.542943 0.070126 4.545%0.04% 0.000088 1.543031 0.070367 4.560%0.04% 0.000089 1.543120 0.070607 4.576%0.04% 0.000090 1.543211 0.070848 4.591%0.04% 0.000093 1.543304 0.071088 4.606%0.04% 0.000095 1.543399 0.071328 4.622%0.04% 0.000096 1.543494 0.071568 4.637%0.04% 0.000097 1.543591 0.071808 4.652%0.04% 0.000098 1.543688 0.072048 4.667%0.04% 0.210182 1.753871 0.072288 4.122%0.05% 0.000001 1.753872 0.072559 4.137%0.05% 0.000003 1.753875 0.072830 4.153%0.05% 0.000004 1.753878 0.073101 4.168%0.05% 0.000005 1.753883 0.073371 4.183%0.05% 0.000009 1.753892 0.073642 4.199%0.05% 0.000010 1.753902 0.073912 4.214%0.05% 0.000011 1.753913 0.074182 4.230%0.05% 0.000012 1.753926 0.074452 4.245%0.05% 0.000014 1.753940 0.074722 4.260%0.05% 0.000017 1.753957 0.074991 4.276%0.05% 0.000019 1.753976 0.075261 4.291%0.05% 0.000020 1.753996 0.075530 4.306%0.05% 0.000021 1.754017 0.075799 4.321%0.05% 0.000022 1.754039 0.076068 4.337%0.05% 0.000026 1.754065 0.076337 4.352%0.05% 0.000027 1.754093 0.076605 4.367%0.05% 0.000029 1.754121 0.076874 4.382%0.05% 0.000030 1.754151 0.077142 4.398%0.05% 0.000031 1.754182 0.077410 4.413%0.05% 0.000035 1.754217 0.077678 4.428%0.05% 0.000036 1.754253 0.077945 4.443%0.05% 0.000037 1.754290 0.078213 4.458%0.05% 0.000038 1.754328 0.078480 4.474%0.05% 0.000040 1.754368 0.078747 4.489%0.05% 0.000043 1.754411 0.079014 4.504%0.05% 0.000044 1.754456 0.079281 4.519%0.05% 0.000046 1.754501 0.079547 4.534%

Page 650: Ch 6 Credit Derivatives

0.05% 0.000047 1.754548 0.079814 4.549%0.05% 0.000048 1.754596 0.080080 4.564%0.05% 0.000052 1.754648 0.080346 4.579%0.05% 0.000053 1.754701 0.080612 4.594%0.05% 0.000054 1.754755 0.080878 4.609%0.05% 0.000055 1.754810 0.081143 4.624%0.05% 0.000057 1.754867 0.081409 4.639%0.05% 0.000060 1.754927 0.081674 4.654%0.05% 0.000061 1.754988 0.081939 4.669%0.05% 0.000063 1.755051 0.082204 4.684%0.05% 0.000064 1.755115 0.082468 4.699%0.05% 0.000065 1.755179 0.082733 4.714%0.05% 0.000069 1.755248 0.082997 4.729%0.05% 0.000070 1.755318 0.083261 4.743%0.05% 0.000071 1.755389 0.083525 4.758%0.05% 0.000072 1.755461 0.083789 4.773%0.05% 0.000073 1.755534 0.084053 4.788%0.05% 0.000077 1.755611 0.084316 4.803%0.05% 0.000078 1.755689 0.084579 4.817%0.05% 0.000079 1.755768 0.084842 4.832%0.05% 0.000080 1.755848 0.085105 4.847%0.05% 0.000082 1.755930 0.085368 4.862%0.05% 0.000085 1.756015 0.085631 4.876%0.05% 0.000086 1.756101 0.085893 4.891%0.05% 0.000087 1.756188 0.086155 4.906%0.05% 0.000089 1.756277 0.086417 4.920%0.05% 0.000090 1.756367 0.086679 4.935%0.05% 0.000093 1.756460 0.086941 4.950%0.05% 0.000094 1.756554 0.087202 4.964%0.05% 0.000096 1.756650 0.087464 4.979%0.05% 0.000097 1.756747 0.087725 4.994%0.05% 0.000098 1.756845 0.087986 5.008%0.05% 0.000101 1.756946 0.088247 5.023%0.05% 0.000103 1.757049 0.088507 5.037%0.05% 0.000104 1.757152 0.088768 5.052%0.05% 0.000105 1.757257 0.089028 5.066%0.05% 0.000106 1.757363 0.089288 5.081%0.05% 0.201358 1.958721 0.089548 4.572%0.05% 0.000001 1.958722 0.089843 4.587%0.05% 0.000003 1.958725 0.090138 4.602%0.05% 0.000004 1.958729 0.090433 4.617%0.05% 0.000005 1.958735 0.090727 4.632%0.05% 0.000010 1.958744 0.091021 4.647%0.05% 0.000011 1.958755 0.091315 4.662%

Page 651: Ch 6 Credit Derivatives

0.05% 0.000012 1.958767 0.091609 4.677%0.05% 0.000014 1.958781 0.091903 4.692%0.05% 0.000015 1.958796 0.092196 4.707%0.05% 0.000019 1.958815 0.092489 4.722%0.05% 0.000020 1.958835 0.092782 4.737%0.05% 0.000022 1.958857 0.093075 4.751%0.05% 0.000023 1.958880 0.093367 4.766%0.05% 0.000024 1.958904 0.093660 4.781%0.05% 0.000028 1.958933 0.093952 4.796%0.05% 0.000030 1.958962 0.094244 4.811%0.05% 0.000031 1.958993 0.094535 4.826%0.05% 0.000032 1.959026 0.094827 4.840%0.05% 0.000034 1.959060 0.095118 4.855%0.05% 0.000038 1.959097 0.095409 4.870%0.05% 0.000039 1.959136 0.095699 4.885%0.05% 0.000040 1.959177 0.095990 4.900%0.05% 0.000042 1.959218 0.096280 4.914%0.05% 0.000043 1.959261 0.096571 4.929%0.05% 0.000047 1.959308 0.096860 4.944%0.05% 0.000048 1.959357 0.097150 4.958%0.05% 0.000050 1.959406 0.097440 4.973%0.05% 0.000051 1.959457 0.097729 4.988%0.05% 0.000052 1.959509 0.098018 5.002%0.05% 0.000056 1.959565 0.098307 5.017%0.05% 0.000057 1.959623 0.098595 5.031%0.05% 0.000059 1.959682 0.098884 5.046%0.05% 0.000060 1.959742 0.099172 5.060%0.05% 0.000061 1.959803 0.099460 5.075%0.05% 0.000065 1.959868 0.099748 5.090%0.05% 0.000067 1.959935 0.100035 5.104%0.05% 0.000068 1.960003 0.100322 5.118%0.05% 0.000069 1.960072 0.100610 5.133%0.05% 0.000070 1.960142 0.100896 5.147%0.05% 0.000074 1.960216 0.101183 5.162%0.05% 0.000076 1.960292 0.101470 5.176%0.05% 0.000077 1.960369 0.101756 5.191%0.05% 0.000078 1.960447 0.102042 5.205%0.05% 0.000079 1.960526 0.102328 5.219%0.05% 0.000083 1.960610 0.102613 5.234%0.05% 0.000085 1.960694 0.102899 5.248%0.05% 0.000086 1.960780 0.103184 5.262%0.05% 0.000087 1.960867 0.103469 5.277%0.05% 0.000088 1.960955 0.103754 5.291%0.05% 0.000092 1.961048 0.104038 5.305%

Page 652: Ch 6 Credit Derivatives

0.05% 0.000093 1.961141 0.104322 5.319%0.05% 0.000095 1.961236 0.104607 5.334%0.05% 0.000096 1.961332 0.104890 5.348%0.05% 0.000097 1.961429 0.105174 5.362%0.05% 0.000101 1.961530 0.105458 5.376%0.05% 0.000102 1.961632 0.105741 5.390%0.05% 0.000104 1.961736 0.106024 5.405%0.05% 0.000105 1.961841 0.106307 5.419%0.05% 0.000106 1.961947 0.106589 5.433%0.05% 0.000110 1.962056 0.106872 5.447%0.05% 0.000111 1.962167 0.107154 5.461%0.05% 0.000112 1.962280 0.107436 5.475%0.05% 0.000113 1.962393 0.107718 5.489%0.05% 0.000115 1.962508 0.107999 5.503%0.05% 0.191845 2.154353 0.108281 5.026%0.06% 0.000002 2.154354 0.108606 5.041%0.06% 0.000003 2.154357 0.108932 5.056%0.06% 0.000005 2.154362 0.109257 5.071%0.06% 0.000006 2.154368 0.109582 5.087%0.06% 0.000011 2.154379 0.109907 5.102%0.06% 0.000012 2.154391 0.110231 5.117%0.06% 0.000014 2.154404 0.110555 5.132%0.06% 0.000015 2.154419 0.110879 5.147%0.06% 0.000016 2.154436 0.111202 5.162%0.06% 0.000021 2.154456 0.111526 5.177%0.06% 0.000022 2.154479 0.111849 5.191%0.06% 0.000024 2.154503 0.112171 5.206%0.06% 0.000025 2.154528 0.112494 5.221%0.06% 0.000027 2.154555 0.112816 5.236%0.06% 0.000031 2.154586 0.113138 5.251%0.06% 0.000033 2.154619 0.113459 5.266%0.06% 0.000034 2.154653 0.113781 5.281%0.06% 0.000036 2.154689 0.114102 5.296%0.06% 0.000037 2.154726 0.114423 5.310%0.06% 0.000042 2.154768 0.114743 5.325%0.06% 0.000043 2.154811 0.115063 5.340%0.06% 0.000044 2.154855 0.115383 5.355%0.06% 0.000046 2.154901 0.115703 5.369%0.06% 0.000047 2.154948 0.116023 5.384%0.06% 0.000052 2.155000 0.116342 5.399%0.06% 0.000053 2.155053 0.116661 5.413%0.06% 0.000055 2.155108 0.116979 5.428%0.06% 0.000056 2.155164 0.117298 5.443%0.06% 0.000057 2.155221 0.117616 5.457%

Page 653: Ch 6 Credit Derivatives

0.06% 0.000062 2.155283 0.117934 5.472%0.06% 0.000063 2.155346 0.118251 5.486%0.06% 0.000065 2.155411 0.118568 5.501%0.06% 0.000066 2.155477 0.118885 5.515%0.06% 0.000067 2.155544 0.119202 5.530%0.06% 0.000072 2.155616 0.119519 5.545%0.06% 0.000073 2.155689 0.119835 5.559%0.06% 0.000075 2.155764 0.120151 5.573%0.06% 0.000076 2.155840 0.120466 5.588%0.06% 0.000077 2.155917 0.120782 5.602%0.06% 0.000082 2.155999 0.121097 5.617%0.06% 0.000083 2.156082 0.121412 5.631%0.06% 0.000084 2.156167 0.121726 5.645%0.06% 0.000086 2.156252 0.122041 5.660%0.06% 0.000087 2.156340 0.122355 5.674%0.06% 0.000092 2.156431 0.122668 5.688%0.06% 0.000093 2.156524 0.122982 5.703%0.06% 0.000094 2.156618 0.123295 5.717%0.06% 0.000096 2.156714 0.123608 5.731%0.06% 0.000097 2.156811 0.123921 5.746%0.06% 0.000101 2.156912 0.124233 5.760%0.06% 0.000103 2.157015 0.124545 5.774%0.06% 0.000104 2.157119 0.124857 5.788%0.06% 0.000105 2.157224 0.125169 5.802%0.06% 0.000107 2.157331 0.125480 5.816%0.06% 0.000111 2.157442 0.125791 5.831%0.06% 0.000112 2.157554 0.126102 5.845%0.06% 0.000114 2.157667 0.126413 5.859%0.06% 0.000115 2.157782 0.126723 5.873%0.06% 0.000116 2.157899 0.127033 5.887%0.06% 0.000120 2.158019 0.127343 5.901%0.06% 0.000122 2.158141 0.127652 5.915%0.06% 0.000123 2.158264 0.127962 5.929%0.06% 0.000124 2.158388 0.128271 5.943%0.06% 0.000126 2.158514 0.128579 5.957%0.06% 0.181526 2.340040 0.128888 5.508%0.06% 0.000002 2.340042 0.129224 5.522%0.06% 0.000003 2.340045 0.129561 5.537%0.06% 0.000005 2.340049 0.129897 5.551%0.06% 0.000006 2.340056 0.130233 5.565%0.06% 0.000011 2.340066 0.130568 5.580%0.06% 0.000012 2.340079 0.130903 5.594%0.06% 0.000014 2.340093 0.131238 5.608%0.06% 0.000015 2.340108 0.131573 5.623%

Page 654: Ch 6 Credit Derivatives

0.06% 0.000017 2.340125 0.131907 5.637%0.06% 0.000022 2.340147 0.132241 5.651%0.06% 0.000023 2.340170 0.132574 5.665%0.06% 0.000025 2.340195 0.132908 5.679%0.06% 0.000026 2.340221 0.133241 5.694%0.06% 0.000028 2.340249 0.133573 5.708%0.06% 0.000032 2.340281 0.133906 5.722%0.06% 0.000034 2.340315 0.134238 5.736%0.06% 0.000035 2.340350 0.134570 5.750%0.06% 0.000037 2.340387 0.134901 5.764%0.06% 0.000038 2.340425 0.135232 5.778%0.06% 0.000043 2.340468 0.135563 5.792%0.06% 0.000044 2.340513 0.135894 5.806%0.06% 0.000046 2.340558 0.136224 5.820%0.06% 0.000047 2.340606 0.136554 5.834%0.06% 0.000049 2.340655 0.136884 5.848%0.06% 0.000053 2.340708 0.137213 5.862%0.06% 0.000055 2.340763 0.137542 5.876%0.06% 0.000056 2.340819 0.137871 5.890%0.06% 0.000058 2.340877 0.138199 5.904%0.06% 0.000059 2.340936 0.138527 5.918%0.06% 0.000064 2.341000 0.138855 5.931%0.06% 0.000065 2.341065 0.139182 5.945%0.06% 0.000067 2.341132 0.139510 5.959%0.06% 0.000068 2.341200 0.139837 5.973%0.06% 0.000070 2.341269 0.140163 5.987%0.06% 0.000074 2.341343 0.140489 6.000%0.06% 0.000075 2.341419 0.140815 6.014%0.06% 0.000077 2.341496 0.141141 6.028%0.06% 0.000078 2.341574 0.141467 6.042%0.06% 0.000080 2.341654 0.141792 6.055%0.06% 0.000084 2.341738 0.142116 6.069%0.06% 0.000086 2.341824 0.142441 6.082%0.06% 0.000087 2.341911 0.142765 6.096%0.06% 0.000088 2.341999 0.143089 6.110%0.06% 0.000090 2.342089 0.143413 6.123%0.06% 0.000094 2.342183 0.143736 6.137%0.06% 0.000096 2.342279 0.144059 6.150%0.06% 0.000097 2.342376 0.144382 6.164%0.06% 0.000099 2.342475 0.144704 6.177%0.06% 0.000100 2.342575 0.145026 6.191%0.06% 0.000104 2.342679 0.145348 6.204%0.06% 0.000106 2.342785 0.145669 6.218%0.06% 0.000107 2.342892 0.145991 6.231%

Page 655: Ch 6 Credit Derivatives

0.06% 0.000108 2.343000 0.146311 6.245%0.06% 0.000110 2.343110 0.146632 6.258%0.06% 0.000114 2.343224 0.146952 6.271%0.06% 0.000116 2.343340 0.147272 6.285%0.06% 0.000117 2.343457 0.147592 6.298%0.06% 0.000118 2.343575 0.147912 6.311%0.06% 0.000120 2.343695 0.148231 6.325%0.06% 0.000124 2.343819 0.148550 6.338%0.06% 0.000125 2.343944 0.148868 6.351%0.06% 0.000127 2.344071 0.149186 6.364%0.06% 0.000128 2.344199 0.149504 6.378%0.06% 0.000129 2.344328 0.149822 6.391%0.06% 0.170947 2.515276 0.150139 5.969%0.06% 0.000001 2.515277 0.150462 5.982%0.06% 0.000003 2.515280 0.150785 5.995%0.06% 0.000004 2.515285 0.151107 6.008%0.06% 0.000006 2.515290 0.151429 6.020%0.06% 0.000010 2.515301 0.151750 6.033%0.06% 0.000012 2.515313 0.152072 6.046%0.06% 0.000013 2.515326 0.152393 6.059%0.06% 0.000015 2.515341 0.152713 6.071%0.06% 0.000016 2.515357 0.153034 6.084%0.06% 0.000021 2.515378 0.153354 6.097%0.06% 0.000022 2.515400 0.153673 6.109%0.06% 0.000024 2.515424 0.153993 6.122%0.06% 0.000025 2.515449 0.154312 6.135%0.06% 0.000027 2.515476 0.154631 6.147%0.06% 0.000031 2.515507 0.154950 6.160%0.06% 0.000032 2.515539 0.155268 6.172%0.06% 0.000034 2.515573 0.155586 6.185%0.06% 0.000035 2.515608 0.155904 6.197%0.06% 0.000037 2.515645 0.156221 6.210%0.06% 0.000041 2.515686 0.156538 6.222%0.06% 0.000043 2.515729 0.156855 6.235%0.06% 0.000044 2.515773 0.157171 6.247%0.06% 0.000045 2.515818 0.157487 6.260%0.06% 0.000047 2.515865 0.157803 6.272%0.06% 0.000051 2.515916 0.158119 6.285%0.06% 0.000053 2.515968 0.158434 6.297%0.06% 0.000054 2.516022 0.158749 6.310%0.06% 0.000055 2.516078 0.159064 6.322%0.06% 0.000057 2.516134 0.159378 6.334%0.06% 0.000061 2.516196 0.159692 6.347%0.06% 0.000062 2.516258 0.160006 6.359%

Page 656: Ch 6 Credit Derivatives

0.06% 0.000064 2.516322 0.160320 6.371%0.06% 0.000065 2.516387 0.160633 6.383%0.06% 0.000067 2.516454 0.160946 6.396%0.06% 0.000071 2.516525 0.161258 6.408%0.06% 0.000072 2.516597 0.161571 6.420%0.06% 0.000074 2.516671 0.161883 6.432%0.06% 0.000075 2.516746 0.162195 6.445%0.06% 0.000076 2.516822 0.162506 6.457%0.06% 0.000081 2.516903 0.162817 6.469%0.06% 0.000082 2.516985 0.163128 6.481%0.06% 0.000083 2.517068 0.163439 6.493%0.06% 0.000085 2.517153 0.163749 6.505%0.06% 0.000086 2.517239 0.164059 6.517%0.06% 0.000090 2.517329 0.164369 6.529%0.06% 0.000092 2.517421 0.164678 6.542%0.06% 0.000093 2.517514 0.164987 6.554%0.06% 0.000094 2.517608 0.165296 6.566%0.06% 0.000096 2.517704 0.165604 6.578%0.06% 0.000100 2.517804 0.165913 6.590%0.06% 0.000101 2.517905 0.166221 6.602%0.06% 0.000103 2.518008 0.166528 6.613%0.06% 0.000104 2.518112 0.166836 6.625%0.06% 0.000105 2.518217 0.167143 6.637%0.06% 0.000109 2.518326 0.167449 6.649%0.06% 0.000111 2.518437 0.167756 6.661%0.06% 0.000112 2.518549 0.168062 6.673%0.06% 0.000113 2.518662 0.168368 6.685%0.06% 0.000115 2.518777 0.168674 6.697%0.06% 0.000119 2.518896 0.168979 6.708%0.06% 0.000120 2.519016 0.169284 6.720%0.06% 0.000121 2.519137 0.169589 6.732%0.06% 0.000123 2.519260 0.169893 6.744%0.06% 0.000124 2.519384 0.170197 6.756%0.06% 0.160782 2.680165 0.170501 6.362%0.05% 0.000001 2.680167 0.170792 6.372%0.05% 0.000003 2.680169 0.171082 6.383%0.05% 0.000004 2.680173 0.171372 6.394%0.05% 0.000005 2.680179 0.171662 6.405%0.05% 0.000009 2.680188 0.171951 6.416%0.05% 0.000011 2.680199 0.172240 6.426%0.05% 0.000012 2.680211 0.172529 6.437%0.05% 0.000013 2.680224 0.172818 6.448%0.05% 0.000015 2.680239 0.173106 6.459%0.05% 0.000019 2.680258 0.173394 6.469%

Page 657: Ch 6 Credit Derivatives

0.05% 0.000020 2.680278 0.173682 6.480%0.05% 0.000021 2.680299 0.173970 6.491%0.05% 0.000023 2.680322 0.174257 6.501%0.05% 0.000024 2.680345 0.174544 6.512%0.05% 0.000028 2.680373 0.174831 6.523%0.05% 0.000029 2.680403 0.175117 6.533%0.05% 0.000030 2.680433 0.175404 6.544%0.05% 0.000032 2.680465 0.175690 6.554%0.05% 0.000033 2.680498 0.175975 6.565%0.05% 0.000037 2.680535 0.176261 6.576%0.05% 0.000038 2.680573 0.176546 6.586%0.05% 0.000040 2.680613 0.176831 6.597%0.05% 0.000041 2.680654 0.177116 6.607%0.05% 0.000042 2.680696 0.177400 6.618%0.05% 0.000046 2.680742 0.177684 6.628%0.05% 0.000047 2.680789 0.177968 6.639%0.05% 0.000049 2.680838 0.178252 6.649%0.05% 0.000050 2.680888 0.178535 6.660%0.05% 0.000051 2.680939 0.178818 6.670%0.05% 0.000055 2.680994 0.179101 6.680%0.05% 0.000056 2.681050 0.179384 6.691%0.05% 0.000058 2.681107 0.179666 6.701%0.05% 0.000059 2.681166 0.179948 6.712%0.05% 0.000060 2.681226 0.180230 6.722%0.05% 0.000064 2.681290 0.180512 6.732%0.05% 0.000065 2.681355 0.180793 6.743%0.05% 0.000066 2.681422 0.181074 6.753%0.05% 0.000068 2.681489 0.181355 6.763%0.05% 0.000069 2.681558 0.181636 6.774%0.05% 0.000073 2.681631 0.181916 6.784%0.05% 0.000074 2.681705 0.182196 6.794%0.05% 0.000075 2.681780 0.182476 6.804%0.05% 0.000076 2.681856 0.182756 6.815%0.05% 0.000078 2.681934 0.183035 6.825%0.05% 0.000081 2.682015 0.183314 6.835%0.05% 0.000083 2.682098 0.183593 6.845%0.05% 0.000084 2.682182 0.183871 6.855%0.05% 0.000085 2.682267 0.184149 6.865%0.05% 0.000086 2.682353 0.184428 6.876%0.05% 0.000090 2.682443 0.184705 6.886%0.05% 0.000091 2.682534 0.184983 6.896%0.05% 0.000092 2.682627 0.185260 6.906%0.05% 0.000094 2.682720 0.185537 6.916%0.05% 0.000095 2.682815 0.185814 6.926%

Page 658: Ch 6 Credit Derivatives

0.05% 0.000099 2.682914 0.186090 6.936%0.05% 0.000100 2.683013 0.186367 6.946%0.05% 0.000101 2.683114 0.186643 6.956%0.05% 0.000102 2.683216 0.186918 6.966%0.05% 0.000103 2.683320 0.187194 6.976%0.05% 0.000107 2.683427 0.187469 6.986%0.05% 0.000108 2.683535 0.187744 6.996%0.05% 0.000109 2.683644 0.188019 7.006%0.05% 0.000111 2.683755 0.188293 7.016%0.05% 0.000112 2.683867 0.188568 7.026%0.05% 0.151518 2.835385 0.188842 6.660%0.05% 0.000001 2.835386 0.189098 6.669%0.05% 0.000002 2.835389 0.189354 6.678%0.05% 0.000004 2.835392 0.189610 6.687%0.05% 0.000005 2.835397 0.189866 6.696%0.05% 0.000008 2.835405 0.190122 6.705%0.05% 0.000009 2.835415 0.190377 6.714%0.05% 0.000011 2.835425 0.190632 6.723%0.05% 0.000012 2.835437 0.190887 6.732%0.05% 0.000013 2.835450 0.191142 6.741%0.05% 0.000016 2.835466 0.191397 6.750%0.05% 0.000018 2.835484 0.191651 6.759%0.05% 0.000019 2.835503 0.191905 6.768%0.05% 0.000020 2.835523 0.192159 6.777%0.05% 0.000021 2.835544 0.192413 6.786%0.05% 0.000025 2.835569 0.192666 6.795%0.05% 0.000026 2.835594 0.192919 6.803%0.05% 0.000027 2.835621 0.193172 6.812%0.05% 0.000028 2.835650 0.193425 6.821%0.05% 0.000029 2.835679 0.193677 6.830%0.05% 0.000033 2.835711 0.193930 6.839%0.05% 0.000034 2.835745 0.194182 6.848%0.05% 0.000035 2.835780 0.194434 6.856%0.05% 0.000036 2.835816 0.194685 6.865%0.05% 0.000037 2.835854 0.194937 6.874%0.05% 0.000041 2.835894 0.195188 6.883%0.05% 0.000042 2.835936 0.195439 6.892%0.05% 0.000043 2.835979 0.195690 6.900%0.05% 0.000044 2.836023 0.195940 6.909%0.05% 0.000045 2.836068 0.196191 6.918%0.05% 0.000049 2.836117 0.196441 6.926%0.05% 0.000050 2.836167 0.196691 6.935%0.05% 0.000051 2.836218 0.196940 6.944%0.05% 0.000052 2.836270 0.197190 6.952%

Page 659: Ch 6 Credit Derivatives

0.05% 0.000053 2.836323 0.197439 6.961%0.05% 0.000056 2.836379 0.197688 6.970%0.05% 0.000058 2.836437 0.197937 6.978%0.05% 0.000059 2.836496 0.198186 6.987%0.05% 0.000060 2.836555 0.198434 6.996%0.05% 0.000061 2.836616 0.198682 7.004%0.05% 0.000064 2.836681 0.198930 7.013%0.05% 0.000065 2.836746 0.199178 7.021%0.05% 0.000066 2.836812 0.199426 7.030%0.05% 0.000068 2.836880 0.199673 7.038%0.05% 0.000069 2.836949 0.199920 7.047%0.05% 0.000072 2.837021 0.200167 7.056%0.05% 0.000073 2.837094 0.200414 7.064%0.05% 0.000074 2.837168 0.200660 7.073%0.05% 0.000075 2.837243 0.200906 7.081%0.05% 0.000076 2.837319 0.201152 7.090%0.05% 0.000080 2.837399 0.201398 7.098%0.05% 0.000081 2.837480 0.201644 7.106%0.05% 0.000082 2.837562 0.201889 7.115%0.05% 0.000083 2.837644 0.202134 7.123%0.05% 0.000084 2.837728 0.202379 7.132%0.05% 0.000087 2.837816 0.202624 7.140%0.05% 0.000088 2.837904 0.202869 7.149%0.05% 0.000089 2.837993 0.203113 7.157%0.05% 0.000090 2.838084 0.203357 7.165%0.05% 0.000091 2.838175 0.203601 7.174%0.05% 0.000095 2.838270 0.203845 7.182%0.05% 0.000096 2.838366 0.204088 7.190%0.05% 0.000097 2.838463 0.204331 7.199%0.05% 0.000098 2.838561 0.204575 7.207%0.05% 0.000099 2.838660 0.204817 7.215%0.05% 0.000102 2.838762 0.205060 7.224%0.05% 0.144652 2.983413 0.205302 6.881%0.04% 0.000001 2.983414 0.205531 6.889%0.04% 0.000002 2.983416 0.205760 6.897%0.04% 0.000003 2.983420 0.205989 6.904%0.04% 0.000006 2.983426 0.206217 6.912%0.04% 0.000007 2.983433 0.206445 6.920%0.04% 0.000008 2.983442 0.206673 6.927%0.04% 0.000009 2.983451 0.206901 6.935%0.04% 0.000011 2.983462 0.207128 6.943%0.04% 0.000014 2.983475 0.207355 6.950%0.04% 0.000015 2.983490 0.207583 6.958%0.04% 0.000016 2.983506 0.207810 6.965%

Page 660: Ch 6 Credit Derivatives

0.04% 0.000017 2.983523 0.208036 6.973%0.04% 0.000018 2.983541 0.208263 6.980%0.04% 0.000021 2.983562 0.208489 6.988%0.04% 0.000022 2.983584 0.208716 6.995%0.04% 0.000023 2.983607 0.208942 7.003%0.04% 0.000024 2.983631 0.209167 7.010%0.04% 0.000025 2.983656 0.209393 7.018%0.04% 0.000028 2.983684 0.209618 7.025%0.04% 0.000029 2.983713 0.209844 7.033%0.04% 0.000030 2.983743 0.210069 7.040%0.04% 0.000031 2.983775 0.210294 7.048%0.04% 0.000032 2.983807 0.210518 7.055%0.04% 0.000035 2.983842 0.210743 7.063%0.04% 0.000036 2.983878 0.210967 7.070%0.04% 0.000037 2.983916 0.211191 7.078%0.04% 0.000038 2.983954 0.211415 7.085%0.04% 0.000039 2.983994 0.211639 7.092%0.04% 0.000042 2.984036 0.211863 7.100%0.04% 0.000043 2.984079 0.212086 7.107%0.04% 0.000044 2.984124 0.212309 7.115%0.04% 0.000045 2.984169 0.212532 7.122%0.04% 0.000046 2.984216 0.212755 7.129%0.04% 0.000049 2.984265 0.212978 7.137%0.04% 0.000050 2.984316 0.213200 7.144%0.04% 0.000051 2.984367 0.213423 7.151%0.04% 0.000052 2.984420 0.213645 7.159%0.04% 0.000053 2.984473 0.213867 7.166%0.04% 0.000056 2.984529 0.214089 7.173%0.04% 0.000057 2.984587 0.214310 7.181%0.04% 0.000058 2.984645 0.214531 7.188%0.04% 0.000059 2.984705 0.214753 7.195%0.04% 0.000060 2.984765 0.214974 7.202%0.04% 0.000063 2.984828 0.215194 7.210%0.04% 0.000064 2.984893 0.215415 7.217%0.04% 0.000065 2.984958 0.215635 7.224%0.04% 0.000066 2.985024 0.215856 7.231%0.04% 0.000067 2.985092 0.216076 7.239%0.04% 0.000070 2.985162 0.216296 7.246%0.04% 0.000071 2.985233 0.216515 7.253%0.04% 0.000072 2.985305 0.216735 7.260%0.04% 0.000073 2.985378 0.216954 7.267%0.04% 0.000074 2.985452 0.217174 7.274%0.04% 0.000077 2.985529 0.217392 7.282%0.04% 0.000078 2.985607 0.217611 7.289%

Page 661: Ch 6 Credit Derivatives

0.04% 0.000079 2.985686 0.217830 7.296%0.04% 0.000080 2.985766 0.218048 7.303%0.04% 0.000081 2.985847 0.218267 7.310%0.04% 0.000084 2.985931 0.218485 7.317%0.04% 0.000085 2.986016 0.218703 7.324%0.04% 0.000086 2.986101 0.218920 7.331%0.04% 0.000087 2.986188 0.219138 7.338%0.04% 0.000088 2.986276 0.219355 7.345%0.04% 0.000090 2.986366 0.219572 7.352%0.04% 0.135533 3.121899 0.219789 7.040%0.04% 0.000001 3.121900 0.219992 7.047%0.04% 0.000002 3.121902 0.220195 7.053%0.04% 0.000003 3.121904 0.220397 7.060%0.04% 0.000006 3.121910 0.220600 7.066%0.04% 0.000007 3.121917 0.220802 7.073%0.04% 0.000007 3.121924 0.221004 7.079%0.04% 0.000008 3.121932 0.221206 7.086%0.04% 0.000009 3.121942 0.221408 7.092%0.04% 0.000012 3.121954 0.221609 7.098%0.04% 0.000013 3.121967 0.221811 7.105%0.04% 0.000014 3.121981 0.222012 7.111%0.04% 0.000015 3.121996 0.222213 7.118%0.04% 0.000016 3.122012 0.222414 7.124%0.04% 0.000019 3.122030 0.222615 7.130%0.04% 0.000020 3.122050 0.222816 7.137%0.04% 0.000020 3.122070 0.223016 7.143%0.04% 0.000021 3.122092 0.223217 7.150%0.04% 0.000022 3.122114 0.223417 7.156%0.04% 0.000025 3.122139 0.223617 7.162%0.04% 0.000026 3.122165 0.223817 7.169%0.04% 0.000027 3.122191 0.224016 7.175%0.04% 0.000028 3.122219 0.224216 7.181%0.04% 0.000029 3.122248 0.224415 7.188%0.04% 0.000031 3.122279 0.224615 7.194%0.04% 0.000032 3.122311 0.224814 7.200%0.04% 0.000033 3.122345 0.225012 7.207%0.04% 0.000034 3.122379 0.225211 7.213%0.04% 0.000035 3.122414 0.225410 7.219%0.04% 0.000038 3.122451 0.225608 7.225%0.04% 0.000039 3.122490 0.225807 7.232%0.04% 0.000039 3.122529 0.226005 7.238%0.04% 0.000040 3.122570 0.226203 7.244%0.04% 0.000041 3.122611 0.226400 7.250%0.04% 0.000044 3.122655 0.226598 7.257%

Page 662: Ch 6 Credit Derivatives

0.04% 0.000045 3.122699 0.226796 7.263%0.04% 0.000046 3.122745 0.226993 7.269%0.04% 0.000047 3.122792 0.227190 7.275%0.04% 0.000047 3.122839 0.227387 7.281%0.04% 0.000050 3.122889 0.227584 7.288%0.04% 0.000051 3.122940 0.227781 7.294%0.04% 0.000052 3.122992 0.227977 7.300%0.04% 0.000053 3.123045 0.228174 7.306%0.04% 0.000054 3.123098 0.228370 7.312%0.04% 0.000056 3.123155 0.228566 7.318%0.04% 0.000057 3.123212 0.228762 7.325%0.04% 0.000058 3.123270 0.228958 7.331%0.04% 0.000059 3.123329 0.229153 7.337%0.04% 0.000060 3.123389 0.229349 7.343%0.04% 0.000062 3.123451 0.229544 7.349%0.04% 0.000063 3.123514 0.229739 7.355%0.04% 0.000064 3.123578 0.229934 7.361%0.04% 0.000065 3.123643 0.230129 7.367%0.04% 0.000066 3.123709 0.230324 7.373%0.04% 0.000068 3.123777 0.230518 7.379%0.04% 0.000069 3.123847 0.230713 7.386%0.04% 0.000070 3.123917 0.230907 7.392%0.04% 0.000071 3.123988 0.231101 7.398%0.04% 0.000072 3.124060 0.231295 7.404%0.04% 0.000074 3.124134 0.231489 7.410%0.04% 0.000075 3.124209 0.231682 7.416%0.04% 0.000076 3.124286 0.231876 7.422%0.04% 0.000077 3.124362 0.232069 7.428%0.04% 0.000078 3.124440 0.232262 7.434%0.04% 0.000080 3.124521 0.232455 7.440%0.04% 0.128708 3.253229 0.232648 7.151%0.03% 0.000001 3.253230 0.232829 7.157%0.03% 0.000002 3.253231 0.233010 7.162%0.03% 0.000003 3.253234 0.233191 7.168%0.03% 0.000005 3.253239 0.233372 7.174%0.03% 0.000006 3.253245 0.233552 7.179%0.03% 0.000007 3.253251 0.233732 7.185%0.03% 0.000008 3.253259 0.233913 7.190%0.03% 0.000008 3.253267 0.234093 7.196%0.03% 0.000011 3.253278 0.234273 7.201%0.03% 0.000012 3.253290 0.234453 7.207%0.03% 0.000012 3.253302 0.234632 7.212%0.03% 0.000013 3.253315 0.234812 7.218%0.03% 0.000014 3.253330 0.234992 7.223%

Page 663: Ch 6 Credit Derivatives

0.03% 0.000017 3.253346 0.235171 7.229%0.03% 0.000017 3.253364 0.235350 7.234%0.03% 0.000018 3.253382 0.235529 7.240%0.03% 0.000019 3.253401 0.235708 7.245%0.03% 0.000020 3.253421 0.235887 7.250%0.03% 0.000022 3.253443 0.236065 7.256%0.03% 0.000023 3.253466 0.236244 7.261%0.03% 0.000024 3.253490 0.236422 7.267%0.03% 0.000025 3.253515 0.236601 7.272%0.03% 0.000026 3.253540 0.236779 7.278%0.03% 0.000028 3.253568 0.236957 7.283%0.03% 0.000029 3.253597 0.237134 7.288%0.03% 0.000030 3.253627 0.237312 7.294%0.03% 0.000030 3.253657 0.237490 7.299%0.03% 0.000031 3.253688 0.237667 7.305%0.03% 0.000034 3.253722 0.237844 7.310%0.03% 0.000034 3.253757 0.238022 7.315%0.03% 0.000035 3.253792 0.238199 7.321%0.03% 0.000036 3.253828 0.238375 7.326%0.03% 0.000037 3.253865 0.238552 7.331%0.03% 0.000039 3.253904 0.238729 7.337%0.03% 0.000040 3.253944 0.238905 7.342%0.03% 0.000041 3.253985 0.239082 7.347%0.03% 0.000042 3.254026 0.239258 7.353%0.03% 0.000042 3.254069 0.239434 7.358%0.03% 0.000045 3.254114 0.239610 7.363%0.03% 0.000046 3.254159 0.239786 7.369%0.03% 0.000046 3.254206 0.239961 7.374%0.03% 0.000047 3.254253 0.240137 7.379%0.03% 0.000048 3.254301 0.240312 7.384%0.03% 0.000050 3.254351 0.240488 7.390%0.03% 0.000051 3.254402 0.240663 7.395%0.03% 0.000052 3.254454 0.240838 7.400%0.03% 0.000053 3.254506 0.241013 7.406%0.03% 0.000053 3.254560 0.241187 7.411%0.03% 0.000056 3.254616 0.241362 7.416%0.03% 0.000057 3.254672 0.241536 7.421%0.03% 0.000057 3.254729 0.241711 7.426%0.03% 0.000058 3.254788 0.241885 7.432%0.03% 0.000059 3.254846 0.242059 7.437%0.03% 0.000061 3.254908 0.242233 7.442%0.03% 0.000062 3.254970 0.242407 7.447%0.03% 0.000063 3.255032 0.242580 7.452%0.03% 0.000063 3.255096 0.242754 7.458%

Page 664: Ch 6 Credit Derivatives

0.03% 0.000064 3.255160 0.242927 7.463%0.03% 0.000067 3.255227 0.243101 7.468%0.03% 0.000067 3.255294 0.243274 7.473%0.03% 0.000068 3.255362 0.243447 7.478%0.03% 0.000069 3.255431 0.243620 7.483%0.03% 0.000070 3.255500 0.243793 7.489%0.03% 0.000072 3.255572 0.243965 7.494%0.03% 0.000073 3.255645 0.244138 7.499%0.03% 0.123751 3.379396 0.244310 7.229%0.03% 0.000001 3.379396 0.244477 7.234%0.03% 0.000002 3.379398 0.244644 7.239%0.03% 0.000004 3.379402 0.244811 7.244%0.03% 0.000005 3.379407 0.244978 7.249%0.03% 0.000005 3.379412 0.245145 7.254%0.03% 0.000006 3.379418 0.245312 7.259%0.03% 0.000007 3.379425 0.245478 7.264%0.03% 0.000009 3.379434 0.245645 7.269%0.03% 0.000010 3.379444 0.245811 7.274%0.03% 0.000011 3.379455 0.245977 7.279%0.03% 0.000012 3.379467 0.246143 7.283%0.03% 0.000012 3.379479 0.246309 7.288%0.03% 0.000015 3.379493 0.246475 7.293%0.03% 0.000015 3.379509 0.246640 7.298%0.03% 0.000016 3.379525 0.246806 7.303%0.03% 0.000017 3.379542 0.246971 7.308%0.03% 0.000018 3.379559 0.247137 7.313%0.03% 0.000020 3.379579 0.247302 7.318%0.03% 0.000021 3.379600 0.247467 7.322%0.03% 0.000021 3.379621 0.247632 7.327%0.03% 0.000022 3.379643 0.247797 7.332%0.03% 0.000023 3.379666 0.247961 7.337%0.03% 0.000025 3.379691 0.248126 7.342%0.03% 0.000026 3.379717 0.248290 7.346%0.03% 0.000027 3.379744 0.248455 7.351%0.03% 0.000027 3.379771 0.248619 7.356%0.03% 0.000028 3.379799 0.248783 7.361%0.03% 0.000030 3.379830 0.248947 7.366%0.03% 0.000031 3.379861 0.249111 7.370%0.03% 0.000032 3.379893 0.249274 7.375%0.03% 0.000033 3.379925 0.249438 7.380%0.03% 0.000033 3.379958 0.249601 7.385%0.03% 0.000036 3.379994 0.249765 7.389%0.03% 0.000036 3.380030 0.249928 7.394%0.03% 0.000037 3.380067 0.250091 7.399%

Page 665: Ch 6 Credit Derivatives

0.03% 0.000038 3.380105 0.250254 7.404%0.03% 0.000038 3.380143 0.250417 7.408%0.03% 0.000041 3.380184 0.250579 7.413%0.03% 0.000041 3.380226 0.250742 7.418%0.03% 0.000042 3.380268 0.250904 7.423%0.03% 0.000043 3.380310 0.251067 7.427%0.03% 0.000044 3.380354 0.251229 7.432%0.03% 0.000046 3.380400 0.251391 7.437%0.03% 0.000046 3.380446 0.251553 7.441%0.03% 0.000047 3.380494 0.251715 7.446%0.03% 0.000048 3.380541 0.251877 7.451%0.03% 0.000049 3.380590 0.252038 7.455%0.03% 0.000051 3.380641 0.252200 7.460%0.03% 0.000052 3.380692 0.252361 7.465%0.03% 0.000052 3.380745 0.252522 7.469%0.03% 0.000053 3.380798 0.252683 7.474%0.03% 0.000054 3.380851 0.252844 7.479%0.03% 0.000056 3.380907 0.253005 7.483%0.03% 0.000057 3.380964 0.253166 7.488%0.03% 0.000057 3.381021 0.253327 7.493%0.03% 0.000058 3.381079 0.253487 7.497%0.03% 0.000059 3.381138 0.253648 7.502%0.03% 0.000061 3.381199 0.253808 7.506%0.03% 0.000062 3.381260 0.253968 7.511%0.03% 0.000062 3.381322 0.254128 7.516%0.03% 0.000063 3.381385 0.254288 7.520%0.03% 0.000064 3.381449 0.254448 7.525%0.03% 0.000066 3.381515 0.254608 7.529%0.03% 0.000066 3.381581 0.254767 7.534%0.03% 0.000067 3.381648 0.254927 7.539%0.03% 0.117792 3.499440 0.255086 7.289%0.03% 0.000001 3.499441 0.255248 7.294%0.03% 0.000003 3.499444 0.255410 7.299%0.03% 0.000004 3.499448 0.255572 7.303%0.03% 0.000004 3.499452 0.255734 7.308%0.03% 0.000005 3.499458 0.255895 7.312%0.03% 0.000006 3.499464 0.256057 7.317%0.03% 0.000008 3.499472 0.256218 7.322%0.03% 0.000009 3.499481 0.256379 7.326%0.03% 0.000010 3.499490 0.256540 7.331%0.03% 0.000010 3.499501 0.256701 7.335%0.03% 0.000011 3.499512 0.256862 7.340%0.03% 0.000013 3.499525 0.257023 7.344%0.03% 0.000014 3.499540 0.257183 7.349%

Page 666: Ch 6 Credit Derivatives

0.03% 0.000015 3.499554 0.257344 7.354%0.03% 0.000016 3.499570 0.257504 7.358%0.03% 0.000016 3.499586 0.257664 7.363%0.03% 0.000019 3.499605 0.257824 7.367%0.03% 0.000019 3.499624 0.257984 7.372%0.03% 0.000020 3.499644 0.258144 7.376%0.03% 0.000021 3.499665 0.258304 7.381%0.03% 0.000021 3.499686 0.258463 7.385%0.03% 0.000024 3.499710 0.258623 7.390%0.03% 0.000024 3.499734 0.258782 7.394%0.03% 0.000025 3.499759 0.258942 7.399%0.03% 0.000026 3.499785 0.259101 7.403%0.03% 0.000027 3.499812 0.259260 7.408%0.03% 0.000029 3.499840 0.259419 7.412%0.03% 0.000029 3.499870 0.259577 7.417%0.03% 0.000030 3.499900 0.259736 7.421%0.03% 0.000031 3.499931 0.259894 7.426%0.03% 0.000032 3.499962 0.260053 7.430%0.03% 0.000034 3.499996 0.260211 7.435%0.03% 0.000034 3.500030 0.260369 7.439%0.03% 0.000035 3.500065 0.260527 7.443%0.03% 0.000036 3.500101 0.260685 7.448%0.03% 0.000037 3.500138 0.260843 7.452%0.03% 0.000039 3.500176 0.261001 7.457%0.03% 0.000039 3.500216 0.261158 7.461%0.03% 0.000040 3.500256 0.261316 7.466%0.03% 0.000041 3.500297 0.261473 7.470%0.03% 0.000041 3.500338 0.261630 7.474%0.03% 0.000044 3.500382 0.261787 7.479%0.03% 0.000044 3.500426 0.261944 7.483%0.03% 0.000045 3.500471 0.262101 7.488%0.03% 0.000046 3.500517 0.262258 7.492%0.03% 0.000046 3.500563 0.262414 7.496%0.03% 0.000049 3.500612 0.262571 7.501%0.03% 0.000049 3.500661 0.262727 7.505%0.03% 0.000050 3.500711 0.262883 7.509%0.03% 0.000051 3.500761 0.263039 7.514%0.03% 0.000051 3.500813 0.263195 7.518%0.03% 0.000053 3.500866 0.263351 7.522%0.03% 0.000054 3.500920 0.263507 7.527%0.03% 0.000055 3.500975 0.263663 7.531%0.03% 0.000055 3.501030 0.263818 7.535%0.03% 0.000056 3.501087 0.263974 7.540%0.03% 0.000058 3.501145 0.264129 7.544%

Page 667: Ch 6 Credit Derivatives

0.03% 0.000059 3.501204 0.264284 7.548%0.03% 0.000060 3.501263 0.264439 7.553%0.03% 0.000060 3.501324 0.264594 7.557%0.03% 0.000061 3.501384 0.264749 7.561%0.03% 0.000063 3.501447 0.264904 7.566%0.03% 0.000064 3.501511 0.265058 7.570%0.03% 0.000064 3.501575 0.265213 7.574%0.03% 0.110878 3.612453 0.265367 7.346%0.03% 0.000001 3.612454 0.265533 7.350%0.03% 0.000003 3.612457 0.265698 7.355%0.03% 0.000004 3.612461 0.265863 7.360%0.03% 0.000005 3.612465 0.266028 7.364%0.03% 0.000005 3.612471 0.266193 7.369%0.03% 0.000006 3.612477 0.266358 7.373%0.03% 0.000008 3.612485 0.266523 7.378%0.03% 0.000009 3.612494 0.266688 7.382%0.03% 0.000010 3.612504 0.266852 7.387%0.03% 0.000011 3.612515 0.267017 7.391%0.03% 0.000011 3.612526 0.267181 7.396%0.03% 0.000014 3.612540 0.267345 7.400%0.03% 0.000014 3.612554 0.267509 7.405%0.03% 0.000015 3.612570 0.267673 7.409%0.03% 0.000016 3.612586 0.267836 7.414%0.03% 0.000017 3.612602 0.268000 7.418%0.03% 0.000019 3.612621 0.268163 7.423%0.03% 0.000020 3.612641 0.268327 7.427%0.03% 0.000020 3.612661 0.268490 7.432%0.03% 0.000021 3.612682 0.268653 7.436%0.03% 0.000022 3.612704 0.268816 7.441%0.03% 0.000024 3.612728 0.268979 7.445%0.03% 0.000025 3.612753 0.269141 7.450%0.03% 0.000026 3.612779 0.269304 7.454%0.03% 0.000026 3.612805 0.269466 7.459%0.03% 0.000027 3.612832 0.269628 7.463%0.03% 0.000029 3.612861 0.269791 7.468%0.03% 0.000030 3.612891 0.269952 7.472%0.03% 0.000031 3.612922 0.270114 7.476%0.03% 0.000031 3.612953 0.270276 7.481%0.03% 0.000032 3.612986 0.270438 7.485%0.03% 0.000034 3.613020 0.270599 7.490%0.03% 0.000035 3.613055 0.270760 7.494%0.03% 0.000036 3.613091 0.270922 7.498%0.03% 0.000037 3.613127 0.271083 7.503%0.03% 0.000037 3.613165 0.271244 7.507%

Page 668: Ch 6 Credit Derivatives

0.03% 0.000039 3.613204 0.271404 7.511%0.03% 0.000040 3.613244 0.271565 7.516%0.03% 0.000041 3.613285 0.271726 7.520%0.03% 0.000042 3.613327 0.271886 7.525%0.03% 0.000042 3.613369 0.272046 7.529%0.03% 0.000044 3.613414 0.272207 7.533%0.03% 0.000045 3.613459 0.272367 7.538%0.03% 0.000046 3.613505 0.272527 7.542%0.03% 0.000047 3.613551 0.272686 7.546%0.03% 0.000047 3.613599 0.272846 7.551%0.03% 0.000049 3.613648 0.273005 7.555%0.03% 0.000050 3.613698 0.273165 7.559%0.03% 0.000051 3.613749 0.273324 7.563%0.03% 0.000052 3.613801 0.273483 7.568%0.03% 0.000052 3.613853 0.273642 7.572%0.03% 0.000054 3.613907 0.273801 7.576%0.03% 0.000055 3.613963 0.273960 7.581%0.03% 0.000056 3.614018 0.274118 7.585%0.03% 0.000056 3.614075 0.274277 7.589%0.03% 0.000057 3.614132 0.274435 7.593%0.03% 0.000059 3.614191 0.274593 7.598%0.03% 0.000060 3.614251 0.274752 7.602%0.03% 0.000061 3.614312 0.274910 7.606%0.03% 0.000061 3.614373 0.275067 7.610%0.03% 0.000062 3.614436 0.275225 7.615%0.03% 0.000064 3.614500 0.275383 7.619%0.03% 0.000065 3.614565 0.275540 7.623%0.03% 0.104119 3.718684 0.275697 7.414%0.03% 0.000001 3.718685 0.275856 7.418%0.03% 0.000001 3.718686 0.276014 7.422%0.03% 0.000004 3.718690 0.276173 7.427%0.03% 0.000004 3.718694 0.276331 7.431%0.03% 0.000005 3.718699 0.276489 7.435%0.03% 0.000006 3.718705 0.276646 7.439%0.03% 0.000007 3.718712 0.276804 7.444%0.03% 0.000009 3.718720 0.276962 7.448%0.03% 0.000009 3.718730 0.277119 7.452%0.03% 0.000010 3.718740 0.277277 7.456%0.03% 0.000011 3.718751 0.277434 7.460%0.03% 0.000012 3.718763 0.277591 7.465%0.03% 0.000014 3.718776 0.277748 7.469%0.03% 0.000015 3.718791 0.277905 7.473%0.03% 0.000015 3.718806 0.278061 7.477%0.03% 0.000016 3.718822 0.278218 7.481%

Page 669: Ch 6 Credit Derivatives

0.03% 0.000017 3.718839 0.278374 7.486%0.03% 0.000019 3.718858 0.278531 7.490%0.03% 0.000020 3.718877 0.278687 7.494%0.03% 0.000020 3.718897 0.278843 7.498%0.03% 0.000021 3.718918 0.278999 7.502%0.03% 0.000022 3.718940 0.279154 7.506%0.03% 0.000024 3.718964 0.279310 7.510%0.03% 0.000024 3.718988 0.279466 7.515%0.03% 0.000025 3.719013 0.279621 7.519%0.03% 0.000026 3.719039 0.279776 7.523%0.03% 0.000027 3.719066 0.279932 7.527%0.03% 0.000029 3.719095 0.280087 7.531%0.03% 0.000029 3.719124 0.280241 7.535%0.03% 0.000030 3.719154 0.280396 7.539%0.03% 0.000031 3.719185 0.280551 7.543%0.03% 0.000031 3.719216 0.280705 7.547%0.03% 0.000034 3.719250 0.280860 7.552%0.03% 0.000034 3.719284 0.281014 7.556%0.03% 0.000035 3.719319 0.281168 7.560%0.03% 0.000036 3.719355 0.281322 7.564%0.03% 0.000036 3.719391 0.281476 7.568%0.03% 0.000038 3.719430 0.281630 7.572%0.03% 0.000039 3.719469 0.281783 7.576%0.03% 0.000040 3.719509 0.281937 7.580%0.03% 0.000040 3.719549 0.282090 7.584%0.03% 0.000041 3.719590 0.282244 7.588%0.03% 0.000043 3.719633 0.282397 7.592%0.03% 0.000044 3.719677 0.282550 7.596%0.03% 0.000045 3.719722 0.282703 7.600%0.03% 0.000045 3.719767 0.282855 7.604%0.03% 0.000046 3.719813 0.283008 7.608%0.03% 0.000048 3.719861 0.283161 7.612%0.03% 0.000049 3.719910 0.283313 7.616%0.03% 0.000049 3.719959 0.283465 7.620%0.03% 0.000050 3.720009 0.283617 7.624%0.03% 0.000051 3.720060 0.283769 7.628%0.03% 0.000053 3.720113 0.283921 7.632%0.03% 0.000053 3.720166 0.284073 7.636%0.03% 0.000054 3.720220 0.284225 7.640%0.03% 0.000055 3.720275 0.284376 7.644%0.03% 0.000055 3.720330 0.284528 7.648%0.03% 0.000057 3.720388 0.284679 7.652%0.03% 0.000058 3.720446 0.284830 7.656%0.03% 0.000059 3.720504 0.284981 7.660%

Page 670: Ch 6 Credit Derivatives

0.03% 0.000059 3.720564 0.285132 7.664%0.03% 0.000060 3.720624 0.285283 7.668%0.03% 0.000062 3.720686 0.285433 7.672%0.03% 0.000063 3.720749 0.285584 7.675%0.03% 0.000063 3.720812 0.285734 7.679%0.03% 0.100841 3.821653 0.285885 7.481%0.03% 0.000001 3.821653 0.286026 7.484%0.03% 0.000003 3.821656 0.286168 7.488%0.03% 0.000003 3.821659 0.286309 7.492%0.03% 0.000004 3.821663 0.286451 7.495%0.03% 0.000005 3.821668 0.286592 7.499%0.03% 0.000005 3.821673 0.286733 7.503%0.03% 0.000007 3.821680 0.286874 7.506%0.03% 0.000008 3.821688 0.287015 7.510%0.03% 0.000008 3.821696 0.287156 7.514%0.03% 0.000009 3.821705 0.287296 7.517%0.03% 0.000010 3.821715 0.287437 7.521%0.03% 0.000012 3.821727 0.287578 7.525%0.03% 0.000012 3.821739 0.287718 7.528%0.03% 0.000013 3.821752 0.287858 7.532%0.03% 0.000014 3.821766 0.287998 7.536%0.03% 0.000014 3.821780 0.288138 7.539%0.03% 0.000016 3.821796 0.288278 7.543%0.03% 0.000017 3.821813 0.288418 7.547%0.03% 0.000017 3.821831 0.288558 7.550%0.03% 0.000018 3.821849 0.288697 7.554%0.03% 0.000019 3.821867 0.288837 7.557%0.03% 0.000021 3.821888 0.288976 7.561%0.03% 0.000021 3.821909 0.289116 7.565%0.03% 0.000022 3.821931 0.289255 7.568%0.03% 0.000023 3.821954 0.289394 7.572%0.03% 0.000023 3.821977 0.289533 7.575%0.03% 0.000025 3.822002 0.289672 7.579%0.03% 0.000026 3.822028 0.289810 7.583%0.03% 0.000026 3.822054 0.289949 7.586%0.03% 0.000027 3.822081 0.290087 7.590%0.03% 0.000028 3.822108 0.290226 7.593%0.03% 0.000029 3.822138 0.290364 7.597%0.03% 0.000030 3.822168 0.290502 7.600%0.03% 0.000031 3.822199 0.290640 7.604%0.03% 0.000031 3.822230 0.290778 7.608%0.03% 0.000032 3.822262 0.290916 7.611%0.03% 0.000034 3.822296 0.291054 7.615%0.03% 0.000034 3.822330 0.291191 7.618%

Page 671: Ch 6 Credit Derivatives

0.03% 0.000035 3.822365 0.291329 7.622%0.03% 0.000036 3.822401 0.291466 7.625%0.03% 0.000036 3.822437 0.291604 7.629%0.03% 0.000038 3.822475 0.291741 7.632%0.03% 0.000039 3.822514 0.291878 7.636%0.03% 0.000039 3.822553 0.292015 7.639%0.03% 0.000040 3.822593 0.292152 7.643%0.03% 0.000041 3.822634 0.292289 7.646%0.03% 0.000042 3.822676 0.292425 7.650%0.03% 0.000043 3.822719 0.292562 7.653%0.03% 0.000044 3.822763 0.292698 7.657%0.03% 0.000044 3.822807 0.292835 7.660%0.03% 0.000045 3.822852 0.292971 7.664%0.03% 0.000047 3.822898 0.293107 7.667%0.03% 0.000047 3.822945 0.293243 7.671%0.03% 0.000048 3.822993 0.293379 7.674%0.03% 0.000048 3.823042 0.293515 7.678%0.03% 0.000049 3.823091 0.293651 7.681%0.03% 0.000051 3.823141 0.293786 7.684%0.03% 0.000051 3.823193 0.293922 7.688%0.03% 0.000052 3.823245 0.294057 7.691%0.03% 0.000053 3.823298 0.294192 7.695%0.03% 0.000053 3.823351 0.294327 7.698%0.03% 0.000055 3.823406 0.294462 7.702%0.03% 0.000056 3.823461 0.294597 7.705%0.03% 0.000056 3.823518 0.294732 7.708%0.03% 0.000057 3.823574 0.294867 7.712%0.03% 0.095745 3.919320 0.295002 7.527%0.03% 0.000002 3.919321 0.295130 7.530%0.03% 0.000002 3.919324 0.295257 7.533%0.03% 0.000003 3.919327 0.295385 7.537%0.03% 0.000004 3.919330 0.295513 7.540%0.03% 0.000004 3.919334 0.295640 7.543%0.03% 0.000006 3.919340 0.295768 7.546%0.03% 0.000006 3.919347 0.295895 7.550%0.03% 0.000007 3.919354 0.296022 7.553%0.03% 0.000008 3.919361 0.296150 7.556%0.03% 0.000008 3.919370 0.296277 7.559%0.03% 0.000010 3.919380 0.296404 7.563%0.03% 0.000011 3.919390 0.296531 7.566%0.03% 0.000011 3.919401 0.296657 7.569%0.03% 0.000012 3.919413 0.296784 7.572%0.03% 0.000012 3.919425 0.296911 7.575%0.03% 0.000014 3.919440 0.297037 7.579%

Page 672: Ch 6 Credit Derivatives

0.03% 0.000015 3.919454 0.297164 7.582%0.03% 0.000015 3.919469 0.297290 7.585%0.03% 0.000016 3.919485 0.297416 7.588%0.03% 0.000016 3.919502 0.297542 7.591%0.03% 0.000018 3.919520 0.297668 7.595%0.03% 0.000019 3.919538 0.297794 7.598%0.03% 0.000019 3.919557 0.297920 7.601%0.03% 0.000020 3.919577 0.298046 7.604%0.03% 0.000020 3.919598 0.298171 7.607%0.03% 0.000022 3.919620 0.298297 7.610%0.03% 0.000023 3.919642 0.298422 7.614%0.03% 0.000023 3.919666 0.298548 7.617%0.03% 0.000024 3.919689 0.298673 7.620%0.03% 0.000024 3.919714 0.298798 7.623%0.03% 0.000026 3.919740 0.298923 7.626%0.03% 0.000027 3.919766 0.299048 7.629%0.03% 0.000027 3.919794 0.299173 7.632%0.03% 0.000028 3.919821 0.299298 7.635%0.03% 0.000028 3.919850 0.299422 7.639%0.03% 0.000030 3.919880 0.299547 7.642%0.03% 0.000031 3.919910 0.299671 7.645%0.03% 0.000031 3.919941 0.299796 7.648%0.03% 0.000032 3.919973 0.299920 7.651%0.03% 0.000032 3.920005 0.300044 7.654%0.03% 0.000034 3.920039 0.300168 7.657%0.03% 0.000034 3.920073 0.300292 7.660%0.03% 0.000035 3.920108 0.300416 7.663%0.03% 0.000036 3.920144 0.300540 7.667%0.03% 0.000036 3.920180 0.300664 7.670%0.03% 0.000038 3.920218 0.300788 7.673%0.03% 0.000038 3.920256 0.300911 7.676%0.03% 0.000039 3.920295 0.301035 7.679%0.03% 0.000039 3.920334 0.301158 7.682%0.03% 0.000040 3.920374 0.301281 7.685%0.03% 0.000042 3.920416 0.301404 7.688%0.03% 0.000042 3.920458 0.301528 7.691%0.03% 0.000043 3.920501 0.301651 7.694%0.03% 0.000043 3.920544 0.301773 7.697%0.03% 0.000044 3.920588 0.301896 7.700%0.03% 0.000045 3.920633 0.302019 7.703%0.03% 0.000046 3.920679 0.302142 7.706%0.03% 0.000047 3.920726 0.302264 7.709%0.03% 0.000047 3.920773 0.302387 7.712%0.03% 0.000048 3.920820 0.302509 7.715%

Page 673: Ch 6 Credit Derivatives

0.03% 0.000049 3.920870 0.302631 7.718%0.03% 0.000050 3.920919 0.302753 7.721%0.03% 0.000050 3.920970 0.302875 7.724%0.03% 0.000051 3.921021 0.302997 7.728%0.03% 0.090144 4.011165 0.303119 7.557%0.02% 0.000002 4.011167 0.303236 7.560%0.02% 0.000002 4.011169 0.303352 7.563%0.02% 0.000003 4.011171 0.303469 7.566%0.02% 0.000003 4.011175 0.303585 7.568%0.02% 0.000004 4.011178 0.303701 7.571%0.02% 0.000005 4.011184 0.303817 7.574%0.02% 0.000006 4.011190 0.303933 7.577%0.02% 0.000006 4.011196 0.304049 7.580%0.02% 0.000007 4.011203 0.304165 7.583%0.02% 0.000008 4.011211 0.304281 7.586%0.02% 0.000009 4.011220 0.304396 7.589%0.02% 0.000010 4.011229 0.304512 7.591%0.02% 0.000010 4.011239 0.304628 7.594%0.02% 0.000011 4.011250 0.304743 7.597%0.02% 0.000011 4.011261 0.304858 7.600%0.02% 0.000013 4.011274 0.304974 7.603%0.02% 0.000013 4.011288 0.305089 7.606%0.02% 0.000014 4.011301 0.305204 7.609%0.02% 0.000014 4.011316 0.305319 7.611%0.02% 0.000015 4.011331 0.305434 7.614%0.02% 0.000016 4.011347 0.305549 7.617%0.02% 0.000017 4.011364 0.305663 7.620%0.02% 0.000018 4.011382 0.305778 7.623%0.02% 0.000018 4.011400 0.305893 7.626%0.02% 0.000019 4.011418 0.306007 7.628%0.02% 0.000020 4.011438 0.306122 7.631%0.02% 0.000021 4.011459 0.306236 7.634%0.02% 0.000021 4.011480 0.306350 7.637%0.02% 0.000022 4.011502 0.306464 7.640%0.02% 0.000022 4.011524 0.306579 7.642%0.02% 0.000024 4.011548 0.306693 7.645%0.02% 0.000024 4.011572 0.306806 7.648%0.02% 0.000025 4.011597 0.306920 7.651%0.02% 0.000025 4.011622 0.307034 7.654%0.02% 0.000026 4.011648 0.307148 7.656%0.02% 0.000027 4.011675 0.307261 7.659%0.02% 0.000028 4.011703 0.307375 7.662%0.02% 0.000028 4.011731 0.307488 7.665%0.02% 0.000029 4.011760 0.307602 7.667%

Page 674: Ch 6 Credit Derivatives

0.02% 0.000029 4.011790 0.307715 7.670%0.02% 0.000031 4.011821 0.307828 7.673%0.02% 0.000031 4.011852 0.307941 7.676%0.02% 0.000032 4.011884 0.308054 7.679%0.02% 0.000032 4.011916 0.308167 7.681%0.02% 0.000033 4.011949 0.308280 7.684%0.02% 0.000034 4.011984 0.308393 7.687%0.02% 0.000035 4.012019 0.308505 7.690%0.02% 0.000035 4.012054 0.308618 7.692%0.02% 0.000036 4.012090 0.308730 7.695%0.02% 0.000036 4.012126 0.308843 7.698%0.02% 0.000038 4.012164 0.308955 7.700%0.02% 0.000038 4.012203 0.309067 7.703%0.02% 0.000039 4.012242 0.309179 7.706%0.02% 0.000039 4.012281 0.309292 7.709%0.02% 0.000040 4.012321 0.309404 7.711%0.02% 0.000041 4.012363 0.309515 7.714%0.02% 0.000042 4.012405 0.309627 7.717%0.02% 0.000042 4.012447 0.309739 7.719%0.02% 0.000043 4.012490 0.309851 7.722%0.02% 0.000043 4.012533 0.309962 7.725%0.02% 0.000045 4.012578 0.310074 7.728%0.02% 0.000045 4.012624 0.310185 7.730%0.02% 0.000046 4.012669 0.310297 7.733%0.02% 0.085045 4.097715 0.310408 7.575%0.02% 0.000000 4.097715 0.310514 7.578%0.02% 0.000002 4.097717 0.310620 7.580%0.02% 0.000002 4.097720 0.310726 7.583%0.02% 0.000003 4.097723 0.310832 7.585%0.02% 0.000003 4.097726 0.310938 7.588%0.02% 0.000004 4.097730 0.311044 7.591%0.02% 0.000005 4.097735 0.311150 7.593%0.02% 0.000006 4.097741 0.311255 7.596%0.02% 0.000006 4.097748 0.311361 7.598%0.02% 0.000007 4.097754 0.311466 7.601%0.02% 0.000007 4.097762 0.311572 7.603%0.02% 0.000009 4.097771 0.311677 7.606%0.02% 0.000009 4.097780 0.311782 7.609%0.02% 0.000010 4.097790 0.311888 7.611%0.02% 0.000010 4.097800 0.311993 7.614%0.02% 0.000011 4.097811 0.312098 7.616%0.02% 0.000012 4.097823 0.312203 7.619%0.02% 0.000013 4.097835 0.312308 7.621%0.02% 0.000013 4.097848 0.312413 7.624%

Page 675: Ch 6 Credit Derivatives

0.02% 0.000014 4.097862 0.312517 7.626%0.02% 0.000014 4.097876 0.312622 7.629%0.02% 0.000015 4.097892 0.312727 7.631%0.02% 0.000016 4.097908 0.312831 7.634%0.02% 0.000016 4.097924 0.312936 7.636%0.02% 0.000017 4.097941 0.313040 7.639%0.02% 0.000017 4.097958 0.313144 7.641%0.02% 0.000019 4.097977 0.313249 7.644%0.02% 0.000019 4.097996 0.313353 7.646%0.02% 0.000020 4.098016 0.313457 7.649%0.02% 0.000020 4.098036 0.313561 7.651%0.02% 0.000021 4.098057 0.313665 7.654%0.02% 0.000022 4.098079 0.313769 7.656%0.02% 0.000023 4.098102 0.313873 7.659%0.02% 0.000023 4.098125 0.313976 7.661%0.02% 0.000024 4.098148 0.314080 7.664%0.02% 0.000024 4.098172 0.314183 7.666%0.02% 0.000025 4.098198 0.314287 7.669%0.02% 0.000026 4.098224 0.314390 7.671%0.02% 0.000026 4.098250 0.314494 7.674%0.02% 0.000027 4.098277 0.314597 7.676%0.02% 0.000027 4.098304 0.314700 7.679%0.02% 0.000029 4.098333 0.314803 7.681%0.02% 0.000029 4.098362 0.314906 7.684%0.02% 0.000030 4.098391 0.315009 7.686%0.02% 0.000030 4.098421 0.315112 7.689%0.02% 0.000030 4.098452 0.315215 7.691%0.02% 0.000032 4.098484 0.315318 7.694%0.02% 0.000032 4.098516 0.315421 7.696%0.02% 0.000033 4.098549 0.315523 7.698%0.02% 0.000033 4.098582 0.315626 7.701%0.02% 0.000034 4.098616 0.315728 7.703%0.02% 0.000035 4.098651 0.315831 7.706%0.02% 0.000036 4.098686 0.315933 7.708%0.02% 0.000036 4.098722 0.316035 7.711%0.02% 0.000036 4.098759 0.316137 7.713%0.02% 0.000037 4.098795 0.316240 7.715%0.02% 0.000038 4.098834 0.316342 7.718%0.02% 0.000039 4.098872 0.316444 7.720%0.02% 0.000039 4.098912 0.316545 7.723%0.02% 0.000040 4.098951 0.316647 7.725%0.02% 0.000040 4.098991 0.316749 7.727%0.02% 0.000041 4.099033 0.316851 7.730%0.02% 0.000042 4.099075 0.316952 7.732%

Page 676: Ch 6 Credit Derivatives

0.02% 0.000042 4.099117 0.317054 7.735%0.02% 0.000043 4.099160 0.317155 7.737%0.02% 0.082944 4.182103 0.317257 7.586%0.02% 0.000001 4.182105 0.317359 7.588%0.02% 0.000002 4.182107 0.317461 7.591%0.02% 0.000002 4.182109 0.317562 7.593%0.02% 0.000003 4.182112 0.317664 7.596%0.02% 0.000003 4.182115 0.317766 7.598%0.02% 0.000005 4.182120 0.317868 7.601%0.02% 0.000005 4.182125 0.317969 7.603%0.02% 0.000006 4.182131 0.318071 7.605%0.02% 0.000006 4.182137 0.318172 7.608%0.02% 0.000007 4.182143 0.318273 7.610%0.02% 0.000008 4.182151 0.318375 7.613%0.02% 0.000008 4.182160 0.318476 7.615%0.02% 0.000009 4.182169 0.318577 7.618%0.02% 0.000009 4.182178 0.318678 7.620%0.02% 0.000010 4.182188 0.318779 7.622%0.02% 0.000011 4.182199 0.318880 7.625%0.02% 0.000012 4.182211 0.318981 7.627%0.02% 0.000012 4.182223 0.319081 7.629%0.02% 0.000013 4.182235 0.319182 7.632%0.02% 0.000013 4.182249 0.319283 7.634%0.02% 0.000014 4.182263 0.319383 7.637%0.02% 0.000015 4.182278 0.319484 7.639%0.02% 0.000015 4.182293 0.319584 7.641%0.02% 0.000016 4.182309 0.319684 7.644%0.02% 0.000016 4.182325 0.319785 7.646%0.02% 0.000018 4.182343 0.319885 7.648%0.02% 0.000018 4.182361 0.319985 7.651%0.02% 0.000019 4.182379 0.320085 7.653%0.02% 0.000019 4.182398 0.320185 7.656%0.02% 0.000019 4.182418 0.320285 7.658%0.02% 0.000021 4.182439 0.320385 7.660%0.02% 0.000021 4.182460 0.320484 7.663%0.02% 0.000022 4.182482 0.320584 7.665%0.02% 0.000022 4.182504 0.320684 7.667%0.02% 0.000023 4.182526 0.320783 7.670%0.02% 0.000024 4.182550 0.320883 7.672%0.02% 0.000024 4.182575 0.320982 7.674%0.02% 0.000025 4.182599 0.321081 7.677%0.02% 0.000025 4.182625 0.321181 7.679%0.02% 0.000026 4.182650 0.321280 7.681%0.02% 0.000027 4.182677 0.321379 7.684%

Page 677: Ch 6 Credit Derivatives

0.02% 0.000028 4.182705 0.321478 7.686%0.02% 0.000028 4.182733 0.321577 7.688%0.02% 0.000028 4.182761 0.321676 7.691%0.02% 0.000029 4.182790 0.321775 7.693%0.02% 0.000030 4.182820 0.321873 7.695%0.02% 0.000031 4.182851 0.321972 7.697%0.02% 0.000031 4.182882 0.322071 7.700%0.02% 0.000031 4.182913 0.322169 7.702%0.02% 0.000032 4.182945 0.322268 7.704%0.02% 0.000033 4.182979 0.322366 7.707%0.02% 0.000034 4.183012 0.322464 7.709%0.02% 0.000034 4.183046 0.322563 7.711%0.02% 0.000035 4.183081 0.322661 7.713%0.02% 0.000035 4.183116 0.322759 7.716%0.02% 0.000036 4.183152 0.322857 7.718%0.02% 0.000037 4.183189 0.322955 7.720%0.02% 0.000037 4.183226 0.323053 7.723%0.02% 0.000038 4.183264 0.323151 7.725%0.02% 0.000038 4.183302 0.323248 7.727%0.02% 0.000039 4.183341 0.323346 7.729%0.02% 0.000040 4.183381 0.323444 7.732%0.02% 0.000040 4.183421 0.323541 7.734%0.02% 0.000041 4.183462 0.323639 7.736%0.02% 0.000041 4.183503 0.323736 7.738%0.02% 0.080812 4.264315 0.323834 7.594%0.02% 0.000000 4.264315 0.323931 7.596%0.02% 0.000001 4.264316 0.324028 7.599%0.02% 0.000001 4.264317 0.324125 7.601%0.02% 0.000002 4.264319 0.324222 7.603%0.02% 0.000003 4.264322 0.324319 7.605%0.02% 0.000004 4.264326 0.324416 7.608%0.02% 0.000004 4.264330 0.324513 7.610%0.02% 0.000004 4.264334 0.324609 7.612%0.02% 0.000005 4.264339 0.324706 7.614%0.02% 0.000006 4.264346 0.324802 7.617%0.02% 0.000007 4.264352 0.324899 7.619%0.02% 0.000007 4.264359 0.324995 7.621%0.02% 0.000008 4.264367 0.325092 7.623%0.02% 0.000008 4.264375 0.325188 7.626%0.02% 0.000009 4.264384 0.325284 7.628%0.02% 0.000010 4.264394 0.325380 7.630%0.02% 0.000010 4.264404 0.325477 7.632%0.02% 0.000011 4.264415 0.325573 7.635%0.02% 0.000011 4.264426 0.325669 7.637%

Page 678: Ch 6 Credit Derivatives

0.02% 0.000012 4.264439 0.325764 7.639%0.02% 0.000013 4.264452 0.325860 7.641%0.02% 0.000013 4.264465 0.325956 7.644%0.02% 0.000014 4.264479 0.326052 7.646%0.02% 0.000014 4.264493 0.326147 7.648%0.02% 0.000015 4.264508 0.326243 7.650%0.02% 0.000016 4.264524 0.326338 7.652%0.02% 0.000016 4.264540 0.326434 7.655%0.02% 0.000017 4.264557 0.326529 7.657%0.02% 0.000017 4.264574 0.326624 7.659%0.02% 0.000019 4.264593 0.326720 7.661%0.02% 0.000019 4.264612 0.326815 7.663%0.02% 0.000019 4.264631 0.326910 7.666%0.02% 0.000020 4.264651 0.327005 7.668%0.02% 0.000020 4.264671 0.327100 7.670%0.02% 0.000022 4.264693 0.327194 7.672%0.02% 0.000022 4.264715 0.327289 7.674%0.02% 0.000022 4.264737 0.327384 7.677%0.02% 0.000023 4.264760 0.327479 7.679%0.02% 0.000023 4.264783 0.327573 7.681%0.02% 0.000025 4.264808 0.327668 7.683%0.02% 0.000025 4.264832 0.327762 7.685%0.02% 0.000025 4.264858 0.327857 7.687%0.02% 0.000026 4.264884 0.327951 7.690%0.02% 0.000026 4.264910 0.328045 7.692%0.02% 0.000027 4.264937 0.328139 7.694%0.02% 0.000028 4.264965 0.328233 7.696%0.02% 0.000028 4.264993 0.328328 7.698%0.02% 0.000029 4.265022 0.328421 7.700%0.02% 0.000029 4.265051 0.328515 7.702%0.02% 0.000030 4.265082 0.328609 7.705%0.02% 0.000031 4.265113 0.328703 7.707%0.02% 0.000031 4.265144 0.328797 7.709%0.02% 0.000032 4.265175 0.328890 7.711%0.02% 0.000032 4.265207 0.328984 7.713%0.02% 0.000033 4.265241 0.329077 7.715%0.02% 0.000034 4.265275 0.329171 7.717%0.02% 0.000034 4.265309 0.329264 7.720%0.02% 0.000035 4.265343 0.329358 7.722%0.02% 0.000035 4.265378 0.329451 7.724%0.02% 0.000036 4.265414 0.329544 7.726%0.02% 0.000037 4.265451 0.329637 7.728%0.02% 0.000037 4.265488 0.329730 7.730%0.02% 0.000037 4.265526 0.329823 7.732%

Page 679: Ch 6 Credit Derivatives

0.02% 0.000038 4.265563 0.329916 7.734%0.02% 0.074668 4.340231 0.330009 7.603%0.02% 0.000000 4.340231 0.330105 7.606%0.02% 0.000001 4.340232 0.330201 7.608%0.02% 0.000001 4.340234 0.330297 7.610%0.02% 0.000002 4.340235 0.330393 7.612%0.02% 0.000003 4.340239 0.330488 7.615%0.02% 0.000004 4.340242 0.330584 7.617%0.02% 0.000004 4.340246 0.330680 7.619%0.02% 0.000004 4.340251 0.330775 7.621%0.02% 0.000005 4.340255 0.330871 7.623%0.02% 0.000006 4.340262 0.330966 7.625%0.02% 0.000007 4.340268 0.331061 7.628%0.02% 0.000007 4.340275 0.331157 7.630%0.02% 0.000007 4.340283 0.331252 7.632%0.02% 0.000008 4.340291 0.331347 7.634%0.02% 0.000009 4.340300 0.331442 7.636%0.02% 0.000010 4.340310 0.331537 7.639%0.02% 0.000010 4.340320 0.331632 7.641%0.02% 0.000011 4.340330 0.331727 7.643%0.02% 0.000011 4.340341 0.331822 7.645%0.02% 0.000012 4.340353 0.331916 7.647%0.02% 0.000013 4.340366 0.332011 7.649%0.02% 0.000013 4.340379 0.332106 7.652%0.02% 0.000014 4.340393 0.332200 7.654%0.02% 0.000014 4.340407 0.332295 7.656%0.02% 0.000015 4.340422 0.332389 7.658%0.02% 0.000016 4.340438 0.332483 7.660%0.02% 0.000016 4.340454 0.332577 7.662%0.02% 0.000017 4.340471 0.332672 7.664%0.02% 0.000017 4.340488 0.332766 7.667%0.02% 0.000018 4.340506 0.332860 7.669%0.02% 0.000019 4.340525 0.332954 7.671%0.02% 0.000019 4.340544 0.333048 7.673%0.02% 0.000020 4.340563 0.333141 7.675%0.02% 0.000020 4.340583 0.333235 7.677%0.02% 0.000021 4.340604 0.333329 7.679%0.02% 0.000022 4.340626 0.333422 7.681%0.02% 0.000022 4.340648 0.333516 7.684%0.02% 0.000023 4.340671 0.333609 7.686%0.02% 0.000023 4.340694 0.333703 7.688%0.02% 0.000024 4.340718 0.333796 7.690%0.02% 0.000025 4.340742 0.333889 7.692%0.02% 0.000025 4.340767 0.333983 7.694%

Page 680: Ch 6 Credit Derivatives

0.02% 0.000025 4.340793 0.334076 7.696%0.02% 0.000026 4.340819 0.334169 7.698%0.02% 0.000027 4.340846 0.334262 7.700%0.02% 0.000028 4.340873 0.334355 7.702%0.02% 0.000028 4.340901 0.334447 7.705%0.02% 0.000028 4.340930 0.334540 7.707%0.02% 0.000029 4.340958 0.334633 7.709%0.02% 0.000030 4.340988 0.334726 7.711%0.02% 0.000030 4.341019 0.334818 7.713%0.02% 0.000031 4.341050 0.334911 7.715%0.02% 0.000031 4.341081 0.335003 7.717%0.02% 0.000032 4.341113 0.335095 7.719%0.02% 0.000033 4.341146 0.335188 7.721%0.02% 0.000033 4.341179 0.335280 7.723%0.02% 0.000034 4.341213 0.335372 7.725%0.02% 0.000034 4.341247 0.335464 7.727%0.02% 0.000035 4.341281 0.335556 7.729%0.02% 0.000036 4.341317 0.335648 7.731%0.02% 0.000036 4.341353 0.335740 7.734%0.02% 0.000037 4.341390 0.335832 7.736%0.02% 0.000037 4.341427 0.335924 7.738%0.02% 0.068897 4.410323 0.336015 7.619%0.02% 0.000001 4.410325 0.336113 7.621%0.02% 0.000002 4.410327 0.336210 7.623%0.02% 0.000002 4.410329 0.336307 7.625%0.02% 0.000003 4.410331 0.336404 7.628%0.02% 0.000003 4.410335 0.336501 7.630%0.02% 0.000004 4.410339 0.336598 7.632%0.02% 0.000005 4.410344 0.336695 7.634%0.02% 0.000005 4.410349 0.336792 7.636%0.02% 0.000006 4.410355 0.336889 7.639%0.02% 0.000006 4.410361 0.336985 7.641%0.02% 0.000008 4.410369 0.337082 7.643%0.02% 0.000008 4.410377 0.337178 7.645%0.02% 0.000008 4.410386 0.337275 7.647%0.02% 0.000009 4.410395 0.337371 7.649%0.02% 0.000009 4.410404 0.337468 7.652%0.02% 0.000011 4.410415 0.337564 7.654%0.02% 0.000011 4.410426 0.337660 7.656%0.02% 0.000012 4.410437 0.337756 7.658%0.02% 0.000012 4.410449 0.337852 7.660%0.02% 0.000012 4.410462 0.337948 7.662%0.02% 0.000014 4.410475 0.338044 7.665%0.02% 0.000014 4.410490 0.338139 7.667%

Page 681: Ch 6 Credit Derivatives

0.02% 0.000015 4.410504 0.338235 7.669%0.02% 0.000015 4.410519 0.338331 7.671%0.02% 0.000015 4.410535 0.338426 7.673%0.02% 0.000017 4.410552 0.338522 7.675%0.02% 0.000017 4.410569 0.338617 7.677%0.02% 0.000018 4.410586 0.338712 7.680%0.02% 0.000018 4.410605 0.338808 7.682%0.02% 0.000019 4.410623 0.338903 7.684%0.02% 0.000020 4.410643 0.338998 7.686%0.02% 0.000020 4.410663 0.339093 7.688%0.02% 0.000021 4.410684 0.339188 7.690%0.02% 0.000021 4.410705 0.339283 7.692%0.02% 0.000022 4.410726 0.339378 7.694%0.02% 0.000023 4.410749 0.339472 7.696%0.02% 0.000023 4.410772 0.339567 7.699%0.02% 0.000024 4.410796 0.339662 7.701%0.02% 0.000024 4.410820 0.339756 7.703%0.02% 0.000024 4.410845 0.339851 7.705%0.02% 0.000026 4.410870 0.339945 7.707%0.02% 0.000026 4.410897 0.340039 7.709%0.02% 0.000027 4.410923 0.340134 7.711%0.02% 0.000027 4.410950 0.340228 7.713%0.02% 0.000027 4.410978 0.340322 7.715%0.02% 0.000029 4.411006 0.340416 7.717%0.02% 0.000029 4.411036 0.340510 7.719%0.02% 0.000030 4.411065 0.340604 7.722%0.02% 0.000030 4.411095 0.340697 7.724%0.02% 0.000030 4.411125 0.340791 7.726%0.02% 0.000032 4.411157 0.340885 7.728%0.02% 0.000032 4.411189 0.340978 7.730%0.02% 0.000032 4.411222 0.341072 7.732%0.02% 0.000033 4.411254 0.341165 7.734%0.02% 0.000033 4.411288 0.341259 7.736%0.02% 0.000035 4.411322 0.341352 7.738%0.02% 0.000035 4.411357 0.341445 7.740%0.02% 0.000035 4.411393 0.341538 7.742%0.02% 0.000036 4.411428 0.341631 7.744%0.02% 0.000036 4.411465 0.341724 7.746%0.02% 0.000037 4.411502 0.341817 7.748%0.02% 0.000038 4.411540 0.341910 7.750%0.02% 0.000038 4.411578 0.342003 7.752%0.02% 0.000039 4.411617 0.342096 7.754%0.02% 0.000039 4.411656 0.342188 7.756%0.02% 0.069928 4.481583 0.342281 7.637%

Page 682: Ch 6 Credit Derivatives

0.02% 0.000000 4.481584 0.342372 7.640%0.02% 0.000001 4.481585 0.342462 7.642%0.02% 0.000001 4.481586 0.342553 7.644%0.02% 0.000002 4.481587 0.342644 7.646%0.02% 0.000003 4.481590 0.342734 7.648%0.02% 0.000003 4.481594 0.342825 7.650%0.02% 0.000004 4.481598 0.342915 7.652%0.02% 0.000004 4.481602 0.343006 7.654%0.02% 0.000005 4.481606 0.343096 7.656%0.02% 0.000006 4.481612 0.343186 7.658%0.02% 0.000006 4.481618 0.343276 7.660%0.02% 0.000007 4.481625 0.343366 7.662%0.02% 0.000007 4.481632 0.343456 7.664%0.02% 0.000007 4.481640 0.343546 7.666%0.02% 0.000009 4.481648 0.343636 7.668%0.02% 0.000009 4.481658 0.343726 7.670%0.02% 0.000010 4.481667 0.343816 7.672%0.02% 0.000010 4.481677 0.343905 7.674%0.02% 0.000010 4.481687 0.343995 7.676%0.02% 0.000012 4.481699 0.344084 7.678%0.02% 0.000012 4.481711 0.344174 7.680%0.02% 0.000012 4.481723 0.344263 7.681%0.02% 0.000013 4.481736 0.344353 7.683%0.02% 0.000013 4.481750 0.344442 7.685%0.02% 0.000014 4.481764 0.344531 7.687%0.02% 0.000015 4.481779 0.344620 7.689%0.02% 0.000015 4.481794 0.344709 7.691%0.02% 0.000016 4.481810 0.344798 7.693%0.02% 0.000016 4.481826 0.344887 7.695%0.02% 0.000017 4.481843 0.344976 7.697%0.02% 0.000018 4.481861 0.345065 7.699%0.02% 0.000018 4.481879 0.345153 7.701%0.02% 0.000018 4.481897 0.345242 7.703%0.02% 0.000019 4.481916 0.345331 7.705%0.02% 0.000020 4.481936 0.345419 7.707%0.02% 0.000020 4.481957 0.345508 7.709%0.02% 0.000021 4.481978 0.345596 7.711%0.02% 0.000021 4.481999 0.345684 7.713%0.02% 0.000022 4.482020 0.345773 7.715%0.02% 0.000023 4.482043 0.345861 7.717%0.02% 0.000023 4.482067 0.345949 7.719%0.02% 0.000024 4.482090 0.346037 7.720%0.02% 0.000024 4.482114 0.346125 7.722%0.02% 0.000024 4.482139 0.346213 7.724%

Page 683: Ch 6 Credit Derivatives

0.02% 0.000026 4.482164 0.346301 7.726%0.02% 0.000026 4.482190 0.346388 7.728%0.02% 0.000026 4.482217 0.346476 7.730%0.02% 0.000027 4.482243 0.346564 7.732%0.02% 0.000027 4.482271 0.346651 7.734%0.02% 0.000028 4.482299 0.346739 7.736%0.02% 0.000029 4.482328 0.346826 7.738%0.02% 0.000029 4.482357 0.346914 7.740%0.02% 0.000030 4.482386 0.347001 7.741%0.02% 0.000030 4.482416 0.347088 7.743%0.02% 0.000031 4.482447 0.347175 7.745%0.02% 0.000031 4.482479 0.347262 7.747%0.02% 0.000032 4.482511 0.347349 7.749%0.02% 0.000032 4.482543 0.347436 7.751%0.02% 0.000033 4.482575 0.347523 7.753%0.02% 0.000034 4.482609 0.347610 7.755%0.02% 0.000034 4.482643 0.347697 7.757%0.02% 0.000035 4.482678 0.347784 7.758%0.02% 0.000035 4.482713 0.347870 7.760%0.02% 0.000035 4.482748 0.347957 7.762%0.02% 0.064421 4.547169 0.348043 7.654%0.02% 0.000000 4.547169 0.348129 7.656%0.02% 0.000001 4.547170 0.348215 7.658%0.02% 0.000001 4.547171 0.348301 7.660%0.02% 0.000002 4.547173 0.348387 7.662%0.02% 0.000003 4.547176 0.348473 7.663%0.02% 0.000003 4.547179 0.348558 7.665%0.02% 0.000004 4.547183 0.348644 7.667%0.02% 0.000004 4.547186 0.348729 7.669%0.02% 0.000004 4.547191 0.348815 7.671%0.02% 0.000006 4.547196 0.348900 7.673%0.02% 0.000006 4.547202 0.348985 7.675%0.02% 0.000006 4.547209 0.349071 7.677%0.02% 0.000007 4.547215 0.349156 7.678%0.02% 0.000007 4.547222 0.349241 7.680%0.02% 0.000008 4.547231 0.349326 7.682%0.02% 0.000009 4.547239 0.349411 7.684%0.02% 0.000009 4.547248 0.349496 7.686%0.02% 0.000009 4.547258 0.349581 7.688%0.02% 0.000010 4.547268 0.349666 7.690%0.02% 0.000011 4.547279 0.349750 7.691%0.02% 0.000011 4.547290 0.349835 7.693%0.02% 0.000012 4.547302 0.349920 7.695%0.02% 0.000012 4.547314 0.350004 7.697%

Page 684: Ch 6 Credit Derivatives

0.02% 0.000013 4.547326 0.350089 7.699%0.02% 0.000014 4.547340 0.350173 7.701%0.02% 0.000014 4.547354 0.350257 7.702%0.02% 0.000014 4.547369 0.350342 7.704%0.02% 0.000015 4.547383 0.350426 7.706%0.02% 0.000015 4.547399 0.350510 7.708%0.02% 0.000016 4.547415 0.350594 7.710%0.02% 0.000017 4.547432 0.350678 7.712%0.02% 0.000017 4.547449 0.350762 7.713%0.02% 0.000017 4.547466 0.350846 7.715%0.02% 0.000018 4.547484 0.350930 7.717%0.02% 0.000019 4.547503 0.351014 7.719%0.02% 0.000019 4.547522 0.351097 7.721%0.02% 0.000020 4.547542 0.351181 7.722%0.02% 0.000020 4.547562 0.351265 7.724%0.02% 0.000020 4.547583 0.351348 7.726%0.02% 0.000022 4.547604 0.351432 7.728%0.02% 0.000022 4.547626 0.351515 7.730%0.02% 0.000022 4.547649 0.351598 7.731%0.02% 0.000023 4.547672 0.351682 7.733%0.02% 0.000023 4.547695 0.351765 7.735%0.02% 0.000024 4.547719 0.351848 7.737%0.02% 0.000025 4.547744 0.351931 7.739%0.02% 0.000025 4.547769 0.352014 7.740%0.02% 0.000025 4.547794 0.352097 7.742%0.02% 0.000026 4.547820 0.352180 7.744%0.02% 0.000027 4.547846 0.352263 7.746%0.02% 0.000027 4.547874 0.352345 7.747%0.02% 0.000028 4.547901 0.352428 7.749%0.02% 0.000028 4.547929 0.352511 7.751%0.02% 0.000028 4.547957 0.352593 7.753%0.02% 0.000029 4.547987 0.352676 7.755%0.02% 0.000030 4.548017 0.352758 7.756%0.02% 0.000030 4.548047 0.352841 7.758%0.02% 0.000030 4.548077 0.352923 7.760%0.02% 0.000031 4.548108 0.353005 7.762%0.02% 0.000032 4.548140 0.353087 7.763%0.02% 0.000032 4.548172 0.353170 7.765%0.02% 0.000033 4.548205 0.353252 7.767%0.02% 0.000033 4.548238 0.353334 7.769%0.02% 0.000033 4.548271 0.353416 7.770%0.02% 0.061309 4.609580 0.353497 7.669%0.02% 0.000000 4.609581 0.353579 7.671%0.02% 0.000001 4.609581 0.353660 7.672%

Page 685: Ch 6 Credit Derivatives

0.02% 0.000001 4.609582 0.353741 7.674%0.02% 0.000002 4.609584 0.353823 7.676%0.02% 0.000003 4.609587 0.353904 7.678%0.02% 0.000003 4.609590 0.353985 7.679%0.02% 0.000003 4.609593 0.354066 7.681%0.02% 0.000004 4.609597 0.354147 7.683%0.02% 0.000004 4.609601 0.354228 7.685%0.02% 0.000005 4.609606 0.354308 7.686%0.02% 0.000006 4.609612 0.354389 7.688%0.02% 0.000006 4.609618 0.354470 7.690%0.02% 0.000006 4.609624 0.354550 7.692%0.02% 0.000007 4.609631 0.354631 7.693%0.02% 0.000008 4.609639 0.354712 7.695%0.02% 0.000008 4.609647 0.354792 7.697%0.02% 0.000009 4.609655 0.354872 7.698%0.02% 0.000009 4.609664 0.354953 7.700%0.02% 0.000009 4.609673 0.355033 7.702%0.02% 0.000010 4.609684 0.355113 7.704%0.02% 0.000011 4.609695 0.355193 7.705%0.02% 0.000011 4.609706 0.355273 7.707%0.02% 0.000011 4.609717 0.355353 7.709%0.02% 0.000012 4.609729 0.355433 7.711%0.02% 0.000013 4.609742 0.355513 7.712%0.02% 0.000013 4.609755 0.355593 7.714%0.02% 0.000014 4.609769 0.355673 7.716%0.02% 0.000014 4.609783 0.355753 7.717%0.02% 0.000014 4.609797 0.355832 7.719%0.02% 0.000015 4.609813 0.355912 7.721%0.02% 0.000016 4.609829 0.355991 7.722%0.02% 0.000016 4.609845 0.356071 7.724%0.02% 0.000017 4.609861 0.356150 7.726%0.02% 0.000017 4.609878 0.356230 7.728%0.02% 0.000018 4.609896 0.356309 7.729%0.02% 0.000018 4.609915 0.356388 7.731%0.02% 0.000019 4.609933 0.356467 7.733%0.02% 0.000019 4.609952 0.356546 7.734%0.02% 0.000019 4.609972 0.356626 7.736%0.02% 0.000020 4.609992 0.356705 7.738%0.02% 0.000021 4.610013 0.356783 7.739%0.02% 0.000021 4.610034 0.356862 7.741%0.02% 0.000022 4.610056 0.356941 7.743%0.02% 0.000022 4.610078 0.357020 7.744%0.02% 0.000023 4.610101 0.357099 7.746%0.02% 0.000023 4.610124 0.357177 7.748%

Page 686: Ch 6 Credit Derivatives

0.02% 0.000024 4.610148 0.357256 7.749%0.02% 0.000024 4.610172 0.357334 7.751%0.02% 0.000024 4.610196 0.357413 7.753%0.02% 0.000025 4.610221 0.357491 7.754%0.02% 0.000026 4.610247 0.357569 7.756%0.02% 0.000026 4.610273 0.357648 7.758%0.02% 0.000026 4.610300 0.357726 7.759%0.02% 0.000027 4.610326 0.357804 7.761%0.02% 0.000028 4.610354 0.357882 7.763%0.02% 0.000028 4.610382 0.357960 7.764%0.02% 0.000029 4.610411 0.358038 7.766%0.02% 0.000029 4.610440 0.358116 7.768%0.02% 0.000029 4.610469 0.358194 7.769%0.02% 0.000030 4.610499 0.358272 7.771%0.02% 0.000031 4.610530 0.358349 7.772%0.02% 0.000031 4.610561 0.358427 7.774%0.02% 0.000031 4.610592 0.358505 7.776%0.02% 0.000032 4.610624 0.358582 7.777%0.02% 0.058348 4.668971 0.358660 7.682%0.02% 0.000000 4.668972 0.358737 7.683%0.02% 0.000001 4.668972 0.358814 7.685%0.02% 0.000001 4.668973 0.358891 7.687%0.02% 0.000001 4.668975 0.358968 7.688%0.02% 0.000002 4.668977 0.359044 7.690%0.02% 0.000003 4.668980 0.359121 7.692%0.02% 0.000003 4.668983 0.359198 7.693%0.02% 0.000004 4.668987 0.359275 7.695%0.02% 0.000004 4.668991 0.359351 7.697%0.02% 0.000005 4.668996 0.359428 7.698%0.02% 0.000005 4.669001 0.359504 7.700%0.02% 0.000006 4.669007 0.359580 7.701%0.02% 0.000006 4.669013 0.359657 7.703%0.02% 0.000006 4.669019 0.359733 7.705%0.02% 0.000007 4.669027 0.359809 7.706%0.02% 0.000008 4.669034 0.359885 7.708%0.02% 0.000008 4.669042 0.359962 7.710%0.02% 0.000008 4.669051 0.360038 7.711%0.02% 0.000009 4.669060 0.360114 7.713%0.02% 0.000010 4.669069 0.360190 7.714%0.02% 0.000010 4.669080 0.360265 7.716%0.02% 0.000011 4.669090 0.360341 7.718%0.02% 0.000011 4.669101 0.360417 7.719%0.02% 0.000011 4.669112 0.360493 7.721%0.02% 0.000012 4.669125 0.360568 7.722%

Page 687: Ch 6 Credit Derivatives

0.02% 0.000013 4.669137 0.360644 7.724%0.02% 0.000013 4.669150 0.360719 7.726%0.02% 0.000013 4.669163 0.360795 7.727%0.02% 0.000014 4.669177 0.360870 7.729%0.02% 0.000015 4.669192 0.360946 7.730%0.02% 0.000015 4.669207 0.361021 7.732%0.02% 0.000015 4.669222 0.361096 7.734%0.02% 0.000016 4.669238 0.361171 7.735%0.02% 0.000016 4.669254 0.361247 7.737%0.02% 0.000017 4.669271 0.361322 7.738%0.02% 0.000017 4.669288 0.361397 7.740%0.02% 0.000018 4.669306 0.361472 7.741%0.02% 0.000018 4.669324 0.361547 7.743%0.02% 0.000018 4.669342 0.361621 7.745%0.02% 0.000019 4.669361 0.361696 7.746%0.02% 0.000020 4.669381 0.361771 7.748%0.02% 0.000020 4.669401 0.361846 7.749%0.02% 0.000020 4.669422 0.361920 7.751%0.02% 0.000021 4.669442 0.361995 7.752%0.02% 0.000022 4.669464 0.362069 7.754%0.02% 0.000022 4.669486 0.362144 7.756%0.02% 0.000022 4.669508 0.362218 7.757%0.02% 0.000023 4.669531 0.362292 7.759%0.02% 0.000023 4.669554 0.362367 7.760%0.02% 0.000024 4.669578 0.362441 7.762%0.02% 0.000024 4.669603 0.362515 7.763%0.02% 0.000025 4.669627 0.362589 7.765%0.02% 0.000025 4.669652 0.362663 7.766%0.02% 0.000025 4.669678 0.362737 7.768%0.02% 0.000026 4.669704 0.362811 7.769%0.02% 0.000027 4.669731 0.362885 7.771%0.02% 0.000027 4.669758 0.362959 7.773%0.02% 0.000027 4.669785 0.363033 7.774%0.02% 0.000028 4.669813 0.363106 7.776%0.02% 0.000029 4.669841 0.363180 7.777%0.02% 0.000029 4.669870 0.363254 7.779%0.02% 0.000029 4.669900 0.363327 7.780%0.02% 0.000030 4.669929 0.363401 7.782%0.02% 0.000030 4.669959 0.363474 7.783%0.02% 0.055530 4.725489 0.363547 7.693%0.02% 0.000000 4.725489 0.363620 7.695%0.02% 0.000001 4.725490 0.363693 7.696%0.02% 0.000001 4.725491 0.363765 7.698%0.02% 0.000001 4.725492 0.363837 7.699%

Page 688: Ch 6 Credit Derivatives

0.02% 0.000002 4.725494 0.363910 7.701%0.02% 0.000003 4.725497 0.363982 7.703%0.02% 0.000003 4.725500 0.364054 7.704%0.02% 0.000003 4.725504 0.364127 7.706%0.02% 0.000004 4.725507 0.364199 7.707%0.02% 0.000005 4.725512 0.364271 7.709%0.02% 0.000005 4.725517 0.364343 7.710%0.02% 0.000005 4.725522 0.364415 7.712%0.02% 0.000006 4.725528 0.364487 7.713%0.02% 0.000006 4.725534 0.364559 7.715%0.02% 0.000007 4.725541 0.364630 7.716%0.02% 0.000007 4.725548 0.364702 7.718%0.02% 0.000008 4.725556 0.364774 7.719%0.02% 0.000008 4.725564 0.364846 7.721%0.02% 0.000008 4.725572 0.364917 7.722%0.02% 0.000009 4.725581 0.364989 7.724%0.02% 0.000010 4.725591 0.365060 7.725%0.02% 0.000010 4.725601 0.365132 7.727%0.02% 0.000010 4.725611 0.365203 7.728%0.02% 0.000011 4.725622 0.365274 7.730%0.02% 0.000012 4.725633 0.365346 7.731%0.02% 0.000012 4.725645 0.365417 7.733%0.02% 0.000012 4.725657 0.365488 7.734%0.02% 0.000013 4.725670 0.365559 7.736%0.02% 0.000013 4.725683 0.365630 7.737%0.02% 0.000014 4.725696 0.365701 7.739%0.02% 0.000014 4.725711 0.365772 7.740%0.02% 0.000014 4.725725 0.365843 7.742%0.02% 0.000015 4.725740 0.365914 7.743%0.02% 0.000015 4.725755 0.365985 7.744%0.02% 0.000016 4.725771 0.366056 7.746%0.02% 0.000016 4.725787 0.366126 7.747%0.02% 0.000017 4.725804 0.366197 7.749%0.02% 0.000017 4.725821 0.366267 7.750%0.02% 0.000017 4.725838 0.366338 7.752%0.02% 0.000018 4.725856 0.366408 7.753%0.02% 0.000019 4.725875 0.366479 7.755%0.02% 0.000019 4.725894 0.366549 7.756%0.02% 0.000019 4.725913 0.366620 7.758%0.02% 0.000020 4.725933 0.366690 7.759%0.02% 0.000020 4.725953 0.366760 7.761%0.02% 0.000021 4.725974 0.366830 7.762%0.02% 0.000021 4.725995 0.366900 7.763%0.02% 0.000021 4.726016 0.366970 7.765%

Page 689: Ch 6 Credit Derivatives

0.02% 0.000022 4.726038 0.367040 7.766%0.02% 0.000023 4.726061 0.367110 7.768%0.02% 0.000023 4.726084 0.367180 7.769%0.02% 0.000023 4.726107 0.367250 7.771%0.02% 0.000024 4.726131 0.367320 7.772%0.02% 0.000024 4.726155 0.367389 7.774%0.02% 0.000025 4.726179 0.367459 7.775%0.02% 0.000025 4.726205 0.367529 7.776%0.02% 0.000025 4.726230 0.367598 7.778%0.02% 0.000026 4.726256 0.367668 7.779%0.02% 0.000026 4.726282 0.367737 7.781%0.02% 0.000027 4.726309 0.367807 7.782%0.02% 0.000027 4.726336 0.367876 7.784%0.02% 0.000028 4.726364 0.367945 7.785%0.02% 0.000028 4.726392 0.368015 7.786%0.02% 0.000028 4.726420 0.368084 7.788%0.02% 0.000029 4.726449 0.368153 7.789%0.02% 0.053403 4.779852 0.368222 7.704%0.02% 0.000000 4.779852 0.368291 7.705%0.02% 0.000001 4.779853 0.368360 7.707%0.02% 0.000001 4.779854 0.368429 7.708%0.02% 0.000002 4.779855 0.368499 7.709%0.02% 0.000002 4.779858 0.368567 7.711%0.02% 0.000003 4.779860 0.368636 7.712%0.02% 0.000003 4.779863 0.368705 7.714%0.02% 0.000003 4.779866 0.368774 7.715%0.02% 0.000004 4.779870 0.368843 7.717%0.02% 0.000004 4.779875 0.368912 7.718%0.02% 0.000005 4.779880 0.368980 7.719%0.02% 0.000005 4.779885 0.369049 7.721%0.02% 0.000005 4.779890 0.369117 7.722%0.02% 0.000006 4.779896 0.369186 7.724%0.02% 0.000007 4.779903 0.369254 7.725%0.02% 0.000007 4.779910 0.369323 7.727%0.02% 0.000007 4.779917 0.369391 7.728%0.02% 0.000008 4.779925 0.369459 7.729%0.02% 0.000009 4.779934 0.369528 7.731%0.02% 0.000009 4.779942 0.369596 7.732%0.02% 0.000009 4.779951 0.369664 7.734%0.02% 0.000009 4.779961 0.369732 7.735%0.02% 0.000010 4.779971 0.369800 7.736%0.02% 0.000011 4.779981 0.369868 7.738%0.02% 0.000011 4.779992 0.369936 7.739%0.02% 0.000011 4.780004 0.370004 7.741%

Page 690: Ch 6 Credit Derivatives

0.02% 0.000012 4.780015 0.370072 7.742%0.02% 0.000012 4.780027 0.370139 7.743%0.02% 0.000013 4.780040 0.370207 7.745%0.02% 0.000013 4.780053 0.370275 7.746%0.02% 0.000013 4.780067 0.370342 7.748%0.02% 0.000014 4.780081 0.370410 7.749%0.02% 0.000014 4.780095 0.370478 7.750%0.02% 0.000015 4.780110 0.370545 7.752%0.02% 0.000015 4.780125 0.370612 7.753%0.02% 0.000016 4.780140 0.370680 7.755%0.02% 0.000016 4.780156 0.370747 7.756%0.02% 0.000016 4.780173 0.370814 7.757%0.02% 0.000017 4.780190 0.370882 7.759%0.02% 0.000017 4.780207 0.370949 7.760%0.02% 0.000018 4.780225 0.371016 7.761%0.02% 0.000018 4.780243 0.371083 7.763%0.02% 0.000018 4.780261 0.371150 7.764%0.02% 0.000019 4.780280 0.371217 7.766%0.02% 0.000020 4.780300 0.371284 7.767%0.02% 0.000020 4.780320 0.371351 7.768%0.02% 0.000020 4.780340 0.371417 7.770%0.02% 0.000020 4.780360 0.371484 7.771%0.02% 0.000021 4.780381 0.371551 7.772%0.02% 0.000022 4.780403 0.371617 7.774%0.02% 0.000022 4.780425 0.371684 7.775%0.02% 0.000022 4.780447 0.371751 7.776%0.02% 0.000022 4.780470 0.371817 7.778%0.02% 0.000023 4.780493 0.371884 7.779%0.02% 0.000024 4.780517 0.371950 7.781%0.02% 0.000024 4.780541 0.372016 7.782%0.02% 0.000024 4.780565 0.372083 7.783%0.02% 0.000025 4.780589 0.372149 7.785%0.02% 0.000025 4.780615 0.372215 7.786%0.02% 0.000026 4.780641 0.372281 7.787%0.02% 0.000026 4.780667 0.372347 7.789%0.02% 0.000026 4.780693 0.372413 7.790%0.02% 0.000027 4.780719 0.372479 7.791%0.02% 0.000027 4.780747 0.372545 7.793%0.02% 0.050274 4.831021 0.372611 7.713%0.02% 0.000000 4.831021 0.372677 7.714%0.02% 0.000001 4.831022 0.372743 7.716%0.02% 0.000001 4.831023 0.372809 7.717%0.02% 0.000002 4.831025 0.372875 7.718%0.02% 0.000002 4.831027 0.372941 7.720%

Page 691: Ch 6 Credit Derivatives

0.02% 0.000002 4.831029 0.373007 7.721%0.02% 0.000003 4.831032 0.373072 7.722%0.02% 0.000003 4.831035 0.373138 7.724%0.02% 0.000004 4.831039 0.373204 7.725%0.02% 0.000004 4.831043 0.373269 7.726%0.02% 0.000005 4.831048 0.373335 7.728%0.02% 0.000005 4.831053 0.373400 7.729%0.02% 0.000005 4.831058 0.373466 7.731%0.02% 0.000006 4.831064 0.373531 7.732%0.02% 0.000006 4.831070 0.373597 7.733%0.02% 0.000007 4.831077 0.373662 7.735%0.02% 0.000007 4.831084 0.373727 7.736%0.02% 0.000007 4.831091 0.373792 7.737%0.02% 0.000008 4.831099 0.373857 7.739%0.02% 0.000008 4.831108 0.373922 7.740%0.02% 0.000009 4.831116 0.373988 7.741%0.02% 0.000009 4.831125 0.374053 7.743%0.02% 0.000009 4.831135 0.374117 7.744%0.02% 0.000010 4.831145 0.374182 7.745%0.02% 0.000011 4.831155 0.374247 7.747%0.02% 0.000011 4.831166 0.374312 7.748%0.02% 0.000011 4.831177 0.374377 7.749%0.02% 0.000011 4.831189 0.374441 7.751%0.02% 0.000012 4.831201 0.374506 7.752%0.02% 0.000013 4.831214 0.374571 7.753%0.02% 0.000013 4.831226 0.374635 7.754%0.02% 0.000013 4.831240 0.374700 7.756%0.02% 0.000013 4.831253 0.374764 7.757%0.02% 0.000014 4.831267 0.374829 7.758%0.02% 0.000015 4.831282 0.374893 7.760%0.02% 0.000015 4.831297 0.374957 7.761%0.02% 0.000015 4.831312 0.375021 7.762%0.02% 0.000015 4.831327 0.375086 7.764%0.02% 0.000016 4.831344 0.375150 7.765%0.02% 0.000017 4.831360 0.375214 7.766%0.02% 0.000017 4.831377 0.375278 7.768%0.02% 0.000017 4.831394 0.375342 7.769%0.02% 0.000017 4.831412 0.375406 7.770%0.02% 0.000018 4.831430 0.375470 7.771%0.02% 0.000019 4.831449 0.375534 7.773%0.02% 0.000019 4.831468 0.375598 7.774%0.02% 0.000019 4.831487 0.375661 7.775%0.02% 0.000019 4.831506 0.375725 7.777%0.02% 0.000020 4.831527 0.375789 7.778%

Page 692: Ch 6 Credit Derivatives

0.02% 0.000021 4.831547 0.375852 7.779%0.02% 0.000021 4.831568 0.375916 7.780%0.02% 0.000021 4.831589 0.375979 7.782%0.02% 0.000021 4.831611 0.376043 7.783%0.02% 0.000022 4.831633 0.376106 7.784%0.02% 0.000023 4.831656 0.376170 7.786%0.02% 0.000023 4.831679 0.376233 7.787%0.02% 0.000023 4.831702 0.376296 7.788%0.02% 0.000023 4.831725 0.376359 7.789%0.02% 0.000024 4.831750 0.376423 7.791%0.02% 0.000025 4.831774 0.376486 7.792%0.02% 0.000025 4.831799 0.376549 7.793%0.02% 0.000025 4.831824 0.376612 7.794%0.02% 0.000025 4.831849 0.376675 7.796%0.02% 0.047349 4.879198 0.376738 7.721%0.02% 0.000000 4.879199 0.376800 7.723%0.02% 0.000001 4.879199 0.376862 7.724%0.02% 0.000001 4.879200 0.376924 7.725%0.02% 0.000001 4.879201 0.376986 7.726%0.02% 0.000002 4.879203 0.377048 7.728%0.02% 0.000002 4.879206 0.377110 7.729%0.02% 0.000003 4.879208 0.377172 7.730%0.02% 0.000003 4.879211 0.377234 7.731%0.02% 0.000003 4.879214 0.377296 7.733%0.02% 0.000004 4.879218 0.377357 7.734%0.02% 0.000004 4.879223 0.377419 7.735%0.02% 0.000005 4.879227 0.377481 7.736%0.02% 0.000005 4.879232 0.377542 7.738%0.02% 0.000005 4.879237 0.377604 7.739%0.02% 0.000006 4.879243 0.377665 7.740%0.02% 0.000006 4.879249 0.377727 7.741%0.02% 0.000007 4.879256 0.377788 7.743%0.02% 0.000007 4.879263 0.377849 7.744%0.02% 0.000007 4.879270 0.377911 7.745%0.02% 0.000008 4.879278 0.377972 7.746%0.02% 0.000008 4.879286 0.378033 7.748%0.02% 0.000008 4.879294 0.378094 7.749%0.02% 0.000009 4.879303 0.378155 7.750%0.02% 0.000009 4.879312 0.378217 7.751%0.02% 0.000010 4.879322 0.378278 7.753%0.02% 0.000010 4.879332 0.378339 7.754%0.02% 0.000010 4.879343 0.378400 7.755%0.02% 0.000011 4.879353 0.378460 7.756%0.02% 0.000011 4.879364 0.378521 7.758%

Page 693: Ch 6 Credit Derivatives

0.02% 0.000012 4.879376 0.378582 7.759%0.02% 0.000012 4.879388 0.378643 7.760%0.01% 0.000012 4.879401 0.378704 7.761%0.01% 0.000013 4.879413 0.378764 7.762%0.01% 0.000013 4.879426 0.378825 7.764%0.01% 0.000014 4.879440 0.378885 7.765%0.01% 0.000014 4.879454 0.378946 7.766%0.01% 0.000014 4.879468 0.379006 7.767%0.01% 0.000015 4.879483 0.379067 7.769%0.01% 0.000015 4.879498 0.379127 7.770%0.01% 0.000016 4.879513 0.379188 7.771%0.01% 0.000016 4.879529 0.379248 7.772%0.01% 0.000016 4.879545 0.379308 7.773%0.01% 0.000016 4.879562 0.379368 7.775%0.01% 0.000017 4.879579 0.379428 7.776%0.01% 0.000018 4.879596 0.379489 7.777%0.01% 0.000018 4.879614 0.379549 7.778%0.01% 0.000018 4.879632 0.379609 7.779%0.01% 0.000018 4.879650 0.379669 7.781%0.01% 0.000019 4.879669 0.379729 7.782%0.01% 0.000019 4.879688 0.379788 7.783%0.01% 0.000020 4.879708 0.379848 7.784%0.01% 0.000020 4.879728 0.379908 7.785%0.01% 0.000020 4.879748 0.379968 7.787%0.01% 0.000020 4.879768 0.380028 7.788%0.01% 0.000021 4.879790 0.380087 7.789%0.01% 0.000022 4.879811 0.380147 7.790%0.01% 0.000022 4.879833 0.380206 7.791%0.01% 0.000022 4.879855 0.380266 7.793%0.01% 0.000022 4.879877 0.380325 7.794%0.01% 0.000023 4.879901 0.380385 7.795%0.01% 0.000023 4.879924 0.380444 7.796%0.01% 0.000024 4.879948 0.380504 7.797%0.01% 0.000024 4.879971 0.380563 7.798%0.01% 0.000024 4.879996 0.380622 7.800%0.01% 0.000025 4.880021 0.380681 7.801%0.01% 0.046045 4.926066 0.380741 7.729%0.01% 0.000000 4.926066 0.380800 7.730%0.01% 0.000001 4.926067 0.380859 7.732%0.01% 0.000001 4.926068 0.380918 7.733%0.01% 0.000002 4.926069 0.380977 7.734%0.01% 0.000002 4.926071 0.381036 7.735%0.01% 0.000002 4.926073 0.381095 7.736%0.01% 0.000002 4.926076 0.381154 7.737%

Page 694: Ch 6 Credit Derivatives

0.01% 0.000003 4.926078 0.381213 7.739%0.01% 0.000004 4.926082 0.381272 7.740%0.01% 0.000004 4.926086 0.381331 7.741%0.01% 0.000004 4.926090 0.381389 7.742%0.01% 0.000004 4.926094 0.381448 7.743%0.01% 0.000005 4.926099 0.381507 7.745%0.01% 0.000005 4.926104 0.381565 7.746%0.01% 0.000006 4.926110 0.381624 7.747%0.01% 0.000006 4.926116 0.381682 7.748%0.01% 0.000006 4.926122 0.381741 7.749%0.01% 0.000006 4.926129 0.381799 7.750%0.01% 0.000007 4.926136 0.381858 7.752%0.01% 0.000008 4.926144 0.381916 7.753%0.01% 0.000008 4.926151 0.381975 7.754%0.01% 0.000008 4.926159 0.382033 7.755%0.01% 0.000008 4.926168 0.382091 7.756%0.01% 0.000009 4.926177 0.382149 7.758%0.01% 0.000009 4.926186 0.382207 7.759%0.01% 0.000010 4.926196 0.382265 7.760%0.01% 0.000010 4.926206 0.382323 7.761%0.01% 0.000010 4.926216 0.382382 7.762%0.01% 0.000011 4.926227 0.382439 7.763%0.01% 0.000011 4.926239 0.382497 7.764%0.01% 0.000012 4.926250 0.382555 7.766%0.01% 0.000012 4.926262 0.382613 7.767%0.01% 0.000012 4.926274 0.382671 7.768%0.01% 0.000013 4.926287 0.382729 7.769%0.01% 0.000013 4.926300 0.382786 7.770%0.01% 0.000013 4.926313 0.382844 7.771%0.01% 0.000014 4.926327 0.382902 7.773%0.01% 0.000014 4.926341 0.382959 7.774%0.01% 0.000015 4.926355 0.383017 7.775%0.01% 0.000015 4.926370 0.383074 7.776%0.01% 0.000015 4.926385 0.383132 7.777%0.01% 0.000015 4.926401 0.383189 7.778%0.01% 0.000016 4.926416 0.383246 7.779%0.01% 0.000016 4.926433 0.383304 7.781%0.01% 0.000017 4.926450 0.383361 7.782%0.01% 0.000017 4.926466 0.383418 7.783%0.01% 0.000017 4.926484 0.383475 7.784%0.01% 0.000017 4.926501 0.383532 7.785%0.01% 0.000018 4.926519 0.383590 7.786%0.01% 0.000018 4.926538 0.383647 7.787%0.01% 0.000019 4.926557 0.383704 7.788%

Page 695: Ch 6 Credit Derivatives

0.01% 0.000019 4.926576 0.383761 7.790%0.01% 0.000019 4.926595 0.383818 7.791%0.01% 0.000020 4.926615 0.383874 7.792%0.01% 0.000020 4.926635 0.383931 7.793%0.01% 0.000021 4.926656 0.383988 7.794%0.01% 0.000021 4.926676 0.384045 7.795%0.01% 0.000021 4.926697 0.384101 7.796%0.01% 0.000022 4.926719 0.384158 7.797%0.01% 0.000022 4.926741 0.384215 7.799%0.01% 0.000022 4.926763 0.384271 7.800%0.01% 0.000023 4.926786 0.384328 7.801%0.01% 0.000023 4.926809 0.384384 7.802%0.01% 0.000024 4.926832 0.384441 7.803%0.01% 0.000024 4.926856 0.384497 7.804%0.01% 0.043801 4.970657 0.384554 7.736%0.01% 0.000000 4.970658 0.384610 7.738%0.01% 0.000001 4.970658 0.384667 7.739%0.01% 0.000001 4.970659 0.384724 7.740%0.01% 0.000002 4.970661 0.384781 7.741%0.01% 0.000002 4.970663 0.384837 7.742%0.01% 0.000002 4.970665 0.384894 7.743%0.01% 0.000002 4.970667 0.384951 7.744%0.01% 0.000003 4.970670 0.385007 7.746%0.01% 0.000003 4.970674 0.385064 7.747%0.01% 0.000004 4.970678 0.385120 7.748%0.01% 0.000004 4.970681 0.385176 7.749%0.01% 0.000004 4.970686 0.385233 7.750%0.01% 0.000005 4.970691 0.385289 7.751%0.01% 0.000005 4.970696 0.385345 7.752%0.01% 0.000005 4.970701 0.385402 7.753%0.01% 0.000006 4.970707 0.385458 7.755%0.01% 0.000006 4.970713 0.385514 7.756%0.01% 0.000007 4.970720 0.385570 7.757%0.01% 0.000007 4.970727 0.385626 7.758%0.01% 0.000007 4.970734 0.385682 7.759%0.01% 0.000008 4.970741 0.385738 7.760%0.01% 0.000008 4.970749 0.385794 7.761%0.01% 0.000009 4.970758 0.385850 7.762%0.01% 0.000009 4.970767 0.385906 7.764%0.01% 0.000009 4.970776 0.385962 7.765%0.01% 0.000009 4.970785 0.386018 7.766%0.01% 0.000010 4.970794 0.386073 7.767%0.01% 0.000010 4.970805 0.386129 7.768%0.01% 0.000011 4.970815 0.386185 7.769%

Page 696: Ch 6 Credit Derivatives

0.01% 0.000011 4.970826 0.386240 7.770%0.01% 0.000011 4.970837 0.386296 7.771%0.01% 0.000011 4.970849 0.386351 7.772%0.01% 0.000012 4.970861 0.386407 7.773%0.01% 0.000012 4.970873 0.386462 7.775%0.01% 0.000013 4.970885 0.386518 7.776%0.01% 0.000013 4.970898 0.386573 7.777%0.01% 0.000013 4.970911 0.386628 7.778%0.01% 0.000014 4.970925 0.386683 7.779%0.01% 0.000014 4.970939 0.386739 7.780%0.01% 0.000014 4.970954 0.386794 7.781%0.01% 0.000015 4.970968 0.386849 7.782%0.01% 0.000015 4.970983 0.386904 7.783%0.01% 0.000016 4.970998 0.386959 7.784%0.01% 0.000016 4.971014 0.387014 7.785%0.01% 0.000016 4.971030 0.387069 7.786%0.01% 0.000016 4.971047 0.387124 7.788%0.01% 0.000017 4.971063 0.387179 7.789%0.01% 0.000017 4.971080 0.387234 7.790%0.01% 0.000018 4.971098 0.387289 7.791%0.01% 0.000018 4.971116 0.387343 7.792%0.01% 0.000018 4.971134 0.387398 7.793%0.01% 0.000018 4.971152 0.387453 7.794%0.01% 0.000019 4.971171 0.387507 7.795%0.01% 0.000019 4.971190 0.387562 7.796%0.01% 0.000019 4.971209 0.387617 7.797%0.01% 0.000020 4.971229 0.387671 7.798%0.01% 0.000020 4.971249 0.387725 7.799%0.01% 0.000021 4.971270 0.387780 7.800%0.01% 0.000021 4.971291 0.387834 7.801%0.01% 0.000021 4.971312 0.387889 7.803%0.01% 0.000021 4.971333 0.387943 7.804%0.01% 0.000022 4.971355 0.387997 7.805%0.01% 0.000022 4.971377 0.388051 7.806%0.01% 0.000023 4.971400 0.388106 7.807%0.01% 0.041228 5.012628 0.388160 7.744%0.01% 0.000000 5.012628 0.388214 7.745%0.01% 0.000001 5.012629 0.388269 7.746%0.01% 0.000001 5.012630 0.388324 7.747%0.01% 0.000002 5.012631 0.388379 7.748%0.01% 0.000002 5.012633 0.388433 7.749%0.01% 0.000002 5.012635 0.388488 7.750%0.01% 0.000002 5.012637 0.388542 7.751%0.01% 0.000003 5.012640 0.388597 7.752%

Page 697: Ch 6 Credit Derivatives

0.01% 0.000003 5.012644 0.388651 7.753%0.01% 0.000004 5.012647 0.388705 7.754%0.01% 0.000004 5.012651 0.388760 7.756%0.01% 0.000004 5.012655 0.388814 7.757%0.01% 0.000005 5.012660 0.388868 7.758%0.01% 0.000005 5.012665 0.388923 7.759%0.01% 0.000005 5.012670 0.388977 7.760%0.01% 0.000006 5.012676 0.389031 7.761%0.01% 0.000006 5.012681 0.389085 7.762%0.01% 0.000007 5.012688 0.389139 7.763%0.01% 0.000007 5.012695 0.389193 7.764%0.01% 0.000007 5.012702 0.389247 7.765%0.01% 0.000007 5.012709 0.389301 7.766%0.01% 0.000007 5.012716 0.389355 7.767%0.01% 0.000008 5.012725 0.389409 7.768%0.01% 0.000008 5.012733 0.389462 7.769%0.01% 0.000009 5.012742 0.389516 7.771%0.01% 0.000009 5.012751 0.389570 7.772%0.01% 0.000009 5.012760 0.389624 7.773%0.01% 0.000010 5.012770 0.389677 7.774%0.01% 0.000010 5.012780 0.389731 7.775%0.01% 0.000010 5.012790 0.389784 7.776%0.01% 0.000011 5.012801 0.389838 7.777%0.01% 0.000011 5.012812 0.389891 7.778%0.01% 0.000012 5.012824 0.389945 7.779%0.01% 0.000012 5.012835 0.389998 7.780%0.01% 0.000012 5.012848 0.390051 7.781%0.01% 0.000012 5.012860 0.390105 7.782%0.01% 0.000013 5.012873 0.390158 7.783%0.01% 0.000013 5.012886 0.390211 7.784%0.01% 0.000014 5.012899 0.390264 7.785%0.01% 0.000014 5.012913 0.390318 7.786%0.01% 0.000014 5.012927 0.390371 7.787%0.01% 0.000014 5.012941 0.390424 7.788%0.01% 0.000015 5.012956 0.390477 7.789%0.01% 0.000015 5.012972 0.390530 7.790%0.01% 0.000015 5.012987 0.390583 7.791%0.01% 0.000016 5.013003 0.390636 7.792%0.01% 0.000016 5.013019 0.390688 7.793%0.01% 0.000017 5.013035 0.390741 7.795%0.01% 0.000017 5.013052 0.390794 7.796%0.01% 0.000017 5.013069 0.390847 7.797%0.01% 0.000017 5.013086 0.390899 7.798%0.01% 0.000018 5.013104 0.390952 7.799%

Page 698: Ch 6 Credit Derivatives

0.01% 0.000018 5.013122 0.391005 7.800%0.01% 0.000018 5.013141 0.391057 7.801%0.01% 0.000019 5.013160 0.391110 7.802%0.01% 0.000019 5.013178 0.391162 7.803%0.01% 0.000019 5.013198 0.391215 7.804%0.01% 0.000020 5.013218 0.391267 7.805%0.01% 0.000020 5.013238 0.391319 7.806%0.01% 0.000020 5.013258 0.391372 7.807%0.01% 0.000021 5.013279 0.391424 7.808%0.01% 0.000021 5.013299 0.391476 7.809%0.01% 0.000022 5.013321 0.391529 7.810%0.01% 0.038811 5.052132 0.391581 7.751%0.01% 0.000000 5.052133 0.391632 7.752%0.01% 0.000000 5.052133 0.391684 7.753%0.01% 0.000001 5.052134 0.391735 7.754%0.01% 0.000001 5.052135 0.391786 7.755%0.01% 0.000002 5.052137 0.391838 7.756%0.01% 0.000002 5.052139 0.391889 7.757%0.01% 0.000002 5.052141 0.391940 7.758%0.01% 0.000002 5.052143 0.391991 7.759%0.01% 0.000003 5.052146 0.392043 7.760%0.01% 0.000003 5.052150 0.392094 7.761%0.01% 0.000004 5.052153 0.392145 7.762%0.01% 0.000004 5.052157 0.392196 7.763%0.01% 0.000004 5.052161 0.392247 7.764%0.01% 0.000005 5.052166 0.392298 7.765%0.01% 0.000005 5.052171 0.392349 7.766%0.01% 0.000005 5.052176 0.392400 7.767%0.01% 0.000005 5.052181 0.392450 7.768%0.01% 0.000006 5.052187 0.392501 7.769%0.01% 0.000006 5.052193 0.392552 7.770%0.01% 0.000007 5.052200 0.392603 7.771%0.01% 0.000007 5.052207 0.392653 7.772%0.01% 0.000007 5.052214 0.392704 7.773%0.01% 0.000007 5.052221 0.392755 7.774%0.01% 0.000008 5.052229 0.392805 7.775%0.01% 0.000008 5.052237 0.392856 7.776%0.01% 0.000008 5.052245 0.392906 7.777%0.01% 0.000009 5.052254 0.392957 7.778%0.01% 0.000009 5.052263 0.393007 7.779%0.01% 0.000010 5.052273 0.393058 7.780%0.01% 0.000010 5.052282 0.393108 7.781%0.01% 0.000010 5.052292 0.393158 7.782%0.01% 0.000010 5.052303 0.393209 7.783%

Page 699: Ch 6 Credit Derivatives

0.01% 0.000010 5.052313 0.393259 7.784%0.01% 0.000011 5.052324 0.393309 7.785%0.01% 0.000011 5.052336 0.393359 7.786%0.01% 0.000012 5.052347 0.393409 7.787%0.01% 0.000012 5.052359 0.393459 7.788%0.01% 0.000012 5.052371 0.393509 7.789%0.01% 0.000013 5.052384 0.393559 7.790%0.01% 0.000013 5.052397 0.393609 7.791%0.01% 0.000013 5.052410 0.393659 7.792%0.01% 0.000013 5.052423 0.393709 7.792%0.01% 0.000014 5.052437 0.393759 7.793%0.01% 0.000014 5.052451 0.393809 7.794%0.01% 0.000015 5.052466 0.393859 7.795%0.01% 0.000015 5.052481 0.393908 7.796%0.01% 0.000015 5.052495 0.393958 7.797%0.01% 0.000015 5.052511 0.394008 7.798%0.01% 0.000016 5.052526 0.394057 7.799%0.01% 0.000016 5.052543 0.394107 7.800%0.01% 0.000016 5.052559 0.394156 7.801%0.01% 0.000017 5.052575 0.394206 7.802%0.01% 0.000017 5.052592 0.394255 7.803%0.01% 0.000017 5.052609 0.394305 7.804%0.01% 0.000018 5.052627 0.394354 7.805%0.01% 0.000018 5.052645 0.394404 7.806%0.01% 0.000018 5.052663 0.394453 7.807%0.01% 0.000018 5.052681 0.394502 7.808%0.01% 0.000019 5.052700 0.394551 7.809%0.01% 0.000019 5.052719 0.394601 7.810%0.01% 0.000019 5.052739 0.394650 7.811%0.01% 0.000020 5.052758 0.394699 7.812%0.01% 0.000020 5.052778 0.394748 7.812%0.01% 0.000020 5.052798 0.394797 7.813%0.01% 0.000021 5.052819 0.394846 7.814%0.01% 0.037726 5.090545 0.394895 7.757%0.01% 0.000000 5.090545 0.394943 7.758%0.01% 0.000000 5.090546 0.394992 7.759%0.01% 0.000001 5.090547 0.395040 7.760%0.01% 0.000001 5.090548 0.395088 7.761%0.01% 0.000002 5.090550 0.395136 7.762%0.01% 0.000002 5.090551 0.395185 7.763%0.01% 0.000002 5.090553 0.395233 7.764%0.01% 0.000003 5.090556 0.395281 7.765%0.01% 0.000003 5.090559 0.395329 7.766%0.01% 0.000003 5.090562 0.395377 7.767%

Page 700: Ch 6 Credit Derivatives

0.01% 0.000003 5.090565 0.395425 7.768%0.01% 0.000004 5.090569 0.395473 7.769%0.01% 0.000004 5.090573 0.395521 7.770%0.01% 0.000004 5.090578 0.395569 7.771%0.01% 0.000005 5.090582 0.395617 7.772%0.01% 0.000005 5.090587 0.395664 7.772%0.01% 0.000005 5.090592 0.395712 7.773%0.01% 0.000006 5.090598 0.395760 7.774%0.01% 0.000006 5.090604 0.395808 7.775%0.01% 0.000006 5.090610 0.395855 7.776%0.01% 0.000006 5.090616 0.395903 7.777%0.01% 0.000007 5.090623 0.395950 7.778%0.01% 0.000007 5.090630 0.395998 7.779%0.01% 0.000007 5.090638 0.396046 7.780%0.01% 0.000008 5.090645 0.396093 7.781%0.01% 0.000008 5.090653 0.396141 7.782%0.01% 0.000008 5.090662 0.396188 7.783%0.01% 0.000009 5.090670 0.396235 7.784%0.01% 0.000009 5.090679 0.396283 7.784%0.01% 0.000009 5.090688 0.396330 7.785%0.01% 0.000009 5.090698 0.396377 7.786%0.01% 0.000010 5.090708 0.396424 7.787%0.01% 0.000010 5.090718 0.396472 7.788%0.01% 0.000010 5.090728 0.396519 7.789%0.01% 0.000011 5.090739 0.396566 7.790%0.01% 0.000011 5.090750 0.396613 7.791%0.01% 0.000011 5.090761 0.396660 7.792%0.01% 0.000012 5.090773 0.396707 7.793%0.01% 0.000012 5.090785 0.396754 7.794%0.01% 0.000012 5.090797 0.396801 7.794%0.01% 0.000012 5.090809 0.396848 7.795%0.01% 0.000013 5.090822 0.396895 7.796%0.01% 0.000013 5.090835 0.396942 7.797%0.01% 0.000013 5.090848 0.396989 7.798%0.01% 0.000014 5.090862 0.397035 7.799%0.01% 0.000014 5.090876 0.397082 7.800%0.01% 0.000014 5.090890 0.397129 7.801%0.01% 0.000015 5.090905 0.397175 7.802%0.01% 0.000015 5.090920 0.397222 7.803%0.01% 0.000015 5.090935 0.397269 7.803%0.01% 0.000015 5.090950 0.397315 7.804%0.01% 0.000016 5.090966 0.397362 7.805%0.01% 0.000016 5.090982 0.397408 7.806%0.01% 0.000016 5.090998 0.397455 7.807%

Page 701: Ch 6 Credit Derivatives

0.01% 0.000017 5.091015 0.397501 7.808%0.01% 0.000017 5.091031 0.397547 7.809%0.01% 0.000017 5.091048 0.397594 7.810%0.01% 0.000018 5.091066 0.397640 7.811%0.01% 0.000018 5.091084 0.397686 7.811%0.01% 0.000018 5.091102 0.397733 7.812%0.01% 0.000018 5.091120 0.397779 7.813%0.01% 0.000018 5.091138 0.397825 7.814%0.01% 0.000019 5.091157 0.397871 7.815%0.01% 0.000019 5.091176 0.397917 7.816%0.01% 0.000019 5.091196 0.397963 7.817%0.01% 0.035888 5.127084 0.398009 7.763%0.01% 0.000000 5.127084 0.398055 7.764%0.01% 0.000001 5.127085 0.398101 7.765%0.01% 0.000001 5.127086 0.398146 7.766%0.01% 0.000001 5.127088 0.398192 7.766%0.01% 0.000001 5.127089 0.398237 7.767%0.01% 0.000002 5.127091 0.398283 7.768%0.01% 0.000002 5.127093 0.398328 7.769%0.01% 0.000003 5.127096 0.398374 7.770%0.01% 0.000003 5.127098 0.398419 7.771%0.01% 0.000003 5.127101 0.398464 7.772%0.01% 0.000003 5.127104 0.398510 7.773%0.01% 0.000004 5.127108 0.398555 7.773%0.01% 0.000004 5.127112 0.398600 7.774%0.01% 0.000004 5.127116 0.398645 7.775%0.01% 0.000004 5.127121 0.398691 7.776%0.01% 0.000005 5.127125 0.398736 7.777%0.01% 0.000005 5.127131 0.398781 7.778%0.01% 0.000005 5.127136 0.398826 7.779%0.01% 0.000006 5.127142 0.398871 7.780%0.01% 0.000006 5.127147 0.398916 7.780%0.01% 0.000006 5.127153 0.398961 7.781%0.01% 0.000007 5.127160 0.399006 7.782%0.01% 0.000007 5.127167 0.399051 7.783%0.01% 0.000007 5.127174 0.399096 7.784%0.01% 0.000007 5.127181 0.399141 7.785%0.01% 0.000007 5.127189 0.399185 7.786%0.01% 0.000008 5.127197 0.399230 7.787%0.01% 0.000008 5.127205 0.399275 7.787%0.01% 0.000008 5.127214 0.399320 7.788%0.01% 0.000009 5.127222 0.399364 7.789%0.01% 0.000009 5.127231 0.399409 7.790%0.01% 0.000009 5.127241 0.399453 7.791%

Page 702: Ch 6 Credit Derivatives

0.01% 0.000010 5.127250 0.399498 7.792%0.01% 0.000010 5.127260 0.399543 7.793%0.01% 0.000010 5.127270 0.399587 7.793%0.01% 0.000010 5.127281 0.399632 7.794%0.01% 0.000011 5.127292 0.399676 7.795%0.01% 0.000011 5.127303 0.399720 7.796%0.01% 0.000011 5.127314 0.399765 7.797%0.01% 0.000011 5.127325 0.399809 7.798%0.01% 0.000012 5.127337 0.399853 7.798%0.01% 0.000012 5.127349 0.399898 7.799%0.01% 0.000012 5.127362 0.399942 7.800%0.01% 0.000013 5.127375 0.399986 7.801%0.01% 0.000013 5.127388 0.400030 7.802%0.01% 0.000013 5.127401 0.400074 7.803%0.01% 0.000014 5.127414 0.400118 7.804%0.01% 0.000014 5.127428 0.400163 7.804%0.01% 0.000014 5.127442 0.400207 7.805%0.01% 0.000014 5.127457 0.400251 7.806%0.01% 0.000014 5.127471 0.400295 7.807%0.01% 0.000015 5.127486 0.400338 7.808%0.01% 0.000015 5.127501 0.400382 7.809%0.01% 0.000015 5.127517 0.400426 7.809%0.01% 0.000016 5.127532 0.400470 7.810%0.01% 0.000016 5.127548 0.400514 7.811%0.01% 0.000016 5.127565 0.400558 7.812%0.01% 0.000017 5.127581 0.400601 7.813%0.01% 0.000017 5.127598 0.400645 7.814%0.01% 0.000017 5.127615 0.400689 7.814%0.01% 0.000017 5.127632 0.400732 7.815%0.01% 0.000018 5.127650 0.400776 7.816%0.01% 0.000018 5.127668 0.400820 7.817%0.01% 0.000018 5.127686 0.400863 7.818%0.01% 0.033801 5.161487 0.400907 7.767%0.01% 0.000000 5.161487 0.400950 7.768%0.01% 0.000001 5.161488 0.400993 7.769%0.01% 0.000001 5.161489 0.401036 7.770%0.01% 0.000001 5.161490 0.401079 7.771%0.01% 0.000001 5.161492 0.401122 7.771%0.01% 0.000002 5.161493 0.401165 7.772%0.01% 0.000002 5.161495 0.401208 7.773%0.01% 0.000002 5.161498 0.401251 7.774%0.01% 0.000003 5.161500 0.401293 7.775%0.01% 0.000003 5.161503 0.401336 7.776%0.01% 0.000003 5.161506 0.401379 7.776%

Page 703: Ch 6 Credit Derivatives

0.01% 0.000004 5.161510 0.401422 7.777%0.01% 0.000004 5.161513 0.401465 7.778%0.01% 0.000004 5.161517 0.401507 7.779%0.01% 0.000004 5.161522 0.401550 7.780%0.01% 0.000004 5.161526 0.401593 7.781%0.01% 0.000005 5.161531 0.401635 7.781%0.01% 0.000005 5.161536 0.401678 7.782%0.01% 0.000005 5.161541 0.401720 7.783%0.01% 0.000006 5.161547 0.401763 7.784%0.01% 0.000006 5.161552 0.401805 7.785%0.01% 0.000006 5.161559 0.401848 7.785%0.01% 0.000006 5.161565 0.401890 7.786%0.01% 0.000007 5.161572 0.401932 7.787%0.01% 0.000007 5.161579 0.401975 7.788%0.01% 0.000007 5.161586 0.402017 7.789%0.01% 0.000008 5.161593 0.402059 7.789%0.01% 0.000008 5.161601 0.402102 7.790%0.01% 0.000008 5.161609 0.402144 7.791%0.01% 0.000008 5.161618 0.402186 7.792%0.01% 0.000008 5.161626 0.402228 7.793%0.01% 0.000009 5.161635 0.402270 7.793%0.01% 0.000009 5.161644 0.402312 7.794%0.01% 0.000009 5.161653 0.402354 7.795%0.01% 0.000010 5.161663 0.402397 7.796%0.01% 0.000010 5.161673 0.402439 7.797%0.01% 0.000010 5.161683 0.402480 7.797%0.01% 0.000010 5.161693 0.402522 7.798%0.01% 0.000011 5.161704 0.402564 7.799%0.01% 0.000011 5.161715 0.402606 7.800%0.01% 0.000011 5.161726 0.402648 7.801%0.01% 0.000012 5.161738 0.402690 7.801%0.01% 0.000012 5.161749 0.402732 7.802%0.01% 0.000012 5.161761 0.402773 7.803%0.01% 0.000012 5.161774 0.402815 7.804%0.01% 0.000012 5.161786 0.402857 7.805%0.01% 0.000013 5.161799 0.402898 7.805%0.01% 0.000013 5.161812 0.402940 7.806%0.01% 0.000013 5.161825 0.402982 7.807%0.01% 0.000013 5.161839 0.403023 7.808%0.01% 0.000014 5.161852 0.403065 7.809%0.01% 0.000014 5.161867 0.403106 7.809%0.01% 0.000014 5.161881 0.403148 7.810%0.01% 0.000015 5.161896 0.403189 7.811%0.01% 0.000015 5.161910 0.403230 7.812%

Page 704: Ch 6 Credit Derivatives

0.01% 0.000015 5.161925 0.403272 7.812%0.01% 0.000016 5.161941 0.403313 7.813%0.01% 0.000016 5.161956 0.403355 7.814%0.01% 0.000016 5.161972 0.403396 7.815%0.01% 0.000016 5.161988 0.403437 7.816%0.01% 0.000016 5.162005 0.403478 7.816%0.01% 0.000017 5.162021 0.403519 7.817%0.01% 0.000017 5.162038 0.403561 7.818%0.01% 0.031862 5.193900 0.403602 7.771%0.01% 0.000000 5.193900 0.403642 7.771%0.01% 0.000000 5.193900 0.403682 7.772%0.01% 0.000001 5.193901 0.403722 7.773%0.01% 0.000001 5.193903 0.403762 7.774%0.01% 0.000001 5.193904 0.403802 7.775%0.01% 0.000001 5.193905 0.403842 7.775%0.01% 0.000002 5.193907 0.403882 7.776%0.01% 0.000002 5.193909 0.403922 7.777%0.01% 0.000002 5.193912 0.403962 7.778%0.01% 0.000003 5.193914 0.404002 7.778%0.01% 0.000003 5.193917 0.404041 7.779%0.01% 0.000003 5.193920 0.404081 7.780%0.01% 0.000003 5.193923 0.404121 7.781%0.01% 0.000004 5.193927 0.404161 7.781%0.01% 0.000004 5.193931 0.404200 7.782%0.01% 0.000004 5.193935 0.404240 7.783%0.01% 0.000004 5.193939 0.404280 7.784%0.01% 0.000005 5.193944 0.404319 7.784%0.01% 0.000005 5.193949 0.404359 7.785%0.01% 0.000005 5.193954 0.404399 7.786%0.01% 0.000005 5.193959 0.404438 7.787%0.01% 0.000005 5.193965 0.404478 7.787%0.01% 0.000006 5.193971 0.404517 7.788%0.01% 0.000006 5.193977 0.404556 7.789%0.01% 0.000006 5.193983 0.404596 7.790%0.01% 0.000007 5.193990 0.404635 7.790%0.01% 0.000007 5.193997 0.404675 7.791%0.01% 0.000007 5.194004 0.404714 7.792%0.01% 0.000007 5.194011 0.404753 7.793%0.01% 0.000008 5.194019 0.404793 7.793%0.01% 0.000008 5.194027 0.404832 7.794%0.01% 0.000008 5.194035 0.404871 7.795%0.01% 0.000009 5.194043 0.404910 7.796%0.01% 0.000009 5.194052 0.404949 7.796%0.01% 0.000009 5.194061 0.404988 7.797%

Page 705: Ch 6 Credit Derivatives

0.01% 0.000009 5.194070 0.405028 7.798%0.01% 0.000009 5.194079 0.405067 7.799%0.01% 0.000010 5.194089 0.405106 7.799%0.01% 0.000010 5.194099 0.405145 7.800%0.01% 0.000010 5.194109 0.405184 7.801%0.01% 0.000010 5.194119 0.405223 7.802%0.01% 0.000010 5.194130 0.405262 7.802%0.01% 0.000011 5.194141 0.405300 7.803%0.01% 0.000011 5.194152 0.405339 7.804%0.01% 0.000011 5.194163 0.405378 7.804%0.01% 0.000011 5.194175 0.405417 7.805%0.01% 0.000012 5.194186 0.405456 7.806%0.01% 0.000012 5.194199 0.405494 7.807%0.01% 0.000012 5.194211 0.405533 7.807%0.01% 0.000013 5.194224 0.405572 7.808%0.01% 0.000013 5.194236 0.405611 7.809%0.01% 0.000013 5.194249 0.405649 7.810%0.01% 0.000013 5.194263 0.405688 7.810%0.01% 0.000014 5.194276 0.405726 7.811%0.01% 0.000014 5.194290 0.405765 7.812%0.01% 0.000014 5.194304 0.405803 7.812%0.01% 0.000014 5.194318 0.405842 7.813%0.01% 0.000015 5.194332 0.405880 7.814%0.01% 0.000015 5.194347 0.405919 7.815%0.01% 0.000015 5.194362 0.405957 7.815%0.01% 0.000015 5.194377 0.405996 7.816%0.01% 0.000015 5.194393 0.406034 7.817%0.01% 0.000016 5.194408 0.406072 7.817%0.01% 0.000016 5.194424 0.406111 7.818%0.01% 0.000016 5.194440 0.406149 7.819%0.01% 0.031024 5.225465 0.406187 7.773%0.01% 0.000000 5.225465 0.406225 7.774%0.01% 0.000001 5.225465 0.406263 7.775%0.01% 0.000001 5.225466 0.406300 7.775%0.01% 0.000001 5.225467 0.406338 7.776%0.01% 0.000001 5.225469 0.406375 7.777%0.01% 0.000001 5.225470 0.406413 7.778%0.01% 0.000002 5.225472 0.406450 7.778%0.01% 0.000002 5.225474 0.406488 7.779%0.01% 0.000002 5.225476 0.406525 7.780%0.01% 0.000002 5.225479 0.406563 7.780%0.01% 0.000003 5.225481 0.406600 7.781%0.01% 0.000003 5.225484 0.406638 7.782%0.01% 0.000003 5.225488 0.406675 7.783%

Page 706: Ch 6 Credit Derivatives

0.01% 0.000003 5.225491 0.406713 7.783%0.01% 0.000004 5.225495 0.406750 7.784%0.01% 0.000004 5.225499 0.406787 7.785%0.01% 0.000004 5.225503 0.406824 7.785%0.01% 0.000004 5.225507 0.406862 7.786%0.01% 0.000005 5.225512 0.406899 7.787%0.01% 0.000005 5.225517 0.406936 7.787%0.01% 0.000005 5.225522 0.406973 7.788%0.01% 0.000006 5.225527 0.407010 7.789%0.01% 0.000006 5.225533 0.407047 7.790%0.01% 0.000006 5.225539 0.407085 7.790%0.01% 0.000006 5.225545 0.407122 7.791%0.01% 0.000006 5.225551 0.407159 7.792%0.01% 0.000007 5.225558 0.407196 7.792%0.01% 0.000007 5.225565 0.407233 7.793%0.01% 0.000007 5.225572 0.407270 7.794%0.01% 0.000007 5.225579 0.407306 7.794%0.01% 0.000007 5.225586 0.407343 7.795%0.01% 0.000008 5.225594 0.407380 7.796%0.01% 0.000008 5.225602 0.407417 7.797%0.01% 0.000008 5.225610 0.407454 7.797%0.01% 0.000008 5.225618 0.407491 7.798%0.01% 0.000009 5.225627 0.407527 7.799%0.01% 0.000009 5.225636 0.407564 7.799%0.01% 0.000009 5.225645 0.407601 7.800%0.01% 0.000009 5.225654 0.407637 7.801%0.01% 0.000010 5.225664 0.407674 7.801%0.01% 0.000010 5.225674 0.407711 7.802%0.01% 0.000010 5.225684 0.407747 7.803%0.01% 0.000010 5.225694 0.407784 7.803%0.01% 0.000010 5.225705 0.407820 7.804%0.01% 0.000011 5.225715 0.407857 7.805%0.01% 0.000011 5.225726 0.407893 7.805%0.01% 0.000011 5.225737 0.407930 7.806%0.01% 0.000011 5.225749 0.407966 7.807%0.01% 0.000012 5.225760 0.408003 7.808%0.01% 0.000012 5.225772 0.408039 7.808%0.01% 0.000012 5.225784 0.408075 7.809%0.01% 0.000012 5.225797 0.408112 7.810%0.01% 0.000013 5.225809 0.408148 7.810%0.01% 0.000013 5.225822 0.408184 7.811%0.01% 0.000013 5.225835 0.408221 7.812%0.01% 0.000013 5.225848 0.408257 7.812%0.01% 0.000014 5.225862 0.408293 7.813%

Page 707: Ch 6 Credit Derivatives

0.01% 0.000014 5.225875 0.408329 7.814%0.01% 0.000014 5.225889 0.408365 7.814%0.01% 0.000014 5.225903 0.408401 7.815%0.01% 0.000014 5.225917 0.408438 7.816%0.01% 0.000015 5.225932 0.408474 7.816%0.01% 0.000015 5.225947 0.408510 7.817%0.01% 0.000015 5.225962 0.408546 7.818%0.01% 0.000015 5.225977 0.408582 7.818%0.01% 0.029565 5.255542 0.408618 7.775%0.01% 0.000000 5.255542 0.408653 7.776%0.01% 0.000001 5.255543 0.408689 7.776%0.01% 0.000001 5.255544 0.408724 7.777%0.01% 0.000001 5.255545 0.408760 7.778%0.01% 0.000001 5.255546 0.408795 7.778%0.01% 0.000002 5.255548 0.408831 7.779%0.01% 0.000002 5.255549 0.408866 7.780%0.01% 0.000002 5.255551 0.408902 7.780%0.01% 0.000002 5.255553 0.408937 7.781%0.01% 0.000002 5.255556 0.408973 7.782%0.01% 0.000003 5.255559 0.409008 7.782%0.01% 0.000003 5.255561 0.409043 7.783%0.01% 0.000003 5.255565 0.409079 7.784%0.01% 0.000003 5.255568 0.409114 7.784%0.01% 0.000003 5.255571 0.409149 7.785%0.01% 0.000004 5.255575 0.409184 7.786%0.01% 0.000004 5.255579 0.409220 7.786%0.01% 0.000004 5.255583 0.409255 7.787%0.01% 0.000004 5.255588 0.409290 7.788%0.01% 0.000005 5.255592 0.409325 7.788%0.01% 0.000005 5.255597 0.409360 7.789%0.01% 0.000005 5.255603 0.409395 7.790%0.01% 0.000005 5.255608 0.409430 7.790%0.01% 0.000006 5.255614 0.409465 7.791%0.01% 0.000006 5.255619 0.409500 7.792%0.01% 0.000006 5.255625 0.409535 7.792%0.01% 0.000006 5.255632 0.409570 7.793%0.01% 0.000006 5.255638 0.409605 7.794%0.01% 0.000007 5.255645 0.409640 7.794%0.01% 0.000007 5.255652 0.409675 7.795%0.01% 0.000007 5.255659 0.409710 7.796%0.01% 0.000007 5.255666 0.409744 7.796%0.01% 0.000008 5.255674 0.409779 7.797%0.01% 0.000008 5.255682 0.409814 7.798%0.01% 0.000008 5.255689 0.409849 7.798%

Page 708: Ch 6 Credit Derivatives

0.01% 0.000008 5.255698 0.409884 7.799%0.01% 0.000009 5.255706 0.409918 7.799%0.01% 0.000009 5.255715 0.409953 7.800%0.01% 0.000009 5.255724 0.409988 7.801%0.01% 0.000009 5.255733 0.410022 7.801%0.01% 0.000009 5.255742 0.410057 7.802%0.01% 0.000010 5.255752 0.410091 7.803%0.01% 0.000010 5.255762 0.410126 7.803%0.01% 0.000010 5.255771 0.410160 7.804%0.01% 0.000010 5.255781 0.410195 7.805%0.01% 0.000011 5.255792 0.410229 7.805%0.01% 0.000011 5.255803 0.410264 7.806%0.01% 0.000011 5.255814 0.410298 7.807%0.01% 0.000011 5.255825 0.410333 7.807%0.01% 0.000011 5.255836 0.410367 7.808%0.01% 0.000012 5.255847 0.410401 7.808%0.01% 0.000012 5.255859 0.410436 7.809%0.01% 0.000012 5.255871 0.410470 7.810%0.01% 0.000012 5.255883 0.410504 7.810%0.01% 0.000012 5.255895 0.410538 7.811%0.01% 0.000013 5.255908 0.410573 7.812%0.01% 0.000013 5.255921 0.410607 7.812%0.01% 0.000013 5.255934 0.410641 7.813%0.01% 0.000013 5.255947 0.410675 7.814%0.01% 0.000013 5.255960 0.410709 7.814%0.01% 0.000014 5.255974 0.410743 7.815%0.01% 0.000014 5.255988 0.410777 7.815%0.01% 0.000014 5.256002 0.410811 7.816%0.01% 0.000014 5.256016 0.410845 7.817%0.01% 0.027893 5.283909 0.410879 7.776%0.01% 0.000000 5.283910 0.410913 7.777%0.01% 0.000001 5.283910 0.410946 7.777%0.01% 0.000001 5.283911 0.410980 7.778%0.01% 0.000001 5.283912 0.411013 7.779%0.01% 0.000001 5.283913 0.411047 7.779%0.01% 0.000002 5.283915 0.411080 7.780%0.01% 0.000002 5.283916 0.411114 7.780%0.01% 0.000002 5.283918 0.411147 7.781%0.01% 0.000002 5.283920 0.411180 7.782%0.01% 0.000002 5.283922 0.411214 7.782%0.01% 0.000003 5.283925 0.411247 7.783%0.01% 0.000003 5.283928 0.411280 7.784%0.01% 0.000003 5.283931 0.411313 7.784%0.01% 0.000003 5.283934 0.411346 7.785%

Page 709: Ch 6 Credit Derivatives

0.01% 0.000003 5.283937 0.411380 7.785%0.01% 0.000004 5.283941 0.411413 7.786%0.01% 0.000004 5.283945 0.411446 7.787%0.01% 0.000004 5.283949 0.411479 7.787%0.01% 0.000004 5.283953 0.411512 7.788%0.01% 0.000004 5.283957 0.411545 7.789%0.01% 0.000005 5.283962 0.411578 7.789%0.01% 0.000005 5.283967 0.411611 7.790%0.01% 0.000005 5.283972 0.411644 7.790%0.01% 0.000005 5.283977 0.411677 7.791%0.01% 0.000005 5.283982 0.411710 7.792%0.01% 0.000006 5.283988 0.411743 7.792%0.01% 0.000006 5.283994 0.411776 7.793%0.01% 0.000006 5.284000 0.411809 7.794%0.01% 0.000006 5.284006 0.411842 7.794%0.01% 0.000006 5.284013 0.411875 7.795%0.01% 0.000007 5.284019 0.411907 7.795%0.01% 0.000007 5.284026 0.411940 7.796%0.01% 0.000007 5.284033 0.411973 7.797%0.01% 0.000007 5.284041 0.412006 7.797%0.01% 0.000007 5.284048 0.412038 7.798%0.01% 0.000008 5.284056 0.412071 7.798%0.01% 0.000008 5.284064 0.412104 7.799%0.01% 0.000008 5.284072 0.412136 7.800%0.01% 0.000008 5.284081 0.412169 7.800%0.01% 0.000008 5.284089 0.412201 7.801%0.01% 0.000009 5.284098 0.412234 7.801%0.01% 0.000009 5.284107 0.412267 7.802%0.01% 0.000009 5.284116 0.412299 7.803%0.01% 0.000009 5.284125 0.412332 7.803%0.01% 0.000009 5.284135 0.412364 7.804%0.01% 0.000010 5.284145 0.412396 7.804%0.01% 0.000010 5.284155 0.412429 7.805%0.01% 0.000010 5.284165 0.412461 7.806%0.01% 0.000010 5.284175 0.412494 7.806%0.01% 0.000010 5.284186 0.412526 7.807%0.01% 0.000011 5.284197 0.412558 7.807%0.01% 0.000011 5.284208 0.412591 7.808%0.01% 0.000011 5.284219 0.412623 7.809%0.01% 0.000011 5.284230 0.412655 7.809%0.01% 0.000011 5.284242 0.412687 7.810%0.01% 0.000012 5.284254 0.412720 7.810%0.01% 0.000012 5.284266 0.412752 7.811%0.01% 0.000012 5.284278 0.412784 7.812%

Page 710: Ch 6 Credit Derivatives

0.01% 0.000012 5.284291 0.412816 7.812%0.01% 0.000012 5.284303 0.412848 7.813%0.01% 0.000013 5.284316 0.412880 7.813%0.01% 0.000013 5.284329 0.412912 7.814%0.01% 0.000013 5.284342 0.412945 7.814%0.01% 0.000013 5.284356 0.412977 7.815%0.01% 0.026616 5.310972 0.413009 7.777%0.01% 0.000000 5.310972 0.413041 7.777%0.01% 0.000001 5.310973 0.413073 7.778%0.01% 0.000001 5.310974 0.413105 7.778%0.01% 0.000001 5.310975 0.413137 7.779%0.01% 0.000001 5.310976 0.413169 7.780%0.01% 0.000001 5.310977 0.413201 7.780%0.01% 0.000002 5.310979 0.413233 7.781%0.01% 0.000002 5.310981 0.413265 7.781%0.01% 0.000002 5.310982 0.413297 7.782%0.01% 0.000002 5.310985 0.413329 7.783%0.01% 0.000003 5.310987 0.413360 7.783%0.01% 0.000003 5.310990 0.413392 7.784%0.01% 0.000003 5.310992 0.413424 7.784%0.01% 0.000003 5.310995 0.413456 7.785%0.01% 0.000003 5.310999 0.413488 7.785%0.01% 0.000004 5.311002 0.413519 7.786%0.01% 0.000004 5.311006 0.413551 7.787%0.01% 0.000004 5.311010 0.413583 7.787%0.01% 0.000004 5.311014 0.413615 7.788%0.01% 0.000004 5.311018 0.413646 7.788%0.01% 0.000005 5.311022 0.413678 7.789%0.01% 0.000005 5.311027 0.413710 7.790%0.01% 0.000005 5.311032 0.413741 7.790%0.01% 0.000005 5.311037 0.413773 7.791%0.01% 0.000005 5.311042 0.413804 7.791%0.01% 0.000006 5.311047 0.413836 7.792%0.01% 0.000006 5.311053 0.413867 7.793%0.01% 0.000006 5.311059 0.413899 7.793%0.01% 0.000006 5.311065 0.413930 7.794%0.01% 0.000006 5.311071 0.413962 7.794%0.01% 0.000007 5.311077 0.413993 7.795%0.01% 0.000007 5.311084 0.414025 7.795%0.01% 0.000007 5.311091 0.414056 7.796%0.01% 0.000007 5.311098 0.414087 7.797%0.01% 0.000007 5.311105 0.414119 7.797%0.01% 0.000008 5.311113 0.414150 7.798%0.01% 0.000008 5.311120 0.414181 7.798%

Page 711: Ch 6 Credit Derivatives

0.01% 0.000008 5.311128 0.414212 7.799%0.01% 0.000008 5.311136 0.414244 7.800%0.01% 0.000008 5.311144 0.414275 7.800%0.01% 0.000009 5.311153 0.414306 7.801%0.01% 0.000009 5.311161 0.414337 7.801%0.01% 0.000009 5.311170 0.414368 7.802%0.01% 0.000009 5.311179 0.414399 7.802%0.01% 0.000009 5.311188 0.414431 7.803%0.01% 0.000009 5.311198 0.414462 7.804%0.01% 0.000010 5.311207 0.414493 7.804%0.01% 0.000010 5.311217 0.414524 7.805%0.01% 0.000010 5.311227 0.414555 7.805%0.01% 0.000010 5.311237 0.414586 7.806%0.01% 0.000010 5.311247 0.414617 7.806%0.01% 0.000011 5.311258 0.414648 7.807%0.01% 0.000011 5.311269 0.414679 7.808%0.01% 0.000011 5.311280 0.414709 7.808%0.01% 0.000011 5.311291 0.414740 7.809%0.01% 0.000011 5.311302 0.414771 7.809%0.01% 0.000012 5.311314 0.414802 7.810%0.01% 0.000012 5.311325 0.414833 7.810%0.01% 0.000012 5.311337 0.414864 7.811%0.01% 0.000012 5.311349 0.414894 7.811%0.01% 0.000012 5.311361 0.414925 7.812%0.01% 0.000013 5.311374 0.414956 7.813%0.01% 0.000013 5.311387 0.414987 7.813%0.01% 0.000013 5.311399 0.415017 7.814%0.01% 0.000013 5.311412 0.415048 7.814%0.01% 0.026206 5.337618 0.415079 7.776%0.01% 0.000000 5.337618 0.415108 7.777%0.01% 0.000000 5.337618 0.415138 7.778%0.01% 0.000000 5.337619 0.415168 7.778%0.01% 0.000001 5.337619 0.415197 7.779%0.01% 0.000001 5.337620 0.415227 7.779%0.01% 0.000001 5.337621 0.415257 7.780%0.01% 0.000001 5.337623 0.415286 7.780%0.01% 0.000001 5.337624 0.415316 7.781%0.01% 0.000002 5.337625 0.415345 7.781%0.01% 0.000002 5.337627 0.415375 7.782%0.01% 0.000002 5.337629 0.415404 7.783%0.01% 0.000002 5.337632 0.415434 7.783%0.01% 0.000002 5.337634 0.415463 7.784%0.01% 0.000002 5.337636 0.415493 7.784%0.01% 0.000003 5.337639 0.415522 7.785%

Page 712: Ch 6 Credit Derivatives

0.01% 0.000003 5.337642 0.415552 7.785%0.01% 0.000003 5.337645 0.415581 7.786%0.01% 0.000003 5.337649 0.415611 7.786%0.01% 0.000003 5.337652 0.415640 7.787%0.01% 0.000004 5.337656 0.415669 7.787%0.01% 0.000004 5.337660 0.415699 7.788%0.01% 0.000004 5.337664 0.415728 7.789%0.01% 0.000004 5.337668 0.415757 7.789%0.01% 0.000004 5.337672 0.415786 7.790%0.01% 0.000005 5.337677 0.415816 7.790%0.01% 0.000005 5.337682 0.415845 7.791%0.01% 0.000005 5.337687 0.415874 7.791%0.01% 0.000005 5.337692 0.415903 7.792%0.01% 0.000005 5.337697 0.415932 7.792%0.01% 0.000006 5.337703 0.415961 7.793%0.01% 0.000006 5.337709 0.415991 7.793%0.01% 0.000006 5.337715 0.416020 7.794%0.01% 0.000006 5.337721 0.416049 7.795%0.01% 0.000006 5.337727 0.416078 7.795%0.01% 0.000007 5.337734 0.416107 7.796%0.01% 0.000007 5.337740 0.416136 7.796%0.01% 0.000007 5.337747 0.416165 7.797%0.01% 0.000007 5.337754 0.416194 7.797%0.01% 0.000007 5.337761 0.416223 7.798%0.01% 0.000007 5.337769 0.416252 7.798%0.01% 0.000008 5.337776 0.416280 7.799%0.01% 0.000008 5.337784 0.416309 7.799%0.01% 0.000008 5.337792 0.416338 7.800%0.01% 0.000008 5.337800 0.416367 7.800%0.01% 0.000008 5.337808 0.416396 7.801%0.01% 0.000009 5.337817 0.416425 7.801%0.01% 0.000009 5.337826 0.416453 7.802%0.01% 0.000009 5.337834 0.416482 7.802%0.01% 0.000009 5.337843 0.416511 7.803%0.01% 0.000009 5.337853 0.416540 7.804%0.01% 0.000009 5.337862 0.416568 7.804%0.01% 0.000010 5.337872 0.416597 7.805%0.01% 0.000010 5.337881 0.416626 7.805%0.01% 0.000010 5.337891 0.416654 7.806%0.01% 0.000010 5.337901 0.416683 7.806%0.01% 0.000010 5.337912 0.416712 7.807%0.01% 0.000010 5.337922 0.416740 7.807%0.01% 0.000011 5.337933 0.416769 7.808%0.01% 0.000011 5.337943 0.416797 7.808%

Page 713: Ch 6 Credit Derivatives

0.01% 0.000011 5.337954 0.416826 7.809%0.01% 0.000011 5.337966 0.416854 7.809%0.01% 0.000011 5.337977 0.416883 7.810%0.01% 0.000011 5.337988 0.416911 7.810%0.01% 0.000012 5.338000 0.416940 7.811%0.01% 0.024226 5.362226 0.416968 7.776%0.01% 0.000000 5.362226 0.416996 7.777%0.01% 0.000000 5.362226 0.417024 7.777%0.01% 0.000000 5.362226 0.417052 7.778%0.01% 0.000001 5.362227 0.417080 7.778%0.01% 0.000001 5.362228 0.417108 7.779%0.01% 0.000001 5.362229 0.417136 7.779%0.01% 0.000001 5.362230 0.417164 7.780%0.01% 0.000001 5.362231 0.417192 7.780%0.01% 0.000001 5.362233 0.417220 7.781%0.01% 0.000002 5.362234 0.417248 7.781%0.01% 0.000002 5.362236 0.417276 7.782%0.01% 0.000002 5.362239 0.417304 7.782%0.01% 0.000002 5.362241 0.417332 7.783%0.01% 0.000002 5.362243 0.417360 7.783%0.01% 0.000003 5.362246 0.417388 7.784%0.01% 0.000003 5.362249 0.417416 7.784%0.01% 0.000003 5.362252 0.417443 7.785%0.01% 0.000003 5.362255 0.417471 7.785%0.01% 0.000003 5.362258 0.417499 7.786%0.01% 0.000004 5.362261 0.417527 7.786%0.01% 0.000004 5.362265 0.417554 7.787%0.01% 0.000004 5.362269 0.417582 7.787%0.01% 0.000004 5.362273 0.417610 7.788%0.01% 0.000004 5.362277 0.417637 7.788%0.01% 0.000004 5.362282 0.417665 7.789%0.01% 0.000005 5.362286 0.417693 7.789%0.01% 0.000005 5.362291 0.417720 7.790%0.01% 0.000005 5.362296 0.417748 7.790%0.01% 0.000005 5.362301 0.417776 7.791%0.01% 0.000005 5.362306 0.417803 7.791%0.01% 0.000005 5.362312 0.417831 7.792%0.01% 0.000006 5.362317 0.417858 7.792%0.01% 0.000006 5.362323 0.417886 7.793%0.01% 0.000006 5.362329 0.417913 7.794%0.01% 0.000006 5.362335 0.417941 7.794%0.01% 0.000006 5.362341 0.417968 7.795%0.01% 0.000006 5.362348 0.417995 7.795%0.01% 0.000007 5.362354 0.418023 7.796%

Page 714: Ch 6 Credit Derivatives

0.01% 0.000007 5.362361 0.418050 7.796%0.01% 0.000007 5.362368 0.418078 7.797%0.01% 0.000007 5.362375 0.418105 7.797%0.01% 0.000007 5.362383 0.418132 7.798%0.01% 0.000007 5.362390 0.418160 7.798%0.01% 0.000008 5.362398 0.418187 7.799%0.01% 0.000008 5.362406 0.418214 7.799%0.01% 0.000008 5.362414 0.418241 7.799%0.01% 0.000008 5.362422 0.418269 7.800%0.01% 0.000008 5.362430 0.418296 7.800%0.01% 0.000008 5.362439 0.418323 7.801%0.01% 0.000009 5.362448 0.418350 7.801%0.01% 0.000009 5.362456 0.418377 7.802%0.01% 0.000009 5.362466 0.418404 7.802%0.01% 0.000009 5.362475 0.418431 7.803%0.01% 0.000009 5.362484 0.418459 7.803%0.01% 0.000010 5.362494 0.418486 7.804%0.01% 0.000010 5.362503 0.418513 7.804%0.01% 0.000010 5.362513 0.418540 7.805%0.01% 0.000010 5.362523 0.418567 7.805%0.01% 0.000010 5.362533 0.418594 7.806%0.01% 0.000010 5.362544 0.418621 7.806%0.01% 0.000011 5.362555 0.418648 7.807%0.01% 0.000011 5.362565 0.418675 7.807%0.01% 0.000011 5.362576 0.418702 7.808%0.01% 0.000011 5.362587 0.418728 7.808%0.01% 0.023140 5.385727 0.418755 7.775%0.01% 0.000000 5.385727 0.418782 7.776%0.01% 0.000000 5.385728 0.418809 7.776%0.01% 0.000000 5.385728 0.418835 7.777%0.01% 0.000000 5.385729 0.418862 7.777%0.01% 0.000001 5.385729 0.418888 7.778%0.01% 0.000001 5.385730 0.418915 7.778%0.01% 0.000001 5.385731 0.418941 7.779%0.01% 0.000001 5.385733 0.418968 7.779%0.01% 0.000001 5.385734 0.418994 7.780%0.01% 0.000002 5.385736 0.419021 7.780%0.01% 0.000002 5.385738 0.419047 7.781%0.01% 0.000002 5.385740 0.419074 7.781%0.01% 0.000002 5.385742 0.419100 7.782%0.01% 0.000002 5.385744 0.419127 7.782%0.01% 0.000003 5.385746 0.419153 7.783%0.01% 0.000003 5.385749 0.419179 7.783%0.01% 0.000003 5.385752 0.419206 7.784%

Page 715: Ch 6 Credit Derivatives

0.01% 0.000003 5.385755 0.419232 7.784%0.01% 0.000003 5.385758 0.419258 7.785%0.01% 0.000003 5.385761 0.419285 7.785%0.01% 0.000004 5.385765 0.419311 7.786%0.01% 0.000004 5.385768 0.419337 7.786%0.01% 0.000004 5.385772 0.419363 7.787%0.01% 0.000004 5.385776 0.419389 7.787%0.01% 0.000004 5.385780 0.419416 7.787%0.01% 0.000004 5.385785 0.419442 7.788%0.01% 0.000004 5.385789 0.419468 7.788%0.01% 0.000005 5.385794 0.419494 7.789%0.01% 0.000005 5.385798 0.419520 7.789%0.01% 0.000005 5.385804 0.419546 7.790%0.01% 0.000005 5.385809 0.419572 7.790%0.01% 0.000005 5.385814 0.419598 7.791%0.01% 0.000005 5.385819 0.419625 7.791%0.01% 0.000006 5.385825 0.419651 7.792%0.01% 0.000006 5.385831 0.419677 7.792%0.01% 0.000006 5.385837 0.419703 7.793%0.01% 0.000006 5.385843 0.419729 7.793%0.01% 0.000006 5.385849 0.419754 7.794%0.01% 0.000006 5.385856 0.419780 7.794%0.01% 0.000007 5.385862 0.419806 7.795%0.01% 0.000007 5.385869 0.419832 7.795%0.01% 0.000007 5.385876 0.419858 7.796%0.01% 0.000007 5.385883 0.419884 7.796%0.01% 0.000007 5.385890 0.419910 7.796%0.01% 0.000008 5.385898 0.419936 7.797%0.01% 0.000008 5.385906 0.419961 7.797%0.01% 0.000008 5.385913 0.419987 7.798%0.01% 0.000008 5.385921 0.420013 7.798%0.01% 0.000008 5.385929 0.420039 7.799%0.01% 0.000008 5.385938 0.420065 7.799%0.01% 0.000008 5.385946 0.420090 7.800%0.01% 0.000009 5.385955 0.420116 7.800%0.01% 0.000009 5.385963 0.420142 7.801%0.01% 0.000009 5.385972 0.420167 7.801%0.01% 0.000009 5.385981 0.420193 7.802%0.01% 0.000009 5.385990 0.420219 7.802%0.01% 0.000009 5.386000 0.420244 7.803%0.01% 0.000009 5.386009 0.420270 7.803%0.01% 0.000010 5.386019 0.420295 7.803%0.01% 0.000010 5.386029 0.420321 7.804%0.01% 0.000010 5.386039 0.420346 7.804%

Page 716: Ch 6 Credit Derivatives

0.01% 0.000010 5.386049 0.420372 7.805%0.01% 0.000010 5.386059 0.420397 7.805%0.01% 0.000010 5.386070 0.420423 7.806%0.01% 0.022109 5.408179 0.420448 7.774%0.01% 0.000000 5.408179 0.420474 7.775%0.01% 0.000000 5.408179 0.420499 7.775%0.01% 0.000000 5.408179 0.420524 7.776%0.01% 0.000000 5.408180 0.420550 7.776%0.01% 0.000001 5.408181 0.420575 7.777%0.01% 0.000001 5.408182 0.420600 7.777%0.01% 0.000001 5.408183 0.420625 7.778%0.01% 0.000001 5.408184 0.420650 7.778%0.01% 0.000001 5.408185 0.420675 7.778%0.01% 0.000002 5.408187 0.420701 7.779%0.01% 0.000002 5.408188 0.420726 7.779%0.01% 0.000002 5.408190 0.420751 7.780%0.01% 0.000002 5.408192 0.420776 7.780%0.01% 0.000002 5.408194 0.420801 7.781%0.01% 0.000002 5.408197 0.420826 7.781%0.01% 0.000003 5.408199 0.420851 7.782%0.01% 0.000003 5.408202 0.420876 7.782%0.01% 0.000003 5.408205 0.420901 7.783%0.01% 0.000003 5.408208 0.420926 7.783%0.01% 0.000003 5.408211 0.420951 7.784%0.01% 0.000003 5.408214 0.420976 7.784%0.01% 0.000003 5.408218 0.421001 7.784%0.01% 0.000004 5.408221 0.421026 7.785%0.01% 0.000004 5.408225 0.421051 7.785%0.01% 0.000004 5.408229 0.421076 7.786%0.01% 0.000004 5.408233 0.421101 7.786%0.01% 0.000004 5.408237 0.421125 7.787%0.01% 0.000004 5.408242 0.421150 7.787%0.01% 0.000004 5.408246 0.421175 7.788%0.01% 0.000005 5.408251 0.421200 7.788%0.01% 0.000005 5.408256 0.421225 7.789%0.01% 0.000005 5.408261 0.421249 7.789%0.01% 0.000005 5.408266 0.421274 7.789%0.01% 0.000005 5.408272 0.421299 7.790%0.01% 0.000006 5.408277 0.421323 7.790%0.01% 0.000006 5.408283 0.421348 7.791%0.01% 0.000006 5.408289 0.421373 7.791%0.01% 0.000006 5.408295 0.421398 7.792%0.01% 0.000006 5.408301 0.421422 7.792%0.01% 0.000006 5.408307 0.421447 7.793%

Page 717: Ch 6 Credit Derivatives

0.01% 0.000006 5.408314 0.421471 7.793%0.01% 0.000007 5.408320 0.421496 7.793%0.01% 0.000007 5.408327 0.421521 7.794%0.01% 0.000007 5.408334 0.421545 7.794%0.01% 0.000007 5.408341 0.421570 7.795%0.01% 0.000007 5.408348 0.421594 7.795%0.01% 0.000007 5.408355 0.421619 7.796%0.01% 0.000007 5.408363 0.421643 7.796%0.01% 0.000008 5.408371 0.421668 7.797%0.01% 0.000008 5.408378 0.421692 7.797%0.01% 0.000008 5.408386 0.421716 7.797%0.01% 0.000008 5.408395 0.421741 7.798%0.01% 0.000008 5.408403 0.421765 7.798%0.01% 0.000008 5.408411 0.421790 7.799%0.01% 0.000009 5.408420 0.421814 7.799%0.01% 0.000009 5.408429 0.421838 7.800%0.01% 0.000009 5.408438 0.421863 7.800%0.01% 0.000009 5.408447 0.421887 7.801%0.01% 0.000009 5.408456 0.421911 7.801%0.01% 0.000009 5.408465 0.421936 7.801%0.01% 0.000010 5.408475 0.421960 7.802%0.01% 0.000010 5.408484 0.421984 7.802%0.01% 0.000010 5.408494 0.422008 7.803%0.01% 0.000010 5.408504 0.422033 7.803%0.01% 0.021127 5.429631 0.422057 7.773%0.01% 0.000000 5.429632 0.422081 7.774%0.01% 0.000000 5.429632 0.422105 7.774%0.01% 0.000000 5.429632 0.422129 7.775%0.01% 0.000000 5.429633 0.422153 7.775%0.01% 0.000001 5.429633 0.422177 7.775%0.01% 0.000001 5.429634 0.422201 7.776%0.01% 0.000001 5.429635 0.422225 7.776%0.01% 0.000001 5.429636 0.422249 7.777%0.01% 0.000001 5.429638 0.422273 7.777%0.01% 0.000002 5.429639 0.422297 7.778%0.01% 0.000002 5.429641 0.422321 7.778%0.01% 0.000002 5.429643 0.422345 7.779%0.01% 0.000002 5.429644 0.422369 7.779%0.01% 0.000002 5.429646 0.422393 7.779%0.01% 0.000002 5.429649 0.422417 7.780%0.01% 0.000002 5.429651 0.422440 7.780%0.01% 0.000003 5.429654 0.422464 7.781%0.01% 0.000003 5.429656 0.422488 7.781%0.01% 0.000003 5.429659 0.422512 7.782%

Page 718: Ch 6 Credit Derivatives

0.01% 0.000003 5.429662 0.422536 7.782%0.01% 0.000003 5.429665 0.422559 7.782%0.01% 0.000003 5.429669 0.422583 7.783%0.01% 0.000003 5.429672 0.422607 7.783%0.01% 0.000004 5.429676 0.422631 7.784%0.01% 0.000004 5.429679 0.422654 7.784%0.01% 0.000004 5.429683 0.422678 7.785%0.01% 0.000004 5.429687 0.422702 7.785%0.01% 0.000004 5.429692 0.422725 7.785%0.01% 0.000004 5.429696 0.422749 7.786%0.01% 0.000005 5.429700 0.422773 7.786%0.01% 0.000005 5.429705 0.422796 7.787%0.01% 0.000005 5.429710 0.422820 7.787%0.01% 0.000005 5.429715 0.422843 7.788%0.01% 0.000005 5.429720 0.422867 7.788%0.01% 0.000005 5.429725 0.422890 7.788%0.01% 0.000005 5.429731 0.422914 7.789%0.01% 0.000006 5.429736 0.422937 7.789%0.01% 0.000006 5.429742 0.422961 7.790%0.01% 0.000006 5.429748 0.422984 7.790%0.01% 0.000006 5.429754 0.423008 7.791%0.01% 0.000006 5.429760 0.423031 7.791%0.01% 0.000006 5.429766 0.423055 7.791%0.01% 0.000006 5.429773 0.423078 7.792%0.01% 0.000006 5.429779 0.423102 7.792%0.01% 0.000007 5.429786 0.423125 7.793%0.01% 0.000007 5.429793 0.423148 7.793%0.01% 0.000007 5.429800 0.423172 7.794%0.01% 0.000007 5.429807 0.423195 7.794%0.01% 0.000007 5.429814 0.423218 7.794%0.01% 0.000008 5.429822 0.423242 7.795%0.01% 0.000008 5.429829 0.423265 7.795%0.01% 0.000008 5.429837 0.423288 7.796%0.01% 0.000008 5.429845 0.423311 7.796%0.01% 0.000008 5.429853 0.423335 7.796%0.01% 0.000008 5.429861 0.423358 7.797%0.01% 0.000008 5.429870 0.423381 7.797%0.01% 0.000008 5.429878 0.423404 7.798%0.01% 0.000009 5.429887 0.423427 7.798%0.01% 0.000009 5.429895 0.423450 7.799%0.01% 0.000009 5.429904 0.423474 7.799%0.01% 0.000009 5.429913 0.423497 7.799%0.01% 0.000009 5.429923 0.423520 7.800%0.01% 0.000009 5.429932 0.423543 7.800%

Page 719: Ch 6 Credit Derivatives

0.01% 0.000009 5.429941 0.423566 7.801%0.01% 0.020192 5.450133 0.423589 7.772%0.01% 0.000000 5.450133 0.423612 7.773%0.01% 0.000000 5.450133 0.423635 7.773%0.01% 0.000000 5.450134 0.423658 7.773%0.01% 0.000000 5.450134 0.423681 7.774%0.01% 0.000001 5.450135 0.423704 7.774%0.01% 0.000001 5.450136 0.423727 7.775%0.01% 0.000001 5.450137 0.423750 7.775%0.01% 0.000001 5.450138 0.423773 7.775%0.01% 0.000001 5.450139 0.423796 7.776%0.01% 0.000001 5.450140 0.423819 7.776%0.01% 0.000002 5.450142 0.423842 7.777%0.01% 0.000002 5.450144 0.423864 7.777%0.01% 0.000002 5.450145 0.423887 7.778%0.01% 0.000002 5.450147 0.423910 7.778%0.01% 0.000002 5.450149 0.423933 7.778%0.01% 0.000002 5.450152 0.423956 7.779%0.01% 0.000002 5.450154 0.423979 7.779%0.01% 0.000003 5.450157 0.424001 7.780%0.01% 0.000003 5.450159 0.424024 7.780%0.01% 0.000003 5.450162 0.424047 7.780%0.01% 0.000003 5.450165 0.424070 7.781%0.01% 0.000003 5.450168 0.424092 7.781%0.01% 0.000003 5.450172 0.424115 7.782%0.01% 0.000003 5.450175 0.424138 7.782%0.01% 0.000004 5.450179 0.424160 7.783%0.01% 0.000004 5.450183 0.424183 7.783%0.01% 0.000004 5.450186 0.424206 7.783%0.01% 0.000004 5.450190 0.424228 7.784%0.01% 0.000004 5.450194 0.424251 7.784%0.01% 0.000004 5.450199 0.424273 7.785%0.01% 0.000004 5.450203 0.424296 7.785%0.01% 0.000005 5.450208 0.424318 7.785%0.01% 0.000005 5.450213 0.424341 7.786%0.01% 0.000005 5.450217 0.424363 7.786%0.01% 0.000005 5.450223 0.424386 7.787%0.01% 0.000005 5.450228 0.424408 7.787%0.01% 0.000005 5.450233 0.424431 7.787%0.01% 0.000005 5.450238 0.424453 7.788%0.01% 0.000006 5.450244 0.424476 7.788%0.01% 0.000006 5.450250 0.424498 7.789%0.01% 0.000006 5.450256 0.424521 7.789%0.01% 0.000006 5.450262 0.424543 7.789%

Page 720: Ch 6 Credit Derivatives

0.01% 0.000006 5.450268 0.424565 7.790%0.01% 0.000006 5.450274 0.424588 7.790%0.01% 0.000007 5.450281 0.424610 7.791%0.01% 0.000007 5.450287 0.424632 7.791%0.01% 0.000007 5.450294 0.424655 7.791%0.01% 0.000007 5.450301 0.424677 7.792%0.01% 0.000007 5.450308 0.424699 7.792%0.01% 0.000007 5.450315 0.424722 7.793%0.01% 0.000007 5.450322 0.424744 7.793%0.01% 0.000007 5.450330 0.424766 7.793%0.01% 0.000008 5.450337 0.424788 7.794%0.01% 0.000008 5.450345 0.424811 7.794%0.01% 0.000008 5.450353 0.424833 7.795%0.01% 0.000008 5.450361 0.424855 7.795%0.01% 0.000008 5.450369 0.424877 7.795%0.01% 0.000008 5.450377 0.424899 7.796%0.01% 0.000008 5.450385 0.424921 7.796%0.01% 0.000009 5.450394 0.424943 7.797%0.01% 0.000009 5.450403 0.424966 7.797%0.01% 0.000009 5.450411 0.424988 7.797%0.01% 0.000009 5.450420 0.425010 7.798%0.01% 0.000009 5.450429 0.425032 7.798%0.01% 0.019297 5.469726 0.425054 7.771%0.01% 0.000000 5.469726 0.425076 7.771%0.01% 0.000000 5.469726 0.425098 7.772%0.01% 0.000000 5.469727 0.425120 7.772%0.01% 0.000000 5.469727 0.425142 7.773%0.01% 0.000001 5.469728 0.425164 7.773%0.01% 0.000001 5.469729 0.425186 7.773%0.01% 0.000001 5.469730 0.425208 7.774%0.01% 0.000001 5.469731 0.425230 7.774%0.01% 0.000001 5.469732 0.425252 7.775%0.01% 0.000001 5.469733 0.425274 7.775%0.01% 0.000002 5.469735 0.425296 7.775%0.01% 0.000002 5.469736 0.425318 7.776%0.01% 0.000002 5.469738 0.425340 7.776%0.01% 0.000002 5.469740 0.425362 7.777%0.01% 0.000002 5.469742 0.425384 7.777%0.01% 0.000002 5.469744 0.425406 7.777%0.01% 0.000002 5.469747 0.425428 7.778%0.01% 0.000002 5.469749 0.425449 7.778%0.01% 0.000003 5.469752 0.425471 7.779%0.01% 0.000003 5.469754 0.425493 7.779%0.01% 0.000003 5.469757 0.425515 7.779%

Page 721: Ch 6 Credit Derivatives

0.01% 0.000003 5.469760 0.425537 7.780%0.01% 0.000003 5.469763 0.425558 7.780%0.01% 0.000003 5.469767 0.425580 7.781%0.01% 0.000004 5.469770 0.425602 7.781%0.01% 0.000004 5.469774 0.425624 7.781%0.01% 0.000004 5.469778 0.425645 7.782%0.01% 0.000004 5.469781 0.425667 7.782%0.01% 0.000004 5.469785 0.425689 7.783%0.01% 0.000004 5.469789 0.425710 7.783%0.01% 0.000004 5.469794 0.425732 7.783%0.01% 0.000004 5.469798 0.425754 7.784%0.01% 0.000005 5.469803 0.425775 7.784%0.01% 0.000005 5.469807 0.425797 7.784%0.01% 0.000005 5.469812 0.425819 7.785%0.01% 0.000005 5.469817 0.425840 7.785%0.01% 0.000005 5.469822 0.425862 7.786%0.01% 0.000005 5.469827 0.425883 7.786%0.01% 0.000005 5.469833 0.425905 7.786%0.01% 0.000006 5.469838 0.425926 7.787%0.01% 0.000006 5.469844 0.425948 7.787%0.01% 0.000006 5.469850 0.425969 7.788%0.01% 0.000006 5.469856 0.425991 7.788%0.01% 0.000006 5.469862 0.426012 7.788%0.01% 0.000006 5.469868 0.426034 7.789%0.01% 0.000006 5.469874 0.426055 7.789%0.01% 0.000006 5.469881 0.426077 7.790%0.01% 0.000007 5.469887 0.426098 7.790%0.01% 0.000007 5.469894 0.426119 7.790%0.01% 0.000007 5.469901 0.426141 7.791%0.01% 0.000007 5.469908 0.426162 7.791%0.01% 0.000007 5.469915 0.426183 7.791%0.01% 0.000007 5.469922 0.426205 7.792%0.01% 0.000007 5.469929 0.426226 7.792%0.01% 0.000008 5.469937 0.426247 7.793%0.01% 0.000008 5.469945 0.426269 7.793%0.01% 0.000008 5.469952 0.426290 7.793%0.01% 0.000008 5.469960 0.426311 7.794%0.01% 0.000008 5.469968 0.426332 7.794%0.01% 0.000008 5.469977 0.426354 7.794%0.01% 0.000008 5.469985 0.426375 7.795%0.01% 0.000008 5.469993 0.426396 7.795%0.01% 0.000009 5.470002 0.426417 7.796%0.01% 0.000009 5.470010 0.426438 7.796%0.01% 0.018440 5.488450 0.426459 7.770%

Page 722: Ch 6 Credit Derivatives

0.01% 0.000000 5.488450 0.426481 7.771%0.01% 0.000000 5.488451 0.426502 7.771%0.01% 0.000000 5.488451 0.426523 7.771%0.01% 0.000000 5.488451 0.426545 7.772%0.01% 0.000001 5.488452 0.426566 7.772%0.01% 0.000001 5.488453 0.426587 7.772%0.01% 0.000001 5.488454 0.426608 7.773%0.01% 0.000001 5.488455 0.426629 7.773%0.01% 0.000001 5.488456 0.426651 7.774%0.01% 0.000001 5.488457 0.426672 7.774%0.01% 0.000001 5.488459 0.426693 7.774%0.01% 0.000002 5.488460 0.426714 7.775%0.01% 0.000002 5.488462 0.426735 7.775%0.01% 0.000002 5.488464 0.426756 7.776%0.01% 0.000002 5.488466 0.426777 7.776%0.01% 0.000002 5.488468 0.426799 7.776%0.01% 0.000002 5.488470 0.426820 7.777%0.01% 0.000002 5.488472 0.426841 7.777%0.01% 0.000002 5.488475 0.426862 7.777%0.01% 0.000003 5.488478 0.426883 7.778%0.01% 0.000003 5.488480 0.426904 7.778%0.01% 0.000003 5.488483 0.426925 7.779%0.01% 0.000003 5.488486 0.426946 7.779%0.01% 0.000003 5.488489 0.426967 7.779%0.01% 0.000003 5.488493 0.426988 7.780%0.01% 0.000003 5.488496 0.427009 7.780%0.01% 0.000004 5.488500 0.427030 7.780%0.01% 0.000004 5.488504 0.427050 7.781%0.01% 0.000004 5.488507 0.427071 7.781%0.01% 0.000004 5.488511 0.427092 7.782%0.01% 0.000004 5.488516 0.427113 7.782%0.01% 0.000004 5.488520 0.427134 7.782%0.01% 0.000004 5.488524 0.427155 7.783%0.01% 0.000004 5.488529 0.427176 7.783%0.01% 0.000005 5.488533 0.427196 7.783%0.01% 0.000005 5.488538 0.427217 7.784%0.01% 0.000005 5.488543 0.427238 7.784%0.01% 0.000005 5.488548 0.427259 7.785%0.01% 0.000005 5.488553 0.427279 7.785%0.01% 0.000005 5.488558 0.427300 7.785%0.01% 0.000005 5.488564 0.427321 7.786%0.01% 0.000006 5.488569 0.427342 7.786%0.01% 0.000006 5.488575 0.427362 7.786%0.01% 0.000006 5.488581 0.427383 7.787%

Page 723: Ch 6 Credit Derivatives

0.01% 0.000006 5.488587 0.427404 7.787%0.01% 0.000006 5.488593 0.427424 7.788%0.01% 0.000006 5.488599 0.427445 7.788%0.01% 0.000006 5.488606 0.427466 7.788%0.01% 0.000006 5.488612 0.427486 7.789%0.01% 0.000007 5.488619 0.427507 7.789%0.01% 0.000007 5.488625 0.427527 7.789%0.01% 0.000007 5.488632 0.427548 7.790%0.01% 0.000007 5.488639 0.427568 7.790%0.01% 0.000007 5.488646 0.427589 7.790%0.01% 0.000007 5.488654 0.427609 7.791%0.01% 0.000007 5.488661 0.427630 7.791%0.01% 0.000007 5.488668 0.427650 7.792%0.01% 0.000008 5.488676 0.427671 7.792%0.01% 0.000008 5.488684 0.427691 7.792%0.01% 0.000008 5.488692 0.427712 7.793%0.01% 0.000008 5.488700 0.427732 7.793%0.01% 0.000008 5.488708 0.427753 7.793%0.01% 0.000008 5.488716 0.427773 7.794%0.01% 0.000008 5.488724 0.427793 7.794%0.01% 0.017617 5.506341 0.427814 7.769%0.01% 0.000000 5.506341 0.427834 7.770%0.01% 0.000000 5.506341 0.427855 7.770%0.01% 0.000000 5.506342 0.427875 7.771%0.01% 0.000000 5.506342 0.427896 7.771%0.01% 0.000001 5.506343 0.427916 7.771%0.01% 0.000001 5.506343 0.427937 7.772%0.01% 0.000001 5.506344 0.427957 7.772%0.01% 0.000001 5.506345 0.427978 7.772%0.01% 0.000001 5.506346 0.427998 7.773%0.01% 0.000001 5.506348 0.428019 7.773%0.01% 0.000001 5.506349 0.428039 7.774%0.01% 0.000002 5.506350 0.428059 7.774%0.01% 0.000002 5.506352 0.428080 7.774%0.01% 0.000002 5.506354 0.428100 7.775%0.01% 0.000002 5.506356 0.428120 7.775%0.01% 0.000002 5.506358 0.428141 7.775%0.01% 0.000002 5.506360 0.428161 7.776%0.01% 0.000002 5.506362 0.428181 7.776%0.01% 0.000002 5.506365 0.428202 7.776%0.01% 0.000003 5.506367 0.428222 7.777%0.01% 0.000003 5.506370 0.428242 7.777%0.01% 0.000003 5.506373 0.428262 7.778%0.01% 0.000003 5.506376 0.428283 7.778%

Page 724: Ch 6 Credit Derivatives

0.01% 0.000003 5.506379 0.428303 7.778%0.01% 0.000003 5.506382 0.428323 7.779%0.01% 0.000003 5.506385 0.428343 7.779%0.01% 0.000003 5.506389 0.428363 7.779%0.01% 0.000004 5.506392 0.428384 7.780%0.01% 0.000004 5.506396 0.428404 7.780%0.01% 0.000004 5.506400 0.428424 7.780%0.01% 0.000004 5.506404 0.428444 7.781%0.01% 0.000004 5.506408 0.428464 7.781%0.01% 0.000004 5.506412 0.428484 7.782%0.01% 0.000004 5.506416 0.428504 7.782%0.01% 0.000005 5.506421 0.428524 7.782%0.01% 0.000005 5.506426 0.428544 7.783%0.01% 0.000005 5.506430 0.428564 7.783%0.01% 0.000005 5.506435 0.428584 7.783%0.01% 0.000005 5.506440 0.428604 7.784%0.01% 0.000005 5.506445 0.428624 7.784%0.01% 0.000005 5.506450 0.428644 7.784%0.01% 0.000005 5.506456 0.428664 7.785%0.01% 0.000005 5.506461 0.428684 7.785%0.01% 0.000006 5.506467 0.428704 7.785%0.01% 0.000006 5.506473 0.428724 7.786%0.01% 0.000006 5.506479 0.428744 7.786%0.01% 0.000006 5.506484 0.428764 7.787%0.01% 0.000006 5.506491 0.428784 7.787%0.01% 0.000006 5.506497 0.428803 7.787%0.01% 0.000006 5.506503 0.428823 7.788%0.01% 0.000007 5.506510 0.428843 7.788%0.01% 0.000007 5.506516 0.428863 7.788%0.01% 0.000007 5.506523 0.428883 7.789%0.01% 0.000007 5.506530 0.428903 7.789%0.01% 0.000007 5.506537 0.428922 7.789%0.01% 0.000007 5.506544 0.428942 7.790%0.01% 0.000007 5.506551 0.428962 7.790%0.01% 0.000007 5.506558 0.428982 7.790%0.01% 0.000007 5.506566 0.429001 7.791%0.01% 0.000008 5.506574 0.429021 7.791%0.01% 0.000008 5.506581 0.429041 7.791%0.01% 0.000008 5.506589 0.429060 7.792%0.01% 0.000008 5.506597 0.429080 7.792%0.01% 0.000008 5.506605 0.429100 7.792%0.01% 0.000008 5.506613 0.429119 7.793%0.01% 0.017000 5.523613 0.429139 7.769%0.01% 0.000000 5.523613 0.429159 7.770%

Page 725: Ch 6 Credit Derivatives

0.01% 0.000000 5.523613 0.429179 7.770%0.01% 0.000000 5.523614 0.429199 7.770%0.01% 0.000001 5.523614 0.429219 7.771%0.01% 0.000001 5.523615 0.429239 7.771%0.01% 0.000001 5.523616 0.429259 7.771%0.01% 0.000001 5.523616 0.429279 7.772%0.01% 0.000001 5.523617 0.429299 7.772%0.01% 0.000001 5.523619 0.429319 7.772%0.01% 0.000001 5.523620 0.429339 7.773%0.01% 0.000001 5.523621 0.429359 7.773%0.01% 0.000001 5.523623 0.429379 7.773%0.01% 0.000002 5.523624 0.429399 7.774%0.01% 0.000002 5.523626 0.429419 7.774%0.01% 0.000002 5.523628 0.429438 7.775%0.01% 0.000002 5.523630 0.429458 7.775%0.01% 0.000002 5.523632 0.429478 7.775%0.01% 0.000002 5.523634 0.429498 7.776%0.01% 0.000002 5.523637 0.429518 7.776%0.01% 0.000003 5.523639 0.429538 7.776%0.01% 0.000003 5.523642 0.429557 7.777%0.01% 0.000003 5.523645 0.429577 7.777%0.01% 0.000003 5.523648 0.429597 7.777%0.01% 0.000003 5.523651 0.429617 7.778%0.01% 0.000003 5.523654 0.429636 7.778%0.01% 0.000003 5.523657 0.429656 7.778%0.01% 0.000003 5.523661 0.429676 7.779%0.01% 0.000003 5.523664 0.429695 7.779%0.01% 0.000004 5.523668 0.429715 7.780%0.01% 0.000004 5.523672 0.429735 7.780%0.01% 0.000004 5.523676 0.429754 7.780%0.01% 0.000004 5.523680 0.429774 7.781%0.01% 0.000004 5.523684 0.429794 7.781%0.01% 0.000004 5.523688 0.429813 7.781%0.01% 0.000004 5.523692 0.429833 7.782%0.01% 0.000005 5.523697 0.429852 7.782%0.01% 0.000005 5.523702 0.429872 7.782%0.01% 0.000005 5.523706 0.429891 7.783%0.01% 0.000005 5.523711 0.429911 7.783%0.01% 0.000005 5.523716 0.429930 7.783%0.01% 0.000005 5.523722 0.429950 7.784%0.01% 0.000005 5.523727 0.429969 7.784%0.01% 0.000005 5.523732 0.429989 7.784%0.01% 0.000006 5.523738 0.430008 7.785%0.01% 0.000006 5.523743 0.430028 7.785%

Page 726: Ch 6 Credit Derivatives

0.01% 0.000006 5.523749 0.430047 7.785%0.01% 0.000006 5.523755 0.430067 7.786%0.01% 0.000006 5.523761 0.430086 7.786%0.01% 0.000006 5.523767 0.430105 7.786%0.01% 0.000006 5.523773 0.430125 7.787%0.01% 0.000006 5.523780 0.430144 7.787%0.01% 0.000006 5.523786 0.430164 7.787%0.01% 0.000007 5.523793 0.430183 7.788%0.01% 0.000007 5.523799 0.430202 7.788%0.01% 0.000007 5.523806 0.430222 7.788%0.01% 0.000007 5.523813 0.430241 7.789%0.01% 0.000007 5.523820 0.430260 7.789%0.01% 0.000007 5.523828 0.430279 7.790%0.01% 0.000007 5.523835 0.430299 7.790%0.01% 0.000007 5.523842 0.430318 7.790%0.01% 0.000008 5.523850 0.430337 7.791%0.01% 0.000008 5.523858 0.430356 7.791%0.01% 0.000008 5.523865 0.430375 7.791%0.01% 0.000008 5.523873 0.430395 7.792%0.01% 0.016049 5.539922 0.430414 7.769%0.01% 0.000000 5.539922 0.430434 7.770%0.01% 0.000000 5.539923 0.430453 7.770%0.01% 0.000000 5.539923 0.430473 7.770%0.01% 0.000001 5.539923 0.430493 7.771%0.01% 0.000001 5.539924 0.430512 7.771%0.01% 0.000001 5.539925 0.430532 7.771%0.01% 0.000001 5.539926 0.430552 7.772%0.01% 0.000001 5.539926 0.430571 7.772%0.01% 0.000001 5.539928 0.430591 7.772%0.01% 0.000001 5.539929 0.430610 7.773%0.01% 0.000001 5.539930 0.430630 7.773%0.01% 0.000001 5.539932 0.430650 7.774%0.01% 0.000002 5.539933 0.430669 7.774%0.01% 0.000002 5.539935 0.430689 7.774%0.01% 0.000002 5.539937 0.430708 7.775%0.01% 0.000002 5.539939 0.430728 7.775%0.01% 0.000002 5.539941 0.430747 7.775%0.01% 0.000002 5.539943 0.430767 7.776%0.01% 0.000002 5.539946 0.430786 7.776%0.01% 0.000003 5.539948 0.430806 7.776%0.01% 0.000003 5.539951 0.430825 7.777%0.01% 0.000003 5.539953 0.430845 7.777%0.01% 0.000003 5.539956 0.430864 7.777%0.01% 0.000003 5.539959 0.430883 7.778%

Page 727: Ch 6 Credit Derivatives

0.01% 0.000003 5.539962 0.430903 7.778%0.01% 0.000003 5.539966 0.430922 7.778%0.01% 0.000003 5.539969 0.430941 7.779%0.01% 0.000003 5.539972 0.430961 7.779%0.01% 0.000004 5.539976 0.430980 7.779%0.01% 0.000004 5.539980 0.430999 7.780%0.01% 0.000004 5.539984 0.431019 7.780%0.01% 0.000004 5.539988 0.431038 7.780%0.01% 0.000004 5.539992 0.431057 7.781%0.01% 0.000004 5.539996 0.431077 7.781%0.01% 0.000004 5.540000 0.431096 7.782%0.01% 0.000004 5.540005 0.431115 7.782%0.01% 0.000005 5.540009 0.431134 7.782%0.01% 0.000005 5.540014 0.431153 7.783%0.01% 0.000005 5.540019 0.431173 7.783%0.01% 0.000005 5.540024 0.431192 7.783%0.01% 0.000005 5.540029 0.431211 7.784%0.01% 0.000005 5.540034 0.431230 7.784%0.01% 0.000005 5.540039 0.431249 7.784%0.01% 0.000005 5.540045 0.431268 7.785%0.01% 0.000006 5.540050 0.431287 7.785%0.01% 0.000006 5.540056 0.431307 7.785%0.01% 0.000006 5.540062 0.431326 7.786%0.01% 0.000006 5.540067 0.431345 7.786%0.01% 0.000006 5.540073 0.431364 7.786%0.01% 0.000006 5.540080 0.431383 7.787%0.01% 0.000006 5.540086 0.431402 7.787%0.01% 0.000006 5.540092 0.431421 7.787%0.01% 0.000006 5.540099 0.431440 7.788%0.01% 0.000007 5.540105 0.431459 7.788%0.01% 0.000007 5.540112 0.431478 7.788%0.01% 0.000007 5.540119 0.431497 7.789%0.01% 0.000007 5.540126 0.431516 7.789%0.01% 0.000007 5.540133 0.431535 7.789%0.01% 0.000007 5.540140 0.431553 7.790%0.01% 0.000007 5.540147 0.431572 7.790%0.01% 0.000007 5.540155 0.431591 7.790%0.01% 0.000008 5.540162 0.431610 7.791%0.01% 0.000008 5.540170 0.431629 7.791%0.01% 0.015145 5.555315 0.431648 7.770%0.01% 0.000000 5.555315 0.431667 7.770%0.01% 0.000000 5.555316 0.431686 7.771%0.01% 0.000000 5.555316 0.431705 7.771%0.01% 0.000000 5.555316 0.431723 7.771%

Page 728: Ch 6 Credit Derivatives

0.01% 0.000001 5.555317 0.431742 7.772%0.01% 0.000001 5.555317 0.431761 7.772%0.01% 0.000001 5.555318 0.431780 7.772%0.01% 0.000001 5.555319 0.431799 7.773%0.01% 0.000001 5.555320 0.431818 7.773%0.01% 0.000001 5.555321 0.431837 7.773%0.01% 0.000001 5.555323 0.431855 7.774%0.01% 0.000001 5.555324 0.431874 7.774%0.01% 0.000001 5.555325 0.431893 7.774%0.01% 0.000002 5.555327 0.431912 7.775%0.01% 0.000002 5.555329 0.431931 7.775%0.01% 0.000002 5.555331 0.431949 7.775%0.01% 0.000002 5.555333 0.431968 7.776%0.01% 0.000002 5.555335 0.431987 7.776%0.01% 0.000002 5.555337 0.432005 7.776%0.01% 0.000002 5.555339 0.432024 7.777%0.01% 0.000003 5.555342 0.432043 7.777%0.01% 0.000003 5.555345 0.432061 7.777%0.01% 0.000003 5.555347 0.432080 7.778%0.01% 0.000003 5.555350 0.432099 7.778%0.01% 0.000003 5.555353 0.432117 7.778%0.01% 0.000003 5.555356 0.432136 7.779%0.01% 0.000003 5.555359 0.432155 7.779%0.01% 0.000003 5.555363 0.432173 7.779%0.01% 0.000003 5.555366 0.432192 7.780%0.01% 0.000004 5.555370 0.432210 7.780%0.01% 0.000004 5.555373 0.432229 7.780%0.01% 0.000004 5.555377 0.432247 7.781%0.01% 0.000004 5.555381 0.432266 7.781%0.01% 0.000004 5.555385 0.432284 7.781%0.01% 0.000004 5.555389 0.432303 7.782%0.01% 0.000004 5.555393 0.432321 7.782%0.01% 0.000004 5.555398 0.432340 7.782%0.01% 0.000004 5.555402 0.432358 7.783%0.01% 0.000005 5.555407 0.432377 7.783%0.01% 0.000005 5.555411 0.432395 7.783%0.01% 0.000005 5.555416 0.432413 7.784%0.01% 0.000005 5.555421 0.432432 7.784%0.01% 0.000005 5.555426 0.432450 7.784%0.01% 0.000005 5.555431 0.432469 7.785%0.01% 0.000005 5.555437 0.432487 7.785%0.01% 0.000005 5.555442 0.432505 7.785%0.01% 0.000006 5.555448 0.432524 7.786%0.01% 0.000006 5.555453 0.432542 7.786%

Page 729: Ch 6 Credit Derivatives

0.01% 0.000006 5.555459 0.432560 7.786%0.01% 0.000006 5.555465 0.432578 7.787%0.01% 0.000006 5.555471 0.432597 7.787%0.01% 0.000006 5.555477 0.432615 7.787%0.01% 0.000006 5.555483 0.432633 7.787%0.01% 0.000006 5.555489 0.432651 7.788%0.01% 0.000006 5.555496 0.432670 7.788%0.01% 0.000007 5.555502 0.432688 7.788%0.01% 0.000007 5.555509 0.432706 7.789%0.01% 0.000007 5.555516 0.432724 7.789%0.01% 0.000007 5.555523 0.432742 7.789%0.01% 0.000007 5.555530 0.432761 7.790%0.01% 0.000007 5.555537 0.432779 7.790%0.01% 0.000007 5.555544 0.432797 7.790%0.01% 0.000007 5.555551 0.432815 7.791%0.01% 0.000007 5.555559 0.432833 7.791%0.01% 0.000008 5.555566 0.432851 7.791%0.01% 0.014750 5.570316 0.432869 7.771%0.01% 0.000000 5.570316 0.432887 7.771%0.01% 0.000000 5.570316 0.432905 7.772%0.01% 0.000000 5.570317 0.432923 7.772%0.01% 0.000001 5.570317 0.432942 7.772%0.01% 0.000001 5.570318 0.432960 7.773%0.01% 0.000001 5.570318 0.432978 7.773%0.01% 0.000001 5.570319 0.432996 7.773%0.01% 0.000001 5.570320 0.433014 7.774%0.01% 0.000001 5.570321 0.433032 7.774%0.01% 0.000001 5.570322 0.433050 7.774%0.01% 0.000001 5.570323 0.433068 7.775%0.01% 0.000001 5.570325 0.433086 7.775%0.01% 0.000001 5.570326 0.433104 7.775%0.01% 0.000002 5.570328 0.433122 7.776%0.01% 0.000002 5.570330 0.433139 7.776%0.01% 0.000002 5.570331 0.433157 7.776%0.01% 0.000002 5.570333 0.433175 7.776%0.01% 0.000002 5.570335 0.433193 7.777%0.01% 0.000002 5.570338 0.433211 7.777%0.01% 0.000002 5.570340 0.433229 7.777%0.01% 0.000002 5.570342 0.433247 7.778%0.01% 0.000002 5.570345 0.433265 7.778%0.01% 0.000003 5.570347 0.433282 7.778%0.01% 0.000003 5.570350 0.433300 7.779%0.01% 0.000003 5.570353 0.433318 7.779%0.01% 0.000003 5.570356 0.433336 7.779%

Page 730: Ch 6 Credit Derivatives

0.01% 0.000003 5.570359 0.433354 7.780%0.01% 0.000003 5.570362 0.433371 7.780%0.01% 0.000003 5.570365 0.433389 7.780%0.01% 0.000003 5.570369 0.433407 7.781%0.01% 0.000004 5.570372 0.433425 7.781%0.01% 0.000004 5.570376 0.433442 7.781%0.01% 0.000004 5.570380 0.433460 7.782%0.01% 0.000004 5.570384 0.433478 7.782%0.01% 0.000004 5.570388 0.433495 7.782%0.01% 0.000004 5.570392 0.433513 7.782%0.01% 0.000004 5.570396 0.433531 7.783%0.01% 0.000004 5.570400 0.433548 7.783%0.01% 0.000004 5.570405 0.433566 7.783%0.01% 0.000005 5.570409 0.433583 7.784%0.01% 0.000005 5.570414 0.433601 7.784%0.01% 0.000005 5.570419 0.433619 7.784%0.01% 0.000005 5.570423 0.433636 7.785%0.01% 0.000005 5.570428 0.433654 7.785%0.01% 0.000005 5.570434 0.433671 7.785%0.01% 0.000005 5.570439 0.433689 7.786%0.01% 0.000005 5.570444 0.433706 7.786%0.01% 0.000005 5.570449 0.433724 7.786%0.01% 0.000006 5.570455 0.433741 7.786%0.01% 0.000006 5.570461 0.433759 7.787%0.01% 0.000006 5.570466 0.433776 7.787%0.01% 0.000006 5.570472 0.433794 7.787%0.01% 0.000006 5.570478 0.433811 7.788%0.01% 0.000006 5.570484 0.433828 7.788%0.01% 0.000006 5.570490 0.433846 7.788%0.01% 0.000006 5.570497 0.433863 7.789%0.01% 0.000006 5.570503 0.433881 7.789%0.01% 0.000006 5.570509 0.433898 7.789%0.01% 0.000007 5.570516 0.433915 7.790%0.01% 0.000007 5.570523 0.433933 7.790%0.01% 0.000007 5.570530 0.433950 7.790%0.01% 0.000007 5.570537 0.433967 7.790%0.01% 0.000007 5.570544 0.433985 7.791%0.01% 0.000007 5.570551 0.434002 7.791%0.01% 0.000007 5.570558 0.434019 7.791%0.01% 0.014052 5.584610 0.434037 7.772%0.01% 0.000000 5.584610 0.434054 7.772%0.01% 0.000000 5.584610 0.434071 7.773%0.01% 0.000000 5.584610 0.434089 7.773%0.01% 0.000000 5.584611 0.434106 7.773%

Page 731: Ch 6 Credit Derivatives

0.01% 0.000001 5.584611 0.434124 7.774%0.01% 0.000001 5.584612 0.434141 7.774%0.01% 0.000001 5.584613 0.434158 7.774%0.01% 0.000001 5.584614 0.434176 7.774%0.01% 0.000001 5.584615 0.434193 7.775%0.01% 0.000001 5.584616 0.434210 7.775%0.01% 0.000001 5.584617 0.434227 7.775%0.01% 0.000001 5.584618 0.434245 7.776%0.01% 0.000002 5.584620 0.434262 7.776%0.01% 0.000002 5.584621 0.434279 7.776%0.01% 0.000002 5.584623 0.434297 7.777%0.01% 0.000002 5.584625 0.434314 7.777%0.01% 0.000002 5.584627 0.434331 7.777%0.01% 0.000002 5.584629 0.434348 7.778%0.01% 0.000002 5.584631 0.434365 7.778%0.01% 0.000002 5.584633 0.434383 7.778%0.01% 0.000002 5.584635 0.434400 7.778%0.01% 0.000002 5.584638 0.434417 7.779%0.01% 0.000003 5.584640 0.434434 7.779%0.01% 0.000003 5.584643 0.434451 7.779%0.01% 0.000003 5.584646 0.434468 7.780%0.01% 0.000003 5.584649 0.434485 7.780%0.01% 0.000003 5.584652 0.434502 7.780%0.01% 0.000003 5.584655 0.434519 7.781%0.01% 0.000003 5.584658 0.434537 7.781%0.01% 0.000003 5.584661 0.434554 7.781%0.01% 0.000003 5.584665 0.434571 7.781%0.01% 0.000003 5.584668 0.434588 7.782%0.01% 0.000004 5.584672 0.434605 7.782%0.01% 0.000004 5.584676 0.434622 7.782%0.01% 0.000004 5.584679 0.434639 7.783%0.01% 0.000004 5.584683 0.434656 7.783%0.01% 0.000004 5.584687 0.434673 7.783%0.01% 0.000004 5.584692 0.434690 7.784%0.01% 0.000004 5.584696 0.434706 7.784%0.01% 0.000004 5.584700 0.434723 7.784%0.01% 0.000004 5.584705 0.434740 7.784%0.01% 0.000005 5.584709 0.434757 7.785%0.01% 0.000005 5.584714 0.434774 7.785%0.01% 0.000005 5.584719 0.434791 7.785%0.01% 0.000005 5.584724 0.434808 7.786%0.01% 0.000005 5.584729 0.434825 7.786%0.01% 0.000005 5.584734 0.434842 7.786%0.01% 0.000005 5.584739 0.434858 7.787%

Page 732: Ch 6 Credit Derivatives

0.01% 0.000005 5.584745 0.434875 7.787%0.01% 0.000005 5.584750 0.434892 7.787%0.01% 0.000006 5.584756 0.434909 7.787%0.01% 0.000006 5.584761 0.434926 7.788%0.01% 0.000006 5.584767 0.434942 7.788%0.01% 0.000006 5.584773 0.434959 7.788%0.01% 0.000006 5.584779 0.434976 7.789%0.01% 0.000006 5.584785 0.434993 7.789%0.01% 0.000006 5.584791 0.435009 7.789%0.01% 0.000006 5.584797 0.435026 7.789%0.01% 0.000006 5.584804 0.435043 7.790%0.01% 0.000006 5.584810 0.435059 7.790%0.01% 0.000007 5.584817 0.435076 7.790%0.01% 0.000007 5.584823 0.435093 7.791%0.01% 0.000007 5.584830 0.435109 7.791%0.01% 0.000007 5.584837 0.435126 7.791%0.01% 0.013246 5.598083 0.435142 7.773%0.01% 0.000000 5.598083 0.435159 7.773%0.01% 0.000000 5.598083 0.435176 7.774%0.01% 0.000000 5.598084 0.435192 7.774%0.01% 0.000000 5.598084 0.435209 7.774%0.01% 0.000001 5.598085 0.435226 7.775%0.01% 0.000001 5.598085 0.435242 7.775%0.01% 0.000001 5.598086 0.435259 7.775%0.01% 0.000001 5.598087 0.435275 7.775%0.01% 0.000001 5.598088 0.435292 7.776%0.01% 0.000001 5.598089 0.435308 7.776%0.01% 0.000001 5.598090 0.435325 7.776%0.01% 0.000001 5.598092 0.435341 7.777%0.01% 0.000001 5.598093 0.435358 7.777%0.01% 0.000002 5.598095 0.435374 7.777%0.01% 0.000002 5.598096 0.435391 7.777%0.01% 0.000002 5.598098 0.435407 7.778%0.01% 0.000002 5.598100 0.435424 7.778%0.01% 0.000002 5.598102 0.435440 7.778%0.01% 0.000002 5.598104 0.435457 7.779%0.01% 0.000002 5.598106 0.435473 7.779%0.01% 0.000002 5.598108 0.435490 7.779%0.01% 0.000002 5.598110 0.435506 7.780%0.01% 0.000003 5.598113 0.435522 7.780%0.01% 0.000003 5.598115 0.435539 7.780%0.01% 0.000003 5.598118 0.435555 7.780%0.01% 0.000003 5.598121 0.435571 7.781%0.01% 0.000003 5.598123 0.435588 7.781%

Page 733: Ch 6 Credit Derivatives

0.01% 0.000003 5.598126 0.435604 7.781%0.01% 0.000003 5.598130 0.435620 7.782%0.01% 0.000003 5.598133 0.435637 7.782%0.01% 0.000003 5.598136 0.435653 7.782%0.01% 0.000003 5.598139 0.435669 7.782%0.01% 0.000004 5.598143 0.435685 7.783%0.01% 0.000004 5.598146 0.435702 7.783%0.01% 0.000004 5.598150 0.435718 7.783%0.01% 0.000004 5.598154 0.435734 7.784%0.01% 0.000004 5.598158 0.435750 7.784%0.01% 0.000004 5.598162 0.435767 7.784%0.01% 0.000004 5.598166 0.435783 7.784%0.01% 0.000004 5.598170 0.435799 7.785%0.01% 0.000004 5.598174 0.435815 7.785%0.01% 0.000004 5.598179 0.435831 7.785%0.01% 0.000005 5.598183 0.435847 7.786%0.01% 0.000005 5.598188 0.435863 7.786%0.01% 0.000005 5.598193 0.435880 7.786%0.01% 0.000005 5.598197 0.435896 7.786%0.01% 0.000005 5.598202 0.435912 7.787%0.01% 0.000005 5.598207 0.435928 7.787%0.01% 0.000005 5.598212 0.435944 7.787%0.01% 0.000005 5.598218 0.435960 7.787%0.01% 0.000005 5.598223 0.435976 7.788%0.01% 0.000005 5.598228 0.435992 7.788%0.01% 0.000006 5.598234 0.436008 7.788%0.01% 0.000006 5.598239 0.436024 7.789%0.01% 0.000006 5.598245 0.436040 7.789%0.01% 0.000006 5.598251 0.436056 7.789%0.01% 0.000006 5.598257 0.436072 7.789%0.01% 0.000006 5.598263 0.436088 7.790%0.01% 0.000006 5.598269 0.436104 7.790%0.01% 0.000006 5.598275 0.436120 7.790%0.01% 0.000006 5.598281 0.436136 7.791%0.01% 0.000006 5.598288 0.436152 7.791%0.01% 0.000007 5.598294 0.436168 7.791%0.01% 0.000007 5.598301 0.436183 7.791%0.01% 0.012623 5.610924 0.436199 7.774%0.01% 0.000000 5.610924 0.436215 7.774%0.01% 0.000000 5.610924 0.436231 7.775%0.01% 0.000000 5.610925 0.436247 7.775%0.01% 0.000000 5.610925 0.436263 7.775%0.01% 0.000001 5.610926 0.436278 7.776%0.01% 0.000001 5.610926 0.436294 7.776%

Page 734: Ch 6 Credit Derivatives

0.01% 0.000001 5.610927 0.436310 7.776%0.01% 0.000001 5.610928 0.436326 7.776%0.01% 0.000001 5.610929 0.436342 7.777%0.01% 0.000001 5.610930 0.436357 7.777%0.01% 0.000001 5.610931 0.436373 7.777%0.01% 0.000001 5.610932 0.436389 7.777%0.01% 0.000001 5.610933 0.436405 7.778%0.01% 0.000001 5.610935 0.436420 7.778%0.01% 0.000002 5.610936 0.436436 7.778%0.01% 0.000002 5.610938 0.436452 7.779%0.01% 0.000002 5.610940 0.436467 7.779%0.01% 0.000002 5.610941 0.436483 7.779%0.01% 0.000002 5.610943 0.436499 7.779%0.01% 0.000002 5.610945 0.436514 7.780%0.01% 0.000002 5.610948 0.436530 7.780%0.01% 0.000002 5.610950 0.436545 7.780%0.01% 0.000002 5.610952 0.436561 7.781%0.01% 0.000002 5.610955 0.436577 7.781%0.01% 0.000003 5.610957 0.436592 7.781%0.01% 0.000003 5.610960 0.436608 7.781%0.01% 0.000003 5.610962 0.436623 7.782%0.01% 0.000003 5.610965 0.436639 7.782%0.01% 0.000003 5.610968 0.436654 7.782%0.01% 0.000003 5.610971 0.436670 7.782%0.01% 0.000003 5.610974 0.436685 7.783%0.01% 0.000003 5.610977 0.436701 7.783%0.01% 0.000003 5.610981 0.436716 7.783%0.01% 0.000003 5.610984 0.436732 7.784%0.01% 0.000004 5.610988 0.436747 7.784%0.01% 0.000004 5.610991 0.436763 7.784%0.01% 0.000004 5.610995 0.436778 7.784%0.01% 0.000004 5.610999 0.436794 7.785%0.01% 0.000004 5.611003 0.436809 7.785%0.01% 0.000004 5.611007 0.436824 7.785%0.01% 0.000004 5.611011 0.436840 7.785%0.01% 0.000004 5.611015 0.436855 7.786%0.01% 0.000004 5.611019 0.436871 7.786%0.01% 0.000004 5.611024 0.436886 7.786%0.01% 0.000004 5.611028 0.436901 7.786%0.01% 0.000005 5.611033 0.436917 7.787%0.01% 0.000005 5.611037 0.436932 7.787%0.01% 0.000005 5.611042 0.436947 7.787%0.01% 0.000005 5.611047 0.436963 7.788%0.01% 0.000005 5.611052 0.436978 7.788%

Page 735: Ch 6 Credit Derivatives

0.01% 0.000005 5.611057 0.436993 7.788%0.01% 0.000005 5.611062 0.437008 7.788%0.01% 0.000005 5.611067 0.437024 7.789%0.01% 0.000005 5.611073 0.437039 7.789%0.01% 0.000005 5.611078 0.437054 7.789%0.01% 0.000005 5.611084 0.437069 7.789%0.01% 0.000006 5.611089 0.437085 7.790%0.01% 0.000006 5.611095 0.437100 7.790%0.01% 0.000006 5.611101 0.437115 7.790%0.01% 0.000006 5.611107 0.437130 7.790%0.01% 0.000006 5.611113 0.437145 7.791%0.01% 0.000006 5.611119 0.437160 7.791%0.01% 0.000006 5.611125 0.437176 7.791%0.01% 0.000006 5.611131 0.437191 7.791%0.01% 0.000006 5.611138 0.437206 7.792%0.01% 0.012154 5.623292 0.437221 7.775%0.01% 0.000000 5.623292 0.437236 7.775%0.01% 0.000000 5.623292 0.437251 7.776%0.01% 0.000000 5.623293 0.437266 7.776%0.01% 0.000000 5.623293 0.437282 7.776%0.01% 0.000000 5.623294 0.437297 7.777%0.01% 0.000001 5.623294 0.437312 7.777%0.01% 0.000001 5.623295 0.437327 7.777%0.01% 0.000001 5.623296 0.437342 7.777%0.01% 0.000001 5.623297 0.437357 7.778%0.01% 0.000001 5.623298 0.437372 7.778%0.01% 0.000001 5.623299 0.437387 7.778%0.01% 0.000001 5.623300 0.437402 7.778%0.01% 0.000001 5.623301 0.437417 7.779%0.01% 0.000001 5.623303 0.437432 7.779%0.01% 0.000001 5.623304 0.437447 7.779%0.01% 0.000002 5.623306 0.437462 7.779%0.01% 0.000002 5.623308 0.437477 7.780%0.01% 0.000002 5.623309 0.437492 7.780%0.01% 0.000002 5.623311 0.437507 7.780%0.01% 0.000002 5.623313 0.437522 7.781%0.01% 0.000002 5.623315 0.437537 7.781%0.01% 0.000002 5.623317 0.437552 7.781%0.01% 0.000002 5.623320 0.437567 7.781%0.01% 0.000002 5.623322 0.437582 7.782%0.01% 0.000002 5.623324 0.437597 7.782%0.01% 0.000002 5.623327 0.437611 7.782%0.01% 0.000003 5.623330 0.437626 7.782%0.01% 0.000003 5.623332 0.437641 7.783%

Page 736: Ch 6 Credit Derivatives

0.01% 0.000003 5.623335 0.437656 7.783%0.01% 0.000003 5.623338 0.437671 7.783%0.01% 0.000003 5.623341 0.437686 7.783%0.01% 0.000003 5.623344 0.437701 7.784%0.01% 0.000003 5.623347 0.437715 7.784%0.01% 0.000003 5.623351 0.437730 7.784%0.01% 0.000003 5.623354 0.437745 7.784%0.01% 0.000003 5.623357 0.437760 7.785%0.01% 0.000004 5.623361 0.437774 7.785%0.01% 0.000004 5.623365 0.437789 7.785%0.01% 0.000004 5.623368 0.437804 7.785%0.01% 0.000004 5.623372 0.437819 7.786%0.01% 0.000004 5.623376 0.437833 7.786%0.01% 0.000004 5.623380 0.437848 7.786%0.01% 0.000004 5.623384 0.437863 7.786%0.01% 0.000004 5.623389 0.437877 7.787%0.01% 0.000004 5.623393 0.437892 7.787%0.01% 0.000004 5.623397 0.437907 7.787%0.01% 0.000005 5.623402 0.437921 7.787%0.01% 0.000005 5.623406 0.437936 7.788%0.01% 0.000005 5.623411 0.437951 7.788%0.01% 0.000005 5.623416 0.437965 7.788%0.01% 0.000005 5.623421 0.437980 7.788%0.01% 0.000005 5.623426 0.437994 7.789%0.01% 0.000005 5.623431 0.438009 7.789%0.01% 0.000005 5.623436 0.438024 7.789%0.01% 0.000005 5.623441 0.438038 7.790%0.01% 0.000005 5.623446 0.438053 7.790%0.01% 0.000005 5.623452 0.438067 7.790%0.01% 0.000006 5.623457 0.438082 7.790%0.01% 0.000006 5.623463 0.438096 7.791%0.01% 0.000006 5.623468 0.438111 7.791%0.01% 0.000006 5.623474 0.438125 7.791%0.01% 0.000006 5.623480 0.438140 7.791%0.01% 0.000006 5.623486 0.438154 7.792%0.01% 0.000006 5.623492 0.438169 7.792%0.01% 0.000006 5.623498 0.438183 7.792%0.01% 0.011575 5.635073 0.438198 7.776%0.01% 0.000000 5.635073 0.438212 7.777%0.01% 0.000000 5.635073 0.438227 7.777%0.01% 0.000000 5.635074 0.438241 7.777%0.01% 0.000000 5.635074 0.438256 7.777%0.01% 0.000000 5.635075 0.438270 7.778%0.01% 0.000001 5.635075 0.438285 7.778%

Page 737: Ch 6 Credit Derivatives

0.01% 0.000001 5.635076 0.438299 7.778%0.01% 0.000001 5.635077 0.438314 7.778%0.01% 0.000001 5.635078 0.438328 7.779%0.01% 0.000001 5.635079 0.438343 7.779%0.01% 0.000001 5.635080 0.438357 7.779%0.01% 0.000001 5.635081 0.438372 7.779%0.01% 0.000001 5.635082 0.438386 7.780%0.01% 0.000001 5.635084 0.438401 7.780%0.01% 0.000001 5.635085 0.438415 7.780%0.01% 0.000002 5.635087 0.438429 7.780%0.01% 0.000002 5.635088 0.438444 7.781%0.01% 0.000002 5.635090 0.438458 7.781%0.01% 0.000002 5.635092 0.438473 7.781%0.01% 0.000002 5.635094 0.438487 7.781%0.01% 0.000002 5.635096 0.438501 7.782%0.01% 0.000002 5.635098 0.438516 7.782%0.01% 0.000002 5.635100 0.438530 7.782%0.01% 0.000002 5.635102 0.438544 7.782%0.01% 0.000002 5.635105 0.438559 7.783%0.01% 0.000003 5.635107 0.438573 7.783%0.01% 0.000003 5.635110 0.438587 7.783%0.01% 0.000003 5.635112 0.438601 7.783%0.01% 0.000003 5.635115 0.438616 7.784%0.01% 0.000003 5.635118 0.438630 7.784%0.01% 0.000003 5.635121 0.438644 7.784%0.01% 0.000003 5.635124 0.438658 7.784%0.01% 0.000003 5.635127 0.438673 7.785%0.01% 0.000003 5.635130 0.438687 7.785%0.01% 0.000003 5.635133 0.438701 7.785%0.01% 0.000003 5.635137 0.438715 7.785%0.01% 0.000003 5.635140 0.438729 7.786%0.01% 0.000004 5.635144 0.438744 7.786%0.01% 0.000004 5.635147 0.438758 7.786%0.01% 0.000004 5.635151 0.438772 7.786%0.01% 0.000004 5.635155 0.438786 7.787%0.01% 0.000004 5.635159 0.438800 7.787%0.01% 0.000004 5.635163 0.438814 7.787%0.01% 0.000004 5.635167 0.438828 7.787%0.01% 0.000004 5.635171 0.438842 7.788%0.01% 0.000004 5.635175 0.438857 7.788%0.01% 0.000004 5.635180 0.438871 7.788%0.01% 0.000004 5.635184 0.438885 7.788%0.01% 0.000004 5.635189 0.438899 7.789%0.01% 0.000005 5.635193 0.438913 7.789%

Page 738: Ch 6 Credit Derivatives

0.01% 0.000005 5.635198 0.438927 7.789%0.01% 0.000005 5.635203 0.438941 7.789%0.01% 0.000005 5.635207 0.438955 7.790%0.01% 0.000005 5.635212 0.438969 7.790%0.01% 0.000005 5.635217 0.438983 7.790%0.01% 0.000005 5.635223 0.438997 7.790%0.01% 0.000005 5.635228 0.439011 7.790%0.01% 0.000005 5.635233 0.439025 7.791%0.01% 0.000005 5.635238 0.439039 7.791%0.01% 0.000005 5.635244 0.439053 7.791%0.01% 0.000006 5.635249 0.439067 7.791%0.01% 0.000006 5.635255 0.439080 7.792%0.01% 0.000006 5.635261 0.439094 7.792%0.01% 0.000006 5.635267 0.439108 7.792%0.01% 0.010908 5.646174 0.439122 7.777%0.01% 0.000000 5.646174 0.439136 7.778%0.01% 0.000000 5.646175 0.439150 7.778%0.01% 0.000000 5.646175 0.439164 7.778%0.01% 0.000000 5.646175 0.439178 7.778%0.01% 0.000000 5.646176 0.439192 7.779%0.01% 0.000001 5.646176 0.439206 7.779%0.01% 0.000001 5.646177 0.439220 7.779%0.01% 0.000001 5.646178 0.439234 7.779%0.01% 0.000001 5.646179 0.439248 7.780%0.01% 0.000001 5.646180 0.439262 7.780%0.01% 0.000001 5.646181 0.439275 7.780%0.01% 0.000001 5.646182 0.439289 7.780%0.01% 0.000001 5.646183 0.439303 7.781%0.01% 0.000001 5.646184 0.439317 7.781%0.01% 0.000001 5.646186 0.439331 7.781%0.01% 0.000002 5.646187 0.439345 7.781%0.01% 0.000002 5.646189 0.439359 7.782%0.01% 0.000002 5.646191 0.439372 7.782%0.01% 0.000002 5.646192 0.439386 7.782%0.01% 0.000002 5.646194 0.439400 7.782%0.01% 0.000002 5.646196 0.439414 7.782%0.01% 0.000002 5.646198 0.439428 7.783%0.01% 0.000002 5.646200 0.439441 7.783%0.01% 0.000002 5.646202 0.439455 7.783%0.01% 0.000002 5.646205 0.439469 7.783%0.01% 0.000002 5.646207 0.439483 7.784%0.01% 0.000002 5.646210 0.439496 7.784%0.01% 0.000003 5.646212 0.439510 7.784%0.01% 0.000003 5.646215 0.439524 7.784%

Page 739: Ch 6 Credit Derivatives

0.01% 0.000003 5.646217 0.439537 7.785%0.01% 0.000003 5.646220 0.439551 7.785%0.01% 0.000003 5.646223 0.439565 7.785%0.01% 0.000003 5.646226 0.439579 7.785%0.01% 0.000003 5.646229 0.439592 7.786%0.01% 0.000003 5.646232 0.439606 7.786%0.01% 0.000003 5.646235 0.439619 7.786%0.01% 0.000003 5.646239 0.439633 7.786%0.01% 0.000003 5.646242 0.439647 7.787%0.01% 0.000003 5.646246 0.439660 7.787%0.01% 0.000004 5.646249 0.439674 7.787%0.01% 0.000004 5.646253 0.439687 7.787%0.01% 0.000004 5.646257 0.439701 7.787%0.01% 0.000004 5.646261 0.439715 7.788%0.01% 0.000004 5.646264 0.439728 7.788%0.01% 0.000004 5.646268 0.439742 7.788%0.01% 0.000004 5.646273 0.439755 7.788%0.01% 0.000004 5.646277 0.439769 7.789%0.01% 0.000004 5.646281 0.439782 7.789%0.01% 0.000004 5.646285 0.439796 7.789%0.01% 0.000004 5.646290 0.439809 7.789%0.01% 0.000005 5.646294 0.439823 7.790%0.01% 0.000005 5.646299 0.439836 7.790%0.01% 0.000005 5.646303 0.439850 7.790%0.01% 0.000005 5.646308 0.439863 7.790%0.01% 0.000005 5.646313 0.439877 7.791%0.01% 0.000005 5.646318 0.439890 7.791%0.01% 0.000005 5.646323 0.439903 7.791%0.01% 0.000005 5.646328 0.439917 7.791%0.01% 0.000005 5.646333 0.439930 7.791%0.01% 0.000005 5.646338 0.439944 7.792%0.01% 0.000005 5.646344 0.439957 7.792%0.01% 0.000005 5.646349 0.439970 7.792%0.01% 0.000006 5.646355 0.439984 7.792%0.01% 0.010282 5.656637 0.439997 7.778%0.01% 0.000000 5.656637 0.440010 7.779%0.01% 0.000000 5.656637 0.440024 7.779%0.01% 0.000000 5.656637 0.440037 7.779%0.01% 0.000000 5.656638 0.440050 7.779%0.01% 0.000000 5.656638 0.440063 7.780%0.01% 0.000000 5.656639 0.440076 7.780%0.01% 0.000001 5.656639 0.440090 7.780%0.01% 0.000001 5.656640 0.440103 7.780%0.01% 0.000001 5.656641 0.440116 7.781%

Page 740: Ch 6 Credit Derivatives

0.01% 0.000001 5.656642 0.440129 7.781%0.01% 0.000001 5.656642 0.440142 7.781%0.01% 0.000001 5.656644 0.440155 7.781%0.01% 0.000001 5.656645 0.440169 7.781%0.01% 0.000001 5.656646 0.440182 7.782%0.01% 0.000001 5.656647 0.440195 7.782%0.01% 0.000001 5.656649 0.440208 7.782%0.01% 0.000002 5.656650 0.440221 7.782%0.01% 0.000002 5.656652 0.440234 7.783%0.01% 0.000002 5.656653 0.440247 7.783%0.01% 0.000002 5.656655 0.440260 7.783%0.01% 0.000002 5.656657 0.440273 7.783%0.01% 0.000002 5.656659 0.440286 7.784%0.01% 0.000002 5.656661 0.440299 7.784%0.01% 0.000002 5.656663 0.440312 7.784%0.01% 0.000002 5.656665 0.440325 7.784%0.01% 0.000002 5.656667 0.440338 7.784%0.00% 0.000002 5.656669 0.440351 7.785%0.00% 0.000002 5.656672 0.440364 7.785%0.00% 0.000002 5.656674 0.440377 7.785%0.00% 0.000003 5.656677 0.440390 7.785%0.00% 0.000003 5.656679 0.440403 7.786%0.00% 0.000003 5.656682 0.440416 7.786%0.00% 0.000003 5.656685 0.440429 7.786%0.00% 0.000003 5.656688 0.440442 7.786%0.00% 0.000003 5.656691 0.440455 7.786%0.00% 0.000003 5.656694 0.440468 7.787%0.00% 0.000003 5.656697 0.440481 7.787%0.00% 0.000003 5.656700 0.440494 7.787%0.00% 0.000003 5.656703 0.440507 7.787%0.00% 0.000003 5.656707 0.440519 7.788%0.00% 0.000003 5.656710 0.440532 7.788%0.00% 0.000004 5.656714 0.440545 7.788%0.00% 0.000004 5.656717 0.440558 7.788%0.00% 0.000004 5.656721 0.440571 7.788%0.00% 0.000004 5.656725 0.440584 7.789%0.00% 0.000004 5.656728 0.440596 7.789%0.00% 0.000004 5.656732 0.440609 7.789%0.00% 0.000004 5.656736 0.440622 7.789%0.00% 0.000004 5.656741 0.440635 7.790%0.00% 0.000004 5.656745 0.440648 7.790%0.00% 0.000004 5.656749 0.440660 7.790%0.00% 0.000004 5.656753 0.440673 7.790%0.00% 0.000004 5.656758 0.440686 7.790%

Page 741: Ch 6 Credit Derivatives

0.00% 0.000004 5.656762 0.440699 7.791%0.00% 0.000005 5.656767 0.440711 7.791%0.00% 0.000005 5.656771 0.440724 7.791%0.00% 0.000005 5.656776 0.440737 7.791%0.00% 0.000005 5.656781 0.440749 7.792%0.00% 0.000005 5.656786 0.440762 7.792%0.00% 0.000005 5.656791 0.440775 7.792%0.00% 0.000005 5.656796 0.440787 7.792%0.00% 0.000005 5.656801 0.440800 7.792%0.00% 0.000005 5.656806 0.440813 7.793%0.00% 0.000005 5.656811 0.440825 7.793%0.00% 0.000005 5.656817 0.440838 7.793%0.00% 0.010006 5.666823 0.440851 7.780%0.01% 0.000000 5.666823 0.440864 7.780%0.01% 0.000000 5.666823 0.440876 7.780%0.00% 0.000000 5.666824 0.440889 7.780%0.00% 0.000000 5.666824 0.440902 7.780%0.00% 0.000000 5.666825 0.440915 7.781%0.00% 0.000001 5.666825 0.440928 7.781%0.00% 0.000001 5.666826 0.440941 7.781%0.00% 0.000001 5.666827 0.440954 7.781%0.00% 0.000001 5.666827 0.440966 7.782%0.00% 0.000001 5.666828 0.440979 7.782%0.00% 0.000001 5.666829 0.440992 7.782%0.00% 0.000001 5.666830 0.441005 7.782%0.00% 0.000001 5.666831 0.441018 7.782%0.00% 0.000001 5.666832 0.441030 7.783%0.00% 0.000001 5.666834 0.441043 7.783%0.00% 0.000001 5.666835 0.441056 7.783%0.00% 0.000001 5.666837 0.441069 7.783%0.00% 0.000002 5.666838 0.441081 7.784%0.00% 0.000002 5.666840 0.441094 7.784%0.00% 0.000002 5.666841 0.441107 7.784%0.00% 0.000002 5.666843 0.441120 7.784%0.00% 0.000002 5.666845 0.441132 7.784%0.00% 0.000002 5.666847 0.441145 7.785%0.00% 0.000002 5.666849 0.441158 7.785%0.00% 0.000002 5.666851 0.441170 7.785%0.00% 0.000002 5.666853 0.441183 7.785%0.00% 0.000002 5.666856 0.441196 7.786%0.00% 0.000002 5.666858 0.441208 7.786%0.00% 0.000002 5.666860 0.441221 7.786%0.00% 0.000002 5.666863 0.441234 7.786%0.00% 0.000003 5.666865 0.441246 7.786%

Page 742: Ch 6 Credit Derivatives

0.00% 0.000003 5.666868 0.441259 7.787%0.00% 0.000003 5.666871 0.441271 7.787%0.00% 0.000003 5.666874 0.441284 7.787%0.00% 0.000003 5.666877 0.441297 7.787%0.00% 0.000003 5.666880 0.441309 7.788%0.00% 0.000003 5.666883 0.441322 7.788%0.00% 0.000003 5.666886 0.441334 7.788%0.00% 0.000003 5.666889 0.441347 7.788%0.00% 0.000003 5.666892 0.441359 7.788%0.00% 0.000003 5.666896 0.441372 7.789%0.00% 0.000003 5.666899 0.441384 7.789%0.00% 0.000004 5.666903 0.441397 7.789%0.00% 0.000004 5.666906 0.441409 7.789%0.00% 0.000004 5.666910 0.441422 7.789%0.00% 0.000004 5.666914 0.441434 7.790%0.00% 0.000004 5.666918 0.441447 7.790%0.00% 0.000004 5.666921 0.441459 7.790%0.00% 0.000004 5.666925 0.441472 7.790%0.00% 0.000004 5.666929 0.441484 7.791%0.00% 0.000004 5.666934 0.441496 7.791%0.00% 0.000004 5.666938 0.441509 7.791%0.00% 0.000004 5.666942 0.441521 7.791%0.00% 0.000004 5.666947 0.441534 7.791%0.00% 0.000004 5.666951 0.441546 7.792%0.00% 0.000005 5.666956 0.441558 7.792%0.00% 0.000005 5.666960 0.441571 7.792%0.00% 0.000005 5.666965 0.441583 7.792%0.00% 0.000005 5.666970 0.441596 7.792%0.00% 0.000005 5.666974 0.441608 7.793%0.00% 0.000005 5.666979 0.441620 7.793%0.00% 0.000005 5.666984 0.441633 7.793%0.00% 0.000005 5.666990 0.441645 7.793%0.00% 0.000005 5.666995 0.441657 7.793%0.00% 0.000005 5.667000 0.441669 7.794%0.00% 0.009724 5.676723 0.441682 7.781%0.00% 0.000000 5.676723 0.441694 7.781%0.00% 0.000000 5.676723 0.441706 7.781%0.00% 0.000000 5.676724 0.441718 7.781%0.00% 0.000000 5.676724 0.441730 7.781%0.00% 0.000000 5.676724 0.441742 7.782%0.00% 0.000000 5.676725 0.441754 7.782%0.00% 0.000001 5.676725 0.441766 7.782%0.00% 0.000001 5.676726 0.441779 7.782%0.00% 0.000001 5.676726 0.441791 7.782%

Page 743: Ch 6 Credit Derivatives

0.00% 0.000001 5.676727 0.441803 7.783%0.00% 0.000001 5.676728 0.441815 7.783%0.00% 0.000001 5.676729 0.441827 7.783%0.00% 0.000001 5.676730 0.441839 7.783%0.00% 0.000001 5.676731 0.441851 7.784%0.00% 0.000001 5.676732 0.441863 7.784%0.00% 0.000001 5.676733 0.441875 7.784%0.00% 0.000001 5.676735 0.441887 7.784%0.00% 0.000001 5.676736 0.441899 7.784%0.00% 0.000001 5.676737 0.441911 7.785%0.00% 0.000002 5.676739 0.441923 7.785%0.00% 0.000002 5.676740 0.441935 7.785%0.00% 0.000002 5.676742 0.441947 7.785%0.00% 0.000002 5.676744 0.441958 7.785%0.00% 0.000002 5.676746 0.441970 7.786%0.00% 0.000002 5.676747 0.441982 7.786%0.00% 0.000002 5.676749 0.441994 7.786%0.00% 0.000002 5.676751 0.442006 7.786%0.00% 0.000002 5.676754 0.442018 7.786%0.00% 0.000002 5.676756 0.442030 7.787%0.00% 0.000002 5.676758 0.442042 7.787%0.00% 0.000002 5.676760 0.442054 7.787%0.00% 0.000002 5.676763 0.442065 7.787%0.00% 0.000002 5.676765 0.442077 7.787%0.00% 0.000003 5.676768 0.442089 7.788%0.00% 0.000003 5.676770 0.442101 7.788%0.00% 0.000003 5.676773 0.442113 7.788%0.00% 0.000003 5.676776 0.442125 7.788%0.00% 0.000003 5.676779 0.442136 7.789%0.00% 0.000003 5.676782 0.442148 7.789%0.00% 0.000003 5.676785 0.442160 7.789%0.00% 0.000003 5.676788 0.442172 7.789%0.00% 0.000003 5.676791 0.442184 7.789%0.00% 0.000003 5.676794 0.442195 7.790%0.00% 0.000003 5.676798 0.442207 7.790%0.00% 0.000003 5.676801 0.442219 7.790%0.00% 0.000003 5.676804 0.442230 7.790%0.00% 0.000004 5.676808 0.442242 7.790%0.00% 0.000004 5.676812 0.442254 7.791%0.00% 0.000004 5.676815 0.442266 7.791%0.00% 0.000004 5.676819 0.442277 7.791%0.00% 0.000004 5.676823 0.442289 7.791%0.00% 0.000004 5.676827 0.442301 7.791%0.00% 0.000004 5.676831 0.442312 7.792%

Page 744: Ch 6 Credit Derivatives

0.00% 0.000004 5.676835 0.442324 7.792%0.00% 0.000004 5.676839 0.442336 7.792%0.00% 0.000004 5.676843 0.442347 7.792%0.00% 0.000004 5.676847 0.442359 7.792%0.00% 0.000004 5.676852 0.442371 7.793%0.00% 0.000004 5.676856 0.442382 7.793%0.00% 0.000005 5.676860 0.442394 7.793%0.00% 0.000005 5.676865 0.442405 7.793%0.00% 0.000005 5.676870 0.442417 7.793%0.00% 0.000005 5.676874 0.442429 7.794%0.00% 0.000005 5.676879 0.442440 7.794%0.00% 0.008965 5.685844 0.442452 7.782%0.00% 0.000000 5.685844 0.442463 7.782%0.00% 0.000000 5.685844 0.442475 7.782%0.00% 0.000000 5.685844 0.442486 7.782%0.00% 0.000000 5.685845 0.442497 7.782%0.00% 0.000000 5.685845 0.442509 7.783%0.00% 0.000000 5.685845 0.442520 7.783%0.00% 0.000000 5.685846 0.442531 7.783%0.00% 0.000001 5.685846 0.442543 7.783%0.00% 0.000001 5.685847 0.442554 7.783%0.00% 0.000001 5.685848 0.442566 7.784%0.00% 0.000001 5.685849 0.442577 7.784%0.00% 0.000001 5.685849 0.442588 7.784%0.00% 0.000001 5.685850 0.442600 7.784%0.00% 0.000001 5.685851 0.442611 7.784%0.00% 0.000001 5.685852 0.442622 7.785%0.00% 0.000001 5.685853 0.442633 7.785%0.00% 0.000001 5.685855 0.442645 7.785%0.00% 0.000001 5.685856 0.442656 7.785%0.00% 0.000001 5.685857 0.442667 7.785%0.00% 0.000001 5.685859 0.442678 7.786%0.00% 0.000002 5.685860 0.442690 7.786%0.00% 0.000002 5.685862 0.442701 7.786%0.00% 0.000002 5.685863 0.442712 7.786%0.00% 0.000002 5.685865 0.442723 7.786%0.00% 0.000002 5.685867 0.442735 7.787%0.00% 0.000002 5.685869 0.442746 7.787%0.00% 0.000002 5.685871 0.442757 7.787%0.00% 0.000002 5.685873 0.442768 7.787%0.00% 0.000002 5.685875 0.442779 7.787%0.00% 0.000002 5.685877 0.442791 7.788%0.00% 0.000002 5.685879 0.442802 7.788%0.00% 0.000002 5.685881 0.442813 7.788%

Page 745: Ch 6 Credit Derivatives

0.00% 0.000002 5.685884 0.442824 7.788%0.00% 0.000002 5.685886 0.442835 7.788%0.00% 0.000003 5.685889 0.442846 7.789%0.00% 0.000003 5.685891 0.442858 7.789%0.00% 0.000003 5.685894 0.442869 7.789%0.00% 0.000003 5.685896 0.442880 7.789%0.00% 0.000003 5.685899 0.442891 7.789%0.00% 0.000003 5.685902 0.442902 7.789%0.00% 0.000003 5.685905 0.442913 7.790%0.00% 0.000003 5.685908 0.442924 7.790%0.00% 0.000003 5.685911 0.442935 7.790%0.00% 0.000003 5.685914 0.442946 7.790%0.00% 0.000003 5.685917 0.442957 7.790%0.00% 0.000003 5.685921 0.442968 7.791%0.00% 0.000003 5.685924 0.442979 7.791%0.00% 0.000003 5.685927 0.442990 7.791%0.00% 0.000003 5.685931 0.443001 7.791%0.00% 0.000004 5.685934 0.443012 7.791%0.00% 0.000004 5.685938 0.443023 7.792%0.00% 0.000004 5.685941 0.443034 7.792%0.00% 0.000004 5.685945 0.443045 7.792%0.00% 0.000004 5.685949 0.443056 7.792%0.00% 0.000004 5.685953 0.443067 7.792%0.00% 0.000004 5.685957 0.443078 7.793%0.00% 0.000004 5.685961 0.443089 7.793%0.00% 0.000004 5.685965 0.443100 7.793%0.00% 0.000004 5.685969 0.443111 7.793%0.00% 0.000004 5.685973 0.443122 7.793%0.00% 0.000004 5.685978 0.443133 7.793%0.00% 0.000004 5.685982 0.443144 7.794%0.00% 0.000004 5.685986 0.443155 7.794%0.00% 0.008269 5.694255 0.443166 7.783%0.00% 0.000000 5.694255 0.443177 7.783%0.00% 0.000000 5.694255 0.443188 7.783%0.00% 0.000000 5.694256 0.443199 7.783%0.00% 0.000000 5.694256 0.443211 7.783%0.00% 0.000000 5.694256 0.443222 7.784%0.00% 0.000001 5.694257 0.443233 7.784%0.00% 0.000001 5.694257 0.443244 7.784%0.00% 0.000001 5.694258 0.443255 7.784%0.00% 0.000001 5.694259 0.443267 7.784%0.00% 0.000001 5.694259 0.443278 7.785%0.00% 0.000001 5.694260 0.443289 7.785%0.00% 0.000001 5.694261 0.443300 7.785%

Page 746: Ch 6 Credit Derivatives

0.00% 0.000001 5.694262 0.443311 7.785%0.00% 0.000001 5.694263 0.443322 7.785%0.00% 0.000001 5.694264 0.443334 7.786%0.00% 0.000001 5.694266 0.443345 7.786%0.00% 0.000001 5.694267 0.443356 7.786%0.00% 0.000001 5.694268 0.443367 7.786%0.00% 0.000001 5.694270 0.443378 7.786%0.00% 0.000001 5.694271 0.443389 7.787%0.00% 0.000002 5.694273 0.443400 7.787%0.00% 0.000002 5.694274 0.443411 7.787%0.00% 0.000002 5.694276 0.443422 7.787%0.00% 0.000002 5.694278 0.443433 7.787%0.00% 0.000002 5.694280 0.443444 7.788%0.00% 0.000002 5.694281 0.443455 7.788%0.00% 0.000002 5.694283 0.443466 7.788%0.00% 0.000002 5.694285 0.443477 7.788%0.00% 0.000002 5.694288 0.443488 7.788%0.00% 0.000002 5.694290 0.443499 7.788%0.00% 0.000002 5.694292 0.443510 7.789%0.00% 0.000002 5.694294 0.443521 7.789%0.00% 0.000002 5.694297 0.443532 7.789%0.00% 0.000002 5.694299 0.443543 7.789%0.00% 0.000002 5.694302 0.443554 7.789%0.00% 0.000003 5.694304 0.443565 7.790%0.00% 0.000003 5.694307 0.443576 7.790%0.00% 0.000003 5.694310 0.443587 7.790%0.00% 0.000003 5.694312 0.443598 7.790%0.00% 0.000003 5.694315 0.443609 7.790%0.00% 0.000003 5.694318 0.443620 7.791%0.00% 0.000003 5.694321 0.443631 7.791%0.00% 0.000003 5.694324 0.443642 7.791%0.00% 0.000003 5.694328 0.443653 7.791%0.00% 0.000003 5.694331 0.443663 7.791%0.00% 0.000003 5.694334 0.443674 7.792%0.00% 0.000003 5.694337 0.443685 7.792%0.00% 0.000003 5.694341 0.443696 7.792%0.00% 0.000003 5.694344 0.443707 7.792%0.00% 0.000004 5.694348 0.443718 7.792%0.00% 0.000004 5.694351 0.443728 7.792%0.00% 0.000004 5.694355 0.443739 7.793%0.00% 0.000004 5.694359 0.443750 7.793%0.00% 0.000004 5.694363 0.443761 7.793%0.00% 0.000004 5.694367 0.443772 7.793%0.00% 0.000004 5.694371 0.443782 7.793%

Page 747: Ch 6 Credit Derivatives

0.00% 0.000004 5.694375 0.443793 7.794%0.00% 0.000004 5.694379 0.443804 7.794%0.00% 0.000004 5.694383 0.443815 7.794%0.00% 0.000004 5.694387 0.443826 7.794%0.00% 0.000004 5.694391 0.443836 7.794%0.00% 0.000004 5.694396 0.443847 7.794%0.00% 0.000004 5.694400 0.443858 7.795%0.00% 0.000004 5.694405 0.443868 7.795%0.00% 0.000005 5.694409 0.443879 7.795%0.00% 0.008399 5.702808 0.443890 7.784%0.00% 0.000000 5.702808 0.443900 7.784%0.00% 0.000000 5.702808 0.443911 7.784%0.00% 0.000000 5.702808 0.443922 7.784%0.00% 0.000000 5.702808 0.443932 7.784%0.00% 0.000000 5.702808 0.443943 7.785%0.00% 0.000000 5.702809 0.443953 7.785%0.00% 0.000000 5.702809 0.443964 7.785%0.00% 0.000000 5.702810 0.443974 7.785%0.00% 0.000001 5.702810 0.443985 7.785%0.00% 0.000001 5.702811 0.443995 7.786%0.00% 0.000001 5.702812 0.444006 7.786%0.00% 0.000001 5.702812 0.444016 7.786%0.00% 0.000001 5.702813 0.444027 7.786%0.00% 0.000001 5.702814 0.444037 7.786%0.00% 0.000001 5.702815 0.444048 7.786%0.00% 0.000001 5.702816 0.444058 7.787%0.00% 0.000001 5.702817 0.444068 7.787%0.00% 0.000001 5.702819 0.444079 7.787%0.00% 0.000001 5.702820 0.444089 7.787%0.00% 0.000001 5.702821 0.444100 7.787%0.00% 0.000001 5.702822 0.444110 7.788%0.00% 0.000001 5.702824 0.444120 7.788%0.00% 0.000001 5.702825 0.444131 7.788%0.00% 0.000002 5.702827 0.444141 7.788%0.00% 0.000002 5.702829 0.444152 7.788%0.00% 0.000002 5.702830 0.444162 7.788%0.00% 0.000002 5.702832 0.444172 7.789%0.00% 0.000002 5.702834 0.444183 7.789%0.00% 0.000002 5.702836 0.444193 7.789%0.00% 0.000002 5.702838 0.444203 7.789%0.00% 0.000002 5.702840 0.444214 7.789%0.00% 0.000002 5.702842 0.444224 7.790%0.00% 0.000002 5.702844 0.444234 7.790%0.00% 0.000002 5.702846 0.444245 7.790%

Page 748: Ch 6 Credit Derivatives

0.00% 0.000002 5.702849 0.444255 7.790%0.00% 0.000002 5.702851 0.444265 7.790%0.00% 0.000002 5.702853 0.444276 7.790%0.00% 0.000002 5.702856 0.444286 7.791%0.00% 0.000003 5.702858 0.444296 7.791%0.00% 0.000003 5.702861 0.444306 7.791%0.00% 0.000003 5.702864 0.444317 7.791%0.00% 0.000003 5.702867 0.444327 7.791%0.00% 0.000003 5.702869 0.444337 7.791%0.00% 0.000003 5.702872 0.444347 7.792%0.00% 0.000003 5.702875 0.444357 7.792%0.00% 0.000003 5.702878 0.444368 7.792%0.00% 0.000003 5.702881 0.444378 7.792%0.00% 0.000003 5.702884 0.444388 7.792%0.00% 0.000003 5.702888 0.444398 7.793%0.00% 0.000003 5.702891 0.444408 7.793%0.00% 0.000003 5.702894 0.444419 7.793%0.00% 0.000003 5.702898 0.444429 7.793%0.00% 0.000003 5.702901 0.444439 7.793%0.00% 0.000003 5.702905 0.444449 7.793%0.00% 0.000004 5.702908 0.444459 7.794%0.00% 0.000004 5.702912 0.444469 7.794%0.00% 0.000004 5.702916 0.444480 7.794%0.00% 0.000004 5.702919 0.444490 7.794%0.00% 0.000004 5.702923 0.444500 7.794%0.00% 0.000004 5.702927 0.444510 7.794%0.00% 0.000004 5.702931 0.444520 7.795%0.00% 0.000004 5.702935 0.444530 7.795%0.00% 0.000004 5.702939 0.444540 7.795%0.00% 0.000004 5.702943 0.444550 7.795%0.00% 0.007742 5.710685 0.444560 7.785%0.00% 0.000000 5.710685 0.444570 7.785%0.00% 0.000000 5.710685 0.444580 7.785%0.00% 0.000000 5.710686 0.444590 7.785%0.00% 0.000000 5.710686 0.444601 7.785%0.00% 0.000000 5.710686 0.444611 7.786%0.00% 0.000000 5.710686 0.444621 7.786%0.00% 0.000000 5.710687 0.444631 7.786%0.00% 0.000000 5.710687 0.444641 7.786%0.00% 0.000001 5.710688 0.444651 7.786%0.00% 0.000001 5.710688 0.444661 7.786%0.00% 0.000001 5.710689 0.444671 7.787%0.00% 0.000001 5.710690 0.444681 7.787%0.00% 0.000001 5.710691 0.444691 7.787%

Page 749: Ch 6 Credit Derivatives

0.00% 0.000001 5.710692 0.444701 7.787%0.00% 0.000001 5.710693 0.444711 7.787%0.00% 0.000001 5.710694 0.444721 7.788%0.00% 0.000001 5.710695 0.444731 7.788%0.00% 0.000001 5.710696 0.444741 7.788%0.00% 0.000001 5.710697 0.444751 7.788%0.00% 0.000001 5.710698 0.444760 7.788%0.00% 0.000001 5.710699 0.444770 7.788%0.00% 0.000001 5.710701 0.444780 7.789%0.00% 0.000001 5.710702 0.444790 7.789%0.00% 0.000001 5.710704 0.444800 7.789%0.00% 0.000002 5.710705 0.444810 7.789%0.00% 0.000002 5.710707 0.444820 7.789%0.00% 0.000002 5.710709 0.444830 7.789%0.00% 0.000002 5.710710 0.444840 7.790%0.00% 0.000002 5.710712 0.444850 7.790%0.00% 0.000002 5.710714 0.444859 7.790%0.00% 0.000002 5.710716 0.444869 7.790%0.00% 0.000002 5.710718 0.444879 7.790%0.00% 0.000002 5.710720 0.444889 7.790%0.00% 0.000002 5.710722 0.444899 7.791%0.00% 0.000002 5.710724 0.444909 7.791%0.00% 0.000002 5.710727 0.444918 7.791%0.00% 0.000002 5.710729 0.444928 7.791%0.00% 0.000002 5.710731 0.444938 7.791%0.00% 0.000002 5.710734 0.444948 7.791%0.00% 0.000003 5.710736 0.444958 7.792%0.00% 0.000003 5.710739 0.444967 7.792%0.00% 0.000003 5.710742 0.444977 7.792%0.00% 0.000003 5.710744 0.444987 7.792%0.00% 0.000003 5.710747 0.444997 7.792%0.00% 0.000003 5.710750 0.445006 7.792%0.00% 0.000003 5.710753 0.445016 7.793%0.00% 0.000003 5.710756 0.445026 7.793%0.00% 0.000003 5.710759 0.445036 7.793%0.00% 0.000003 5.710762 0.445045 7.793%0.00% 0.000003 5.710765 0.445055 7.793%0.00% 0.000003 5.710768 0.445065 7.793%0.00% 0.000003 5.710771 0.445075 7.794%0.00% 0.000003 5.710774 0.445084 7.794%0.00% 0.000003 5.710778 0.445094 7.794%0.00% 0.000003 5.710781 0.445104 7.794%0.00% 0.000003 5.710785 0.445113 7.794%0.00% 0.000004 5.710788 0.445123 7.794%

Page 750: Ch 6 Credit Derivatives

0.00% 0.000004 5.710792 0.445133 7.795%0.00% 0.000004 5.710795 0.445142 7.795%0.00% 0.000004 5.710799 0.445152 7.795%0.00% 0.000004 5.710803 0.445161 7.795%0.00% 0.000004 5.710807 0.445171 7.795%0.00% 0.000004 5.710811 0.445181 7.795%0.00% 0.000004 5.710815 0.445190 7.796%0.00% 0.007372 5.718187 0.445200 7.786%0.00% 0.000000 5.718187 0.445210 7.786%0.00% 0.000000 5.718187 0.445219 7.786%0.00% 0.000000 5.718187 0.445229 7.786%0.00% 0.000000 5.718187 0.445238 7.786%0.00% 0.000000 5.718187 0.445248 7.787%0.00% 0.000000 5.718188 0.445258 7.787%0.00% 0.000000 5.718188 0.445267 7.787%0.00% 0.000000 5.718189 0.445277 7.787%0.00% 0.000000 5.718189 0.445286 7.787%0.00% 0.000001 5.718190 0.445296 7.787%0.00% 0.000001 5.718190 0.445305 7.788%0.00% 0.000001 5.718191 0.445315 7.788%0.00% 0.000001 5.718192 0.445324 7.788%0.00% 0.000001 5.718193 0.445334 7.788%0.00% 0.000001 5.718194 0.445343 7.788%0.00% 0.000001 5.718195 0.445353 7.788%0.00% 0.000001 5.718196 0.445362 7.789%0.00% 0.000001 5.718197 0.445372 7.789%0.00% 0.000001 5.718198 0.445381 7.789%0.00% 0.000001 5.718199 0.445391 7.789%0.00% 0.000001 5.718200 0.445400 7.789%0.00% 0.000001 5.718202 0.445410 7.789%0.00% 0.000001 5.718203 0.445419 7.789%0.00% 0.000001 5.718204 0.445429 7.790%0.00% 0.000002 5.718206 0.445438 7.790%0.00% 0.000002 5.718207 0.445448 7.790%0.00% 0.000002 5.718209 0.445457 7.790%0.00% 0.000002 5.718211 0.445466 7.790%0.00% 0.000002 5.718212 0.445476 7.790%0.00% 0.000002 5.718214 0.445485 7.791%0.00% 0.000002 5.718216 0.445495 7.791%0.00% 0.000002 5.718218 0.445504 7.791%0.00% 0.000002 5.718220 0.445513 7.791%0.00% 0.000002 5.718222 0.445523 7.791%0.00% 0.000002 5.718224 0.445532 7.791%0.00% 0.000002 5.718226 0.445542 7.792%

Page 751: Ch 6 Credit Derivatives

0.00% 0.000002 5.718228 0.445551 7.792%0.00% 0.000002 5.718231 0.445560 7.792%0.00% 0.000002 5.718233 0.445570 7.792%0.00% 0.000002 5.718235 0.445579 7.792%0.00% 0.000002 5.718238 0.445588 7.792%0.00% 0.000003 5.718240 0.445598 7.793%0.00% 0.000003 5.718243 0.445607 7.793%0.00% 0.000003 5.718245 0.445616 7.793%0.00% 0.000003 5.718248 0.445626 7.793%0.00% 0.000003 5.718251 0.445635 7.793%0.00% 0.000003 5.718254 0.445644 7.793%0.00% 0.000003 5.718257 0.445653 7.794%0.00% 0.000003 5.718259 0.445663 7.794%0.00% 0.000003 5.718262 0.445672 7.794%0.00% 0.000003 5.718265 0.445681 7.794%0.00% 0.000003 5.718269 0.445690 7.794%0.00% 0.000003 5.718272 0.445700 7.794%0.00% 0.000003 5.718275 0.445709 7.794%0.00% 0.000003 5.718278 0.445718 7.795%0.00% 0.000003 5.718281 0.445727 7.795%0.00% 0.000003 5.718285 0.445737 7.795%0.00% 0.000003 5.718288 0.445746 7.795%0.00% 0.000003 5.718292 0.445755 7.795%0.00% 0.000004 5.718295 0.445764 7.795%0.00% 0.000004 5.718299 0.445773 7.796%0.00% 0.000004 5.718303 0.445783 7.796%0.00% 0.000004 5.718306 0.445792 7.796%0.00% 0.000004 5.718310 0.445801 7.796%0.00% 0.007019 5.725329 0.445810 7.787%0.00% 0.000000 5.725330 0.445819 7.787%0.00% 0.000000 5.725330 0.445828 7.787%0.00% 0.000000 5.725330 0.445838 7.787%0.00% 0.000000 5.725330 0.445847 7.787%0.00% 0.000000 5.725330 0.445856 7.787%0.00% 0.000000 5.725331 0.445865 7.788%0.00% 0.000000 5.725331 0.445874 7.788%0.00% 0.000000 5.725331 0.445883 7.788%0.00% 0.000000 5.725332 0.445892 7.788%0.00% 0.000001 5.725332 0.445901 7.788%0.00% 0.000001 5.725333 0.445911 7.788%0.00% 0.000001 5.725334 0.445920 7.789%0.00% 0.000001 5.725334 0.445929 7.789%0.00% 0.000001 5.725335 0.445938 7.789%0.00% 0.000001 5.725336 0.445947 7.789%

Page 752: Ch 6 Credit Derivatives

0.00% 0.000001 5.725337 0.445956 7.789%0.00% 0.000001 5.725338 0.445965 7.789%0.00% 0.000001 5.725339 0.445974 7.789%0.00% 0.000001 5.725340 0.445983 7.790%0.00% 0.000001 5.725341 0.445992 7.790%0.00% 0.000001 5.725342 0.446001 7.790%0.00% 0.000001 5.725344 0.446010 7.790%0.00% 0.000001 5.725345 0.446019 7.790%0.00% 0.000001 5.725346 0.446028 7.790%0.00% 0.000001 5.725348 0.446037 7.791%0.00% 0.000001 5.725349 0.446046 7.791%0.00% 0.000002 5.725351 0.446055 7.791%0.00% 0.000002 5.725352 0.446064 7.791%0.00% 0.000002 5.725354 0.446073 7.791%0.00% 0.000002 5.725356 0.446082 7.791%0.00% 0.000002 5.725357 0.446091 7.791%0.00% 0.000002 5.725359 0.446100 7.792%0.00% 0.000002 5.725361 0.446109 7.792%0.00% 0.000002 5.725363 0.446118 7.792%0.00% 0.000002 5.725365 0.446127 7.792%0.00% 0.000002 5.725367 0.446136 7.792%0.00% 0.000002 5.725369 0.446145 7.792%0.00% 0.000002 5.725371 0.446154 7.793%0.00% 0.000002 5.725374 0.446162 7.793%0.00% 0.000002 5.725376 0.446171 7.793%0.00% 0.000002 5.725378 0.446180 7.793%0.00% 0.000002 5.725381 0.446189 7.793%0.00% 0.000002 5.725383 0.446198 7.793%0.00% 0.000002 5.725386 0.446207 7.793%0.00% 0.000003 5.725388 0.446216 7.794%0.00% 0.000003 5.725391 0.446225 7.794%0.00% 0.000003 5.725393 0.446233 7.794%0.00% 0.000003 5.725396 0.446242 7.794%0.00% 0.000003 5.725399 0.446251 7.794%0.00% 0.000003 5.725402 0.446260 7.794%0.00% 0.000003 5.725405 0.446269 7.795%0.00% 0.000003 5.725408 0.446278 7.795%0.00% 0.000003 5.725411 0.446286 7.795%0.00% 0.000003 5.725414 0.446295 7.795%0.00% 0.000003 5.725417 0.446304 7.795%0.00% 0.000003 5.725420 0.446313 7.795%0.00% 0.000003 5.725423 0.446322 7.795%0.00% 0.000003 5.725426 0.446330 7.796%0.00% 0.000003 5.725430 0.446339 7.796%

Page 753: Ch 6 Credit Derivatives

0.00% 0.000003 5.725433 0.446348 7.796%0.00% 0.000003 5.725436 0.446357 7.796%0.00% 0.000003 5.725440 0.446365 7.796%0.00% 0.000004 5.725443 0.446374 7.796%0.00% 0.000004 5.725447 0.446383 7.796%0.00% 0.006684 5.732131 0.446392 7.788%0.00% 0.000000 5.732131 0.446400 7.788%0.00% 0.000000 5.732131 0.446409 7.788%0.00% 0.000000 5.732131 0.446418 7.788%0.00% 0.000000 5.732131 0.446427 7.788%0.00% 0.000000 5.732131 0.446435 7.788%0.00% 0.000000 5.732132 0.446444 7.788%0.00% 0.000000 5.732132 0.446453 7.789%0.00% 0.000000 5.732133 0.446461 7.789%0.00% 0.000000 5.732133 0.446470 7.789%0.00% 0.000001 5.732134 0.446479 7.789%0.00% 0.000001 5.732134 0.446487 7.789%0.00% 0.000001 5.732135 0.446496 7.789%0.00% 0.000001 5.732135 0.446505 7.789%0.00% 0.000001 5.732136 0.446513 7.790%0.00% 0.000001 5.732137 0.446522 7.790%0.00% 0.000001 5.732138 0.446531 7.790%0.00% 0.000001 5.732139 0.446539 7.790%0.00% 0.000001 5.732140 0.446548 7.790%0.00% 0.000001 5.732141 0.446556 7.790%0.00% 0.000001 5.732142 0.446565 7.791%0.00% 0.000001 5.732143 0.446574 7.791%0.00% 0.000001 5.732144 0.446582 7.791%0.00% 0.000001 5.732145 0.446591 7.791%0.00% 0.000001 5.732147 0.446599 7.791%0.00% 0.000001 5.732148 0.446608 7.791%0.00% 0.000001 5.732150 0.446617 7.791%0.00% 0.000001 5.732151 0.446625 7.792%0.00% 0.000002 5.732153 0.446634 7.792%0.00% 0.000002 5.732154 0.446642 7.792%0.00% 0.000002 5.732156 0.446651 7.792%0.00% 0.000002 5.732157 0.446659 7.792%0.00% 0.000002 5.732159 0.446668 7.792%0.00% 0.000002 5.732161 0.446676 7.792%0.00% 0.000002 5.732163 0.446685 7.793%0.00% 0.000002 5.732165 0.446693 7.793%0.00% 0.000002 5.732167 0.446702 7.793%0.00% 0.000002 5.732169 0.446710 7.793%0.00% 0.000002 5.732171 0.446719 7.793%

Page 754: Ch 6 Credit Derivatives

0.00% 0.000002 5.732173 0.446727 7.793%0.00% 0.000002 5.732175 0.446736 7.793%0.00% 0.000002 5.732177 0.446744 7.794%0.00% 0.000002 5.732180 0.446753 7.794%0.00% 0.000002 5.732182 0.446761 7.794%0.00% 0.000002 5.732184 0.446770 7.794%0.00% 0.000002 5.732187 0.446778 7.794%0.00% 0.000003 5.732189 0.446787 7.794%0.00% 0.000003 5.732192 0.446795 7.794%0.00% 0.000003 5.732194 0.446803 7.795%0.00% 0.000003 5.732197 0.446812 7.795%0.00% 0.000003 5.732200 0.446820 7.795%0.00% 0.000003 5.732202 0.446829 7.795%0.00% 0.000003 5.732205 0.446837 7.795%0.00% 0.000003 5.732208 0.446845 7.795%0.00% 0.000003 5.732211 0.446854 7.795%0.00% 0.000003 5.732214 0.446862 7.796%0.00% 0.000003 5.732217 0.446871 7.796%0.00% 0.000003 5.732220 0.446879 7.796%0.00% 0.000003 5.732223 0.446887 7.796%0.00% 0.000003 5.732226 0.446896 7.796%0.00% 0.000003 5.732229 0.446904 7.796%0.00% 0.000003 5.732233 0.446912 7.796%0.00% 0.000003 5.732236 0.446921 7.797%0.00% 0.000003 5.732239 0.446929 7.797%0.00% 0.000003 5.732243 0.446937 7.797%0.00% 0.006364 5.738607 0.446946 7.788%0.00% 0.000000 5.738607 0.446954 7.789%0.00% 0.000000 5.738607 0.446962 7.789%0.00% 0.000000 5.738607 0.446971 7.789%0.00% 0.000000 5.738607 0.446979 7.789%0.00% 0.000000 5.738607 0.446987 7.789%0.00% 0.000000 5.738608 0.446996 7.789%0.00% 0.000000 5.738608 0.447004 7.789%0.00% 0.000000 5.738609 0.447012 7.790%0.00% 0.000000 5.738609 0.447020 7.790%0.00% 0.000001 5.738609 0.447029 7.790%0.00% 0.000001 5.738610 0.447037 7.790%0.00% 0.000001 5.738611 0.447045 7.790%0.00% 0.000001 5.738611 0.447053 7.790%0.00% 0.000001 5.738612 0.447062 7.790%0.00% 0.000001 5.738613 0.447070 7.791%0.00% 0.000001 5.738614 0.447078 7.791%0.00% 0.000001 5.738614 0.447086 7.791%

Page 755: Ch 6 Credit Derivatives

0.00% 0.000001 5.738615 0.447094 7.791%0.00% 0.000001 5.738616 0.447103 7.791%0.00% 0.000001 5.738617 0.447111 7.791%0.00% 0.000001 5.738619 0.447119 7.791%0.00% 0.000001 5.738620 0.447127 7.792%0.00% 0.000001 5.738621 0.447135 7.792%0.00% 0.000001 5.738622 0.447144 7.792%0.00% 0.000001 5.738623 0.447152 7.792%0.00% 0.000001 5.738625 0.447160 7.792%0.00% 0.000001 5.738626 0.447168 7.792%0.00% 0.000001 5.738628 0.447176 7.792%0.00% 0.000001 5.738629 0.447184 7.793%0.00% 0.000002 5.738631 0.447192 7.793%0.00% 0.000002 5.738632 0.447201 7.793%0.00% 0.000002 5.738634 0.447209 7.793%0.00% 0.000002 5.738636 0.447217 7.793%0.00% 0.000002 5.738637 0.447225 7.793%0.00% 0.000002 5.738639 0.447233 7.793%0.00% 0.000002 5.738641 0.447241 7.794%0.00% 0.000002 5.738643 0.447249 7.794%0.00% 0.000002 5.738645 0.447257 7.794%0.00% 0.000002 5.738647 0.447265 7.794%0.00% 0.000002 5.738649 0.447273 7.794%0.00% 0.000002 5.738651 0.447282 7.794%0.00% 0.000002 5.738653 0.447290 7.794%0.00% 0.000002 5.738655 0.447298 7.794%0.00% 0.000002 5.738658 0.447306 7.795%0.00% 0.000002 5.738660 0.447314 7.795%0.00% 0.000002 5.738662 0.447322 7.795%0.00% 0.000002 5.738665 0.447330 7.795%0.00% 0.000002 5.738667 0.447338 7.795%0.00% 0.000002 5.738670 0.447346 7.795%0.00% 0.000003 5.738672 0.447354 7.795%0.00% 0.000003 5.738675 0.447362 7.796%0.00% 0.000003 5.738678 0.447370 7.796%0.00% 0.000003 5.738680 0.447378 7.796%0.00% 0.000003 5.738683 0.447386 7.796%0.00% 0.000003 5.738686 0.447394 7.796%0.00% 0.000003 5.738689 0.447402 7.796%0.00% 0.000003 5.738692 0.447410 7.796%0.00% 0.000003 5.738695 0.447418 7.797%0.00% 0.000003 5.738698 0.447426 7.797%0.00% 0.000003 5.738701 0.447434 7.797%0.00% 0.000003 5.738704 0.447442 7.797%

Page 756: Ch 6 Credit Derivatives

0.00% 0.000003 5.738707 0.447450 7.797%0.00% 0.000003 5.738710 0.447457 7.797%0.00% 0.000003 5.738713 0.447465 7.797%0.00% 0.006060 5.744773 0.447473 7.789%0.00% 0.000000 5.744773 0.447481 7.789%0.00% 0.000000 5.744773 0.447489 7.789%0.00% 0.000000 5.744774 0.447497 7.790%0.00% 0.000000 5.744774 0.447505 7.790%0.00% 0.000000 5.744774 0.447513 7.790%0.00% 0.000000 5.744774 0.447521 7.790%0.00% 0.000000 5.744775 0.447529 7.790%0.00% 0.000000 5.744775 0.447536 7.790%0.00% 0.000000 5.744775 0.447544 7.790%0.00% 0.000001 5.744776 0.447552 7.791%0.00% 0.000001 5.744776 0.447560 7.791%0.00% 0.000001 5.744777 0.447568 7.791%0.00% 0.000001 5.744778 0.447576 7.791%0.00% 0.000001 5.744778 0.447584 7.791%0.00% 0.000001 5.744779 0.447591 7.791%0.00% 0.000001 5.744780 0.447599 7.791%0.00% 0.000001 5.744781 0.447607 7.792%0.00% 0.000001 5.744781 0.447615 7.792%0.00% 0.000001 5.744782 0.447623 7.792%0.00% 0.000001 5.744783 0.447630 7.792%0.00% 0.000001 5.744784 0.447638 7.792%0.00% 0.000001 5.744786 0.447646 7.792%0.00% 0.000001 5.744787 0.447654 7.792%0.00% 0.000001 5.744788 0.447662 7.792%0.00% 0.000001 5.744789 0.447669 7.793%0.00% 0.000001 5.744790 0.447677 7.793%0.00% 0.000001 5.744792 0.447685 7.793%0.00% 0.000001 5.744793 0.447693 7.793%0.00% 0.000001 5.744794 0.447700 7.793%0.00% 0.000002 5.744796 0.447708 7.793%0.00% 0.000002 5.744797 0.447716 7.793%0.00% 0.000002 5.744799 0.447723 7.794%0.00% 0.000002 5.744801 0.447731 7.794%0.00% 0.000002 5.744802 0.447739 7.794%0.00% 0.000002 5.744804 0.447747 7.794%0.00% 0.000002 5.744806 0.447754 7.794%0.00% 0.000002 5.744808 0.447762 7.794%0.00% 0.000002 5.744809 0.447770 7.794%0.00% 0.000002 5.744811 0.447777 7.794%0.00% 0.000002 5.744813 0.447785 7.795%

Page 757: Ch 6 Credit Derivatives

0.00% 0.000002 5.744815 0.447793 7.795%0.00% 0.000002 5.744817 0.447800 7.795%0.00% 0.000002 5.744820 0.447808 7.795%0.00% 0.000002 5.744822 0.447816 7.795%0.00% 0.000002 5.744824 0.447823 7.795%0.00% 0.000002 5.744826 0.447831 7.795%0.00% 0.000002 5.744828 0.447839 7.796%0.00% 0.000002 5.744831 0.447846 7.796%0.00% 0.000002 5.744833 0.447854 7.796%0.00% 0.000002 5.744836 0.447862 7.796%0.00% 0.000003 5.744838 0.447869 7.796%0.00% 0.000003 5.744841 0.447877 7.796%0.00% 0.000003 5.744843 0.447884 7.796%0.00% 0.000003 5.744846 0.447892 7.796%0.00% 0.000003 5.744849 0.447900 7.797%0.00% 0.000003 5.744851 0.447907 7.797%0.00% 0.000003 5.744854 0.447915 7.797%0.00% 0.000003 5.744857 0.447922 7.797%0.00% 0.000003 5.744860 0.447930 7.797%0.00% 0.000003 5.744863 0.447938 7.797%0.00% 0.000003 5.744866 0.447945 7.797%0.00% 0.000003 5.744869 0.447953 7.797%0.00% 0.000003 5.744872 0.447960 7.798%0.00% 0.000003 5.744875 0.447968 7.798%0.00% 0.005770 5.750645 0.447975 7.790%0.00% 0.000000 5.750645 0.447983 7.790%0.00% 0.000000 5.750645 0.447990 7.790%0.00% 0.000000 5.750645 0.447998 7.790%0.00% 0.000000 5.750646 0.448005 7.791%0.00% 0.000000 5.750646 0.448013 7.791%0.00% 0.000000 5.750646 0.448020 7.791%0.00% 0.000000 5.750646 0.448028 7.791%0.00% 0.000000 5.750647 0.448035 7.791%0.00% 0.000000 5.750647 0.448042 7.791%0.00% 0.000000 5.750648 0.448050 7.791%0.00% 0.000001 5.750648 0.448057 7.791%0.00% 0.000001 5.750649 0.448065 7.792%0.00% 0.000001 5.750649 0.448072 7.792%0.00% 0.000001 5.750650 0.448080 7.792%0.00% 0.000001 5.750651 0.448087 7.792%0.00% 0.000001 5.750651 0.448094 7.792%0.00% 0.000001 5.750652 0.448102 7.792%0.00% 0.000001 5.750653 0.448109 7.792%0.00% 0.000001 5.750654 0.448117 7.792%

Page 758: Ch 6 Credit Derivatives

0.00% 0.000001 5.750655 0.448124 7.793%0.00% 0.000001 5.750656 0.448131 7.793%0.00% 0.000001 5.750657 0.448139 7.793%0.00% 0.000001 5.750658 0.448146 7.793%0.00% 0.000001 5.750659 0.448153 7.793%0.00% 0.000001 5.750660 0.448161 7.793%0.00% 0.000001 5.750661 0.448168 7.793%0.00% 0.000001 5.750663 0.448175 7.793%0.00% 0.000001 5.750664 0.448183 7.794%0.00% 0.000001 5.750665 0.448190 7.794%0.00% 0.000001 5.750667 0.448197 7.794%0.00% 0.000001 5.750668 0.448205 7.794%0.00% 0.000001 5.750670 0.448212 7.794%0.00% 0.000002 5.750671 0.448219 7.794%0.00% 0.000002 5.750673 0.448227 7.794%0.00% 0.000002 5.750674 0.448234 7.794%0.00% 0.000002 5.750676 0.448241 7.795%0.00% 0.000002 5.750678 0.448248 7.795%0.00% 0.000002 5.750680 0.448256 7.795%0.00% 0.000002 5.750681 0.448263 7.795%0.00% 0.000002 5.750683 0.448270 7.795%0.00% 0.000002 5.750685 0.448278 7.795%0.00% 0.000002 5.750687 0.448285 7.795%0.00% 0.000002 5.750689 0.448292 7.795%0.00% 0.000002 5.750691 0.448299 7.796%0.00% 0.000002 5.750693 0.448307 7.796%0.00% 0.000002 5.750695 0.448314 7.796%0.00% 0.000002 5.750697 0.448321 7.796%0.00% 0.000002 5.750700 0.448328 7.796%0.00% 0.000002 5.750702 0.448336 7.796%0.00% 0.000002 5.750704 0.448343 7.796%0.00% 0.000002 5.750707 0.448350 7.796%0.00% 0.000002 5.750709 0.448357 7.797%0.00% 0.000002 5.750711 0.448364 7.797%0.00% 0.000002 5.750714 0.448372 7.797%0.00% 0.000003 5.750716 0.448379 7.797%0.00% 0.000003 5.750719 0.448386 7.797%0.00% 0.000003 5.750722 0.448393 7.797%0.00% 0.000003 5.750724 0.448400 7.797%0.00% 0.000003 5.750727 0.448407 7.797%0.00% 0.000003 5.750730 0.448415 7.798%0.00% 0.000003 5.750733 0.448422 7.798%0.00% 0.000003 5.750736 0.448429 7.798%0.00% 0.000003 5.750738 0.448436 7.798%

Page 759: Ch 6 Credit Derivatives

0.00% 0.000003 5.750741 0.448443 7.798%0.00% 0.000003 5.750744 0.448450 7.798%0.00% 0.005553 5.756297 0.448457 7.791%0.00% 0.000000 5.756297 0.448465 7.791%0.00% 0.000000 5.756297 0.448472 7.791%0.00% 0.000000 5.756297 0.448479 7.791%0.00% 0.000000 5.756298 0.448486 7.791%0.00% 0.000000 5.756298 0.448493 7.791%0.00% 0.000000 5.756298 0.448500 7.791%0.00% 0.000000 5.756298 0.448507 7.792%0.00% 0.000000 5.756299 0.448514 7.792%0.00% 0.000000 5.756299 0.448521 7.792%0.00% 0.000000 5.756300 0.448528 7.792%0.00% 0.000000 5.756300 0.448535 7.792%0.00% 0.000001 5.756301 0.448542 7.792%0.00% 0.000001 5.756301 0.448550 7.792%0.00% 0.000001 5.756302 0.448557 7.792%0.00% 0.000001 5.756302 0.448564 7.793%0.00% 0.000001 5.756303 0.448571 7.793%0.00% 0.000001 5.756304 0.448578 7.793%0.00% 0.000001 5.756305 0.448585 7.793%0.00% 0.000001 5.756306 0.448592 7.793%0.00% 0.000001 5.756307 0.448599 7.793%0.00% 0.000001 5.756307 0.448606 7.793%0.00% 0.000001 5.756308 0.448613 7.793%0.00% 0.000001 5.756309 0.448620 7.794%0.00% 0.000001 5.756311 0.448627 7.794%0.00% 0.000001 5.756312 0.448634 7.794%0.00% 0.000001 5.756313 0.448641 7.794%0.00% 0.000001 5.756314 0.448648 7.794%0.00% 0.000001 5.756315 0.448655 7.794%0.00% 0.000001 5.756317 0.448662 7.794%0.00% 0.000001 5.756318 0.448669 7.794%0.00% 0.000001 5.756319 0.448676 7.794%0.00% 0.000001 5.756321 0.448683 7.795%0.00% 0.000001 5.756322 0.448690 7.795%0.00% 0.000002 5.756324 0.448696 7.795%0.00% 0.000002 5.756325 0.448703 7.795%0.00% 0.000002 5.756327 0.448710 7.795%0.00% 0.000002 5.756329 0.448717 7.795%0.00% 0.000002 5.756330 0.448724 7.795%0.00% 0.000002 5.756332 0.448731 7.795%0.00% 0.000002 5.756334 0.448738 7.796%0.00% 0.000002 5.756336 0.448745 7.796%

Page 760: Ch 6 Credit Derivatives

0.00% 0.000002 5.756337 0.448752 7.796%0.00% 0.000002 5.756339 0.448759 7.796%0.00% 0.000002 5.756341 0.448766 7.796%0.00% 0.000002 5.756343 0.448773 7.796%0.00% 0.000002 5.756345 0.448779 7.796%0.00% 0.000002 5.756347 0.448786 7.796%0.00% 0.000002 5.756350 0.448793 7.796%0.00% 0.000002 5.756352 0.448800 7.797%0.00% 0.000002 5.756354 0.448807 7.797%0.00% 0.000002 5.756356 0.448814 7.797%0.00% 0.000002 5.756358 0.448821 7.797%0.00% 0.000002 5.756361 0.448827 7.797%0.00% 0.000002 5.756363 0.448834 7.797%0.00% 0.000002 5.756366 0.448841 7.797%0.00% 0.000002 5.756368 0.448848 7.797%0.00% 0.000002 5.756371 0.448855 7.798%0.00% 0.000003 5.756373 0.448862 7.798%0.00% 0.000003 5.756376 0.448868 7.798%0.00% 0.000003 5.756378 0.448875 7.798%0.00% 0.000003 5.756381 0.448882 7.798%0.00% 0.000003 5.756384 0.448889 7.798%0.00% 0.000003 5.756387 0.448896 7.798%0.00% 0.000003 5.756389 0.448902 7.798%0.00% 0.000003 5.756392 0.448909 7.798%0.00% 0.005286 5.761678 0.448916 7.791%0.00% 0.000000 5.761678 0.448923 7.792%0.00% 0.000000 5.761678 0.448930 7.792%0.00% 0.000000 5.761678 0.448936 7.792%0.00% 0.000000 5.761678 0.448943 7.792%0.00% 0.000000 5.761679 0.448950 7.792%0.00% 0.000000 5.761679 0.448957 7.792%0.00% 0.000000 5.761679 0.448964 7.792%0.00% 0.000000 5.761680 0.448970 7.792%0.00% 0.000000 5.761680 0.448977 7.792%0.00% 0.000000 5.761680 0.448984 7.793%0.00% 0.000000 5.761681 0.448991 7.793%0.00% 0.000000 5.761681 0.448997 7.793%0.00% 0.000001 5.761682 0.449004 7.793%0.00% 0.000001 5.761683 0.449011 7.793%0.00% 0.000001 5.761683 0.449018 7.793%0.00% 0.000001 5.761684 0.449024 7.793%0.00% 0.000001 5.761685 0.449031 7.793%0.00% 0.000001 5.761685 0.449038 7.794%0.00% 0.000001 5.761686 0.449044 7.794%

Page 761: Ch 6 Credit Derivatives

0.00% 0.000001 5.761687 0.449051 7.794%0.00% 0.000001 5.761688 0.449058 7.794%0.00% 0.000001 5.761689 0.449065 7.794%0.00% 0.000001 5.761690 0.449071 7.794%0.00% 0.000001 5.761691 0.449078 7.794%0.00% 0.000001 5.761692 0.449085 7.794%0.00% 0.000001 5.761693 0.449091 7.794%0.00% 0.000001 5.761694 0.449098 7.795%0.00% 0.000001 5.761696 0.449105 7.795%0.00% 0.000001 5.761697 0.449111 7.795%0.00% 0.000001 5.761698 0.449118 7.795%0.00% 0.000001 5.761700 0.449125 7.795%0.00% 0.000001 5.761701 0.449131 7.795%0.00% 0.000001 5.761702 0.449138 7.795%0.00% 0.000001 5.761704 0.449144 7.795%0.00% 0.000002 5.761705 0.449151 7.795%0.00% 0.000002 5.761707 0.449158 7.796%0.00% 0.000002 5.761708 0.449164 7.796%0.00% 0.000002 5.761710 0.449171 7.796%0.00% 0.000002 5.761712 0.449178 7.796%0.00% 0.000002 5.761713 0.449184 7.796%0.00% 0.000002 5.761715 0.449191 7.796%0.00% 0.000002 5.761717 0.449197 7.796%0.00% 0.000002 5.761719 0.449204 7.796%0.00% 0.000002 5.761721 0.449211 7.796%0.00% 0.000002 5.761723 0.449217 7.797%0.00% 0.000002 5.761725 0.449224 7.797%0.00% 0.000002 5.761727 0.449230 7.797%0.00% 0.000002 5.761729 0.449237 7.797%0.00% 0.000002 5.761731 0.449243 7.797%0.00% 0.000002 5.761733 0.449250 7.797%0.00% 0.000002 5.761735 0.449257 7.797%0.00% 0.000002 5.761737 0.449263 7.797%0.00% 0.000002 5.761739 0.449270 7.797%0.00% 0.000002 5.761742 0.449276 7.798%0.00% 0.000002 5.761744 0.449283 7.798%0.00% 0.000002 5.761746 0.449289 7.798%0.00% 0.000002 5.761749 0.449296 7.798%0.00% 0.000002 5.761751 0.449302 7.798%0.00% 0.000003 5.761754 0.449309 7.798%0.00% 0.000003 5.761756 0.449315 7.798%0.00% 0.000003 5.761759 0.449322 7.798%0.00% 0.000003 5.761761 0.449328 7.798%0.00% 0.000003 5.761764 0.449335 7.799%

Page 762: Ch 6 Credit Derivatives

0.00% 0.000003 5.761767 0.449341 7.799%0.00% 0.004980 5.766746 0.449348 7.792%0.00% 0.000000 5.766746 0.449354 7.792%0.00% 0.000000 5.766747 0.449361 7.792%0.00% 0.000000 5.766747 0.449367 7.792%0.00% 0.000000 5.766747 0.449374 7.793%0.00% 0.000000 5.766747 0.449380 7.793%0.00% 0.000000 5.766747 0.449387 7.793%0.00% 0.000000 5.766748 0.449393 7.793%0.00% 0.000000 5.766748 0.449400 7.793%0.00% 0.000000 5.766748 0.449406 7.793%0.00% 0.000000 5.766749 0.449413 7.793%0.00% 0.000000 5.766749 0.449419 7.793%0.00% 0.000000 5.766750 0.449426 7.793%0.00% 0.000001 5.766750 0.449432 7.794%0.00% 0.000001 5.766751 0.449438 7.794%0.00% 0.000001 5.766751 0.449445 7.794%0.00% 0.000001 5.766752 0.449451 7.794%0.00% 0.000001 5.766753 0.449458 7.794%0.00% 0.000001 5.766754 0.449464 7.794%0.00% 0.000001 5.766754 0.449471 7.794%0.00% 0.000001 5.766755 0.449477 7.794%0.00% 0.000001 5.766756 0.449483 7.794%0.00% 0.000001 5.766757 0.449490 7.794%0.00% 0.000001 5.766758 0.449496 7.795%0.00% 0.000001 5.766759 0.449503 7.795%0.00% 0.000001 5.766760 0.449509 7.795%0.00% 0.000001 5.766761 0.449515 7.795%0.00% 0.000001 5.766762 0.449522 7.795%0.00% 0.000001 5.766763 0.449528 7.795%0.00% 0.000001 5.766765 0.449535 7.795%0.00% 0.000001 5.766766 0.449541 7.795%0.00% 0.000001 5.766767 0.449547 7.795%0.00% 0.000001 5.766768 0.449554 7.796%0.00% 0.000001 5.766770 0.449560 7.796%0.00% 0.000001 5.766771 0.449566 7.796%0.00% 0.000001 5.766773 0.449573 7.796%0.00% 0.000001 5.766774 0.449579 7.796%0.00% 0.000001 5.766776 0.449585 7.796%0.00% 0.000002 5.766777 0.449592 7.796%0.00% 0.000002 5.766779 0.449598 7.796%0.00% 0.000002 5.766780 0.449604 7.796%0.00% 0.000002 5.766782 0.449611 7.797%0.00% 0.000002 5.766784 0.449617 7.797%

Page 763: Ch 6 Credit Derivatives

0.00% 0.000002 5.766786 0.449623 7.797%0.00% 0.000002 5.766787 0.449630 7.797%0.00% 0.000002 5.766789 0.449636 7.797%0.00% 0.000002 5.766791 0.449642 7.797%0.00% 0.000002 5.766793 0.449648 7.797%0.00% 0.000002 5.766795 0.449655 7.797%0.00% 0.000002 5.766797 0.449661 7.797%0.00% 0.000002 5.766799 0.449667 7.798%0.00% 0.000002 5.766801 0.449673 7.798%0.00% 0.000002 5.766803 0.449680 7.798%0.00% 0.000002 5.766805 0.449686 7.798%0.00% 0.000002 5.766807 0.449692 7.798%0.00% 0.000002 5.766810 0.449699 7.798%0.00% 0.000002 5.766812 0.449705 7.798%0.00% 0.000002 5.766814 0.449711 7.798%0.00% 0.000002 5.766817 0.449717 7.798%0.00% 0.000002 5.766819 0.449723 7.798%0.00% 0.000002 5.766821 0.449730 7.799%0.00% 0.000002 5.766824 0.449736 7.799%0.00% 0.000002 5.766826 0.449742 7.799%0.00% 0.000003 5.766829 0.449748 7.799%0.00% 0.004693 5.771522 0.449755 7.793%0.00% 0.000000 5.771522 0.449761 7.793%0.00% 0.000000 5.771522 0.449767 7.793%0.00% 0.000000 5.771522 0.449773 7.793%0.00% 0.000000 5.771523 0.449779 7.793%0.00% 0.000000 5.771523 0.449785 7.793%0.00% 0.000000 5.771523 0.449791 7.793%0.00% 0.000000 5.771523 0.449797 7.793%0.00% 0.000000 5.771524 0.449803 7.793%0.00% 0.000000 5.771524 0.449810 7.794%0.00% 0.000000 5.771524 0.449816 7.794%0.00% 0.000000 5.771525 0.449822 7.794%0.00% 0.000000 5.771525 0.449828 7.794%0.00% 0.000000 5.771526 0.449834 7.794%0.00% 0.000001 5.771526 0.449840 7.794%0.00% 0.000001 5.771527 0.449846 7.794%0.00% 0.000001 5.771527 0.449852 7.794%0.00% 0.000001 5.771528 0.449858 7.794%0.00% 0.000001 5.771529 0.449864 7.795%0.00% 0.000001 5.771529 0.449870 7.795%0.00% 0.000001 5.771530 0.449876 7.795%0.00% 0.000001 5.771531 0.449882 7.795%0.00% 0.000001 5.771532 0.449888 7.795%

Page 764: Ch 6 Credit Derivatives

0.00% 0.000001 5.771533 0.449894 7.795%0.00% 0.000001 5.771534 0.449900 7.795%0.00% 0.000001 5.771535 0.449907 7.795%0.00% 0.000001 5.771536 0.449913 7.795%0.00% 0.000001 5.771537 0.449919 7.795%0.00% 0.000001 5.771538 0.449925 7.796%0.00% 0.000001 5.771539 0.449931 7.796%0.00% 0.000001 5.771540 0.449937 7.796%0.00% 0.000001 5.771541 0.449943 7.796%0.00% 0.000001 5.771543 0.449949 7.796%0.00% 0.000001 5.771544 0.449955 7.796%0.00% 0.000001 5.771545 0.449961 7.796%0.00% 0.000001 5.771546 0.449967 7.796%0.00% 0.000001 5.771548 0.449973 7.796%0.00% 0.000001 5.771549 0.449978 7.796%0.00% 0.000001 5.771551 0.449984 7.797%0.00% 0.000002 5.771552 0.449990 7.797%0.00% 0.000002 5.771554 0.449996 7.797%0.00% 0.000002 5.771555 0.450002 7.797%0.00% 0.000002 5.771557 0.450008 7.797%0.00% 0.000002 5.771559 0.450014 7.797%0.00% 0.000002 5.771560 0.450020 7.797%0.00% 0.000002 5.771562 0.450026 7.797%0.00% 0.000002 5.771564 0.450032 7.797%0.00% 0.000002 5.771566 0.450038 7.798%0.00% 0.000002 5.771567 0.450044 7.798%0.00% 0.000002 5.771569 0.450050 7.798%0.00% 0.000002 5.771571 0.450056 7.798%0.00% 0.000002 5.771573 0.450062 7.798%0.00% 0.000002 5.771575 0.450068 7.798%0.00% 0.000002 5.771577 0.450073 7.798%0.00% 0.000002 5.771579 0.450079 7.798%0.00% 0.000002 5.771581 0.450085 7.798%0.00% 0.000002 5.771583 0.450091 7.798%0.00% 0.000002 5.771585 0.450097 7.798%0.00% 0.000002 5.771588 0.450103 7.799%0.00% 0.000002 5.771590 0.450109 7.799%0.00% 0.000002 5.771592 0.450115 7.799%0.00% 0.000002 5.771595 0.450120 7.799%0.00% 0.000002 5.771597 0.450126 7.799%0.00% 0.000002 5.771599 0.450132 7.799%0.00% 0.000002 5.771602 0.450138 7.799%0.00% 0.000002 5.771604 0.450144 7.799%0.00% 0.004568 5.776172 0.450150 7.793%

Page 765: Ch 6 Credit Derivatives

0.00% 0.000000 5.776172 0.450156 7.793%0.00% 0.000000 5.776172 0.450161 7.793%0.00% 0.000000 5.776172 0.450167 7.794%0.00% 0.000000 5.776172 0.450173 7.794%0.00% 0.000000 5.776172 0.450179 7.794%0.00% 0.000000 5.776173 0.450185 7.794%0.00% 0.000000 5.776173 0.450190 7.794%0.00% 0.000000 5.776173 0.450196 7.794%0.00% 0.000000 5.776173 0.450202 7.794%0.00% 0.000000 5.776174 0.450208 7.794%0.00% 0.000000 5.776174 0.450213 7.794%0.00% 0.000000 5.776175 0.450219 7.794%0.00% 0.000001 5.776175 0.450225 7.795%0.00% 0.000001 5.776176 0.450231 7.795%0.00% 0.000001 5.776176 0.450237 7.795%0.00% 0.000001 5.776177 0.450242 7.795%0.00% 0.000001 5.776177 0.450248 7.795%0.00% 0.000001 5.776178 0.450254 7.795%0.00% 0.000001 5.776179 0.450259 7.795%0.00% 0.000001 5.776180 0.450265 7.795%0.00% 0.000001 5.776180 0.450271 7.795%0.00% 0.000001 5.776181 0.450277 7.795%0.00% 0.000001 5.776182 0.450282 7.796%0.00% 0.000001 5.776183 0.450288 7.796%0.00% 0.000001 5.776184 0.450294 7.796%0.00% 0.000001 5.776185 0.450300 7.796%0.00% 0.000001 5.776186 0.450305 7.796%0.00% 0.000001 5.776187 0.450311 7.796%0.00% 0.000001 5.776188 0.450317 7.796%0.00% 0.000001 5.776189 0.450322 7.796%0.00% 0.000001 5.776190 0.450328 7.796%0.00% 0.000001 5.776191 0.450334 7.796%0.00% 0.000001 5.776193 0.450339 7.796%0.00% 0.000001 5.776194 0.450345 7.797%0.00% 0.000001 5.776195 0.450351 7.797%0.00% 0.000001 5.776196 0.450356 7.797%0.00% 0.000001 5.776198 0.450362 7.797%0.00% 0.000001 5.776199 0.450368 7.797%0.00% 0.000001 5.776201 0.450373 7.797%0.00% 0.000001 5.776202 0.450379 7.797%0.00% 0.000001 5.776204 0.450385 7.797%0.00% 0.000002 5.776205 0.450390 7.797%0.00% 0.000002 5.776207 0.450396 7.797%0.00% 0.000002 5.776208 0.450402 7.798%

Page 766: Ch 6 Credit Derivatives

0.00% 0.000002 5.776210 0.450407 7.798%0.00% 0.000002 5.776212 0.450413 7.798%0.00% 0.000002 5.776213 0.450418 7.798%0.00% 0.000002 5.776215 0.450424 7.798%0.00% 0.000002 5.776217 0.450430 7.798%0.00% 0.000002 5.776219 0.450435 7.798%0.00% 0.000002 5.776220 0.450441 7.798%0.00% 0.000002 5.776222 0.450446 7.798%0.00% 0.000002 5.776224 0.450452 7.798%0.00% 0.000002 5.776226 0.450458 7.798%0.00% 0.000002 5.776228 0.450463 7.799%0.00% 0.000002 5.776230 0.450469 7.799%0.00% 0.000002 5.776232 0.450474 7.799%0.00% 0.000002 5.776234 0.450480 7.799%0.00% 0.000002 5.776237 0.450486 7.799%0.00% 0.000002 5.776239 0.450491 7.799%0.00% 0.000002 5.776241 0.450497 7.799%0.00% 0.000002 5.776243 0.450502 7.799%0.00% 0.000002 5.776245 0.450508 7.799%0.00% 0.000002 5.776248 0.450513 7.799%0.00% 0.000002 5.776250 0.450519 7.800%0.00% 0.004349 5.780600 0.450524 7.794%0.00% 0.000000 5.780600 0.450530 7.794%0.00% 0.000000 5.780600 0.450536 7.794%0.00% 0.000000 5.780600 0.450541 7.794%0.00% 0.000000 5.780600 0.450547 7.794%0.00% 0.000000 5.780600 0.450552 7.794%0.00% 0.000000 5.780600 0.450558 7.794%0.00% 0.000000 5.780601 0.450563 7.794%0.00% 0.000000 5.780601 0.450569 7.794%0.00% 0.000000 5.780601 0.450574 7.795%0.00% 0.000000 5.780602 0.450580 7.795%0.00% 0.000000 5.780602 0.450585 7.795%0.00% 0.000000 5.780602 0.450591 7.795%0.00% 0.000000 5.780603 0.450597 7.795%0.00% 0.000001 5.780603 0.450602 7.795%0.00% 0.000001 5.780604 0.450608 7.795%0.00% 0.000001 5.780605 0.450613 7.795%0.00% 0.000001 5.780605 0.450619 7.795%0.00% 0.000001 5.780606 0.450624 7.795%0.00% 0.000001 5.780607 0.450630 7.796%0.00% 0.000001 5.780607 0.450635 7.796%0.00% 0.000001 5.780608 0.450641 7.796%0.00% 0.000001 5.780609 0.450646 7.796%

Page 767: Ch 6 Credit Derivatives

0.00% 0.000001 5.780610 0.450652 7.796%0.00% 0.000001 5.780610 0.450657 7.796%0.00% 0.000001 5.780611 0.450662 7.796%0.00% 0.000001 5.780612 0.450668 7.796%0.00% 0.000001 5.780613 0.450673 7.796%0.00% 0.000001 5.780614 0.450679 7.796%0.00% 0.000001 5.780615 0.450684 7.796%0.00% 0.000001 5.780616 0.450690 7.797%0.00% 0.000001 5.780617 0.450695 7.797%0.00% 0.000001 5.780619 0.450701 7.797%0.00% 0.000001 5.780620 0.450706 7.797%0.00% 0.000001 5.780621 0.450712 7.797%0.00% 0.000001 5.780622 0.450717 7.797%0.00% 0.000001 5.780624 0.450722 7.797%0.00% 0.000001 5.780625 0.450728 7.797%0.00% 0.000001 5.780626 0.450733 7.797%0.00% 0.000001 5.780628 0.450739 7.797%0.00% 0.000001 5.780629 0.450744 7.797%0.00% 0.000001 5.780630 0.450750 7.798%0.00% 0.000002 5.780632 0.450755 7.798%0.00% 0.000002 5.780633 0.450760 7.798%0.00% 0.000002 5.780635 0.450766 7.798%0.00% 0.000002 5.780637 0.450771 7.798%0.00% 0.000002 5.780638 0.450777 7.798%0.00% 0.000002 5.780640 0.450782 7.798%0.00% 0.000002 5.780642 0.450787 7.798%0.00% 0.000002 5.780643 0.450793 7.798%0.00% 0.000002 5.780645 0.450798 7.798%0.00% 0.000002 5.780647 0.450803 7.798%0.00% 0.000002 5.780649 0.450809 7.799%0.00% 0.000002 5.780650 0.450814 7.799%0.00% 0.000002 5.780652 0.450819 7.799%0.00% 0.000002 5.780654 0.450825 7.799%0.00% 0.000002 5.780656 0.450830 7.799%0.00% 0.000002 5.780658 0.450836 7.799%0.00% 0.000002 5.780660 0.450841 7.799%0.00% 0.000002 5.780662 0.450846 7.799%0.00% 0.000002 5.780664 0.450852 7.799%0.00% 0.000002 5.780666 0.450857 7.799%0.00% 0.000002 5.780669 0.450862 7.799%0.00% 0.000002 5.780671 0.450868 7.800%0.00% 0.000002 5.780673 0.450873 7.800%0.00% 0.004099 5.784772 0.450878 7.794%0.00% 0.000000 5.784772 0.450883 7.794%

Page 768: Ch 6 Credit Derivatives

0.00% 0.000000 5.784772 0.450889 7.794%0.00% 0.000000 5.784772 0.450894 7.795%0.00% 0.000000 5.784772 0.450899 7.795%0.00% 0.000000 5.784772 0.450905 7.795%0.00% 0.000000 5.784773 0.450910 7.795%0.00% 0.000000 5.784773 0.450915 7.795%0.00% 0.000000 5.784773 0.450921 7.795%0.00% 0.000000 5.784773 0.450926 7.795%0.00% 0.000000 5.784774 0.450931 7.795%0.00% 0.000000 5.784774 0.450936 7.795%0.00% 0.000000 5.784775 0.450942 7.795%0.00% 0.000000 5.784775 0.450947 7.795%0.00% 0.000000 5.784775 0.450952 7.795%0.00% 0.000001 5.784776 0.450957 7.796%0.00% 0.000001 5.784777 0.450963 7.796%0.00% 0.000001 5.784777 0.450968 7.796%0.00% 0.000001 5.784778 0.450973 7.796%0.00% 0.000001 5.784778 0.450978 7.796%0.00% 0.000001 5.784779 0.450984 7.796%0.00% 0.000001 5.784780 0.450989 7.796%0.00% 0.000001 5.784781 0.450994 7.796%0.00% 0.000001 5.784781 0.450999 7.796%0.00% 0.000001 5.784782 0.451005 7.796%0.00% 0.000001 5.784783 0.451010 7.796%0.00% 0.000001 5.784784 0.451015 7.797%0.00% 0.000001 5.784785 0.451020 7.797%0.00% 0.000001 5.784786 0.451025 7.797%0.00% 0.000001 5.784787 0.451031 7.797%0.00% 0.000001 5.784788 0.451036 7.797%0.00% 0.000001 5.784789 0.451041 7.797%0.00% 0.000001 5.784790 0.451046 7.797%0.00% 0.000001 5.784791 0.451051 7.797%0.00% 0.000001 5.784792 0.451057 7.797%0.00% 0.000001 5.784793 0.451062 7.797%0.00% 0.000001 5.784795 0.451067 7.797%0.00% 0.000001 5.784796 0.451072 7.798%0.00% 0.000001 5.784797 0.451077 7.798%0.00% 0.000001 5.784798 0.451082 7.798%0.00% 0.000001 5.784800 0.451088 7.798%0.00% 0.000001 5.784801 0.451093 7.798%0.00% 0.000001 5.784803 0.451098 7.798%0.00% 0.000001 5.784804 0.451103 7.798%0.00% 0.000001 5.784806 0.451108 7.798%0.00% 0.000001 5.784807 0.451113 7.798%

Page 769: Ch 6 Credit Derivatives

0.00% 0.000002 5.784809 0.451118 7.798%0.00% 0.000002 5.784810 0.451124 7.798%0.00% 0.000002 5.784812 0.451129 7.799%0.00% 0.000002 5.784813 0.451134 7.799%0.00% 0.000002 5.784815 0.451139 7.799%0.00% 0.000002 5.784817 0.451144 7.799%0.00% 0.000002 5.784819 0.451149 7.799%0.00% 0.000002 5.784820 0.451154 7.799%0.00% 0.000002 5.784822 0.451159 7.799%0.00% 0.000002 5.784824 0.451164 7.799%0.00% 0.000002 5.784826 0.451170 7.799%0.00% 0.000002 5.784828 0.451175 7.799%0.00% 0.000002 5.784830 0.451180 7.799%0.00% 0.000002 5.784832 0.451185 7.799%0.00% 0.000002 5.784834 0.451190 7.800%0.00% 0.000002 5.784836 0.451195 7.800%0.00% 0.000002 5.784838 0.451200 7.800%0.00% 0.000002 5.784840 0.451205 7.800%0.00% 0.003865 5.788704 0.451210 7.795%0.00% 0.000000 5.788704 0.451215 7.795%0.00% 0.000000 5.788704 0.451220 7.795%0.00% 0.000000 5.788705 0.451225 7.795%0.00% 0.000000 5.788705 0.451230 7.795%0.00% 0.000000 5.788705 0.451235 7.795%0.00% 0.000000 5.788705 0.451240 7.795%0.00% 0.000000 5.788705 0.451245 7.795%0.00% 0.000000 5.788706 0.451250 7.795%0.00% 0.000000 5.788706 0.451255 7.795%0.00% 0.000000 5.788706 0.451260 7.796%0.00% 0.000000 5.788707 0.451265 7.796%0.00% 0.000000 5.788707 0.451270 7.796%0.00% 0.000000 5.788707 0.451275 7.796%0.00% 0.000000 5.788708 0.451280 7.796%0.00% 0.000000 5.788708 0.451285 7.796%0.00% 0.000001 5.788709 0.451290 7.796%0.00% 0.000001 5.788709 0.451295 7.796%0.00% 0.000001 5.788710 0.451300 7.796%0.00% 0.000001 5.788711 0.451305 7.796%0.00% 0.000001 5.788711 0.451310 7.796%0.00% 0.000001 5.788712 0.451315 7.796%0.00% 0.000001 5.788713 0.451320 7.797%0.00% 0.000001 5.788713 0.451325 7.797%0.00% 0.000001 5.788714 0.451330 7.797%0.00% 0.000001 5.788715 0.451334 7.797%

Page 770: Ch 6 Credit Derivatives

0.00% 0.000001 5.788716 0.451339 7.797%0.00% 0.000001 5.788716 0.451344 7.797%0.00% 0.000001 5.788717 0.451349 7.797%0.00% 0.000001 5.788718 0.451354 7.797%0.00% 0.000001 5.788719 0.451359 7.797%0.00% 0.000001 5.788720 0.451364 7.797%0.00% 0.000001 5.788721 0.451369 7.797%0.00% 0.000001 5.788722 0.451374 7.797%0.00% 0.000001 5.788723 0.451379 7.798%0.00% 0.000001 5.788725 0.451384 7.798%0.00% 0.000001 5.788726 0.451388 7.798%0.00% 0.000001 5.788727 0.451393 7.798%0.00% 0.000001 5.788728 0.451398 7.798%0.00% 0.000001 5.788729 0.451403 7.798%0.00% 0.000001 5.788731 0.451408 7.798%0.00% 0.000001 5.788732 0.451413 7.798%0.00% 0.000001 5.788733 0.451418 7.798%0.00% 0.000001 5.788735 0.451423 7.798%0.00% 0.000001 5.788736 0.451427 7.798%0.00% 0.000001 5.788737 0.451432 7.798%0.00% 0.000001 5.788739 0.451437 7.799%0.00% 0.000001 5.788740 0.451442 7.799%0.00% 0.000002 5.788742 0.451447 7.799%0.00% 0.000002 5.788743 0.451452 7.799%0.00% 0.000002 5.788745 0.451456 7.799%0.00% 0.000002 5.788746 0.451461 7.799%0.00% 0.000002 5.788748 0.451466 7.799%0.00% 0.000002 5.788750 0.451471 7.799%0.00% 0.000002 5.788751 0.451476 7.799%0.00% 0.000002 5.788753 0.451481 7.799%0.00% 0.000002 5.788755 0.451485 7.799%0.00% 0.000002 5.788757 0.451490 7.799%0.00% 0.000002 5.788758 0.451495 7.800%0.00% 0.000002 5.788760 0.451500 7.800%0.00% 0.000002 5.788762 0.451505 7.800%0.00% 0.000002 5.788764 0.451509 7.800%0.00% 0.000002 5.788766 0.451514 7.800%0.00% 0.000002 5.788768 0.451519 7.800%0.00% 0.000002 5.788770 0.451524 7.800%0.00% 0.000002 5.788772 0.451529 7.800%0.00% 0.003763 5.792535 0.451533 7.795%0.00% 0.000000 5.792535 0.451538 7.795%0.00% 0.000000 5.792535 0.451543 7.795%0.00% 0.000000 5.792535 0.451548 7.795%

Page 771: Ch 6 Credit Derivatives

0.00% 0.000000 5.792535 0.451552 7.795%0.00% 0.000000 5.792535 0.451557 7.796%0.00% 0.000000 5.792535 0.451562 7.796%0.00% 0.000000 5.792536 0.451567 7.796%0.00% 0.000000 5.792536 0.451571 7.796%0.00% 0.000000 5.792536 0.451576 7.796%0.00% 0.000000 5.792536 0.451581 7.796%0.00% 0.000000 5.792537 0.451585 7.796%0.00% 0.000000 5.792537 0.451590 7.796%0.00% 0.000000 5.792538 0.451595 7.796%0.00% 0.000000 5.792538 0.451600 7.796%0.00% 0.000000 5.792538 0.451604 7.796%0.00% 0.000000 5.792539 0.451609 7.796%0.00% 0.000001 5.792539 0.451614 7.796%0.00% 0.000001 5.792540 0.451618 7.797%0.00% 0.000001 5.792541 0.451623 7.797%0.00% 0.000001 5.792541 0.451628 7.797%0.00% 0.000001 5.792542 0.451632 7.797%0.00% 0.000001 5.792543 0.451637 7.797%0.00% 0.000001 5.792543 0.451642 7.797%0.00% 0.000001 5.792544 0.451646 7.797%0.00% 0.000001 5.792545 0.451651 7.797%0.00% 0.000001 5.792546 0.451656 7.797%0.00% 0.000001 5.792546 0.451660 7.797%0.00% 0.000001 5.792547 0.451665 7.797%0.00% 0.000001 5.792548 0.451670 7.797%0.00% 0.000001 5.792549 0.451674 7.798%0.00% 0.000001 5.792550 0.451679 7.798%0.00% 0.000001 5.792551 0.451684 7.798%0.00% 0.000001 5.792552 0.451688 7.798%0.00% 0.000001 5.792553 0.451693 7.798%0.00% 0.000001 5.792554 0.451698 7.798%0.00% 0.000001 5.792555 0.451702 7.798%0.00% 0.000001 5.792556 0.451707 7.798%0.00% 0.000001 5.792557 0.451712 7.798%0.00% 0.000001 5.792559 0.451716 7.798%0.00% 0.000001 5.792560 0.451721 7.798%0.00% 0.000001 5.792561 0.451725 7.798%0.00% 0.000001 5.792562 0.451730 7.798%0.00% 0.000001 5.792564 0.451735 7.799%0.00% 0.000001 5.792565 0.451739 7.799%0.00% 0.000001 5.792566 0.451744 7.799%0.00% 0.000001 5.792568 0.451748 7.799%0.00% 0.000001 5.792569 0.451753 7.799%

Page 772: Ch 6 Credit Derivatives

0.00% 0.000001 5.792570 0.451758 7.799%0.00% 0.000001 5.792572 0.451762 7.799%0.00% 0.000001 5.792573 0.451767 7.799%0.00% 0.000002 5.792575 0.451771 7.799%0.00% 0.000002 5.792576 0.451776 7.799%0.00% 0.000002 5.792578 0.451781 7.799%0.00% 0.000002 5.792580 0.451785 7.799%0.00% 0.000002 5.792581 0.451790 7.799%0.00% 0.000002 5.792583 0.451794 7.800%0.00% 0.000002 5.792585 0.451799 7.800%0.00% 0.000002 5.792586 0.451803 7.800%0.00% 0.000002 5.792588 0.451808 7.800%0.00% 0.000002 5.792590 0.451812 7.800%0.00% 0.000002 5.792592 0.451817 7.800%0.00% 0.000002 5.792594 0.451822 7.800%0.00% 0.000002 5.792595 0.451826 7.800%0.00% 0.000002 5.792597 0.451831 7.800%0.00% 0.000002 5.792599 0.451835 7.800%0.00% 0.003584 5.796184 0.451840 7.795%0.00% 0.000000 5.796184 0.451844 7.796%0.00% 0.000000 5.796184 0.451849 7.796%0.00% 0.000000 5.796184 0.451853 7.796%0.00% 0.000000 5.796184 0.451858 7.796%0.00% 0.000000 5.796184 0.451862 7.796%0.00% 0.000000 5.796184 0.451867 7.796%0.00% 0.000000 5.796185 0.451871 7.796%0.00% 0.000000 5.796185 0.451876 7.796%0.00% 0.000000 5.796185 0.451881 7.796%0.00% 0.000000 5.796185 0.451885 7.796%0.00% 0.000000 5.796186 0.451890 7.796%0.00% 0.000000 5.796186 0.451894 7.796%0.00% 0.000000 5.796187 0.451899 7.796%0.00% 0.000000 5.796187 0.451903 7.797%0.00% 0.000000 5.796187 0.451908 7.797%0.00% 0.000001 5.796188 0.451912 7.797%0.00% 0.000001 5.796188 0.451917 7.797%0.00% 0.000001 5.796189 0.451921 7.797%0.00% 0.000001 5.796190 0.451926 7.797%0.00% 0.000001 5.796190 0.451930 7.797%0.00% 0.000001 5.796191 0.451935 7.797%0.00% 0.000001 5.796191 0.451939 7.797%0.00% 0.000001 5.796192 0.451944 7.797%0.00% 0.000001 5.796193 0.451948 7.797%0.00% 0.000001 5.796194 0.451953 7.797%

Page 773: Ch 6 Credit Derivatives

0.00% 0.000001 5.796194 0.451957 7.797%0.00% 0.000001 5.796195 0.451961 7.798%0.00% 0.000001 5.796196 0.451966 7.798%0.00% 0.000001 5.796197 0.451970 7.798%0.00% 0.000001 5.796198 0.451975 7.798%0.00% 0.000001 5.796199 0.451979 7.798%0.00% 0.000001 5.796200 0.451984 7.798%0.00% 0.000001 5.796201 0.451988 7.798%0.00% 0.000001 5.796202 0.451993 7.798%0.00% 0.000001 5.796203 0.451997 7.798%0.00% 0.000001 5.796204 0.452002 7.798%0.00% 0.000001 5.796205 0.452006 7.798%0.00% 0.000001 5.796206 0.452010 7.798%0.00% 0.000001 5.796207 0.452015 7.798%0.00% 0.000001 5.796208 0.452019 7.799%0.00% 0.000001 5.796209 0.452024 7.799%0.00% 0.000001 5.796211 0.452028 7.799%0.00% 0.000001 5.796212 0.452033 7.799%0.00% 0.000001 5.796213 0.452037 7.799%0.00% 0.000001 5.796214 0.452041 7.799%0.00% 0.000001 5.796216 0.452046 7.799%0.00% 0.000001 5.796217 0.452050 7.799%0.00% 0.000001 5.796218 0.452055 7.799%0.00% 0.000001 5.796220 0.452059 7.799%0.00% 0.000001 5.796221 0.452063 7.799%0.00% 0.000001 5.796223 0.452068 7.799%0.00% 0.000002 5.796224 0.452072 7.799%0.00% 0.000002 5.796226 0.452076 7.799%0.00% 0.000002 5.796227 0.452081 7.800%0.00% 0.000002 5.796229 0.452085 7.800%0.00% 0.000002 5.796230 0.452090 7.800%0.00% 0.000002 5.796232 0.452094 7.800%0.00% 0.000002 5.796234 0.452098 7.800%0.00% 0.000002 5.796235 0.452103 7.800%0.00% 0.000002 5.796237 0.452107 7.800%0.00% 0.000002 5.796239 0.452111 7.800%0.00% 0.000002 5.796241 0.452116 7.800%0.00% 0.000002 5.796242 0.452120 7.800%0.00% 0.000002 5.796244 0.452124 7.800%0.00% 0.003379 5.799624 0.452129 7.796%0.00% 0.000000 5.799624 0.452133 7.796%0.00% 0.000000 5.799624 0.452138 7.796%0.00% 0.000000 5.799624 0.452142 7.796%0.00% 0.000000 5.799624 0.452146 7.796%

Page 774: Ch 6 Credit Derivatives

0.00% 0.000000 5.799624 0.452150 7.796%0.00% 0.000000 5.799624 0.452155 7.796%0.00% 0.000000 5.799625 0.452159 7.796%0.00% 0.000000 5.799625 0.452163 7.796%0.00% 0.000000 5.799625 0.452168 7.797%0.00% 0.000000 5.799625 0.452172 7.797%0.00% 0.000000 5.799626 0.452176 7.797%0.00% 0.000000 5.799626 0.452181 7.797%0.00% 0.000000 5.799626 0.452185 7.797%0.00% 0.000000 5.799627 0.452189 7.797%0.00% 0.000000 5.799627 0.452194 7.797%0.00% 0.000000 5.799628 0.452198 7.797%0.00% 0.000000 5.799628 0.452202 7.797%0.00% 0.000001 5.799629 0.452206 7.797%0.00% 0.000001 5.799629 0.452211 7.797%0.00% 0.000001 5.799630 0.452215 7.797%0.00% 0.000001 5.799630 0.452219 7.797%0.00% 0.000001 5.799631 0.452224 7.797%0.00% 0.000001 5.799632 0.452228 7.798%0.00% 0.000001 5.799632 0.452232 7.798%0.00% 0.000001 5.799633 0.452236 7.798%0.00% 0.000001 5.799634 0.452241 7.798%0.00% 0.000001 5.799635 0.452245 7.798%0.00% 0.000001 5.799635 0.452249 7.798%0.00% 0.000001 5.799636 0.452253 7.798%0.00% 0.000001 5.799637 0.452258 7.798%0.00% 0.000001 5.799638 0.452262 7.798%0.00% 0.000001 5.799639 0.452266 7.798%0.00% 0.000001 5.799640 0.452270 7.798%0.00% 0.000001 5.799641 0.452275 7.798%0.00% 0.000001 5.799642 0.452279 7.798%0.00% 0.000001 5.799643 0.452283 7.798%0.00% 0.000001 5.799644 0.452287 7.799%0.00% 0.000001 5.799645 0.452292 7.799%0.00% 0.000001 5.799646 0.452296 7.799%0.00% 0.000001 5.799647 0.452300 7.799%0.00% 0.000001 5.799648 0.452304 7.799%0.00% 0.000001 5.799649 0.452308 7.799%0.00% 0.000001 5.799650 0.452313 7.799%0.00% 0.000001 5.799652 0.452317 7.799%0.00% 0.000001 5.799653 0.452321 7.799%0.00% 0.000001 5.799654 0.452325 7.799%0.00% 0.000001 5.799655 0.452329 7.799%0.00% 0.000001 5.799657 0.452334 7.799%

Page 775: Ch 6 Credit Derivatives

0.00% 0.000001 5.799658 0.452338 7.799%0.00% 0.000001 5.799659 0.452342 7.799%0.00% 0.000001 5.799661 0.452346 7.800%0.00% 0.000001 5.799662 0.452350 7.800%0.00% 0.000001 5.799664 0.452355 7.800%0.00% 0.000001 5.799665 0.452359 7.800%0.00% 0.000001 5.799667 0.452363 7.800%0.00% 0.000002 5.799668 0.452367 7.800%0.00% 0.000002 5.799670 0.452371 7.800%0.00% 0.000002 5.799671 0.452375 7.800%0.00% 0.000002 5.799673 0.452380 7.800%0.00% 0.000002 5.799675 0.452384 7.800%0.00% 0.000002 5.799676 0.452388 7.800%0.00% 0.000002 5.799678 0.452392 7.800%0.00% 0.000002 5.799680 0.452396 7.800%0.00% 0.003188 5.802867 0.452400 7.796%0.00% 0.000000 5.802867 0.452404 7.796%0.00% 0.000000 5.802868 0.452408 7.796%0.00% 0.000000 5.802868 0.452413 7.796%0.00% 0.000000 5.802868 0.452417 7.796%0.00% 0.000000 5.802868 0.452421 7.797%0.00% 0.000000 5.802868 0.452425 7.797%0.00% 0.000000 5.802868 0.452429 7.797%0.00% 0.000000 5.802868 0.452433 7.797%0.00% 0.000000 5.802869 0.452437 7.797%0.00% 0.000000 5.802869 0.452441 7.797%0.00% 0.000000 5.802869 0.452445 7.797%0.00% 0.000000 5.802870 0.452449 7.797%0.00% 0.000000 5.802870 0.452453 7.797%0.00% 0.000000 5.802870 0.452457 7.797%0.00% 0.000000 5.802871 0.452461 7.797%0.00% 0.000000 5.802871 0.452465 7.797%0.00% 0.000000 5.802872 0.452470 7.797%0.00% 0.000000 5.802872 0.452474 7.797%0.00% 0.000001 5.802873 0.452478 7.797%0.00% 0.000001 5.802873 0.452482 7.798%0.00% 0.000001 5.802874 0.452486 7.798%0.00% 0.000001 5.802874 0.452490 7.798%0.00% 0.000001 5.802875 0.452494 7.798%0.00% 0.000001 5.802875 0.452498 7.798%0.00% 0.000001 5.802876 0.452502 7.798%0.00% 0.000001 5.802877 0.452506 7.798%0.00% 0.000001 5.802878 0.452510 7.798%0.00% 0.000001 5.802878 0.452514 7.798%

Page 776: Ch 6 Credit Derivatives

0.00% 0.000001 5.802879 0.452518 7.798%0.00% 0.000001 5.802880 0.452522 7.798%0.00% 0.000001 5.802881 0.452526 7.798%0.00% 0.000001 5.802881 0.452530 7.798%0.00% 0.000001 5.802882 0.452534 7.798%0.00% 0.000001 5.802883 0.452538 7.799%0.00% 0.000001 5.802884 0.452542 7.799%0.00% 0.000001 5.802885 0.452546 7.799%0.00% 0.000001 5.802886 0.452550 7.799%0.00% 0.000001 5.802887 0.452554 7.799%0.00% 0.000001 5.802888 0.452558 7.799%0.00% 0.000001 5.802889 0.452562 7.799%0.00% 0.000001 5.802890 0.452566 7.799%0.00% 0.000001 5.802891 0.452570 7.799%0.00% 0.000001 5.802892 0.452574 7.799%0.00% 0.000001 5.802893 0.452578 7.799%0.00% 0.000001 5.802895 0.452582 7.799%0.00% 0.000001 5.802896 0.452586 7.799%0.00% 0.000001 5.802897 0.452590 7.799%0.00% 0.000001 5.802898 0.452594 7.799%0.00% 0.000001 5.802900 0.452598 7.800%0.00% 0.000001 5.802901 0.452602 7.800%0.00% 0.000001 5.802902 0.452605 7.800%0.00% 0.000001 5.802903 0.452609 7.800%0.00% 0.000001 5.802905 0.452613 7.800%0.00% 0.000001 5.802906 0.452617 7.800%0.00% 0.000001 5.802908 0.452621 7.800%0.00% 0.000001 5.802909 0.452625 7.800%0.00% 0.000001 5.802911 0.452629 7.800%0.00% 0.000001 5.802912 0.452633 7.800%0.00% 0.000002 5.802914 0.452637 7.800%0.00% 0.000002 5.802915 0.452641 7.800%0.00% 0.000002 5.802917 0.452645 7.800%0.00% 0.000002 5.802918 0.452649 7.800%0.00% 0.000002 5.802920 0.452653 7.800%0.00% 0.000002 5.802921 0.452657 7.800%0.00% 0.000002 5.802923 0.452660 7.801%0.00% 0.003105 5.806028 0.452664 7.796%0.00% 0.000000 5.806028 0.452668 7.797%0.00% 0.000000 5.806028 0.452672 7.797%0.00% 0.000000 5.806028 0.452676 7.797%0.00% 0.000000 5.806029 0.452680 7.797%0.00% 0.000000 5.806029 0.452684 7.797%0.00% 0.000000 5.806029 0.452688 7.797%

Page 777: Ch 6 Credit Derivatives

0.00% 0.000000 5.806029 0.452692 7.797%0.00% 0.000000 5.806029 0.452696 7.797%0.00% 0.000000 5.806030 0.452700 7.797%0.00% 0.000000 5.806030 0.452704 7.797%0.00% 0.000000 5.806030 0.452708 7.797%0.00% 0.000000 5.806030 0.452712 7.797%0.00% 0.000000 5.806031 0.452716 7.797%0.00% 0.000000 5.806031 0.452720 7.797%0.00% 0.000000 5.806031 0.452724 7.797%0.00% 0.000000 5.806032 0.452727 7.798%0.00% 0.000000 5.806032 0.452731 7.798%0.00% 0.000000 5.806033 0.452735 7.798%0.00% 0.000000 5.806033 0.452739 7.798%0.00% 0.000001 5.806034 0.452743 7.798%0.00% 0.000001 5.806034 0.452747 7.798%0.00% 0.000001 5.806035 0.452751 7.798%0.00% 0.000001 5.806036 0.452755 7.798%0.00% 0.000001 5.806036 0.452759 7.798%0.00% 0.000001 5.806037 0.452763 7.798%0.00% 0.000001 5.806038 0.452766 7.798%0.00% 0.000001 5.806038 0.452770 7.798%0.00% 0.000001 5.806039 0.452774 7.798%0.00% 0.000001 5.806040 0.452778 7.798%0.00% 0.000001 5.806040 0.452782 7.798%0.00% 0.000001 5.806041 0.452786 7.799%0.00% 0.000001 5.806042 0.452790 7.799%0.00% 0.000001 5.806043 0.452794 7.799%0.00% 0.000001 5.806044 0.452797 7.799%0.00% 0.000001 5.806045 0.452801 7.799%0.00% 0.000001 5.806046 0.452805 7.799%0.00% 0.000001 5.806047 0.452809 7.799%0.00% 0.000001 5.806047 0.452813 7.799%0.00% 0.000001 5.806048 0.452817 7.799%0.00% 0.000001 5.806049 0.452821 7.799%0.00% 0.000001 5.806051 0.452824 7.799%0.00% 0.000001 5.806052 0.452828 7.799%0.00% 0.000001 5.806053 0.452832 7.799%0.00% 0.000001 5.806054 0.452836 7.799%0.00% 0.000001 5.806055 0.452840 7.799%0.00% 0.000001 5.806056 0.452844 7.800%0.00% 0.000001 5.806057 0.452847 7.800%0.00% 0.000001 5.806058 0.452851 7.800%0.00% 0.000001 5.806060 0.452855 7.800%0.00% 0.000001 5.806061 0.452859 7.800%

Page 778: Ch 6 Credit Derivatives

0.00% 0.000001 5.806062 0.452863 7.800%0.00% 0.000001 5.806063 0.452867 7.800%0.00% 0.000001 5.806065 0.452870 7.800%0.00% 0.000001 5.806066 0.452874 7.800%0.00% 0.000001 5.806068 0.452878 7.800%0.00% 0.000001 5.806069 0.452882 7.800%0.00% 0.000001 5.806070 0.452886 7.800%0.00% 0.000001 5.806072 0.452889 7.800%0.00% 0.000001 5.806073 0.452893 7.800%0.00% 0.000001 5.806075 0.452897 7.800%0.00% 0.000002 5.806076 0.452901 7.800%0.00% 0.000002 5.806078 0.452905 7.801%0.00% 0.000002 5.806079 0.452908 7.801%0.00% 0.000002 5.806081 0.452912 7.801%0.00% 0.000002 5.806083 0.452916 7.801%0.00% 0.003021 5.809103 0.452920 7.797%0.00% 0.000000 5.809103 0.452923 7.797%0.00% 0.000000 5.809103 0.452927 7.797%0.00% 0.000000 5.809104 0.452931 7.797%0.00% 0.000000 5.809104 0.452935 7.797%0.00% 0.000000 5.809104 0.452938 7.797%0.00% 0.000000 5.809104 0.452942 7.797%0.00% 0.000000 5.809104 0.452946 7.797%0.00% 0.000000 5.809104 0.452949 7.797%0.00% 0.000000 5.809104 0.452953 7.797%0.00% 0.000000 5.809105 0.452957 7.797%0.00% 0.000000 5.809105 0.452960 7.797%0.00% 0.000000 5.809105 0.452964 7.797%0.00% 0.000000 5.809105 0.452968 7.798%0.00% 0.000000 5.809106 0.452971 7.798%0.00% 0.000000 5.809106 0.452975 7.798%0.00% 0.000000 5.809106 0.452979 7.798%0.00% 0.000000 5.809107 0.452982 7.798%0.00% 0.000000 5.809107 0.452986 7.798%0.00% 0.000000 5.809108 0.452990 7.798%0.00% 0.000000 5.809108 0.452994 7.798%0.00% 0.000000 5.809109 0.452997 7.798%0.00% 0.000001 5.809109 0.453001 7.798%0.00% 0.000001 5.809110 0.453004 7.798%0.00% 0.000001 5.809110 0.453008 7.798%0.00% 0.000001 5.809111 0.453012 7.798%0.00% 0.000001 5.809111 0.453015 7.798%0.00% 0.000001 5.809112 0.453019 7.798%0.00% 0.000001 5.809113 0.453023 7.798%

Page 779: Ch 6 Credit Derivatives

0.00% 0.000001 5.809113 0.453026 7.799%0.00% 0.000001 5.809114 0.453030 7.799%0.00% 0.000001 5.809115 0.453034 7.799%0.00% 0.000001 5.809116 0.453037 7.799%0.00% 0.000001 5.809116 0.453041 7.799%0.00% 0.000001 5.809117 0.453045 7.799%0.00% 0.000001 5.809118 0.453048 7.799%0.00% 0.000001 5.809119 0.453052 7.799%0.00% 0.000001 5.809120 0.453055 7.799%0.00% 0.000001 5.809120 0.453059 7.799%0.00% 0.000001 5.809121 0.453063 7.799%0.00% 0.000001 5.809122 0.453066 7.799%0.00% 0.000001 5.809123 0.453070 7.799%0.00% 0.000001 5.809124 0.453073 7.799%0.00% 0.000001 5.809125 0.453077 7.799%0.00% 0.000001 5.809126 0.453081 7.799%0.00% 0.000001 5.809127 0.453084 7.800%0.00% 0.000001 5.809128 0.453088 7.800%0.00% 0.000001 5.809129 0.453091 7.800%0.00% 0.000001 5.809130 0.453095 7.800%0.00% 0.000001 5.809132 0.453099 7.800%0.00% 0.000001 5.809133 0.453102 7.800%0.00% 0.000001 5.809134 0.453106 7.800%0.00% 0.000001 5.809135 0.453109 7.800%0.00% 0.000001 5.809136 0.453113 7.800%0.00% 0.000001 5.809138 0.453117 7.800%0.00% 0.000001 5.809139 0.453120 7.800%0.00% 0.000001 5.809140 0.453124 7.800%0.00% 0.000001 5.809141 0.453127 7.800%0.00% 0.000001 5.809143 0.453131 7.800%0.00% 0.000001 5.809144 0.453134 7.800%0.00% 0.000001 5.809145 0.453138 7.800%0.00% 0.000001 5.809147 0.453141 7.800%0.00% 0.000001 5.809148 0.453145 7.801%0.00% 0.000001 5.809150 0.453149 7.801%0.00% 0.000001 5.809151 0.453152 7.801%0.00% 0.002789 5.811940 0.453156 7.797%0.00% 0.000000 5.811940 0.453159 7.797%0.00% 0.000000 5.811940 0.453163 7.797%0.00% 0.000000 5.811940 0.453166 7.797%0.00% 0.000000 5.811940 0.453170 7.797%0.00% 0.000000 5.811940 0.453173 7.797%0.00% 0.000000 5.811940 0.453177 7.797%0.00% 0.000000 5.811941 0.453180 7.797%

Page 780: Ch 6 Credit Derivatives

0.00% 0.000000 5.811941 0.453184 7.797%0.00% 0.000000 5.811941 0.453187 7.798%0.00% 0.000000 5.811941 0.453191 7.798%0.00% 0.000000 5.811941 0.453194 7.798%0.00% 0.000000 5.811942 0.453198 7.798%0.00% 0.000000 5.811942 0.453201 7.798%0.00% 0.000000 5.811942 0.453205 7.798%0.00% 0.000000 5.811943 0.453208 7.798%0.00% 0.000000 5.811943 0.453212 7.798%0.00% 0.000000 5.811943 0.453215 7.798%0.00% 0.000000 5.811944 0.453219 7.798%0.00% 0.000000 5.811944 0.453222 7.798%0.00% 0.000000 5.811945 0.453226 7.798%0.00% 0.000000 5.811945 0.453229 7.798%0.00% 0.000000 5.811945 0.453233 7.798%0.00% 0.000000 5.811946 0.453236 7.798%0.00% 0.000001 5.811946 0.453240 7.798%0.00% 0.000001 5.811947 0.453243 7.798%0.00% 0.000001 5.811948 0.453247 7.799%0.00% 0.000001 5.811948 0.453250 7.799%0.00% 0.000001 5.811949 0.453254 7.799%0.00% 0.000001 5.811949 0.453257 7.799%0.00% 0.000001 5.811950 0.453261 7.799%0.00% 0.000001 5.811951 0.453264 7.799%0.00% 0.000001 5.811952 0.453267 7.799%0.00% 0.000001 5.811952 0.453271 7.799%0.00% 0.000001 5.811953 0.453274 7.799%0.00% 0.000001 5.811954 0.453278 7.799%0.00% 0.000001 5.811955 0.453281 7.799%0.00% 0.000001 5.811955 0.453285 7.799%0.00% 0.000001 5.811956 0.453288 7.799%0.00% 0.000001 5.811957 0.453292 7.799%0.00% 0.000001 5.811958 0.453295 7.799%0.00% 0.000001 5.811959 0.453298 7.799%0.00% 0.000001 5.811960 0.453302 7.799%0.00% 0.000001 5.811961 0.453305 7.800%0.00% 0.000001 5.811962 0.453309 7.800%0.00% 0.000001 5.811963 0.453312 7.800%0.00% 0.000001 5.811964 0.453316 7.800%0.00% 0.000001 5.811965 0.453319 7.800%0.00% 0.000001 5.811966 0.453322 7.800%0.00% 0.000001 5.811967 0.453326 7.800%0.00% 0.000001 5.811968 0.453329 7.800%0.00% 0.000001 5.811969 0.453333 7.800%

Page 781: Ch 6 Credit Derivatives

0.00% 0.000001 5.811970 0.453336 7.800%0.00% 0.000001 5.811971 0.453339 7.800%0.00% 0.000001 5.811972 0.453343 7.800%0.00% 0.000001 5.811974 0.453346 7.800%0.00% 0.000001 5.811975 0.453350 7.800%0.00% 0.000001 5.811976 0.453353 7.800%0.00% 0.000001 5.811977 0.453356 7.800%0.00% 0.000001 5.811979 0.453360 7.800%0.00% 0.000001 5.811980 0.453363 7.800%0.00% 0.000001 5.811981 0.453367 7.801%0.00% 0.000001 5.811983 0.453370 7.801%0.00% 0.000001 5.811984 0.453373 7.801%0.00% 0.000001 5.811985 0.453377 7.801%0.00% 0.002660 5.814645 0.453380 7.797%0.00% 0.000000 5.814645 0.453383 7.797%0.00% 0.000000 5.814645 0.453387 7.797%0.00% 0.000000 5.814645 0.453390 7.797%0.00% 0.000000 5.814645 0.453393 7.797%0.00% 0.000000 5.814646 0.453397 7.797%0.00% 0.000000 5.814646 0.453400 7.798%0.00% 0.000000 5.814646 0.453403 7.798%0.00% 0.000000 5.814646 0.453407 7.798%0.00% 0.000000 5.814646 0.453410 7.798%0.00% 0.000000 5.814646 0.453413 7.798%0.00% 0.000000 5.814647 0.453417 7.798%0.00% 0.000000 5.814647 0.453420 7.798%0.00% 0.000000 5.814647 0.453423 7.798%0.00% 0.000000 5.814647 0.453427 7.798%0.00% 0.000000 5.814648 0.453430 7.798%0.00% 0.000000 5.814648 0.453433 7.798%0.00% 0.000000 5.814648 0.453437 7.798%0.00% 0.000000 5.814649 0.453440 7.798%0.00% 0.000000 5.814649 0.453443 7.798%0.00% 0.000000 5.814650 0.453447 7.798%0.00% 0.000000 5.814650 0.453450 7.798%0.00% 0.000000 5.814650 0.453453 7.798%0.00% 0.000000 5.814651 0.453456 7.799%0.00% 0.000000 5.814651 0.453460 7.799%0.00% 0.000001 5.814652 0.453463 7.799%0.00% 0.000001 5.814653 0.453466 7.799%0.00% 0.000001 5.814653 0.453470 7.799%0.00% 0.000001 5.814654 0.453473 7.799%0.00% 0.000001 5.814654 0.453476 7.799%0.00% 0.000001 5.814655 0.453479 7.799%

Page 782: Ch 6 Credit Derivatives

0.00% 0.000001 5.814656 0.453483 7.799%0.00% 0.000001 5.814656 0.453486 7.799%0.00% 0.000001 5.814657 0.453489 7.799%0.00% 0.000001 5.814658 0.453493 7.799%0.00% 0.000001 5.814658 0.453496 7.799%0.00% 0.000001 5.814659 0.453499 7.799%0.00% 0.000001 5.814660 0.453502 7.799%0.00% 0.000001 5.814661 0.453506 7.799%0.00% 0.000001 5.814661 0.453509 7.799%0.00% 0.000001 5.814662 0.453512 7.799%0.00% 0.000001 5.814663 0.453515 7.800%0.00% 0.000001 5.814664 0.453519 7.800%0.00% 0.000001 5.814665 0.453522 7.800%0.00% 0.000001 5.814666 0.453525 7.800%0.00% 0.000001 5.814667 0.453528 7.800%0.00% 0.000001 5.814668 0.453532 7.800%0.00% 0.000001 5.814669 0.453535 7.800%0.00% 0.000001 5.814670 0.453538 7.800%0.00% 0.000001 5.814671 0.453541 7.800%0.00% 0.000001 5.814672 0.453545 7.800%0.00% 0.000001 5.814673 0.453548 7.800%0.00% 0.000001 5.814674 0.453551 7.800%0.00% 0.000001 5.814675 0.453554 7.800%0.00% 0.000001 5.814676 0.453557 7.800%0.00% 0.000001 5.814677 0.453561 7.800%0.00% 0.000001 5.814678 0.453564 7.800%0.00% 0.000001 5.814680 0.453567 7.800%0.00% 0.000001 5.814681 0.453570 7.800%0.00% 0.000001 5.814682 0.453574 7.800%0.00% 0.000001 5.814683 0.453577 7.801%0.00% 0.000001 5.814684 0.453580 7.801%0.00% 0.000001 5.814686 0.453583 7.801%0.00% 0.000001 5.814687 0.453586 7.801%0.00% 0.000001 5.814688 0.453590 7.801%0.00% 0.002538 5.817226 0.453593 7.797%0.00% 0.000000 5.817226 0.453596 7.797%0.00% 0.000000 5.817226 0.453599 7.798%0.00% 0.000000 5.817226 0.453602 7.798%0.00% 0.000000 5.817226 0.453606 7.798%0.00% 0.000000 5.817226 0.453609 7.798%0.00% 0.000000 5.817226 0.453612 7.798%0.00% 0.000000 5.817226 0.453615 7.798%0.00% 0.000000 5.817227 0.453618 7.798%0.00% 0.000000 5.817227 0.453621 7.798%

Page 783: Ch 6 Credit Derivatives

0.00% 0.000000 5.817227 0.453625 7.798%0.00% 0.000000 5.817227 0.453628 7.798%0.00% 0.000000 5.817227 0.453631 7.798%0.00% 0.000000 5.817228 0.453634 7.798%0.00% 0.000000 5.817228 0.453637 7.798%0.00% 0.000000 5.817228 0.453640 7.798%0.00% 0.000000 5.817229 0.453644 7.798%0.00% 0.000000 5.817229 0.453647 7.798%0.00% 0.000000 5.817229 0.453650 7.798%0.00% 0.000000 5.817230 0.453653 7.798%0.00% 0.000000 5.817230 0.453656 7.798%0.00% 0.000000 5.817230 0.453659 7.799%0.00% 0.000000 5.817231 0.453663 7.799%0.00% 0.000000 5.817231 0.453666 7.799%0.00% 0.000000 5.817232 0.453669 7.799%0.00% 0.000001 5.817232 0.453672 7.799%0.00% 0.000001 5.817233 0.453675 7.799%0.00% 0.000001 5.817233 0.453678 7.799%0.00% 0.000001 5.817234 0.453681 7.799%0.00% 0.000001 5.817234 0.453685 7.799%0.00% 0.000001 5.817235 0.453688 7.799%0.00% 0.000001 5.817236 0.453691 7.799%0.00% 0.000001 5.817236 0.453694 7.799%0.00% 0.000001 5.817237 0.453697 7.799%0.00% 0.000001 5.817238 0.453700 7.799%0.00% 0.000001 5.817238 0.453703 7.799%0.00% 0.000001 5.817239 0.453706 7.799%0.00% 0.000001 5.817240 0.453710 7.799%0.00% 0.000001 5.817241 0.453713 7.799%0.00% 0.000001 5.817241 0.453716 7.800%0.00% 0.000001 5.817242 0.453719 7.800%0.00% 0.000001 5.817243 0.453722 7.800%0.00% 0.000001 5.817244 0.453725 7.800%0.00% 0.000001 5.817245 0.453728 7.800%0.00% 0.000001 5.817246 0.453731 7.800%0.00% 0.000001 5.817246 0.453734 7.800%0.00% 0.000001 5.817247 0.453737 7.800%0.00% 0.000001 5.817248 0.453741 7.800%0.00% 0.000001 5.817249 0.453744 7.800%0.00% 0.000001 5.817250 0.453747 7.800%0.00% 0.000001 5.817251 0.453750 7.800%0.00% 0.000001 5.817252 0.453753 7.800%0.00% 0.000001 5.817253 0.453756 7.800%0.00% 0.000001 5.817254 0.453759 7.800%

Page 784: Ch 6 Credit Derivatives

0.00% 0.000001 5.817255 0.453762 7.800%0.00% 0.000001 5.817256 0.453765 7.800%0.00% 0.000001 5.817258 0.453768 7.800%0.00% 0.000001 5.817259 0.453771 7.800%0.00% 0.000001 5.817260 0.453774 7.800%0.00% 0.000001 5.817261 0.453778 7.801%0.00% 0.000001 5.817262 0.453781 7.801%0.00% 0.000001 5.817263 0.453784 7.801%0.00% 0.000001 5.817265 0.453787 7.801%0.00% 0.000001 5.817266 0.453790 7.801%0.00% 0.000001 5.817267 0.453793 7.801%0.00% 0.002421 5.819688 0.453796 7.798%0.00% 0.000000 5.819688 0.453799 7.798%0.00% 0.000000 5.819688 0.453802 7.798%0.00% 0.000000 5.819688 0.453805 7.798%0.00% 0.000000 5.819688 0.453808 7.798%0.00% 0.000000 5.819688 0.453811 7.798%0.00% 0.000000 5.819688 0.453814 7.798%0.00% 0.000000 5.819688 0.453817 7.798%0.00% 0.000000 5.819689 0.453820 7.798%0.00% 0.000000 5.819689 0.453823 7.798%0.00% 0.000000 5.819689 0.453826 7.798%0.00% 0.000000 5.819689 0.453829 7.798%0.00% 0.000000 5.819689 0.453832 7.798%0.00% 0.000000 5.819690 0.453835 7.798%0.00% 0.000000 5.819690 0.453838 7.798%0.00% 0.000000 5.819690 0.453841 7.798%0.00% 0.000000 5.819690 0.453844 7.798%0.00% 0.000000 5.819691 0.453847 7.798%0.00% 0.000000 5.819691 0.453850 7.799%0.00% 0.000000 5.819691 0.453853 7.799%0.00% 0.000000 5.819692 0.453856 7.799%0.00% 0.000000 5.819692 0.453859 7.799%0.00% 0.000000 5.819693 0.453862 7.799%0.00% 0.000000 5.819693 0.453865 7.799%0.00% 0.000000 5.819694 0.453868 7.799%0.00% 0.000000 5.819694 0.453871 7.799%0.00% 0.000000 5.819695 0.453874 7.799%0.00% 0.000001 5.819695 0.453877 7.799%0.00% 0.000001 5.819696 0.453880 7.799%0.00% 0.000001 5.819696 0.453883 7.799%0.00% 0.000001 5.819697 0.453886 7.799%0.00% 0.000001 5.819697 0.453889 7.799%0.00% 0.000001 5.819698 0.453892 7.799%

Page 785: Ch 6 Credit Derivatives

0.00% 0.000001 5.819699 0.453895 7.799%0.00% 0.000001 5.819699 0.453898 7.799%0.00% 0.000001 5.819700 0.453901 7.799%0.00% 0.000001 5.819701 0.453904 7.799%0.00% 0.000001 5.819701 0.453907 7.799%0.00% 0.000001 5.819702 0.453910 7.800%0.00% 0.000001 5.819703 0.453913 7.800%0.00% 0.000001 5.819703 0.453916 7.800%0.00% 0.000001 5.819704 0.453919 7.800%0.00% 0.000001 5.819705 0.453921 7.800%0.00% 0.000001 5.819706 0.453924 7.800%0.00% 0.000001 5.819707 0.453927 7.800%0.00% 0.000001 5.819707 0.453930 7.800%0.00% 0.000001 5.819708 0.453933 7.800%0.00% 0.000001 5.819709 0.453936 7.800%0.00% 0.000001 5.819710 0.453939 7.800%0.00% 0.000001 5.819711 0.453942 7.800%0.00% 0.000001 5.819712 0.453945 7.800%0.00% 0.000001 5.819713 0.453948 7.800%0.00% 0.000001 5.819714 0.453951 7.800%0.00% 0.000001 5.819715 0.453954 7.800%0.00% 0.000001 5.819716 0.453957 7.800%0.00% 0.000001 5.819717 0.453960 7.800%0.00% 0.000001 5.819718 0.453963 7.800%0.00% 0.000001 5.819719 0.453965 7.800%0.00% 0.000001 5.819720 0.453968 7.801%0.00% 0.000001 5.819721 0.453971 7.801%0.00% 0.000001 5.819722 0.453974 7.801%0.00% 0.000001 5.819723 0.453977 7.801%0.00% 0.000001 5.819725 0.453980 7.801%0.00% 0.000001 5.819726 0.453983 7.801%0.00% 0.000001 5.819727 0.453986 7.801%0.00% 0.002310 5.822037 0.453989 7.798%0.00% 0.000000 5.822037 0.453992 7.798%0.00% 0.000000 5.822037 0.453994 7.798%0.00% 0.000000 5.822037 0.453997 7.798%0.00% 0.000000 5.822037 0.454000 7.798%0.00% 0.000000 5.822037 0.454003 7.798%0.00% 0.000000 5.822038 0.454006 7.798%0.00% 0.000000 5.822038 0.454009 7.798%0.00% 0.000000 5.822038 0.454012 7.798%0.00% 0.000000 5.822038 0.454015 7.798%0.00% 0.000000 5.822038 0.454018 7.798%0.00% 0.000000 5.822038 0.454020 7.798%

Page 786: Ch 6 Credit Derivatives

0.00% 0.000000 5.822039 0.454023 7.798%0.00% 0.000000 5.822039 0.454026 7.798%0.00% 0.000000 5.822039 0.454029 7.798%0.00% 0.000000 5.822039 0.454032 7.799%0.00% 0.000000 5.822040 0.454035 7.799%0.00% 0.000000 5.822040 0.454038 7.799%0.00% 0.000000 5.822040 0.454040 7.799%0.00% 0.000000 5.822041 0.454043 7.799%0.00% 0.000000 5.822041 0.454046 7.799%0.00% 0.000000 5.822041 0.454049 7.799%0.00% 0.000000 5.822042 0.454052 7.799%0.00% 0.000000 5.822042 0.454055 7.799%0.00% 0.000000 5.822043 0.454058 7.799%0.00% 0.000000 5.822043 0.454060 7.799%0.00% 0.000000 5.822043 0.454063 7.799%0.00% 0.000000 5.822044 0.454066 7.799%0.00% 0.000000 5.822044 0.454069 7.799%0.00% 0.000001 5.822045 0.454072 7.799%0.00% 0.000001 5.822045 0.454075 7.799%0.00% 0.000001 5.822046 0.454077 7.799%0.00% 0.000001 5.822047 0.454080 7.799%0.00% 0.000001 5.822047 0.454083 7.799%0.00% 0.000001 5.822048 0.454086 7.799%0.00% 0.000001 5.822048 0.454089 7.799%0.00% 0.000001 5.822049 0.454092 7.800%0.00% 0.000001 5.822050 0.454094 7.800%0.00% 0.000001 5.822050 0.454097 7.800%0.00% 0.000001 5.822051 0.454100 7.800%0.00% 0.000001 5.822052 0.454103 7.800%0.00% 0.000001 5.822053 0.454106 7.800%0.00% 0.000001 5.822053 0.454108 7.800%0.00% 0.000001 5.822054 0.454111 7.800%0.00% 0.000001 5.822055 0.454114 7.800%0.00% 0.000001 5.822056 0.454117 7.800%0.00% 0.000001 5.822057 0.454120 7.800%0.00% 0.000001 5.822057 0.454123 7.800%0.00% 0.000001 5.822058 0.454125 7.800%0.00% 0.000001 5.822059 0.454128 7.800%0.00% 0.000001 5.822060 0.454131 7.800%0.00% 0.000001 5.822061 0.454134 7.800%0.00% 0.000001 5.822062 0.454136 7.800%0.00% 0.000001 5.822063 0.454139 7.800%0.00% 0.000001 5.822064 0.454142 7.800%0.00% 0.000001 5.822065 0.454145 7.800%

Page 787: Ch 6 Credit Derivatives

0.00% 0.000001 5.822066 0.454148 7.800%0.00% 0.000001 5.822067 0.454150 7.801%0.00% 0.000001 5.822068 0.454153 7.801%0.00% 0.000001 5.822069 0.454156 7.801%0.00% 0.000001 5.822070 0.454159 7.801%0.00% 0.000001 5.822071 0.454162 7.801%0.00% 0.000001 5.822072 0.454164 7.801%0.00% 0.000001 5.822073 0.454167 7.801%0.00% 0.000001 5.822074 0.454170 7.801%0.00% 0.002205 5.824279 0.454173 7.798%0.00% 0.000000 5.824279 0.454175 7.798%0.00% 0.000000 5.824279 0.454178 7.798%0.00% 0.000000 5.824279 0.454181 7.798%0.00% 0.000000 5.824279 0.454184 7.798%0.00% 0.000000 5.824279 0.454186 7.798%0.00% 0.000000 5.824279 0.454189 7.798%0.00% 0.000000 5.824279 0.454192 7.798%0.00% 0.000000 5.824280 0.454195 7.798%0.00% 0.000000 5.824280 0.454197 7.798%0.00% 0.000000 5.824280 0.454200 7.798%0.00% 0.000000 5.824280 0.454203 7.798%0.00% 0.000000 5.824280 0.454206 7.798%0.00% 0.000000 5.824280 0.454208 7.799%0.00% 0.000000 5.824281 0.454211 7.799%0.00% 0.000000 5.824281 0.454214 7.799%0.00% 0.000000 5.824281 0.454216 7.799%0.00% 0.000000 5.824282 0.454219 7.799%0.00% 0.000000 5.824282 0.454222 7.799%0.00% 0.000000 5.824282 0.454225 7.799%0.00% 0.000000 5.824283 0.454227 7.799%0.00% 0.000000 5.824283 0.454230 7.799%0.00% 0.000000 5.824283 0.454233 7.799%0.00% 0.000000 5.824284 0.454235 7.799%0.00% 0.000000 5.824284 0.454238 7.799%0.00% 0.000000 5.824284 0.454241 7.799%0.00% 0.000000 5.824285 0.454244 7.799%0.00% 0.000000 5.824285 0.454246 7.799%0.00% 0.000000 5.824286 0.454249 7.799%0.00% 0.000000 5.824286 0.454252 7.799%0.00% 0.000001 5.824287 0.454254 7.799%0.00% 0.000001 5.824287 0.454257 7.799%0.00% 0.000001 5.824288 0.454260 7.799%0.00% 0.000001 5.824289 0.454262 7.799%0.00% 0.000001 5.824289 0.454265 7.799%

Page 788: Ch 6 Credit Derivatives

0.00% 0.000001 5.824290 0.454268 7.800%0.00% 0.000001 5.824290 0.454271 7.800%0.00% 0.000001 5.824291 0.454273 7.800%0.00% 0.000001 5.824292 0.454276 7.800%0.00% 0.000001 5.824292 0.454279 7.800%0.00% 0.000001 5.824293 0.454281 7.800%0.00% 0.000001 5.824294 0.454284 7.800%0.00% 0.000001 5.824294 0.454287 7.800%0.00% 0.000001 5.824295 0.454289 7.800%0.00% 0.000001 5.824296 0.454292 7.800%0.00% 0.000001 5.824297 0.454295 7.800%0.00% 0.000001 5.824297 0.454297 7.800%0.00% 0.000001 5.824298 0.454300 7.800%0.00% 0.000001 5.824299 0.454303 7.800%0.00% 0.000001 5.824300 0.454305 7.800%0.00% 0.000001 5.824301 0.454308 7.800%0.00% 0.000001 5.824302 0.454311 7.800%0.00% 0.000001 5.824302 0.454313 7.800%0.00% 0.000001 5.824303 0.454316 7.800%0.00% 0.000001 5.824304 0.454319 7.800%0.00% 0.000001 5.824305 0.454321 7.800%0.00% 0.000001 5.824306 0.454324 7.800%0.00% 0.000001 5.824307 0.454327 7.801%0.00% 0.000001 5.824308 0.454329 7.801%0.00% 0.000001 5.824309 0.454332 7.801%0.00% 0.000001 5.824310 0.454334 7.801%0.00% 0.000001 5.824311 0.454337 7.801%0.00% 0.000001 5.824312 0.454340 7.801%0.00% 0.000001 5.824313 0.454342 7.801%0.00% 0.000001 5.824314 0.454345 7.801%0.00% 0.002104 5.826418 0.454348 7.798%0.00% 0.000000 5.826419 0.454350 7.798%0.00% 0.000000 5.826419 0.454353 7.798%0.00% 0.000000 5.826419 0.454355 7.798%0.00% 0.000000 5.826419 0.454358 7.798%0.00% 0.000000 5.826419 0.454361 7.798%0.00% 0.000000 5.826419 0.454363 7.798%0.00% 0.000000 5.826419 0.454366 7.798%0.00% 0.000000 5.826419 0.454369 7.798%0.00% 0.000000 5.826419 0.454371 7.798%0.00% 0.000000 5.826419 0.454374 7.799%0.00% 0.000000 5.826420 0.454376 7.799%0.00% 0.000000 5.826420 0.454379 7.799%0.00% 0.000000 5.826420 0.454381 7.799%

Page 789: Ch 6 Credit Derivatives

0.00% 0.000000 5.826420 0.454384 7.799%0.00% 0.000000 5.826420 0.454387 7.799%0.00% 0.000000 5.826421 0.454389 7.799%0.00% 0.000000 5.826421 0.454392 7.799%0.00% 0.000000 5.826421 0.454394 7.799%0.00% 0.000000 5.826421 0.454397 7.799%0.00% 0.000000 5.826422 0.454400 7.799%0.00% 0.000000 5.826422 0.454402 7.799%0.00% 0.000000 5.826423 0.454405 7.799%0.00% 0.000000 5.826423 0.454407 7.799%0.00% 0.000000 5.826423 0.454410 7.799%0.00% 0.000000 5.826424 0.454412 7.799%0.00% 0.000000 5.826424 0.454415 7.799%0.00% 0.000000 5.826425 0.454418 7.799%0.00% 0.000000 5.826425 0.454420 7.799%0.00% 0.000000 5.826425 0.454423 7.799%0.00% 0.000000 5.826426 0.454425 7.799%0.00% 0.000001 5.826426 0.454428 7.799%0.00% 0.000001 5.826427 0.454430 7.799%0.00% 0.000001 5.826428 0.454433 7.800%0.00% 0.000001 5.826428 0.454435 7.800%0.00% 0.000001 5.826429 0.454438 7.800%0.00% 0.000001 5.826429 0.454441 7.800%0.00% 0.000001 5.826430 0.454443 7.800%0.00% 0.000001 5.826430 0.454446 7.800%0.00% 0.000001 5.826431 0.454448 7.800%0.00% 0.000001 5.826432 0.454451 7.800%0.00% 0.000001 5.826432 0.454453 7.800%0.00% 0.000001 5.826433 0.454456 7.800%0.00% 0.000001 5.826434 0.454458 7.800%0.00% 0.000001 5.826434 0.454461 7.800%0.00% 0.000001 5.826435 0.454463 7.800%0.00% 0.000001 5.826436 0.454466 7.800%0.00% 0.000001 5.826437 0.454468 7.800%0.00% 0.000001 5.826438 0.454471 7.800%0.00% 0.000001 5.826438 0.454473 7.800%0.00% 0.000001 5.826439 0.454476 7.800%0.00% 0.000001 5.826440 0.454479 7.800%0.00% 0.000001 5.826441 0.454481 7.800%0.00% 0.000001 5.826442 0.454484 7.800%0.00% 0.000001 5.826442 0.454486 7.800%0.00% 0.000001 5.826443 0.454489 7.800%0.00% 0.000001 5.826444 0.454491 7.800%0.00% 0.000001 5.826445 0.454494 7.801%

Page 790: Ch 6 Credit Derivatives

0.00% 0.000001 5.826446 0.454496 7.801%0.00% 0.000001 5.826447 0.454499 7.801%0.00% 0.000001 5.826448 0.454501 7.801%0.00% 0.000001 5.826449 0.454504 7.801%0.00% 0.000001 5.826450 0.454506 7.801%0.00% 0.000001 5.826451 0.454509 7.801%0.00% 0.000001 5.826452 0.454511 7.801%0.00% 0.000001 5.826453 0.454514 7.801%0.00% 0.002029 5.828483 0.454516 7.798%0.00% 0.000000 5.828483 0.454519 7.798%0.00% 0.000000 5.828483 0.454521 7.798%0.00% 0.000000 5.828483 0.454524 7.798%0.00% 0.000000 5.828483 0.454526 7.798%0.00% 0.000000 5.828483 0.454529 7.798%0.00% 0.000000 5.828483 0.454531 7.798%0.00% 0.000000 5.828483 0.454534 7.798%0.00% 0.000000 5.828483 0.454536 7.799%0.00% 0.000000 5.828483 0.454539 7.799%0.00% 0.000000 5.828483 0.454541 7.799%0.00% 0.000000 5.828484 0.454543 7.799%0.00% 0.000000 5.828484 0.454546 7.799%0.00% 0.000000 5.828484 0.454548 7.799%0.00% 0.000000 5.828484 0.454551 7.799%0.00% 0.000000 5.828484 0.454553 7.799%0.00% 0.000000 5.828485 0.454556 7.799%0.00% 0.000000 5.828485 0.454558 7.799%0.00% 0.000000 5.828485 0.454561 7.799%0.00% 0.000000 5.828486 0.454563 7.799%0.00% 0.000000 5.828486 0.454566 7.799%0.00% 0.000000 5.828486 0.454568 7.799%0.00% 0.000000 5.828487 0.454571 7.799%0.00% 0.000000 5.828487 0.454573 7.799%0.00% 0.000000 5.828487 0.454576 7.799%0.00% 0.000000 5.828488 0.454578 7.799%0.00% 0.000000 5.828488 0.454580 7.799%0.00% 0.000000 5.828488 0.454583 7.799%0.00% 0.000000 5.828489 0.454585 7.799%0.00% 0.000000 5.828489 0.454588 7.799%0.00% 0.000000 5.828490 0.454590 7.799%0.00% 0.000000 5.828490 0.454593 7.799%0.00% 0.000000 5.828491 0.454595 7.800%0.00% 0.000001 5.828491 0.454598 7.800%0.00% 0.000001 5.828492 0.454600 7.800%0.00% 0.000001 5.828492 0.454602 7.800%

Page 791: Ch 6 Credit Derivatives

0.00% 0.000001 5.828493 0.454605 7.800%0.00% 0.000001 5.828494 0.454607 7.800%0.00% 0.000001 5.828494 0.454610 7.800%0.00% 0.000001 5.828495 0.454612 7.800%0.00% 0.000001 5.828495 0.454615 7.800%0.00% 0.000001 5.828496 0.454617 7.800%0.00% 0.000001 5.828497 0.454619 7.800%0.00% 0.000001 5.828497 0.454622 7.800%0.00% 0.000001 5.828498 0.454624 7.800%0.00% 0.000001 5.828499 0.454627 7.800%0.00% 0.000001 5.828499 0.454629 7.800%0.00% 0.000001 5.828500 0.454632 7.800%0.00% 0.000001 5.828501 0.454634 7.800%0.00% 0.000001 5.828502 0.454636 7.800%0.00% 0.000001 5.828503 0.454639 7.800%0.00% 0.000001 5.828503 0.454641 7.800%0.00% 0.000001 5.828504 0.454644 7.800%0.00% 0.000001 5.828505 0.454646 7.800%0.00% 0.000001 5.828506 0.454648 7.800%0.00% 0.000001 5.828507 0.454651 7.800%0.00% 0.000001 5.828507 0.454653 7.801%0.00% 0.000001 5.828508 0.454656 7.801%0.00% 0.000001 5.828509 0.454658 7.801%0.00% 0.000001 5.828510 0.454660 7.801%0.00% 0.000001 5.828511 0.454663 7.801%0.00% 0.000001 5.828512 0.454665 7.801%0.00% 0.000001 5.828513 0.454668 7.801%0.00% 0.000001 5.828514 0.454670 7.801%0.00% 0.000001 5.828515 0.454672 7.801%0.00% 0.001916 5.830431 0.454675 7.798%0.00% 0.000000 5.830431 0.454677 7.798%0.00% 0.000000 5.830431 0.454680 7.798%0.00% 0.000000 5.830431 0.454682 7.798%0.00% 0.000000 5.830431 0.454684 7.798%0.00% 0.000000 5.830432 0.454687 7.799%0.00% 0.000000 5.830432 0.454689 7.799%0.00% 0.000000 5.830432 0.454691 7.799%0.00% 0.000000 5.830432 0.454694 7.799%0.00% 0.000000 5.830432 0.454696 7.799%0.00% 0.000000 5.830432 0.454699 7.799%0.00% 0.000000 5.830432 0.454701 7.799%0.00% 0.000000 5.830432 0.454703 7.799%0.00% 0.000000 5.830433 0.454706 7.799%0.00% 0.000000 5.830433 0.454708 7.799%

Page 792: Ch 6 Credit Derivatives

0.00% 0.000000 5.830433 0.454710 7.799%0.00% 0.000000 5.830433 0.454713 7.799%0.00% 0.000000 5.830434 0.454715 7.799%0.00% 0.000000 5.830434 0.454717 7.799%0.00% 0.000000 5.830434 0.454720 7.799%0.00% 0.000000 5.830434 0.454722 7.799%0.00% 0.000000 5.830435 0.454724 7.799%0.00% 0.000000 5.830435 0.454727 7.799%0.00% 0.000000 5.830435 0.454729 7.799%0.00% 0.000000 5.830436 0.454732 7.799%0.00% 0.000000 5.830436 0.454734 7.799%0.00% 0.000000 5.830437 0.454736 7.799%0.00% 0.000000 5.830437 0.454739 7.799%0.00% 0.000000 5.830437 0.454741 7.799%0.00% 0.000000 5.830438 0.454743 7.799%0.00% 0.000000 5.830438 0.454746 7.800%0.00% 0.000000 5.830439 0.454748 7.800%0.00% 0.000000 5.830439 0.454750 7.800%0.00% 0.000000 5.830440 0.454753 7.800%0.00% 0.000001 5.830440 0.454755 7.800%0.00% 0.000001 5.830441 0.454757 7.800%0.00% 0.000001 5.830441 0.454760 7.800%0.00% 0.000001 5.830442 0.454762 7.800%0.00% 0.000001 5.830442 0.454764 7.800%0.00% 0.000001 5.830443 0.454766 7.800%0.00% 0.000001 5.830444 0.454769 7.800%0.00% 0.000001 5.830444 0.454771 7.800%0.00% 0.000001 5.830445 0.454773 7.800%0.00% 0.000001 5.830445 0.454776 7.800%0.00% 0.000001 5.830446 0.454778 7.800%0.00% 0.000001 5.830447 0.454780 7.800%0.00% 0.000001 5.830447 0.454783 7.800%0.00% 0.000001 5.830448 0.454785 7.800%0.00% 0.000001 5.830449 0.454787 7.800%0.00% 0.000001 5.830450 0.454790 7.800%0.00% 0.000001 5.830450 0.454792 7.800%0.00% 0.000001 5.830451 0.454794 7.800%0.00% 0.000001 5.830452 0.454796 7.800%0.00% 0.000001 5.830453 0.454799 7.800%0.00% 0.000001 5.830453 0.454801 7.800%0.00% 0.000001 5.830454 0.454803 7.800%0.00% 0.000001 5.830455 0.454806 7.801%0.00% 0.000001 5.830456 0.454808 7.801%0.00% 0.000001 5.830457 0.454810 7.801%

Page 793: Ch 6 Credit Derivatives

0.00% 0.000001 5.830458 0.454812 7.801%0.00% 0.000001 5.830459 0.454815 7.801%0.00% 0.000001 5.830459 0.454817 7.801%0.00% 0.000001 5.830460 0.454819 7.801%0.00% 0.000001 5.830461 0.454822 7.801%0.00% 0.001811 5.832272 0.454824 7.798%0.00% 0.000000 5.832272 0.454826 7.798%0.00% 0.000000 5.832272 0.454828 7.798%0.00% 0.000000 5.832272 0.454831 7.799%0.00% 0.000000 5.832272 0.454833 7.799%0.00% 0.000000 5.832272 0.454835 7.799%0.00% 0.000000 5.832272 0.454837 7.799%0.00% 0.000000 5.832272 0.454840 7.799%0.00% 0.000000 5.832272 0.454842 7.799%0.00% 0.000000 5.832272 0.454844 7.799%0.00% 0.000000 5.832273 0.454846 7.799%0.00% 0.000000 5.832273 0.454849 7.799%0.00% 0.000000 5.832273 0.454851 7.799%0.00% 0.000000 5.832273 0.454853 7.799%0.00% 0.000000 5.832273 0.454855 7.799%0.00% 0.000000 5.832274 0.454858 7.799%0.00% 0.000000 5.832274 0.454860 7.799%0.00% 0.000000 5.832274 0.454862 7.799%0.00% 0.000000 5.832274 0.454864 7.799%0.00% 0.000000 5.832274 0.454867 7.799%0.00% 0.000000 5.832275 0.454869 7.799%0.00% 0.000000 5.832275 0.454871 7.799%0.00% 0.000000 5.832275 0.454873 7.799%0.00% 0.000000 5.832276 0.454876 7.799%0.00% 0.000000 5.832276 0.454878 7.799%0.00% 0.000000 5.832276 0.454880 7.799%0.00% 0.000000 5.832277 0.454882 7.799%0.00% 0.000000 5.832277 0.454884 7.799%0.00% 0.000000 5.832278 0.454887 7.799%0.00% 0.000000 5.832278 0.454889 7.800%0.00% 0.000000 5.832278 0.454891 7.800%0.00% 0.000000 5.832279 0.454893 7.800%0.00% 0.000000 5.832279 0.454895 7.800%0.00% 0.000000 5.832280 0.454898 7.800%0.00% 0.000000 5.832280 0.454900 7.800%0.00% 0.000001 5.832281 0.454902 7.800%0.00% 0.000001 5.832281 0.454904 7.800%0.00% 0.000001 5.832282 0.454907 7.800%0.00% 0.000001 5.832282 0.454909 7.800%

Page 794: Ch 6 Credit Derivatives

0.00% 0.000001 5.832283 0.454911 7.800%0.00% 0.000001 5.832283 0.454913 7.800%0.00% 0.000001 5.832284 0.454915 7.800%0.00% 0.000001 5.832285 0.454918 7.800%0.00% 0.000001 5.832285 0.454920 7.800%0.00% 0.000001 5.832286 0.454922 7.800%0.00% 0.000001 5.832286 0.454924 7.800%0.00% 0.000001 5.832287 0.454926 7.800%0.00% 0.000001 5.832288 0.454928 7.800%0.00% 0.000001 5.832288 0.454931 7.800%0.00% 0.000001 5.832289 0.454933 7.800%0.00% 0.000001 5.832290 0.454935 7.800%0.00% 0.000001 5.832290 0.454937 7.800%0.00% 0.000001 5.832291 0.454939 7.800%0.00% 0.000001 5.832292 0.454942 7.800%0.00% 0.000001 5.832293 0.454944 7.800%0.00% 0.000001 5.832293 0.454946 7.800%0.00% 0.000001 5.832294 0.454948 7.801%0.00% 0.000001 5.832295 0.454950 7.801%0.00% 0.000001 5.832296 0.454952 7.801%0.00% 0.000001 5.832297 0.454955 7.801%0.00% 0.000001 5.832297 0.454957 7.801%0.00% 0.000001 5.832298 0.454959 7.801%0.00% 0.000001 5.832299 0.454961 7.801%0.00% 0.000001 5.832300 0.454963 7.801%0.00% 0.000001 5.832301 0.454965 7.801%0.00% 0.000001 5.832302 0.454968 7.801%0.00% 0.001766 5.834068 0.454970 7.798%0.00% 0.000000 5.834068 0.454972 7.799%0.00% 0.000000 5.834068 0.454974 7.799%0.00% 0.000000 5.834068 0.454976 7.799%0.00% 0.000000 5.834068 0.454978 7.799%0.00% 0.000000 5.834068 0.454981 7.799%0.00% 0.000000 5.834068 0.454983 7.799%0.00% 0.000000 5.834069 0.454985 7.799%0.00% 0.000000 5.834069 0.454987 7.799%0.00% 0.000000 5.834069 0.454989 7.799%0.00% 0.000000 5.834069 0.454991 7.799%0.00% 0.000000 5.834069 0.454993 7.799%0.00% 0.000000 5.834069 0.454996 7.799%0.00% 0.000000 5.834069 0.454998 7.799%0.00% 0.000000 5.834070 0.455000 7.799%0.00% 0.000000 5.834070 0.455002 7.799%0.00% 0.000000 5.834070 0.455004 7.799%

Page 795: Ch 6 Credit Derivatives

0.00% 0.000000 5.834070 0.455006 7.799%0.00% 0.000000 5.834070 0.455008 7.799%0.00% 0.000000 5.834071 0.455010 7.799%0.00% 0.000000 5.834071 0.455013 7.799%0.00% 0.000000 5.834071 0.455015 7.799%0.00% 0.000000 5.834072 0.455017 7.799%0.00% 0.000000 5.834072 0.455019 7.799%0.00% 0.000000 5.834072 0.455021 7.799%0.00% 0.000000 5.834073 0.455023 7.799%0.00% 0.000000 5.834073 0.455025 7.799%0.00% 0.000000 5.834073 0.455027 7.799%0.00% 0.000000 5.834074 0.455030 7.800%0.00% 0.000000 5.834074 0.455032 7.800%0.00% 0.000000 5.834074 0.455034 7.800%0.00% 0.000000 5.834075 0.455036 7.800%0.00% 0.000000 5.834075 0.455038 7.800%0.00% 0.000000 5.834076 0.455040 7.800%0.00% 0.000000 5.834076 0.455042 7.800%0.00% 0.000000 5.834077 0.455044 7.800%0.00% 0.000000 5.834077 0.455046 7.800%0.00% 0.000000 5.834078 0.455049 7.800%0.00% 0.000001 5.834078 0.455051 7.800%0.00% 0.000001 5.834079 0.455053 7.800%0.00% 0.000001 5.834079 0.455055 7.800%0.00% 0.000001 5.834080 0.455057 7.800%0.00% 0.000001 5.834080 0.455059 7.800%0.00% 0.000001 5.834081 0.455061 7.800%0.00% 0.000001 5.834082 0.455063 7.800%0.00% 0.000001 5.834082 0.455065 7.800%0.00% 0.000001 5.834083 0.455067 7.800%0.00% 0.000001 5.834083 0.455069 7.800%0.00% 0.000001 5.834084 0.455072 7.800%0.00% 0.000001 5.834085 0.455074 7.800%0.00% 0.000001 5.834085 0.455076 7.800%0.00% 0.000001 5.834086 0.455078 7.800%0.00% 0.000001 5.834087 0.455080 7.800%0.00% 0.000001 5.834087 0.455082 7.800%0.00% 0.000001 5.834088 0.455084 7.800%0.00% 0.000001 5.834089 0.455086 7.800%0.00% 0.000001 5.834090 0.455088 7.801%0.00% 0.000001 5.834090 0.455090 7.801%0.00% 0.000001 5.834091 0.455092 7.801%0.00% 0.000001 5.834092 0.455094 7.801%0.00% 0.000001 5.834093 0.455096 7.801%

Page 796: Ch 6 Credit Derivatives

0.00% 0.000001 5.834094 0.455099 7.801%0.00% 0.000001 5.834094 0.455101 7.801%0.00% 0.000001 5.834095 0.455103 7.801%0.00% 0.000001 5.834096 0.455105 7.801%0.00% 0.000001 5.834097 0.455107 7.801%0.00% 0.001686 5.835783 0.455109 7.799%0.00% 0.000000 5.835783 0.455111 7.799%0.00% 0.000000 5.835783 0.455113 7.799%0.00% 0.000000 5.835783 0.455115 7.799%0.00% 0.000000 5.835783 0.455117 7.799%0.00% 0.000000 5.835783 0.455119 7.799%0.00% 0.000000 5.835783 0.455121 7.799%0.00% 0.000000 5.835783 0.455123 7.799%0.00% 0.000000 5.835783 0.455125 7.799%0.00% 0.000000 5.835783 0.455127 7.799%0.00% 0.000000 5.835783 0.455129 7.799%0.00% 0.000000 5.835784 0.455131 7.799%0.00% 0.000000 5.835784 0.455133 7.799%0.00% 0.000000 5.835784 0.455136 7.799%0.00% 0.000000 5.835784 0.455138 7.799%0.00% 0.000000 5.835784 0.455140 7.799%0.00% 0.000000 5.835785 0.455142 7.799%0.00% 0.000000 5.835785 0.455144 7.799%0.00% 0.000000 5.835785 0.455146 7.799%0.00% 0.000000 5.835785 0.455148 7.799%0.00% 0.000000 5.835786 0.455150 7.799%0.00% 0.000000 5.835786 0.455152 7.799%0.00% 0.000000 5.835786 0.455154 7.799%0.00% 0.000000 5.835786 0.455156 7.799%0.00% 0.000000 5.835787 0.455158 7.799%0.00% 0.000000 5.835787 0.455160 7.799%0.00% 0.000000 5.835787 0.455162 7.799%0.00% 0.000000 5.835788 0.455164 7.800%0.00% 0.000000 5.835788 0.455166 7.800%0.00% 0.000000 5.835788 0.455168 7.800%0.00% 0.000000 5.835789 0.455170 7.800%0.00% 0.000000 5.835789 0.455172 7.800%0.00% 0.000000 5.835790 0.455174 7.800%0.00% 0.000000 5.835790 0.455176 7.800%0.00% 0.000000 5.835791 0.455178 7.800%0.00% 0.000000 5.835791 0.455180 7.800%0.00% 0.000000 5.835791 0.455182 7.800%0.00% 0.000000 5.835792 0.455184 7.800%0.00% 0.000001 5.835792 0.455186 7.800%

Page 797: Ch 6 Credit Derivatives

0.00% 0.000001 5.835793 0.455188 7.800%0.00% 0.000001 5.835793 0.455190 7.800%0.00% 0.000001 5.835794 0.455192 7.800%0.00% 0.000001 5.835795 0.455194 7.800%0.00% 0.000001 5.835795 0.455196 7.800%0.00% 0.000001 5.835796 0.455198 7.800%0.00% 0.000001 5.835796 0.455200 7.800%0.00% 0.000001 5.835797 0.455202 7.800%0.00% 0.000001 5.835797 0.455204 7.800%0.00% 0.000001 5.835798 0.455206 7.800%0.00% 0.000001 5.835799 0.455208 7.800%0.00% 0.000001 5.835799 0.455210 7.800%0.00% 0.000001 5.835800 0.455212 7.800%0.00% 0.000001 5.835801 0.455214 7.800%0.00% 0.000001 5.835801 0.455216 7.800%0.00% 0.000001 5.835802 0.455218 7.800%0.00% 0.000001 5.835803 0.455220 7.800%0.00% 0.000001 5.835804 0.455222 7.801%0.00% 0.000001 5.835804 0.455224 7.801%0.00% 0.000001 5.835805 0.455226 7.801%0.00% 0.000001 5.835806 0.455228 7.801%0.00% 0.000001 5.835807 0.455230 7.801%0.00% 0.000001 5.835807 0.455232 7.801%0.00% 0.000001 5.835808 0.455234 7.801%0.00% 0.000001 5.835809 0.455236 7.801%0.00% 0.000001 5.835810 0.455238 7.801%0.00% 0.001592 5.837402 0.455240 7.799%0.00% 0.000000 5.837402 0.455242 7.799%0.00% 0.000000 5.837402 0.455244 7.799%0.00% 0.000000 5.837402 0.455246 7.799%0.00% 0.000000 5.837402 0.455248 7.799%0.00% 0.000000 5.837402 0.455250 7.799%0.00% 0.000000 5.837402 0.455252 7.799%0.00% 0.000000 5.837402 0.455254 7.799%0.00% 0.000000 5.837402 0.455256 7.799%0.00% 0.000000 5.837403 0.455258 7.799%0.00% 0.000000 5.837403 0.455260 7.799%0.00% 0.000000 5.837403 0.455262 7.799%0.00% 0.000000 5.837403 0.455264 7.799%0.00% 0.000000 5.837403 0.455266 7.799%0.00% 0.000000 5.837403 0.455268 7.799%0.00% 0.000000 5.837403 0.455270 7.799%0.00% 0.000000 5.837404 0.455272 7.799%0.00% 0.000000 5.837404 0.455274 7.799%

Page 798: Ch 6 Credit Derivatives

0.00% 0.000000 5.837404 0.455275 7.799%0.00% 0.000000 5.837404 0.455277 7.799%0.00% 0.000000 5.837405 0.455279 7.799%0.00% 0.000000 5.837405 0.455281 7.799%0.00% 0.000000 5.837405 0.455283 7.799%0.00% 0.000000 5.837405 0.455285 7.799%0.00% 0.000000 5.837406 0.455287 7.799%0.00% 0.000000 5.837406 0.455289 7.800%0.00% 0.000000 5.837406 0.455291 7.800%0.00% 0.000000 5.837407 0.455293 7.800%0.00% 0.000000 5.837407 0.455295 7.800%0.00% 0.000000 5.837407 0.455297 7.800%0.00% 0.000000 5.837408 0.455299 7.800%0.00% 0.000000 5.837408 0.455301 7.800%0.00% 0.000000 5.837409 0.455303 7.800%0.00% 0.000000 5.837409 0.455305 7.800%0.00% 0.000000 5.837409 0.455307 7.800%0.00% 0.000000 5.837410 0.455309 7.800%0.00% 0.000000 5.837410 0.455310 7.800%0.00% 0.000000 5.837411 0.455312 7.800%0.00% 0.000000 5.837411 0.455314 7.800%0.00% 0.000000 5.837412 0.455316 7.800%0.00% 0.000000 5.837412 0.455318 7.800%0.00% 0.000001 5.837413 0.455320 7.800%0.00% 0.000001 5.837413 0.455322 7.800%0.00% 0.000001 5.837414 0.455324 7.800%0.00% 0.000001 5.837414 0.455326 7.800%0.00% 0.000001 5.837415 0.455328 7.800%0.00% 0.000001 5.837416 0.455330 7.800%0.00% 0.000001 5.837416 0.455332 7.800%0.00% 0.000001 5.837417 0.455334 7.800%0.00% 0.000001 5.837417 0.455336 7.800%0.00% 0.000001 5.837418 0.455337 7.800%0.00% 0.000001 5.837419 0.455339 7.800%0.00% 0.000001 5.837419 0.455341 7.800%0.00% 0.000001 5.837420 0.455343 7.800%0.00% 0.000001 5.837421 0.455345 7.800%0.00% 0.000001 5.837421 0.455347 7.800%0.00% 0.000001 5.837422 0.455349 7.801%0.00% 0.000001 5.837423 0.455351 7.801%0.00% 0.000001 5.837423 0.455353 7.801%0.00% 0.000001 5.837424 0.455355 7.801%0.00% 0.000001 5.837425 0.455356 7.801%0.00% 0.000001 5.837426 0.455358 7.801%

Page 799: Ch 6 Credit Derivatives

0.00% 0.000001 5.837426 0.455360 7.801%0.00% 0.000001 5.837427 0.455362 7.801%0.00% 0.001504 5.838932 0.455364 7.799%0.00% 0.000000 5.838932 0.455366 7.799%0.00% 0.000000 5.838932 0.455368 7.799%0.00% 0.000000 5.838932 0.455370 7.799%0.00% 0.000000 5.838932 0.455372 7.799%0.00% 0.000000 5.838932 0.455373 7.799%0.00% 0.000000 5.838932 0.455375 7.799%0.00% 0.000000 5.838932 0.455377 7.799%0.00% 0.000000 5.838932 0.455379 7.799%0.00% 0.000000 5.838932 0.455381 7.799%0.00% 0.000000 5.838932 0.455383 7.799%0.00% 0.000000 5.838932 0.455385 7.799%0.00% 0.000000 5.838933 0.455387 7.799%0.00% 0.000000 5.838933 0.455388 7.799%0.00% 0.000000 5.838933 0.455390 7.799%0.00% 0.000000 5.838933 0.455392 7.799%0.00% 0.000000 5.838933 0.455394 7.799%0.00% 0.000000 5.838933 0.455396 7.799%0.00% 0.000000 5.838934 0.455398 7.799%0.00% 0.000000 5.838934 0.455400 7.799%0.00% 0.000000 5.838934 0.455401 7.799%0.00% 0.000000 5.838934 0.455403 7.799%0.00% 0.000000 5.838935 0.455405 7.799%0.00% 0.000000 5.838935 0.455407 7.799%0.00% 0.000000 5.838935 0.455409 7.800%0.00% 0.000000 5.838935 0.455411 7.800%0.00% 0.000000 5.838936 0.455412 7.800%0.00% 0.000000 5.838936 0.455414 7.800%0.00% 0.000000 5.838936 0.455416 7.800%0.00% 0.000000 5.838937 0.455418 7.800%0.00% 0.000000 5.838937 0.455420 7.800%0.00% 0.000000 5.838937 0.455422 7.800%0.00% 0.000000 5.838938 0.455424 7.800%0.00% 0.000000 5.838938 0.455425 7.800%0.00% 0.000000 5.838939 0.455427 7.800%0.00% 0.000000 5.838939 0.455429 7.800%0.00% 0.000000 5.838939 0.455431 7.800%0.00% 0.000000 5.838940 0.455433 7.800%0.00% 0.000000 5.838940 0.455435 7.800%0.00% 0.000000 5.838941 0.455436 7.800%0.00% 0.000000 5.838941 0.455438 7.800%0.00% 0.000000 5.838942 0.455440 7.800%

Page 800: Ch 6 Credit Derivatives

0.00% 0.000000 5.838942 0.455442 7.800%0.00% 0.000000 5.838943 0.455444 7.800%0.00% 0.000001 5.838943 0.455445 7.800%0.00% 0.000001 5.838944 0.455447 7.800%0.00% 0.000001 5.838944 0.455449 7.800%0.00% 0.000001 5.838945 0.455451 7.800%0.00% 0.000001 5.838945 0.455453 7.800%0.00% 0.000001 5.838946 0.455455 7.800%0.00% 0.000001 5.838947 0.455456 7.800%0.00% 0.000001 5.838947 0.455458 7.800%0.00% 0.000001 5.838948 0.455460 7.800%0.00% 0.000001 5.838948 0.455462 7.800%0.00% 0.000001 5.838949 0.455464 7.800%0.00% 0.000001 5.838950 0.455465 7.800%0.00% 0.000001 5.838950 0.455467 7.800%0.00% 0.000001 5.838951 0.455469 7.801%0.00% 0.000001 5.838952 0.455471 7.801%0.00% 0.000001 5.838952 0.455473 7.801%0.00% 0.000001 5.838953 0.455474 7.801%0.00% 0.000001 5.838954 0.455476 7.801%0.00% 0.000001 5.838954 0.455478 7.801%0.00% 0.000001 5.838955 0.455480 7.801%0.00% 0.000001 5.838956 0.455482 7.801%0.00% 0.000001 5.838957 0.455483 7.801%0.00% 0.001468 5.840425 0.455485 7.799%0.00% 0.000000 5.840425 0.455487 7.799%0.00% 0.000000 5.840425 0.455489 7.799%0.00% 0.000000 5.840425 0.455491 7.799%0.00% 0.000000 5.840425 0.455492 7.799%0.00% 0.000000 5.840425 0.455494 7.799%0.00% 0.000000 5.840425 0.455496 7.799%0.00% 0.000000 5.840425 0.455498 7.799%0.00% 0.000000 5.840425 0.455499 7.799%0.00% 0.000000 5.840425 0.455501 7.799%0.00% 0.000000 5.840425 0.455503 7.799%0.00% 0.000000 5.840425 0.455505 7.799%0.00% 0.000000 5.840425 0.455506 7.799%0.00% 0.000000 5.840426 0.455508 7.799%0.00% 0.000000 5.840426 0.455510 7.799%0.00% 0.000000 5.840426 0.455512 7.799%0.00% 0.000000 5.840426 0.455514 7.799%0.00% 0.000000 5.840426 0.455515 7.799%0.00% 0.000000 5.840427 0.455517 7.799%0.00% 0.000000 5.840427 0.455519 7.799%

Page 801: Ch 6 Credit Derivatives

0.00% 0.000000 5.840427 0.455521 7.799%0.00% 0.000000 5.840427 0.455522 7.799%0.00% 0.000000 5.840427 0.455524 7.799%0.00% 0.000000 5.840428 0.455526 7.800%0.00% 0.000000 5.840428 0.455528 7.800%0.00% 0.000000 5.840428 0.455529 7.800%0.00% 0.000000 5.840429 0.455531 7.800%0.00% 0.000000 5.840429 0.455533 7.800%0.00% 0.000000 5.840429 0.455535 7.800%0.00% 0.000000 5.840430 0.455536 7.800%0.00% 0.000000 5.840430 0.455538 7.800%0.00% 0.000000 5.840430 0.455540 7.800%0.00% 0.000000 5.840431 0.455542 7.800%0.00% 0.000000 5.840431 0.455543 7.800%0.00% 0.000000 5.840431 0.455545 7.800%0.00% 0.000000 5.840432 0.455547 7.800%0.00% 0.000000 5.840432 0.455548 7.800%0.00% 0.000000 5.840433 0.455550 7.800%0.00% 0.000000 5.840433 0.455552 7.800%0.00% 0.000000 5.840433 0.455554 7.800%0.00% 0.000000 5.840434 0.455555 7.800%0.00% 0.000000 5.840434 0.455557 7.800%0.00% 0.000000 5.840435 0.455559 7.800%0.00% 0.000000 5.840435 0.455561 7.800%0.00% 0.000000 5.840436 0.455562 7.800%0.00% 0.000001 5.840436 0.455564 7.800%0.00% 0.000001 5.840437 0.455566 7.800%0.00% 0.000001 5.840437 0.455567 7.800%0.00% 0.000001 5.840438 0.455569 7.800%0.00% 0.000001 5.840438 0.455571 7.800%0.00% 0.000001 5.840439 0.455573 7.800%0.00% 0.000001 5.840439 0.455574 7.800%0.00% 0.000001 5.840440 0.455576 7.800%0.00% 0.000001 5.840441 0.455578 7.800%0.00% 0.000001 5.840441 0.455579 7.800%0.00% 0.000001 5.840442 0.455581 7.800%0.00% 0.000001 5.840442 0.455583 7.800%0.00% 0.000001 5.840443 0.455585 7.801%0.00% 0.000001 5.840444 0.455586 7.801%0.00% 0.000001 5.840444 0.455588 7.801%0.00% 0.000001 5.840445 0.455590 7.801%0.00% 0.000001 5.840446 0.455591 7.801%0.00% 0.000001 5.840446 0.455593 7.801%0.00% 0.000001 5.840447 0.455595 7.801%

Page 802: Ch 6 Credit Derivatives

0.00% 0.000001 5.840448 0.455597 7.801%0.00% 0.000001 5.840449 0.455598 7.801%0.00% 0.001401 5.841850 0.455600 7.799%0.00% 0.000000 5.841850 0.455602 7.799%0.00% 0.000000 5.841850 0.455603 7.799%0.00% 0.000000 5.841850 0.455605 7.799%0.00% 0.000000 5.841850 0.455607 7.799%0.00% 0.000000 5.841850 0.455609 7.799%0.00% 0.000000 5.841850 0.455610 7.799%0.00% 0.000000 5.841850 0.455612 7.799%0.00% 0.000000 5.841850 0.455614 7.799%0.00% 0.000000 5.841850 0.455615 7.799%0.00% 0.000000 5.841851 0.455617 7.799%0.00% 0.000000 5.841851 0.455619 7.799%0.00% 0.000000 5.841851 0.455621 7.799%0.00% 0.000000 5.841851 0.455622 7.799%0.00% 0.000000 5.841851 0.455624 7.799%0.00% 0.000000 5.841851 0.455626 7.799%0.00% 0.000000 5.841851 0.455627 7.799%0.00% 0.000000 5.841852 0.455629 7.799%0.00% 0.000000 5.841852 0.455631 7.799%0.00% 0.000000 5.841852 0.455632 7.799%0.00% 0.000000 5.841852 0.455634 7.799%0.00% 0.000000 5.841853 0.455636 7.800%0.00% 0.000000 5.841853 0.455638 7.800%0.00% 0.000000 5.841853 0.455639 7.800%0.00% 0.000000 5.841853 0.455641 7.800%0.00% 0.000000 5.841854 0.455643 7.800%0.00% 0.000000 5.841854 0.455644 7.800%0.00% 0.000000 5.841854 0.455646 7.800%0.00% 0.000000 5.841854 0.455648 7.800%0.00% 0.000000 5.841855 0.455649 7.800%0.00% 0.000000 5.841855 0.455651 7.800%0.00% 0.000000 5.841855 0.455653 7.800%0.00% 0.000000 5.841856 0.455655 7.800%0.00% 0.000000 5.841856 0.455656 7.800%0.00% 0.000000 5.841857 0.455658 7.800%0.00% 0.000000 5.841857 0.455660 7.800%0.00% 0.000000 5.841857 0.455661 7.800%0.00% 0.000000 5.841858 0.455663 7.800%0.00% 0.000000 5.841858 0.455665 7.800%0.00% 0.000000 5.841859 0.455666 7.800%0.00% 0.000000 5.841859 0.455668 7.800%0.00% 0.000000 5.841859 0.455670 7.800%

Page 803: Ch 6 Credit Derivatives

0.00% 0.000000 5.841860 0.455671 7.800%0.00% 0.000000 5.841860 0.455673 7.800%0.00% 0.000000 5.841861 0.455675 7.800%0.00% 0.000000 5.841861 0.455676 7.800%0.00% 0.000000 5.841862 0.455678 7.800%0.00% 0.000001 5.841862 0.455680 7.800%0.00% 0.000001 5.841863 0.455681 7.800%0.00% 0.000001 5.841863 0.455683 7.800%0.00% 0.000001 5.841864 0.455685 7.800%0.00% 0.000001 5.841865 0.455686 7.800%0.00% 0.000001 5.841865 0.455688 7.800%0.00% 0.000001 5.841866 0.455690 7.800%0.00% 0.000001 5.841866 0.455691 7.800%0.00% 0.000001 5.841867 0.455693 7.800%0.00% 0.000001 5.841867 0.455695 7.800%0.00% 0.000001 5.841868 0.455696 7.801%0.00% 0.000001 5.841869 0.455698 7.801%0.00% 0.000001 5.841869 0.455700 7.801%0.00% 0.000001 5.841870 0.455701 7.801%0.00% 0.000001 5.841871 0.455703 7.801%0.00% 0.000001 5.841871 0.455705 7.801%0.00% 0.000001 5.841872 0.455706 7.801%0.00% 0.000001 5.841873 0.455708 7.801%0.00% 0.001324 5.843196 0.455710 7.799%0.00% 0.000000 5.843196 0.455711 7.799%0.00% 0.000000 5.843196 0.455713 7.799%0.00% 0.000000 5.843196 0.455715 7.799%0.00% 0.000000 5.843196 0.455716 7.799%0.00% 0.000000 5.843196 0.455718 7.799%0.00% 0.000000 5.843196 0.455719 7.799%0.00% 0.000000 5.843197 0.455721 7.799%0.00% 0.000000 5.843197 0.455723 7.799%0.00% 0.000000 5.843197 0.455724 7.799%0.00% 0.000000 5.843197 0.455726 7.799%0.00% 0.000000 5.843197 0.455728 7.799%0.00% 0.000000 5.843197 0.455729 7.799%0.00% 0.000000 5.843197 0.455731 7.799%0.00% 0.000000 5.843197 0.455733 7.799%0.00% 0.000000 5.843198 0.455734 7.799%0.00% 0.000000 5.843198 0.455736 7.799%0.00% 0.000000 5.843198 0.455738 7.799%0.00% 0.000000 5.843198 0.455739 7.799%0.00% 0.000000 5.843198 0.455741 7.800%0.00% 0.000000 5.843199 0.455742 7.800%

Page 804: Ch 6 Credit Derivatives

0.00% 0.000000 5.843199 0.455744 7.800%0.00% 0.000000 5.843199 0.455746 7.800%0.00% 0.000000 5.843199 0.455747 7.800%0.00% 0.000000 5.843200 0.455749 7.800%0.00% 0.000000 5.843200 0.455751 7.800%0.00% 0.000000 5.843200 0.455752 7.800%0.00% 0.000000 5.843200 0.455754 7.800%0.00% 0.000000 5.843201 0.455755 7.800%0.00% 0.000000 5.843201 0.455757 7.800%0.00% 0.000000 5.843201 0.455759 7.800%0.00% 0.000000 5.843202 0.455760 7.800%0.00% 0.000000 5.843202 0.455762 7.800%0.00% 0.000000 5.843202 0.455764 7.800%0.00% 0.000000 5.843203 0.455765 7.800%0.00% 0.000000 5.843203 0.455767 7.800%0.00% 0.000000 5.843203 0.455768 7.800%0.00% 0.000000 5.843204 0.455770 7.800%0.00% 0.000000 5.843204 0.455772 7.800%0.00% 0.000000 5.843205 0.455773 7.800%0.00% 0.000000 5.843205 0.455775 7.800%0.00% 0.000000 5.843205 0.455776 7.800%0.00% 0.000000 5.843206 0.455778 7.800%0.00% 0.000000 5.843206 0.455780 7.800%0.00% 0.000000 5.843207 0.455781 7.800%0.00% 0.000000 5.843207 0.455783 7.800%0.00% 0.000000 5.843208 0.455784 7.800%0.00% 0.000000 5.843208 0.455786 7.800%0.00% 0.000001 5.843209 0.455788 7.800%0.00% 0.000001 5.843209 0.455789 7.800%0.00% 0.000001 5.843210 0.455791 7.800%0.00% 0.000001 5.843210 0.455792 7.800%0.00% 0.000001 5.843211 0.455794 7.800%0.00% 0.000001 5.843211 0.455796 7.800%0.00% 0.000001 5.843212 0.455797 7.800%0.00% 0.000001 5.843213 0.455799 7.800%0.00% 0.000001 5.843213 0.455800 7.801%0.00% 0.000001 5.843214 0.455802 7.801%0.00% 0.000001 5.843214 0.455804 7.801%0.00% 0.000001 5.843215 0.455805 7.801%0.00% 0.000001 5.843216 0.455807 7.801%0.00% 0.000001 5.843216 0.455808 7.801%0.00% 0.000001 5.843217 0.455810 7.801%0.00% 0.000001 5.843217 0.455812 7.801%0.00% 0.000001 5.843218 0.455813 7.801%

Page 805: Ch 6 Credit Derivatives

0.00% 0.001264 5.844482 0.455815 7.799%0.00% 0.000000 5.844482 0.455816 7.799%0.00% 0.000000 5.844482 0.455818 7.799%0.00% 0.000000 5.844482 0.455819 7.799%0.00% 0.000000 5.844482 0.455821 7.799%0.00% 0.000000 5.844482 0.455823 7.799%0.00% 0.000000 5.844482 0.455824 7.799%0.00% 0.000000 5.844482 0.455826 7.799%0.00% 0.000000 5.844482 0.455827 7.799%0.00% 0.000000 5.844482 0.455829 7.799%0.00% 0.000000 5.844482 0.455830 7.799%0.00% 0.000000 5.844482 0.455832 7.799%0.00% 0.000000 5.844483 0.455834 7.799%0.00% 0.000000 5.844483 0.455835 7.799%0.00% 0.000000 5.844483 0.455837 7.799%0.00% 0.000000 5.844483 0.455838 7.799%0.00% 0.000000 5.844483 0.455840 7.799%0.00% 0.000000 5.844483 0.455841 7.800%0.00% 0.000000 5.844483 0.455843 7.800%0.00% 0.000000 5.844484 0.455845 7.800%0.00% 0.000000 5.844484 0.455846 7.800%0.00% 0.000000 5.844484 0.455848 7.800%0.00% 0.000000 5.844484 0.455849 7.800%0.00% 0.000000 5.844485 0.455851 7.800%0.00% 0.000000 5.844485 0.455852 7.800%0.00% 0.000000 5.844485 0.455854 7.800%0.00% 0.000000 5.844485 0.455855 7.800%0.00% 0.000000 5.844486 0.455857 7.800%0.00% 0.000000 5.844486 0.455859 7.800%0.00% 0.000000 5.844486 0.455860 7.800%0.00% 0.000000 5.844486 0.455862 7.800%0.00% 0.000000 5.844487 0.455863 7.800%0.00% 0.000000 5.844487 0.455865 7.800%0.00% 0.000000 5.844487 0.455866 7.800%0.00% 0.000000 5.844488 0.455868 7.800%0.00% 0.000000 5.844488 0.455869 7.800%0.00% 0.000000 5.844488 0.455871 7.800%0.00% 0.000000 5.844489 0.455872 7.800%0.00% 0.000000 5.844489 0.455874 7.800%0.00% 0.000000 5.844490 0.455875 7.800%0.00% 0.000000 5.844490 0.455877 7.800%0.00% 0.000000 5.844490 0.455879 7.800%0.00% 0.000000 5.844491 0.455880 7.800%0.00% 0.000000 5.844491 0.455882 7.800%

Page 806: Ch 6 Credit Derivatives

0.00% 0.000000 5.844492 0.455883 7.800%0.00% 0.000000 5.844492 0.455885 7.800%0.00% 0.000000 5.844493 0.455886 7.800%0.00% 0.000000 5.844493 0.455888 7.800%0.00% 0.000000 5.844494 0.455889 7.800%0.00% 0.000000 5.844494 0.455891 7.800%0.00% 0.000000 5.844495 0.455892 7.800%0.00% 0.000001 5.844495 0.455894 7.800%0.00% 0.000001 5.844496 0.455895 7.800%0.00% 0.000001 5.844496 0.455897 7.800%0.00% 0.000001 5.844497 0.455898 7.800%0.00% 0.000001 5.844497 0.455900 7.800%0.00% 0.000001 5.844498 0.455901 7.801%0.00% 0.000001 5.844498 0.455903 7.801%0.00% 0.000001 5.844499 0.455904 7.801%0.00% 0.000001 5.844499 0.455906 7.801%0.00% 0.000001 5.844500 0.455908 7.801%0.00% 0.000001 5.844501 0.455909 7.801%0.00% 0.000001 5.844501 0.455911 7.801%0.00% 0.000001 5.844502 0.455912 7.801%0.00% 0.000001 5.844503 0.455914 7.801%0.00% 0.000001 5.844503 0.455915 7.801%0.00% 0.001219 5.845722 0.455917 7.799%0.00% 0.000000 5.845722 0.455918 7.799%0.00% 0.000000 5.845722 0.455920 7.799%0.00% 0.000000 5.845722 0.455921 7.799%0.00% 0.000000 5.845722 0.455923 7.799%0.00% 0.000000 5.845722 0.455924 7.799%0.00% 0.000000 5.845722 0.455926 7.799%0.00% 0.000000 5.845722 0.455927 7.799%0.00% 0.000000 5.845722 0.455929 7.799%0.00% 0.000000 5.845722 0.455930 7.799%0.00% 0.000000 5.845723 0.455932 7.799%0.00% 0.000000 5.845723 0.455934 7.799%0.00% 0.000000 5.845723 0.455935 7.799%0.00% 0.000000 5.845723 0.455937 7.799%0.00% 0.000000 5.845723 0.455938 7.800%0.00% 0.000000 5.845723 0.455940 7.800%0.00% 0.000000 5.845723 0.455941 7.800%0.00% 0.000000 5.845724 0.455943 7.800%0.00% 0.000000 5.845724 0.455944 7.800%0.00% 0.000000 5.845724 0.455946 7.800%0.00% 0.000000 5.845724 0.455947 7.800%0.00% 0.000000 5.845724 0.455949 7.800%

Page 807: Ch 6 Credit Derivatives

0.00% 0.000000 5.845725 0.455950 7.800%0.00% 0.000000 5.845725 0.455952 7.800%0.00% 0.000000 5.845725 0.455953 7.800%0.00% 0.000000 5.845725 0.455955 7.800%0.00% 0.000000 5.845726 0.455956 7.800%0.00% 0.000000 5.845726 0.455958 7.800%0.00% 0.000000 5.845726 0.455959 7.800%0.00% 0.000000 5.845726 0.455961 7.800%0.00% 0.000000 5.845727 0.455963 7.800%0.00% 0.000000 5.845727 0.455964 7.800%0.00% 0.000000 5.845727 0.455966 7.800%0.00% 0.000000 5.845728 0.455967 7.800%0.00% 0.000000 5.845728 0.455969 7.800%0.00% 0.000000 5.845728 0.455970 7.800%0.00% 0.000000 5.845729 0.455972 7.800%0.00% 0.000000 5.845729 0.455973 7.800%0.00% 0.000000 5.845730 0.455975 7.800%0.00% 0.000000 5.845730 0.455976 7.800%0.00% 0.000000 5.845730 0.455978 7.800%0.00% 0.000000 5.845731 0.455979 7.800%0.00% 0.000000 5.845731 0.455981 7.800%0.00% 0.000000 5.845732 0.455982 7.800%0.00% 0.000000 5.845732 0.455984 7.800%0.00% 0.000000 5.845732 0.455985 7.800%0.00% 0.000000 5.845733 0.455987 7.800%0.00% 0.000000 5.845733 0.455988 7.800%0.00% 0.000000 5.845734 0.455990 7.800%0.00% 0.000000 5.845734 0.455991 7.800%0.00% 0.000000 5.845735 0.455993 7.800%0.00% 0.000001 5.845735 0.455994 7.800%0.00% 0.000001 5.845736 0.455996 7.800%0.00% 0.000001 5.845736 0.455997 7.801%0.00% 0.000001 5.845737 0.455999 7.801%0.00% 0.000001 5.845737 0.456000 7.801%0.00% 0.000001 5.845738 0.456002 7.801%0.00% 0.000001 5.845738 0.456003 7.801%0.00% 0.000001 5.845739 0.456004 7.801%0.00% 0.000001 5.845740 0.456006 7.801%0.00% 0.000001 5.845740 0.456007 7.801%0.00% 0.000001 5.845741 0.456009 7.801%0.00% 0.000001 5.845741 0.456010 7.801%0.00% 0.000001 5.845742 0.456012 7.801%0.00% 0.000001 5.845743 0.456013 7.801%0.00% 0.000001 5.845743 0.456015 7.801%

Page 808: Ch 6 Credit Derivatives

0.00% 0.001187 5.846930 0.456016 7.799%0.00% 0.000000 5.846930 0.456018 7.799%0.00% 0.000000 5.846930 0.456019 7.799%0.00% 0.000000 5.846930 0.456021 7.799%0.00% 0.000000 5.846930 0.456022 7.799%0.00% 0.000000 5.846930 0.456024 7.799%0.00% 0.000000 5.846930 0.456025 7.799%0.00% 0.000000 5.846930 0.456027 7.799%0.00% 0.000000 5.846930 0.456028 7.799%0.00% 0.000000 5.846930 0.456029 7.799%0.00% 0.000000 5.846930 0.456031 7.799%0.00% 0.000000 5.846931 0.456032 7.800%0.00% 0.000000 5.846931 0.456034 7.800%0.00% 0.000000 5.846931 0.456035 7.800%0.00% 0.000000 5.846931 0.456037 7.800%0.00% 0.000000 5.846931 0.456038 7.800%0.00% 0.000000 5.846931 0.456040 7.800%0.00% 0.000000 5.846931 0.456041 7.800%0.00% 0.000000 5.846931 0.456042 7.800%0.00% 0.000000 5.846932 0.456044 7.800%0.00% 0.000000 5.846932 0.456045 7.800%0.00% 0.000000 5.846932 0.456047 7.800%0.00% 0.000000 5.846932 0.456048 7.800%0.00% 0.000000 5.846932 0.456050 7.800%0.00% 0.000000 5.846933 0.456051 7.800%0.00% 0.000000 5.846933 0.456053 7.800%0.00% 0.000000 5.846933 0.456054 7.800%0.00% 0.000000 5.846933 0.456055 7.800%0.00% 0.000000 5.846934 0.456057 7.800%0.00% 0.000000 5.846934 0.456058 7.800%0.00% 0.000000 5.846934 0.456060 7.800%0.00% 0.000000 5.846934 0.456061 7.800%0.00% 0.000000 5.846935 0.456063 7.800%0.00% 0.000000 5.846935 0.456064 7.800%0.00% 0.000000 5.846935 0.456065 7.800%0.00% 0.000000 5.846936 0.456067 7.800%0.00% 0.000000 5.846936 0.456068 7.800%0.00% 0.000000 5.846936 0.456070 7.800%0.00% 0.000000 5.846937 0.456071 7.800%0.00% 0.000000 5.846937 0.456073 7.800%0.00% 0.000000 5.846937 0.456074 7.800%0.00% 0.000000 5.846938 0.456075 7.800%0.00% 0.000000 5.846938 0.456077 7.800%0.00% 0.000000 5.846939 0.456078 7.800%

Page 809: Ch 6 Credit Derivatives

0.00% 0.000000 5.846939 0.456080 7.800%0.00% 0.000000 5.846939 0.456081 7.800%0.00% 0.000000 5.846940 0.456082 7.800%0.00% 0.000000 5.846940 0.456084 7.800%0.00% 0.000000 5.846941 0.456085 7.800%0.00% 0.000000 5.846941 0.456087 7.800%0.00% 0.000000 5.846941 0.456088 7.800%0.00% 0.000000 5.846942 0.456089 7.800%0.00% 0.000000 5.846942 0.456091 7.801%0.00% 0.000000 5.846943 0.456092 7.801%0.00% 0.000000 5.846943 0.456094 7.801%0.00% 0.000001 5.846944 0.456095 7.801%0.00% 0.000001 5.846944 0.456097 7.801%0.00% 0.000001 5.846945 0.456098 7.801%0.00% 0.000001 5.846945 0.456099 7.801%0.00% 0.000001 5.846946 0.456101 7.801%0.00% 0.000001 5.846946 0.456102 7.801%0.00% 0.000001 5.846947 0.456104 7.801%0.00% 0.000001 5.846948 0.456105 7.801%0.00% 0.000001 5.846948 0.456106 7.801%0.00% 0.000001 5.846949 0.456108 7.801%0.00% 0.001096 5.848045 0.456109 7.799%0.00% 0.000000 5.848045 0.456110 7.799%0.00% 0.000000 5.848045 0.456112 7.799%0.00% 0.000000 5.848045 0.456113 7.799%0.00% 0.000000 5.848045 0.456115 7.799%0.00% 0.000000 5.848045 0.456116 7.799%0.00% 0.000000 5.848045 0.456117 7.799%0.00% 0.000000 5.848045 0.456119 7.800%0.00% 0.000000 5.848045 0.456120 7.800%0.00% 0.000000 5.848045 0.456122 7.800%0.00% 0.000000 5.848045 0.456123 7.800%0.00% 0.000000 5.848046 0.456124 7.800%0.00% 0.000000 5.848046 0.456126 7.800%0.00% 0.000000 5.848046 0.456127 7.800%0.00% 0.000000 5.848046 0.456128 7.800%0.00% 0.000000 5.848046 0.456130 7.800%0.00% 0.000000 5.848046 0.456131 7.800%0.00% 0.000000 5.848046 0.456133 7.800%0.00% 0.000000 5.848046 0.456134 7.800%0.00% 0.000000 5.848047 0.456135 7.800%0.00% 0.000000 5.848047 0.456137 7.800%0.00% 0.000000 5.848047 0.456138 7.800%0.00% 0.000000 5.848047 0.456139 7.800%

Page 810: Ch 6 Credit Derivatives

0.00% 0.000000 5.848047 0.456141 7.800%0.00% 0.000000 5.848048 0.456142 7.800%0.00% 0.000000 5.848048 0.456143 7.800%0.00% 0.000000 5.848048 0.456145 7.800%0.00% 0.000000 5.848048 0.456146 7.800%0.00% 0.000000 5.848048 0.456148 7.800%0.00% 0.000000 5.848049 0.456149 7.800%0.00% 0.000000 5.848049 0.456150 7.800%0.00% 0.000000 5.848049 0.456152 7.800%0.00% 0.000000 5.848049 0.456153 7.800%0.00% 0.000000 5.848050 0.456154 7.800%0.00% 0.000000 5.848050 0.456156 7.800%0.00% 0.000000 5.848050 0.456157 7.800%0.00% 0.000000 5.848051 0.456158 7.800%0.00% 0.000000 5.848051 0.456160 7.800%0.00% 0.000000 5.848051 0.456161 7.800%0.00% 0.000000 5.848052 0.456162 7.800%0.00% 0.000000 5.848052 0.456164 7.800%0.00% 0.000000 5.848052 0.456165 7.800%0.00% 0.000000 5.848053 0.456166 7.800%0.00% 0.000000 5.848053 0.456168 7.800%0.00% 0.000000 5.848053 0.456169 7.800%0.00% 0.000000 5.848054 0.456171 7.800%0.00% 0.000000 5.848054 0.456172 7.800%0.00% 0.000000 5.848055 0.456173 7.800%0.00% 0.000000 5.848055 0.456175 7.800%0.00% 0.000000 5.848055 0.456176 7.800%0.00% 0.000000 5.848056 0.456177 7.800%0.00% 0.000000 5.848056 0.456179 7.801%0.00% 0.000000 5.848057 0.456180 7.801%0.00% 0.000000 5.848057 0.456181 7.801%0.00% 0.000000 5.848058 0.456183 7.801%0.00% 0.000000 5.848058 0.456184 7.801%0.00% 0.000000 5.848059 0.456185 7.801%0.00% 0.000000 5.848059 0.456187 7.801%0.00% 0.000000 5.848060 0.456188 7.801%0.00% 0.000000 5.848060 0.456189 7.801%0.00% 0.000001 5.848061 0.456191 7.801%0.00% 0.000001 5.848061 0.456192 7.801%0.00% 0.000001 5.848062 0.456193 7.801%0.00% 0.000001 5.848062 0.456195 7.801%0.00% 0.001013 5.849075 0.456196 7.799%0.00% 0.000000 5.849075 0.456197 7.799%0.00% 0.000000 5.849075 0.456199 7.800%

Page 811: Ch 6 Credit Derivatives

0.00% 0.000000 5.849075 0.456200 7.800%0.00% 0.000000 5.849075 0.456201 7.800%0.00% 0.000000 5.849075 0.456203 7.800%0.00% 0.000000 5.849075 0.456204 7.800%0.00% 0.000000 5.849075 0.456205 7.800%0.00% 0.000000 5.849075 0.456207 7.800%0.00% 0.000000 5.849075 0.456208 7.800%0.00% 0.000000 5.849075 0.456210 7.800%0.00% 0.000000 5.849076 0.456211 7.800%0.00% 0.000000 5.849076 0.456212 7.800%0.00% 0.000000 5.849076 0.456214 7.800%0.00% 0.000000 5.849076 0.456215 7.800%0.00% 0.000000 5.849076 0.456216 7.800%0.00% 0.000000 5.849076 0.456218 7.800%0.00% 0.000000 5.849076 0.456219 7.800%0.00% 0.000000 5.849077 0.456221 7.800%0.00% 0.000000 5.849077 0.456222 7.800%0.00% 0.000000 5.849077 0.456223 7.800%0.00% 0.000000 5.849077 0.456225 7.800%0.00% 0.000000 5.849077 0.456226 7.800%0.00% 0.000000 5.849077 0.456227 7.800%0.00% 0.000000 5.849078 0.456229 7.800%0.00% 0.000000 5.849078 0.456230 7.800%0.00% 0.000000 5.849078 0.456231 7.800%0.00% 0.000000 5.849078 0.456233 7.800%0.00% 0.000000 5.849079 0.456234 7.800%0.00% 0.000000 5.849079 0.456235 7.800%0.00% 0.000000 5.849079 0.456237 7.800%0.00% 0.000000 5.849079 0.456238 7.800%0.00% 0.000000 5.849080 0.456240 7.800%0.00% 0.000000 5.849080 0.456241 7.800%0.00% 0.000000 5.849080 0.456242 7.800%0.00% 0.000000 5.849081 0.456244 7.800%0.00% 0.000000 5.849081 0.456245 7.800%0.00% 0.000000 5.849081 0.456246 7.800%0.00% 0.000000 5.849082 0.456248 7.800%0.00% 0.000000 5.849082 0.456249 7.800%0.00% 0.000000 5.849082 0.456250 7.800%0.00% 0.000000 5.849083 0.456252 7.800%0.00% 0.000000 5.849083 0.456253 7.800%0.00% 0.000000 5.849083 0.456254 7.800%0.00% 0.000000 5.849084 0.456256 7.800%0.00% 0.000000 5.849084 0.456257 7.800%0.00% 0.000000 5.849085 0.456258 7.801%

Page 812: Ch 6 Credit Derivatives

0.00% 0.000000 5.849085 0.456260 7.801%0.00% 0.000000 5.849085 0.456261 7.801%0.00% 0.000000 5.849086 0.456262 7.801%0.00% 0.000000 5.849086 0.456264 7.801%0.00% 0.000000 5.849087 0.456265 7.801%0.00% 0.000000 5.849087 0.456266 7.801%0.00% 0.000000 5.849088 0.456268 7.801%0.00% 0.000000 5.849088 0.456269 7.801%0.00% 0.000000 5.849089 0.456270 7.801%0.00% 0.000000 5.849089 0.456272 7.801%0.00% 0.000000 5.849090 0.456273 7.801%0.00% 0.000001 5.849090 0.456274 7.801%0.00% 0.000001 5.849091 0.456276 7.801%0.00% 0.000001 5.849091 0.456277 7.801%0.00% 0.000001 5.849092 0.456278 7.801%0.00% 0.000001 5.849092 0.456280 7.801%0.00% 0.000001 5.849093 0.456281 7.801%0.00% 0.000001 5.849093 0.456282 7.801%0.00% 0.000001 5.849094 0.456284 7.801%0.00% 0.001030 5.850124 0.456285 7.800%0.00% 0.000000 5.850124 0.456286 7.800%0.00% 0.000000 5.850124 0.456287 7.800%0.00% 0.000000 5.850124 0.456289 7.800%0.00% 0.000000 5.850124 0.456290 7.800%0.00% 0.000000 5.850124 0.456291 7.800%0.00% 0.000000 5.850124 0.456293 7.800%0.00% 0.000000 5.850124 0.456294 7.800%0.00% 0.000000 5.850124 0.456295 7.800%0.00% 0.000000 5.850124 0.456296 7.800%0.00% 0.000000 5.850124 0.456298 7.800%0.00% 0.000000 5.850124 0.456299 7.800%0.00% 0.000000 5.850124 0.456300 7.800%0.00% 0.000000 5.850124 0.456302 7.800%0.00% 0.000000 5.850125 0.456303 7.800%0.00% 0.000000 5.850125 0.456304 7.800%0.00% 0.000000 5.850125 0.456305 7.800%0.00% 0.000000 5.850125 0.456307 7.800%0.00% 0.000000 5.850125 0.456308 7.800%0.00% 0.000000 5.850125 0.456309 7.800%0.00% 0.000000 5.850125 0.456311 7.800%0.00% 0.000000 5.850126 0.456312 7.800%0.00% 0.000000 5.850126 0.456313 7.800%0.00% 0.000000 5.850126 0.456314 7.800%0.00% 0.000000 5.850126 0.456316 7.800%

Page 813: Ch 6 Credit Derivatives

0.00% 0.000000 5.850126 0.456317 7.800%0.00% 0.000000 5.850127 0.456318 7.800%0.00% 0.000000 5.850127 0.456320 7.800%0.00% 0.000000 5.850127 0.456321 7.800%0.00% 0.000000 5.850127 0.456322 7.800%0.00% 0.000000 5.850127 0.456323 7.800%0.00% 0.000000 5.850128 0.456325 7.800%0.00% 0.000000 5.850128 0.456326 7.800%0.00% 0.000000 5.850128 0.456327 7.800%0.00% 0.000000 5.850128 0.456328 7.800%0.00% 0.000000 5.850129 0.456330 7.800%0.00% 0.000000 5.850129 0.456331 7.800%0.00% 0.000000 5.850129 0.456332 7.800%0.00% 0.000000 5.850130 0.456333 7.800%0.00% 0.000000 5.850130 0.456335 7.800%0.00% 0.000000 5.850130 0.456336 7.800%0.00% 0.000000 5.850131 0.456337 7.800%0.00% 0.000000 5.850131 0.456339 7.800%0.00% 0.000000 5.850131 0.456340 7.801%0.00% 0.000000 5.850132 0.456341 7.801%0.00% 0.000000 5.850132 0.456342 7.801%0.00% 0.000000 5.850132 0.456344 7.801%0.00% 0.000000 5.850133 0.456345 7.801%0.00% 0.000000 5.850133 0.456346 7.801%0.00% 0.000000 5.850134 0.456347 7.801%0.00% 0.000000 5.850134 0.456349 7.801%0.00% 0.000000 5.850134 0.456350 7.801%0.00% 0.000000 5.850135 0.456351 7.801%0.00% 0.000000 5.850135 0.456352 7.801%0.00% 0.000000 5.850136 0.456354 7.801%0.00% 0.000000 5.850136 0.456355 7.801%0.00% 0.000000 5.850137 0.456356 7.801%0.00% 0.000000 5.850137 0.456357 7.801%0.00% 0.000000 5.850137 0.456359 7.801%0.00% 0.000000 5.850138 0.456360 7.801%0.00% 0.000000 5.850138 0.456361 7.801%0.00% 0.000000 5.850139 0.456362 7.801%0.00% 0.000000 5.850139 0.456364 7.801%0.00% 0.000000 5.850140 0.456365 7.801%0.00% 0.000001 5.850140 0.456366 7.801%0.00% 0.000951 5.851091 0.456367 7.800%0.00% 0.000000 5.851091 0.456368 7.800%0.00% 0.000000 5.851091 0.456370 7.800%0.00% 0.000000 5.851091 0.456371 7.800%

Page 814: Ch 6 Credit Derivatives

0.00% 0.000000 5.851091 0.456372 7.800%0.00% 0.000000 5.851091 0.456374 7.800%0.00% 0.000000 5.851091 0.456375 7.800%0.00% 0.000000 5.851091 0.456376 7.800%0.00% 0.000000 5.851091 0.456377 7.800%0.00% 0.000000 5.851091 0.456379 7.800%0.00% 0.000000 5.851091 0.456380 7.800%0.00% 0.000000 5.851091 0.456381 7.800%0.00% 0.000000 5.851092 0.456382 7.800%0.00% 0.000000 5.851092 0.456384 7.800%0.00% 0.000000 5.851092 0.456385 7.800%0.00% 0.000000 5.851092 0.456386 7.800%0.00% 0.000000 5.851092 0.456387 7.800%0.00% 0.000000 5.851092 0.456389 7.800%0.00% 0.000000 5.851092 0.456390 7.800%0.00% 0.000000 5.851092 0.456391 7.800%0.00% 0.000000 5.851093 0.456392 7.800%0.00% 0.000000 5.851093 0.456394 7.800%0.00% 0.000000 5.851093 0.456395 7.800%0.00% 0.000000 5.851093 0.456396 7.800%0.00% 0.000000 5.851093 0.456397 7.800%0.00% 0.000000 5.851093 0.456399 7.800%0.00% 0.000000 5.851094 0.456400 7.800%0.00% 0.000000 5.851094 0.456401 7.800%0.00% 0.000000 5.851094 0.456402 7.800%0.00% 0.000000 5.851094 0.456404 7.800%0.00% 0.000000 5.851095 0.456405 7.800%0.00% 0.000000 5.851095 0.456406 7.800%0.00% 0.000000 5.851095 0.456407 7.800%0.00% 0.000000 5.851095 0.456409 7.800%0.00% 0.000000 5.851096 0.456410 7.800%0.00% 0.000000 5.851096 0.456411 7.800%0.00% 0.000000 5.851096 0.456412 7.800%0.00% 0.000000 5.851096 0.456414 7.800%0.00% 0.000000 5.851097 0.456415 7.800%0.00% 0.000000 5.851097 0.456416 7.801%0.00% 0.000000 5.851097 0.456417 7.801%0.00% 0.000000 5.851098 0.456418 7.801%0.00% 0.000000 5.851098 0.456420 7.801%0.00% 0.000000 5.851098 0.456421 7.801%0.00% 0.000000 5.851099 0.456422 7.801%0.00% 0.000000 5.851099 0.456423 7.801%0.00% 0.000000 5.851099 0.456425 7.801%0.00% 0.000000 5.851100 0.456426 7.801%

Page 815: Ch 6 Credit Derivatives

0.00% 0.000000 5.851100 0.456427 7.801%0.00% 0.000000 5.851101 0.456428 7.801%0.00% 0.000000 5.851101 0.456430 7.801%0.00% 0.000000 5.851101 0.456431 7.801%0.00% 0.000000 5.851102 0.456432 7.801%0.00% 0.000000 5.851102 0.456433 7.801%0.00% 0.000000 5.851103 0.456434 7.801%0.00% 0.000000 5.851103 0.456436 7.801%0.00% 0.000000 5.851103 0.456437 7.801%0.00% 0.000000 5.851104 0.456438 7.801%0.00% 0.000000 5.851104 0.456439 7.801%0.00% 0.000000 5.851105 0.456440 7.801%0.00% 0.000000 5.851105 0.456442 7.801%0.00% 0.000000 5.851106 0.456443 7.801%0.00% 0.000000 5.851106 0.456444 7.801%0.00% 0.000000 5.851107 0.456445 7.801%0.00% 0.000000 5.851107 0.456447 7.801%0.00% 0.000905 5.852013 0.456448 7.800%0.00% 0.000000 5.852013 0.456449 7.800%0.00% 0.000000 5.852013 0.456450 7.800%0.00% 0.000000 5.852013 0.456451 7.800%0.00% 0.000000 5.852013 0.456453 7.800%0.00% 0.000000 5.852013 0.456454 7.800%0.00% 0.000000 5.852013 0.456455 7.800%0.00% 0.000000 5.852013 0.456456 7.800%0.00% 0.000000 5.852013 0.456458 7.800%0.00% 0.000000 5.852013 0.456459 7.800%0.00% 0.000000 5.852013 0.456460 7.800%0.00% 0.000000 5.852013 0.456461 7.800%0.00% 0.000000 5.852013 0.456462 7.800%0.00% 0.000000 5.852013 0.456464 7.800%0.00% 0.000000 5.852013 0.456465 7.800%0.00% 0.000000 5.852014 0.456466 7.800%0.00% 0.000000 5.852014 0.456467 7.800%0.00% 0.000000 5.852014 0.456469 7.800%0.00% 0.000000 5.852014 0.456470 7.800%0.00% 0.000000 5.852014 0.456471 7.800%0.00% 0.000000 5.852014 0.456472 7.800%0.00% 0.000000 5.852014 0.456473 7.800%0.00% 0.000000 5.852015 0.456475 7.800%0.00% 0.000000 5.852015 0.456476 7.800%0.00% 0.000000 5.852015 0.456477 7.800%0.00% 0.000000 5.852015 0.456478 7.800%0.00% 0.000000 5.852015 0.456479 7.800%

Page 816: Ch 6 Credit Derivatives

0.00% 0.000000 5.852016 0.456481 7.800%0.00% 0.000000 5.852016 0.456482 7.800%0.00% 0.000000 5.852016 0.456483 7.800%0.00% 0.000000 5.852016 0.456484 7.800%0.00% 0.000000 5.852016 0.456485 7.800%0.00% 0.000000 5.852017 0.456487 7.801%0.00% 0.000000 5.852017 0.456488 7.801%0.00% 0.000000 5.852017 0.456489 7.801%0.00% 0.000000 5.852017 0.456490 7.801%0.00% 0.000000 5.852018 0.456491 7.801%0.00% 0.000000 5.852018 0.456493 7.801%0.00% 0.000000 5.852018 0.456494 7.801%0.00% 0.000000 5.852019 0.456495 7.801%0.00% 0.000000 5.852019 0.456496 7.801%0.00% 0.000000 5.852019 0.456497 7.801%0.00% 0.000000 5.852020 0.456499 7.801%0.00% 0.000000 5.852020 0.456500 7.801%0.00% 0.000000 5.852020 0.456501 7.801%0.00% 0.000000 5.852021 0.456502 7.801%0.00% 0.000000 5.852021 0.456503 7.801%0.00% 0.000000 5.852021 0.456505 7.801%0.00% 0.000000 5.852022 0.456506 7.801%0.00% 0.000000 5.852022 0.456507 7.801%0.00% 0.000000 5.852022 0.456508 7.801%0.00% 0.000000 5.852023 0.456509 7.801%0.00% 0.000000 5.852023 0.456510 7.801%0.00% 0.000000 5.852024 0.456512 7.801%0.00% 0.000000 5.852024 0.456513 7.801%0.00% 0.000000 5.852024 0.456514 7.801%0.00% 0.000000 5.852025 0.456515 7.801%0.00% 0.000000 5.852025 0.456516 7.801%0.00% 0.000000 5.852026 0.456518 7.801%0.00% 0.000000 5.852026 0.456519 7.801%0.00% 0.000000 5.852027 0.456520 7.801%0.00% 0.000000 5.852027 0.456521 7.801%0.00% 0.000000 5.852028 0.456522 7.801%0.00% 0.000000 5.852028 0.456523 7.801%0.00% 0.000000 5.852028 0.456525 7.801%0.00% 0.000862 5.852890 0.456526 7.800%

Page 817: Ch 6 Credit Derivatives

6.11: Estimating forward default probability curve using optimisation on a quarterly basis

Given a set of GM CDS prices

PricingCDS margins Error

Years6-Feb-08

0 20-Mar-080.5 2.728% 0.000 3 20-Jun-08

1 2.964% 0.000 6 22-Sep-082 4.572% 0.000 9 22-Dec-083 6.362% 0.000 12 20-Mar-095 7.414% 0.000 15 22-Jun-097 7.619% 0.000 18 21-Sep-09

10 7.751% 0.000 21 21-Dec-0915 7.770% 0.000 24 22-Mar-1020 7.790% 0.000 27 21-Jun-1030 7.800% 0.000 30 20-Sep-10

33 20-Dec-1036 21-Mar-1139 20-Jun-1142 20-Sep-1145 20-Dec-1148 20-Mar-1251 20-Jun-1254 20-Sep-1257 20-Dec-1260 20-Mar-1363 20-Jun-1366 20-Sep-1369 20-Dec-1372 20-Mar-1475 20-Jun-1478 22-Sep-1481 22-Dec-1484 20-Mar-1587 22-Jun-1590 21-Sep-15

Page 818: Ch 6 Credit Derivatives

93 21-Dec-1596 21-Mar-1699 20-Jun-16

102 20-Sep-16105 20-Dec-16108 20-Mar-17111 20-Jun-17114 20-Sep-17117 20-Dec-17120 20-Mar-18123 20-Jun-18126 20-Sep-18129 20-Dec-18132 20-Mar-19135 20-Jun-19138 20-Sep-19141 20-Dec-19144 20-Mar-20147 22-Jun-20150 21-Sep-20153 21-Dec-20156 22-Mar-21159 21-Jun-21162 20-Sep-21165 20-Dec-21168 21-Mar-22171 20-Jun-22174 20-Sep-22177 20-Dec-22180 20-Mar-23183 20-Jun-23186 20-Sep-23189 20-Dec-23192 20-Mar-24195 20-Jun-24198 20-Sep-24201 20-Dec-24204 20-Mar-25207 20-Jun-25210 22-Sep-25213 22-Dec-25216 20-Mar-26219 22-Jun-26222 21-Sep-26

Page 819: Ch 6 Credit Derivatives

225 21-Dec-26228 22-Mar-27231 21-Jun-27234 20-Sep-27237 20-Dec-27240 20-Mar-28243 20-Jun-28246 20-Sep-28249 20-Dec-28252 20-Mar-29255 20-Jun-29258 20-Sep-29261 20-Dec-29264 20-Mar-30267 20-Jun-30270 20-Sep-30273 20-Dec-30276 20-Mar-31279 20-Jun-31282 22-Sep-31285 22-Dec-31288 22-Mar-32291 21-Jun-32294 20-Sep-32297 20-Dec-32300 21-Mar-33303 20-Jun-33306 20-Sep-33309 20-Dec-33312 20-Mar-34315 20-Jun-34318 20-Sep-34321 20-Dec-34324 20-Mar-35327 20-Jun-35330 20-Sep-35333 20-Dec-35336 20-Mar-36339 20-Jun-36342 22-Sep-36345 22-Dec-36348 20-Mar-37351 22-Jun-37354 21-Sep-37

Page 820: Ch 6 Credit Derivatives

357 21-Dec-37360 22-Mar-38

Page 821: Ch 6 Credit Derivatives

6.11: Estimating forward default probability curve using optimisation on a quarterly basis

Recovery rate

Forwarddefault

probabilities

210.8963911666-Feb-08 1

0.8929% 2.625022E-007 20-Mar-08 0.119 3.17% 0.9962240.9441% 1.059847E-006 20-Jun-08 0.375 3.10% 0.9884281.0471% 2.422840E-006 22-Sep-08 0.636 3.01% 0.9810151.2027% 9.911651E-006 22-Dec-08 0.889 2.90% 0.9745091.5176% 2.241875E-005 20-Mar-09 1.133 2.82% 0.9685141.9910% 2.635390E-005 22-Jun-09 1.394 2.77% 0.9621502.5044% 3.080494E-005 21-Sep-09 1.647 2.74% 0.9558373.0594% 3.574994E-005 21-Dec-09 1.900 2.75% 0.9491783.6573% 4.124844E-005 22-Mar-10 2.153 2.78% 0.9419954.2996% 1.781043E-005 21-Jun-10 2.406 2.83% 0.9342094.7216% 0.00000437 20-Sep-10 2.658 2.89% 0.9259844.9307% 1.111863E-009 20-Dec-10 2.911 2.96% 0.9174544.9340% 3.795079E-006 21-Mar-11 3.164 3.02% 0.9087384.7392% 0.000003091 20-Jun-11 3.417 3.09% 0.8999004.5634% 2.498801E-006 20-Sep-11 3.672 3.15% 0.8908274.4053% 1.989825E-006 20-Dec-11 3.925 3.21% 0.8817064.2642% 1.554827E-006 20-Mar-12 4.178 3.27% 0.8724234.1395% 0.000001192 20-Jun-12 4.433 3.33% 0.8628764.0304% 8.908585E-007 20-Sep-12 4.689 3.39% 0.8531853.9360% 6.431026E-007 20-Dec-12 4.942 3.44% 0.8434763.8558% 4.452616E-007 20-Mar-13 5.192 3.50% 0.8337683.7891% 2.848173E-007 20-Jun-13 5.447 3.56% 0.8237633.7357% 1.664746E-007 20-Sep-13 5.703 3.61% 0.8137193.6949% 8.261681E-008 20-Dec-13 5.956 3.67% 0.8037863.6661% 2.918547E-008 20-Mar-14 6.206 3.72% 0.7939973.6491% 3.741293E-009 20-Jun-14 6.461 3.77% 0.7840553.6429% 1.840490E-009 22-Sep-14 6.722 3.81% 0.7739703.6472% 2.083767E-008 22-Dec-14 6.975 3.85% 0.7642883.6617% 5.839695E-008 20-Mar-15 7.219 3.89% 0.7550063.6858% 2.822412E-008 22-Jun-15 7.481 3.93% 0.7451713.7026% 0.00000001 21-Sep-15 7.733 3.97% 0.735697

Page 822: Ch 6 Credit Derivatives

3.7126% 1.096340E-009 21-Dec-15 7.986 4.01% 0.7262413.7159% 7.724942E-010 21-Mar-16 8.239 4.04% 0.7167743.7132% 7.616874E-009 20-Jun-16 8.492 4.08% 0.7072983.7044% 2.091761E-008 20-Sep-16 8.747 4.11% 0.6977463.6900% 3.977765E-008 20-Dec-16 9.000 4.15% 0.6883593.6700% 6.343362E-008 20-Mar-17 9.250 4.18% 0.6791693.6448% 9.123258E-008 20-Jun-17 9.506 4.21% 0.6698863.6146% 1.218612E-007 20-Sep-17 9.761 4.25% 0.6607173.5797% 1.554228E-007 20-Dec-17 10.014 4.27% 0.6517603.5403% 1.918376E-007 20-Mar-18 10.264 4.30% 0.6430103.4965% 1.480705E-007 20-Jun-18 10.519 4.33% 0.6341763.4580% 1.132006E-007 20-Sep-18 10.775 4.36% 0.6254513.4244% 8.388638E-008 20-Dec-18 11.028 4.38% 0.6169233.3954% 5.944010E-008 20-Mar-19 11.278 4.40% 0.6085853.3710% 4.029489E-008 20-Jun-19 11.533 4.43% 0.6001593.3510% 2.562812E-008 20-Sep-19 11.789 4.45% 0.5918283.3349% 1.463675E-008 20-Dec-19 12.042 4.47% 0.5836773.3229% 0.000000007 20-Mar-20 12.294 4.49% 0.5756133.3145% 2.317152E-009 22-Jun-20 12.556 4.51% 0.5673743.3097% 2.017031E-010 21-Sep-20 12.808 4.53% 0.5594913.3082% 3.309413E-010 21-Dec-20 13.061 4.55% 0.5517053.3101% 2.434375E-009 22-Mar-21 13.314 4.57% 0.5440153.3150% 6.242493E-009 21-Jun-21 13.567 4.59% 0.5364283.3229% 1.151713E-008 20-Sep-21 13.819 4.61% 0.5289473.3336% 0.000000018 20-Dec-21 14.072 4.63% 0.5215733.3471% 2.541648E-008 21-Mar-22 14.325 4.64% 0.5143083.3630% 3.268702E-008 20-Jun-22 14.578 4.66% 0.5071573.3811% 3.953604E-008 20-Sep-22 14.833 4.67% 0.5000423.4010% 0.00000005 20-Dec-22 15.086 4.69% 0.4931223.4233% 6.013891E-008 20-Mar-23 15.336 4.70% 0.4863923.4478% 4.909440E-008 20-Jun-23 15.592 4.71% 0.4796323.4700% 0.000000041 20-Sep-23 15.847 4.72% 0.4729883.4902% 3.243673E-008 20-Dec-23 16.100 4.74% 0.4665283.5083% 2.823719E-008 20-Mar-24 16.353 4.75% 0.4601773.5251% 2.323060E-008 20-Jun-24 16.608 4.76% 0.4538643.5403% 1.822350E-008 20-Sep-24 16.864 4.77% 0.4476573.5538% 0.000000014 20-Dec-24 17.117 4.77% 0.4416193.5656% 1.052799E-008 20-Mar-25 17.367 4.78% 0.4357433.5759% 7.611949E-009 20-Jun-25 17.622 4.79% 0.4298353.5846% 5.259011E-009 22-Sep-25 17.883 4.80% 0.4238983.5919% 3.400240E-009 22-Dec-25 18.136 4.81% 0.4182453.5977% 0.000000002 20-Mar-26 18.381 4.81% 0.4128623.6022% 0.000000001 22-Jun-26 18.642 4.82% 0.4072043.6054% 3.713145E-010 21-Sep-26 18.894 4.83% 0.401815

Page 823: Ch 6 Credit Derivatives

3.6073% 5.295792E-011 21-Dec-26 19.147 4.83% 0.3965103.6080% 2.444005E-011 22-Mar-27 19.400 4.84% 0.3912853.6075% 4.008642E-010 21-Jun-27 19.653 4.84% 0.3861423.6055% 1.465898E-009 20-Sep-27 19.906 4.85% 0.3810783.6017% 0.000000002 20-Dec-27 20.158 4.85% 0.3760913.5973% 0.000000003 20-Mar-28 20.411 4.86% 0.3711783.5918% 2.601837E-009 20-Jun-28 20.667 4.86% 0.3662873.5867% 2.239945E-009 20-Sep-28 20.922 4.86% 0.3614713.5820% 2.318076E-009 20-Dec-28 21.175 4.87% 0.3567803.5771% 1.355338E-009 20-Mar-29 21.425 4.87% 0.3522103.5735% 0.000000001 20-Jun-29 21.681 4.87% 0.3476103.5703% 8.469274E-010 20-Sep-29 21.936 4.88% 0.3430823.5674% 7.526519E-010 20-Dec-29 22.189 4.88% 0.3386723.5647% 6.733075E-010 20-Mar-30 22.439 4.88% 0.3343773.5621% 5.982791E-010 20-Jun-30 22.694 4.88% 0.3300543.5596% 5.287729E-010 20-Sep-30 22.950 4.89% 0.3258003.5573% 4.644284E-010 20-Dec-30 23.203 4.89% 0.3216573.5552% 4.059551E-010 20-Mar-31 23.453 4.89% 0.3176223.5532% 3.605133E-010 20-Jun-31 23.708 4.89% 0.3135633.5513% 3.192288E-010 22-Sep-31 23.969 4.89% 0.3094813.5495% 2.849379E-010 22-Dec-31 24.222 4.89% 0.3055933.5478% 2.540319E-010 22-Mar-32 24.475 4.90% 0.3017653.5462% 2.265533E-010 21-Jun-32 24.728 4.90% 0.2979983.5447% 2.048899E-010 20-Sep-32 24.981 4.90% 0.2942903.5433% 1.813178E-010 20-Dec-32 25.233 4.90% 0.2906403.5419% 1.651430E-010 21-Mar-33 25.486 4.90% 0.2870473.5406% 1.509230E-010 20-Jun-33 25.739 4.90% 0.2835113.5394% 1.379516E-010 20-Sep-33 25.994 4.90% 0.2799923.5382% 1.284246E-010 20-Dec-33 26.247 4.90% 0.2765643.5371% 1.157475E-010 20-Mar-34 26.497 4.90% 0.2732243.5360% 1.085917E-010 20-Jun-34 26.753 4.90% 0.2698613.5350% 9.843864E-011 20-Sep-34 27.008 4.90% 0.2665483.5340% 8.733432E-011 20-Dec-34 27.261 4.89% 0.2633183.5331% 7.479747E-011 20-Mar-35 27.511 4.89% 0.2601683.5322% 6.139311E-011 20-Jun-35 27.767 4.89% 0.2569943.5314% 4.877385E-011 20-Sep-35 28.022 4.89% 0.2538643.5307% 3.622879E-011 20-Dec-35 28.275 4.89% 0.2508103.5301% 2.582816E-011 20-Mar-36 28.528 4.89% 0.2477973.5296% 1.696600E-011 20-Jun-36 28.783 4.89% 0.2447923.5292% 1.055050E-011 22-Sep-36 29.044 4.89% 0.2417623.5289% 6.087489E-012 22-Dec-36 29.297 4.89% 0.2388673.5286% 2.900501E-012 20-Mar-37 29.542 4.89% 0.2361023.5284% 1.184571E-012 22-Jun-37 29.803 4.89% 0.2331863.5283% 4.596823E-013 21-Sep-37 30.056 4.88% 0.230398

Page 824: Ch 6 Credit Derivatives

3.5283% 4.930530E-014 21-Dec-37 30.308 4.88% 0.2276453.5282% 22-Mar-38 30.561 4.88% 0.224891

Page 825: Ch 6 Credit Derivatives

40%

Survival Hazard Premium Payment

100.00%0.119 99.11% 0.89% 0.118993 0.0053370.256 98.17% 0.94% 0.369336 0.0108860.261 97.14% 1.03% 0.620806 0.016937 0.0169370.253 95.98% 1.17% 0.860104 0.0237690.244 94.52% 1.46% 1.087323 0.032232 0.0322320.261 92.64% 1.88% 1.324780 0.0430960.253 90.32% 2.32% 1.548604 0.0564020.253 87.55% 2.76% 1.765302 0.0721380.253 84.35% 3.20% 1.973780 0.090236 0.0902360.253 80.72% 3.63% 2.172974 0.1105650.253 76.91% 3.81% 2.361924 0.1317420.253 73.12% 3.79% 2.540295 0.1526170.253 69.51% 3.61% 2.708260 0.172289 0.1722890.253 66.22% 3.29% 2.866384 0.1900760.256 63.20% 3.02% 3.017135 0.2062280.253 60.41% 2.78% 3.157985 0.2209560.253 57.84% 2.58% 3.291213 0.2344410.256 55.44% 2.39% 3.418750 0.2468360.256 53.21% 2.23% 3.539635 0.2582750.253 51.11% 2.09% 3.653081 0.2688730.250 49.14% 1.97% 3.759623 0.278733 0.2787330.256 47.28% 1.86% 3.863078 0.2879360.256 45.51% 1.77% 3.961398 0.2965590.253 43.83% 1.68% 4.053875 0.3046700.250 42.23% 1.61% 4.140883 0.3123250.256 40.69% 1.54% 4.225490 0.3195740.261 39.20% 1.48% 4.307712 0.3264570.253 37.77% 1.43% 4.383450 0.3330140.244 36.39% 1.38% 4.453163 0.339279 0.3392790.261 35.05% 1.34% 4.523967 0.3452760.253 33.75% 1.30% 4.589147 0.351005

Page 826: Ch 6 Credit Derivatives

0.253 32.50% 1.25% 4.651106 0.3564650.253 31.29% 1.21% 4.709987 0.3616580.253 30.13% 1.16% 4.765931 0.3665890.256 29.01% 1.12% 4.819654 0.3712610.253 27.94% 1.07% 4.870136 0.3756830.250 26.92% 1.03% 4.917579 0.3798620.256 25.94% 0.98% 4.963658 0.3838050.256 25.00% 0.94% 5.007449 0.3875210.253 24.10% 0.89% 5.048633 0.3910210.250 23.25% 0.85% 5.087380 0.394313 0.3943130.256 22.44% 0.81% 5.125060 0.3974060.256 21.66% 0.78% 5.160922 0.4003170.253 20.92% 0.74% 5.194701 0.4030630.250 20.21% 0.71% 5.226529 0.4056570.256 19.53% 0.68% 5.257524 0.4081100.256 18.87% 0.65% 5.287058 0.4104330.253 18.24% 0.63% 5.314904 0.4126380.253 17.64% 0.61% 5.341449 0.4147310.261 17.05% 0.58% 5.367579 0.4167220.253 16.49% 0.56% 5.391696 0.4186160.253 15.94% 0.55% 5.414691 0.4204220.253 15.42% 0.53% 5.436615 0.4221440.253 14.90% 0.51% 5.457518 0.4237890.253 14.41% 0.50% 5.477446 0.4253610.253 13.93% 0.48% 5.496443 0.4268640.253 13.46% 0.47% 5.514551 0.4283030.253 13.01% 0.45% 5.531810 0.4296800.256 12.57% 0.44% 5.548435 0.4310000.253 12.14% 0.43% 5.564104 0.4322650.250 11.73% 0.42% 5.578869 0.433478 0.4334780.256 11.32% 0.40% 5.593242 0.4346420.256 10.93% 0.39% 5.606928 0.4357570.253 10.55% 0.38% 5.619817 0.4368240.253 10.18% 0.37% 5.632087 0.4378460.256 9.82% 0.36% 5.643893 0.4388230.256 9.47% 0.35% 5.655126 0.4397570.253 9.14% 0.34% 5.665699 0.4406490.250 8.81% 0.33% 5.675650 0.4415000.256 8.49% 0.32% 5.685327 0.4423130.261 8.19% 0.30% 5.694729 0.4430870.253 7.90% 0.29% 5.703388 0.4438250.244 7.61% 0.28% 5.711356 0.4445290.261 7.34% 0.27% 5.719449 0.4451990.253 7.07% 0.26% 5.726902 0.445837

Page 827: Ch 6 Credit Derivatives

0.253 6.82% 0.26% 5.733991 0.4464440.253 6.57% 0.25% 5.740734 0.4470210.253 6.33% 0.24% 5.747148 0.4475710.253 6.11% 0.23% 5.753251 0.4480930.253 5.89% 0.22% 5.759056 0.4485890.253 5.67% 0.21% 5.764578 0.449061 0.4490610.256 5.47% 0.20% 5.769890 0.4495090.256 5.27% 0.20% 5.774944 0.4499340.253 5.09% 0.19% 5.779701 0.4503390.250 4.90% 0.18% 5.784179 0.4507230.256 4.73% 0.18% 5.788535 0.4510890.256 4.56% 0.17% 5.792681 0.4514360.253 4.40% 0.16% 5.796584 0.4517670.250 4.24% 0.16% 5.800260 0.4520810.256 4.09% 0.15% 5.803836 0.4523800.256 3.94% 0.15% 5.807241 0.4526650.253 3.80% 0.14% 5.810447 0.4529350.250 3.67% 0.14% 5.813467 0.4531930.256 3.54% 0.13% 5.816407 0.4534380.261 3.41% 0.13% 5.819266 0.4536720.253 3.29% 0.12% 5.821901 0.4538940.253 3.17% 0.12% 5.824412 0.4541050.253 3.06% 0.11% 5.826803 0.4543060.253 2.95% 0.11% 5.829081 0.4544980.253 2.85% 0.10% 5.831250 0.4546800.253 2.75% 0.10% 5.833317 0.4548540.253 2.65% 0.10% 5.835286 0.4550200.256 2.56% 0.09% 5.837183 0.4551770.253 2.47% 0.09% 5.838970 0.4553270.250 2.38% 0.09% 5.840654 0.4554700.256 2.29% 0.08% 5.842295 0.4556070.256 2.21% 0.08% 5.843858 0.4557360.253 2.14% 0.08% 5.845331 0.4558600.250 2.06% 0.08% 5.846720 0.4559780.256 1.99% 0.07% 5.848073 0.4560900.256 1.92% 0.07% 5.849363 0.4561970.253 1.85% 0.07% 5.850578 0.4562990.253 1.78% 0.07% 5.851736 0.4563960.256 1.72% 0.06% 5.852852 0.4564880.261 1.66% 0.06% 5.853939 0.4565760.253 1.60% 0.06% 5.854941 0.4566600.244 1.55% 0.06% 5.855866 0.4567400.261 1.49% 0.05% 5.856807 0.4568170.253 1.44% 0.05% 5.857675 0.456889

Page 828: Ch 6 Credit Derivatives

0.253 1.39% 0.05% 5.858502 0.4569590.253 1.34% 0.05% 5.859291 0.457025 0.457025

Page 829: Ch 6 Credit Derivatives

Value

- 0.00

0.00

0.00

0.00

- 0.00

- 0.00

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%Estimating FDP curve using GM data

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%

Estimating FDP curves using GM data

Optimisation Column N

Page 830: Ch 6 Credit Derivatives

- 0.00

- 0.00

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%

Estimating FDP curves using GM data

Optimisation Column N

Page 831: Ch 6 Credit Derivatives

- 0.00

Page 832: Ch 6 Credit Derivatives

- 0.00

Page 833: Ch 6 Credit Derivatives

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%Estimating FDP curve using GM data

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%

Estimating FDP curves using GM data

Optimisation Column N

Page 834: Ch 6 Credit Derivatives

0 20 40 60 80 100 120 140 160 180 200 220 240 260 280 300 320 340 3600.0000%

1.0000%

2.0000%

3.0000%

4.0000%

5.0000%

6.0000%

Estimating FDP curves using GM data

Optimisation Column N

Page 835: Ch 6 Credit Derivatives
Page 836: Ch 6 Credit Derivatives
Page 837: Ch 6 Credit Derivatives

Given a set of GM CDS prices 6.12: Estimating forward default probability curve using optimisation on a monthly basis

PricingCDS margins Error

Years6-Feb-08

0 20-Mar-080.5 2.728% 0.000 1 21-Apr-08

1 2.964% 0.000 2 20-May-082 4.572% 0.000 3 20-Jun-083 6.362% 0.000 4 21-Jul-085 7.414% 0.000 5 20-Aug-087 7.619% 0.000 6 22-Sep-08

10 7.751% 0.000 7 20-Oct-0815 7.770% 0.000 8 20-Nov-0820 7.790% 0.000 9 22-Dec-0830 7.800% 0.000 10 20-Jan-09

11 20-Feb-0912 20-Mar-0913 20-Apr-0914 20-May-0915 22-Jun-0916 20-Jul-0917 20-Aug-0918 21-Sep-0919 20-Oct-0920 20-Nov-0921 21-Dec-0922 20-Jan-1023 22-Feb-1024 22-Mar-1025 20-Apr-1026 20-May-1027 21-Jun-1028 20-Jul-1029 20-Aug-1030 20-Sep-10

Page 838: Ch 6 Credit Derivatives

31 20-Oct-1032 22-Nov-1033 20-Dec-1034 20-Jan-1135 21-Feb-1136 21-Mar-1137 20-Apr-1138 20-May-1139 20-Jun-1140 20-Jul-1141 22-Aug-1142 20-Sep-1143 20-Oct-1144 21-Nov-1145 20-Dec-1146 20-Jan-1247 20-Feb-1248 20-Mar-1249 20-Apr-1250 21-May-1251 20-Jun-1252 20-Jul-1253 20-Aug-1254 20-Sep-1255 22-Oct-1256 20-Nov-1257 20-Dec-1258 21-Jan-1359 20-Feb-1360 20-Mar-1361 22-Apr-1362 20-May-1363 20-Jun-1364 22-Jul-1365 20-Aug-1366 20-Sep-1367 21-Oct-1368 20-Nov-1369 20-Dec-1370 20-Jan-1471 20-Feb-1472 20-Mar-1473 21-Apr-1474 20-May-14

Page 839: Ch 6 Credit Derivatives

75 20-Jun-1476 21-Jul-1477 20-Aug-1478 22-Sep-1479 20-Oct-1480 20-Nov-1481 22-Dec-1482 20-Jan-1583 20-Feb-1584 20-Mar-1585 20-Apr-1586 20-May-1587 22-Jun-1588 20-Jul-1589 20-Aug-1590 21-Sep-1591 20-Oct-1592 20-Nov-1593 21-Dec-1594 20-Jan-1695 22-Feb-1696 21-Mar-1697 20-Apr-1698 20-May-1699 20-Jun-16

100 20-Jul-16101 22-Aug-16102 20-Sep-16103 20-Oct-16104 21-Nov-16105 20-Dec-16106 20-Jan-17107 20-Feb-17108 20-Mar-17109 20-Apr-17110 22-May-17111 20-Jun-17112 20-Jul-17113 21-Aug-17114 20-Sep-17115 20-Oct-17116 20-Nov-17117 20-Dec-17118 22-Jan-18

Page 840: Ch 6 Credit Derivatives

119 20-Feb-18120 20-Mar-18

Page 841: Ch 6 Credit Derivatives

6.12: Estimating forward default probability curve using optimisation on a monthly basis

Recovery rate 40%

Forwarddefault

probabilitiesSurvival

17.82279503696-Feb-08 1 100.00%

0.3089% 9.576735E-009 20-Mar-08 0.996224 0.119 99.69%0.2991% 2.384842E-008 21-Apr-08 0.993472 0.089 99.39%0.3145% 2.538908E-007 20-May-08 0.991017 0.169 99.08%0.3649% 2.189265E-006 20-Jun-08 0.988428 0.256 98.72%0.5129% 2.052390E-007 21-Jul-08 0.985881 0.086 98.21%0.5582% 3.529749E-008 20-Aug-08 0.983502 0.169 97.66%0.5394% 6.247249E-007 22-Sep-08 0.981015 0.261 97.14%0.4604% 2.447860E-007 20-Oct-08 0.978970 0.078 96.69%0.4109% 9.257150E-010 20-Nov-08 0.976754 0.164 96.29%0.4139% 1.572786E-007 22-Dec-08 0.974509 0.253 95.89%0.4536% 2.886858E-008 20-Jan-09 0.972531 0.081 95.46%0.4706% 0.000000119 20-Feb-09 0.970427 0.167 95.01%0.5051% 1.112603E-006 20-Mar-09 0.968514 0.244 94.53%0.6106% 0.000000138 20-Apr-09 0.966438 0.086 93.95%0.6477% 1.541095E-007 20-May-09 0.964414 0.169 93.34%0.6870% 1.180869E-006 22-Jun-09 0.962150 0.261 92.70%0.7956% 0.000000156 20-Jul-09 0.960253 0.078 91.97%0.8351% 1.582620E-007 20-Aug-09 0.958113 0.164 91.20%0.8749% 1.201346E-006 21-Sep-09 0.955837 0.253 90.40%0.9845% 1.499394E-007 20-Oct-09 0.953784 0.081 89.51%1.0232% 9.518531E-008 20-Nov-09 0.951526 0.167 88.59%1.0541% 9.182410E-007 21-Dec-09 0.949178 0.253 87.66%1.1499% 1.078882E-006 20-Jan-10 0.946901 0.083 86.65%1.2538% 2.593063E-007 22-Feb-10 0.944307 0.175 85.57%1.3047% 3.740601E-008 22-Mar-10 0.941995 0.253 84.45%1.3240% 2.632125E-008 20-Apr-10 0.939585 0.081 83.33%1.3403% 1.764304E-007 20-May-10 0.937025 0.164 82.21%1.3823% 1.513604E-006 21-Jun-10 0.934209 0.253 81.08%1.5053% 1.862046E-007 20-Jul-10 0.931634 0.081 79.86%1.5485% 1.014300E-007 20-Aug-10 0.928836 0.167 78.62%1.5803% 7.027068E-007 20-Sep-10 0.925984 0.253 77.38%

Page 842: Ch 6 Credit Derivatives

1.6641% 7.814940E-008 20-Oct-10 0.923198 0.083 76.09%1.6921% 8.327444E-009 22-Nov-10 0.920104 0.175 74.80%1.7012% 3.347831E-008 20-Dec-10 0.917454 0.253 73.53%1.7195% 1.863855E-009 20-Jan-11 0.914494 0.086 72.27%1.7238% 1.088273E-007 21-Feb-11 0.911427 0.175 71.02%1.7568% 6.674166E-009 21-Mar-11 0.908738 0.253 69.77%1.7486% 3.231084E-007 20-Apr-11 0.905835 0.083 68.55%1.6918% 0.000000294 20-May-11 0.902920 0.167 67.39%1.6376% 0.000000325 20-Jun-11 0.899900 0.253 66.29%1.5806% 3.069751E-008 20-Jul-11 0.896956 0.083 65.24%1.5631% 4.872824E-008 22-Aug-11 0.893700 0.175 64.22%1.5410% 3.964545E-007 20-Sep-11 0.890827 0.256 63.23%1.4780% 5.008804E-008 20-Oct-11 0.887837 0.083 62.30%1.4556% 3.926711E-008 21-Nov-11 0.884628 0.172 61.39%1.4358% 2.921360E-007 20-Dec-11 0.881706 0.253 60.51%1.3818% 3.542644E-008 20-Jan-12 0.878562 0.086 59.67%1.3629% 1.881044E-008 20-Feb-12 0.875399 0.172 58.86%1.3492% 1.317341E-007 20-Mar-12 0.872423 0.253 58.07%1.3129% 1.568038E-008 20-Apr-12 0.869222 0.086 57.30%1.3004% 7.098234E-009 21-May-12 0.866005 0.172 56.56%1.2920% 4.847601E-008 20-Jun-12 0.862876 0.256 55.83%1.2700% 4.887689E-009 20-Jul-12 0.859729 0.083 55.12%1.2630% 8.559336E-017 20-Aug-12 0.856464 0.169 54.42%1.2630% 5.331588E-010 20-Sep-12 0.853185 0.256 53.73%1.2653% 5.772429E-010 22-Oct-12 0.849782 0.089 53.06%1.2677% 1.974152E-008 20-Nov-12 0.846688 0.169 52.38%1.2817% 1.822726E-007 20-Dec-12 0.843476 0.253 51.71%1.3244% 0.000000023 21-Jan-13 0.840035 0.089 51.03%1.3396% 1.635481E-008 20-Feb-13 0.836798 0.172 50.34%1.3524% 1.224798E-007 20-Mar-13 0.833768 0.250 49.66%1.3874% 2.256338E-010 22-Apr-13 0.830183 0.092 48.97%1.3859% 7.525613E-010 20-May-13 0.827137 0.169 48.29%1.3832% 2.005194E-007 20-Jun-13 0.823763 0.256 47.63%1.3384% 0.000000028 22-Jul-13 0.820267 0.089 46.99%1.3216% 3.083432E-008 20-Aug-13 0.817100 0.169 46.37%1.3041% 2.379178E-007 20-Sep-13 0.813719 0.256 45.76%1.2553% 3.021601E-008 21-Oct-13 0.810327 0.086 45.19%1.2379% 2.318318E-008 20-Nov-13 0.807051 0.169 44.63%1.2227% 1.702010E-007 20-Dec-13 0.803786 0.253 44.08%1.1814% 1.905067E-008 20-Jan-14 0.800402 0.086 43.56%1.1676% 2.449914E-009 20-Feb-14 0.797029 0.172 43.05%1.1627% 1.110404E-008 20-Mar-14 0.793997 0.250 42.55%1.1522% 1.059858E-009 21-Apr-14 0.790524 0.089 42.06%1.1489% 9.841535E-011 20-May-14 0.787389 0.169 41.58%

Page 843: Ch 6 Credit Derivatives

1.1499% 1.773257E-009 20-Jun-14 0.784055 0.256 41.10%1.1541% 9.844833E-011 21-Jul-14 0.780713 0.086 40.63%1.1551% 1.058758E-009 20-Aug-14 0.777493 0.169 40.16%1.1518% 1.089903E-008 22-Sep-14 0.773970 0.261 39.70%1.1414% 8.516964E-010 20-Oct-14 0.770976 0.078 39.24%1.1385% 1.538263E-009 20-Nov-14 0.767675 0.164 38.80%1.1424% 1.776210E-008 22-Dec-14 0.764288 0.253 38.35%1.1557% 4.482975E-009 20-Jan-15 0.761214 0.081 37.91%1.1624% 4.522534E-008 20-Feb-15 0.757943 0.167 37.47%1.1837% 3.791307E-007 20-Mar-15 0.755006 0.244 37.02%1.2453% 0.000000337 20-Apr-15 0.751751 0.086 36.56%1.3033% 1.992558E-008 20-May-15 0.748611 0.169 36.09%1.2892% 2.888505E-007 22-Jun-15 0.745171 0.261 35.62%1.2355% 6.259537E-009 20-Jul-15 0.742250 0.078 35.18%1.2275% 4.180294E-010 20-Aug-15 0.739022 0.164 34.75%1.2255% 1.325227E-009 21-Sep-15 0.735697 0.253 34.32%1.2219% 1.617696E-010 20-Oct-15 0.732682 0.081 33.90%1.2206% 1.434068E-010 20-Nov-15 0.729461 0.167 33.49%1.2194% 1.120720E-009 21-Dec-15 0.726241 0.253 33.08%1.2160% 1.462111E-010 20-Jan-16 0.723124 0.083 32.68%1.2148% 1.927316E-010 22-Feb-16 0.719692 0.175 32.28%1.2135% 1.549226E-009 21-Mar-16 0.716774 0.253 31.89%1.2095% 1.248688E-010 20-Apr-16 0.713648 0.083 31.51%1.2084% 1.301285E-010 20-May-16 0.710523 0.167 31.13%1.2095% 1.493402E-009 20-Jun-16 0.707298 0.253 30.75%1.2134% 8.878526E-011 20-Jul-16 0.704176 0.083 30.38%1.2143% 8.195733E-010 22-Aug-16 0.700749 0.175 30.01%1.2115% 8.638721E-009 20-Sep-16 0.697746 0.256 29.64%1.2022% 1.101147E-009 20-Oct-16 0.694639 0.083 29.29%1.1989% 9.349667E-010 21-Nov-16 0.691337 0.172 28.94%1.1958% 0.000000007 20-Dec-16 0.688359 0.253 28.59%1.1874% 4.933630E-010 20-Jan-17 0.685177 0.086 28.25%1.1852% 1.577899E-009 20-Feb-17 0.682010 0.172 27.92%1.1892% 1.713257E-008 20-Mar-17 0.679169 0.250 27.58%1.2023% 1.859912E-009 20-Apr-17 0.676024 0.086 27.25%1.2066% 5.248758E-011 22-May-17 0.672794 0.175 26.92%1.2073% 4.753927E-011 20-Jun-17 0.669886 0.256 26.60%1.2080% 6.797247E-013 20-Jul-17 0.666880 0.083 26.28%1.2081% 1.719925E-010 21-Aug-17 0.663689 0.172 25.96%1.2068% 1.723650E-009 20-Sep-17 0.660717 0.256 25.65%1.2026% 1.937207E-010 20-Oct-17 0.657747 0.083 25.34%1.2012% 3.886809E-011 20-Nov-17 0.654695 0.169 25.03%1.2006% 2.216715E-010 20-Dec-17 0.651760 0.253 24.73%1.1991% 2.200244E-011 22-Jan-18 0.648535 0.092 24.44%

Page 844: Ch 6 Credit Derivatives

1.1987% 1.195909E-013 20-Feb-18 0.645716 0.172 24.14%1.1986% 20-Mar-18 0.643010 0.250 23.85%

Page 845: Ch 6 Credit Derivatives

Hazard Premium Payment Value

0.31% 0.118993 0.0018460.30% 0.119257 0.0036240.31% 0.119782 0.0054830.36% 0.370057 0.0076270.51% 0.370487 0.0106220.55% 0.371400 0.0138570.53% 0.621571 0.016958 0.016958 - 0.00 0.45% 0.621912 0.0195840.40% 0.622548 0.0219130.40% 0.859750 0.0242430.43% 0.860091 0.0267810.45% 0.860818 0.0293970.48% 1.085752 0.032186 0.032186 - 0.00 0.58% 1.086232 0.0355320.61% 1.087227 0.0390540.64% 1.321735 0.0427560.74% 1.322286 0.0470050.77% 1.323492 0.0514200.80% 1.543838 0.0559960.89% 1.544522 0.0610900.92% 1.545975 0.0663190.93% 1.758539 0.0716371.01% 1.759334 0.0773641.09% 1.761130 0.0835201.12% 1.964875 0.089829 0.089829 0.00 1.12% 1.965721 0.0961331.12% 1.967436 0.1024121.14% 2.161583 0.1087821.22% 2.162499 0.1156041.24% 2.164413 0.1224961.24% 2.348439 0.129398

0 20 40 60 80 100 1200.0000%

0.2000%

0.4000%

0.6000%

0.8000%

1.0000%

1.2000%

1.4000%

1.6000%

1.8000%

2.0000%Estimating monthly forward default curve

Page 846: Ch 6 Credit Derivatives

1.29% 2.349430 0.1365311.29% 2.351503 0.1436391.27% 2.524980 0.1506441.26% 2.525976 0.1575821.25% 2.527963 0.1643941.25% 2.691103 0.171197 0.171197 0.00 1.22% 2.692024 0.1778281.16% 2.693769 0.1841111.10% 2.847071 0.1900701.05% 2.847854 0.1957091.02% 2.849449 0.2011770.99% 2.995653 0.2064670.93% 2.996345 0.2114450.91% 2.997726 0.2162590.88% 3.134551 0.2209220.84% 3.135184 0.2253290.81% 3.136410 0.2296010.79% 3.266213 0.2337580.76% 3.266784 0.2377340.75% 3.267895 0.2416060.73% 3.392613 0.2453890.71% 3.393121 0.2490460.70% 3.394131 0.2526240.69% 3.512791 0.2561420.68% 3.513305 0.2596090.67% 3.514270 0.2630260.67% 3.625955 0.2664240.68% 3.626467 0.2698750.68% 3.627452 0.2733070.68% 3.732387 0.276713 0.276713 - 0.00 0.69% 3.732911 0.2801450.68% 3.733863 0.2835140.67% 3.835530 0.2868150.64% 3.835995 0.2899520.62% 3.836854 0.2929970.60% 3.933276 0.2959490.57% 3.933677 0.2987420.56% 3.934442 0.3014510.55% 4.025119 0.3040830.52% 4.025478 0.3065840.51% 4.026176 0.3090160.50% 4.111638 0.3114010.49% 4.111982 0.3137270.48% 4.112627 0.316010

Page 847: Ch 6 Credit Derivatives

0.48% 4.195940 0.3182590.47% 4.196259 0.3204810.47% 4.196877 0.3226700.46% 4.278034 0.3248180.45% 4.278305 0.3269140.45% 4.278867 0.3289720.44% 4.353819 0.3310040.44% 4.354090 0.3330290.44% 4.354647 0.3350330.44% 4.423798 0.337042 0.337042 - 0.00 0.46% 4.424096 0.3391220.48% 4.424701 0.3412620.47% 4.494917 0.3433420.44% 4.495171 0.3453020.43% 4.495694 0.3472170.43% 4.560318 0.3490970.42% 4.560565 0.3509410.41% 4.561069 0.3527520.41% 4.622551 0.3545320.40% 4.622793 0.3562770.40% 4.623293 0.3579910.39% 4.681786 0.3596760.39% 4.682015 0.3613280.38% 4.682466 0.3629510.38% 4.738114 0.3645490.37% 4.738333 0.3661250.37% 4.738785 0.3676760.36% 4.792291 0.3691980.36% 4.792498 0.3706830.35% 4.792916 0.3721390.35% 4.843264 0.3735680.34% 4.843465 0.3749640.33% 4.843858 0.3763340.33% 4.891256 0.3776870.33% 4.891449 0.3790320.33% 4.891836 0.3803600.33% 4.937926 0.3816660.32% 4.938105 0.3829520.32% 4.938468 0.3842160.31% 4.982300 0.3854580.31% 4.982469 0.3866750.30% 4.982806 0.3878700.30% 5.024049 0.3890460.30% 5.024225 0.390200

Page 848: Ch 6 Credit Derivatives

0.29% 5.024551 0.3913350.29% 5.063361 0.392451 0.392451 - 0.00

Page 849: Ch 6 Credit Derivatives

0 20 40 60 80 100 1200.0000%

0.2000%

0.4000%

0.6000%

0.8000%

1.0000%

1.2000%

1.4000%

1.6000%

1.8000%

2.0000%Estimating monthly forward default curve

Page 850: Ch 6 Credit Derivatives
Page 851: Ch 6 Credit Derivatives
Page 852: Ch 6 Credit Derivatives
Page 853: Ch 6 Credit Derivatives

0 20 40 60 80 100 1200.0000%

0.2000%

0.4000%

0.6000%

0.8000%

1.0000%

1.2000%

1.4000%

1.6000%

1.8000%

2.0000%Estimating monthly forward default curve

Page 854: Ch 6 Credit Derivatives
Page 855: Ch 6 Credit Derivatives
Page 856: Ch 6 Credit Derivatives
Page 857: Ch 6 Credit Derivatives

Given a set of CDS prices

Fitting a NS curve

N-S curve: b0 + b1 * exp{-t/tau} + b2 * (t/tau) * exp{-t/tau}

Sum of squares 61066.18

EstimatedYears CDS margins CDS margins Error

0.12 0.928% 0.83% 9.780.25 1.855% 1.62% 23.630.50 2.728% 2.30% 42.460.75 2.799% 2.93% -13.491.00 2.964% 3.51% -54.621.25 3.256% 3.97% -71.421.50 3.662% 4.39% -73.061.75 4.122% 4.76% -64.152.00 4.572% 5.09% -51.602.25 5.026% 5.37% -34.672.50 5.508% 5.62% -11.542.75 5.969% 5.84% 12.503.00 6.362% 6.04% 32.263.25 6.660% 6.21% 44.873.50 6.881% 6.36% 52.043.75 7.040% 6.50% 54.294.00 7.151% 6.62% 53.234.25 7.229% 6.72% 50.454.50 7.289% 6.82% 46.944.75 7.346% 6.91% 43.825.00 7.414% 6.99% 42.475.25 7.481% 7.06% 42.225.50 7.527% 7.12% 40.565.75 7.557% 7.18% 37.686.00 7.575% 7.24% 33.986.25 7.586% 7.28% 30.356.50 7.594% 7.32% 27.156.75 7.603% 7.36% 24.007.00 7.619% 7.41% 21.38

Page 858: Ch 6 Credit Derivatives

7.25 7.637% 7.44% 20.187.50 7.654% 7.47% 18.667.75 7.669% 7.50% 17.208.00 7.682% 7.52% 15.808.25 7.693% 7.55% 14.458.50 7.704% 7.57% 13.268.75 7.713% 7.59% 12.049.00 7.721% 7.61% 10.809.25 7.729% 7.63% 9.819.50 7.736% 7.65% 8.909.75 7.744% 7.66% 8.01

10.00 7.751% 7.68% 7.1710.25 7.757% 7.69% 6.5010.50 7.763% 7.70% 5.8010.75 7.767% 7.72% 5.0211.00 7.771% 7.73% 4.1811.25 7.773% 7.74% 3.4111.50 7.775% 7.75% 2.6411.75 7.776% 7.76% 1.8112.00 7.777% 7.77% 0.9912.25 7.776% 7.77% 0.2712.50 7.776% 7.78% -0.5412.75 7.775% 7.79% -1.3413.00 7.774% 7.80% -2.1113.25 7.773% 7.80% -2.8613.50 7.772% 7.81% -3.5713.75 7.771% 7.81% -4.2314.00 7.770% 7.82% -4.8514.25 7.769% 7.82% -5.4114.50 7.769% 7.83% -5.8914.75 7.769% 7.83% -6.3115.00 7.770% 7.84% -6.6815.25 7.771% 7.84% -6.9515.50 7.772% 7.84% -7.2015.75 7.773% 7.85% -7.4416.00 7.774% 7.85% -7.6616.25 7.775% 7.85% -7.8516.50 7.776% 7.86% -8.0216.75 7.777% 7.86% -8.1917.00 7.778% 7.86% -8.3517.25 7.780% 7.86% -8.4717.50 7.781% 7.87% -8.5617.75 7.782% 7.87% -8.6718.00 7.783% 7.87% -8.80

Page 859: Ch 6 Credit Derivatives

18.25 7.784% 7.87% -8.8718.50 7.785% 7.87% -8.9518.75 7.786% 7.88% -9.0319.00 7.787% 7.88% -9.1019.25 7.788% 7.88% -9.1619.50 7.788% 7.88% -9.2219.75 7.789% 7.88% -9.2720.00 7.790% 7.88% -9.3320.25 7.791% 7.88% -9.3720.50 7.791% 7.89% -9.4120.75 7.792% 7.89% -9.4621.00 7.793% 7.89% -9.5121.25 7.793% 7.89% -9.5521.50 7.794% 7.89% -9.5821.75 7.794% 7.89% -9.6222.00 7.795% 7.89% -9.6722.25 7.795% 7.89% -9.7022.50 7.795% 7.89% -9.7322.75 7.796% 7.89% -9.7723.00 7.796% 7.89% -9.8023.25 7.796% 7.89% -9.8323.50 7.797% 7.90% -9.8623.75 7.797% 7.90% -9.8924.00 7.797% 7.90% -9.9224.25 7.797% 7.90% -9.9524.50 7.798% 7.90% -9.9824.75 7.798% 7.90% -10.0125.00 7.798% 7.90% -10.0425.25 7.798% 7.90% -10.0625.50 7.798% 7.90% -10.0925.75 7.798% 7.90% -10.1126.00 7.798% 7.90% -10.1426.25 7.798% 7.90% -10.1626.50 7.799% 7.90% -10.1826.75 7.799% 7.90% -10.2027.00 7.799% 7.90% -10.2227.25 7.799% 7.90% -10.2427.50 7.799% 7.90% -10.2627.75 7.799% 7.90% -10.2728.00 7.799% 7.90% -10.2928.25 7.799% 7.90% -10.3028.50 7.799% 7.90% -10.3128.75 7.799% 7.90% -10.3229.00 7.799% 7.90% -10.33

Page 860: Ch 6 Credit Derivatives

29.25 7.800% 7.90% -10.3329.50 7.800% 7.90% -10.3329.75 7.800% 7.90% -10.3330.00 7.800% 7.90% -10.32

Page 861: Ch 6 Credit Derivatives

6.13: Estimating forward default probability curve by fitting a Nelson-Siegel curve

Recovery rate

b0 + b1 * exp{-t/tau} + b2 * (t/tau) * exp{-t/tau}

Forwarddefault Daycount

probabilities (Act/360)

6-Feb-08 6-Feb-080.118 20-Mar-08 0.16530% 20-Mar-08 0.119

3 20-Jun-08 0.84792% 20-Jun-08 0.3756 22-Sep-08 1.43873% 22-Sep-08 0.6369 22-Dec-08 1.92635% 22-Dec-08 0.889

12 20-Mar-09 2.32749% 20-Mar-09 1.13315 22-Jun-09 2.65653% 22-Jun-09 1.39418 21-Sep-09 2.92572% 21-Sep-09 1.64721 21-Dec-09 3.14543% 21-Dec-09 1.90024 22-Mar-10 3.32435% 22-Mar-10 2.15327 21-Jun-10 3.46978% 21-Jun-10 2.40630 20-Sep-10 3.58777% 20-Sep-10 2.65833 20-Dec-10 3.68334% 20-Dec-10 2.91136 21-Mar-11 3.76063% 21-Mar-11 3.16439 20-Jun-11 3.82305% 20-Jun-11 3.41742 20-Sep-11 3.87339% 20-Sep-11 3.67245 20-Dec-11 3.91394% 20-Dec-11 3.92548 20-Mar-12 3.94656% 20-Mar-12 4.17851 20-Jun-12 3.97279% 20-Jun-12 4.43354 20-Sep-12 3.99384% 20-Sep-12 4.68957 20-Dec-12 4.01073% 20-Dec-12 4.94260 20-Mar-13 4.02427% 20-Mar-13 5.19263 20-Jun-13 4.03511% 20-Jun-13 5.44766 20-Sep-13 4.04378% 20-Sep-13 5.70369 20-Dec-13 4.05072% 20-Dec-13 5.95672 20-Mar-14 4.05626% 20-Mar-14 6.20675 20-Jun-14 4.06068% 20-Jun-14 6.46178 22-Sep-14 4.06421% 22-Sep-14 6.72281 22-Dec-14 4.06702% 22-Dec-14 6.97584 20-Mar-15 4.06927% 20-Mar-15 7.219

Page 862: Ch 6 Credit Derivatives

87 22-Jun-15 4.07105% 22-Jun-15 7.48190 21-Sep-15 4.07248% 21-Sep-15 7.73393 21-Dec-15 4.07361% 21-Dec-15 7.98696 21-Mar-16 4.07451% 21-Mar-16 8.23999 20-Jun-16 4.07523% 20-Jun-16 8.492

102 20-Sep-16 4.07579% 20-Sep-16 8.747105 20-Dec-16 4.07625% 20-Dec-16 9.000108 20-Mar-17 4.07660% 20-Mar-17 9.250111 20-Jun-17 4.07689% 20-Jun-17 9.506114 20-Sep-17 4.07711% 20-Sep-17 9.761117 20-Dec-17 4.07729% 20-Dec-17 10.014120 20-Mar-18 4.07744% 20-Mar-18 10.264123 20-Jun-18 4.07755% 20-Jun-18 10.519126 20-Sep-18 4.07764% 20-Sep-18 10.775129 20-Dec-18 4.07771% 20-Dec-18 11.028132 20-Mar-19 4.07776% 20-Mar-19 11.278135 20-Jun-19 4.07781% 20-Jun-19 11.533138 20-Sep-19 4.07784% 20-Sep-19 11.789141 20-Dec-19 4.07787% 20-Dec-19 12.042144 20-Mar-20 4.07789% 20-Mar-20 12.294147 22-Jun-20 4.07791% 22-Jun-20 12.556150 21-Sep-20 4.07792% 21-Sep-20 12.808153 21-Dec-20 4.07793% 21-Dec-20 13.061156 22-Mar-21 4.07794% 22-Mar-21 13.314159 21-Jun-21 4.07795% 21-Jun-21 13.567162 20-Sep-21 4.07795% 20-Sep-21 13.819165 20-Dec-21 4.07796% 20-Dec-21 14.072168 21-Mar-22 4.07796% 21-Mar-22 14.325171 20-Jun-22 4.07797% 20-Jun-22 14.578174 20-Sep-22 4.07797% 20-Sep-22 14.833177 20-Dec-22 4.07797% 20-Dec-22 15.086180 20-Mar-23 4.07797% 20-Mar-23 15.336183 20-Jun-23 4.07797% 20-Jun-23 15.592186 20-Sep-23 4.07797% 20-Sep-23 15.847189 20-Dec-23 4.07797% 20-Dec-23 16.100192 20-Mar-24 4.07797% 20-Mar-24 16.353195 20-Jun-24 4.07797% 20-Jun-24 16.608198 20-Sep-24 4.07797% 20-Sep-24 16.864201 20-Dec-24 4.07797% 20-Dec-24 17.117204 20-Mar-25 4.07797% 20-Mar-25 17.367207 20-Jun-25 4.07797% 20-Jun-25 17.622210 22-Sep-25 4.07797% 22-Sep-25 17.883213 22-Dec-25 4.07797% 22-Dec-25 18.136216 20-Mar-26 4.07797% 20-Mar-26 18.381

Page 863: Ch 6 Credit Derivatives

219 22-Jun-26 4.07797% 22-Jun-26 18.642222 21-Sep-26 4.07797% 21-Sep-26 18.894225 21-Dec-26 4.07797% 21-Dec-26 19.147228 22-Mar-27 4.07797% 22-Mar-27 19.400231 21-Jun-27 4.07797% 21-Jun-27 19.653234 20-Sep-27 4.07797% 20-Sep-27 19.906237 20-Dec-27 4.07797% 20-Dec-27 20.158240 20-Mar-28 4.07797% 20-Mar-28 20.411243 20-Jun-28 4.07797% 20-Jun-28 20.667246 20-Sep-28 4.07797% 20-Sep-28 20.922249 20-Dec-28 4.07797% 20-Dec-28 21.175252 20-Mar-29 4.07797% 20-Mar-29 21.425255 20-Jun-29 4.07797% 20-Jun-29 21.681258 20-Sep-29 4.07797% 20-Sep-29 21.936261 20-Dec-29 4.07797% 20-Dec-29 22.189264 20-Mar-30 4.07797% 20-Mar-30 22.439267 20-Jun-30 4.07797% 20-Jun-30 22.694270 20-Sep-30 4.07797% 20-Sep-30 22.950273 20-Dec-30 4.07797% 20-Dec-30 23.203276 20-Mar-31 4.07797% 20-Mar-31 23.453279 20-Jun-31 4.07797% 20-Jun-31 23.708282 22-Sep-31 4.07797% 22-Sep-31 23.969285 22-Dec-31 4.07797% 22-Dec-31 24.222288 22-Mar-32 4.07797% 22-Mar-32 24.475291 21-Jun-32 4.07797% 21-Jun-32 24.728294 20-Sep-32 4.07797% 20-Sep-32 24.981297 20-Dec-32 4.07797% 20-Dec-32 25.233300 21-Mar-33 4.07797% 21-Mar-33 25.486303 20-Jun-33 4.07797% 20-Jun-33 25.739306 20-Sep-33 4.07797% 20-Sep-33 25.994309 20-Dec-33 4.07797% 20-Dec-33 26.247312 20-Mar-34 4.07797% 20-Mar-34 26.497315 20-Jun-34 4.07797% 20-Jun-34 26.753318 20-Sep-34 4.07797% 20-Sep-34 27.008321 20-Dec-34 4.07797% 20-Dec-34 27.261324 20-Mar-35 4.07797% 20-Mar-35 27.511327 20-Jun-35 4.07797% 20-Jun-35 27.767330 20-Sep-35 4.07797% 20-Sep-35 28.022333 20-Dec-35 4.07797% 20-Dec-35 28.275336 20-Mar-36 4.07797% 20-Mar-36 28.528339 20-Jun-36 4.07797% 20-Jun-36 28.783342 22-Sep-36 4.07797% 22-Sep-36 29.044345 22-Dec-36 4.07797% 22-Dec-36 29.297348 20-Mar-37 4.07797% 20-Mar-37 29.542

Page 864: Ch 6 Credit Derivatives

351 22-Jun-37 4.07797% 22-Jun-37 29.803354 21-Sep-37 4.07797% 21-Sep-37 30.056357 21-Dec-37 4.07797% 21-Dec-37 30.308

Page 865: Ch 6 Credit Derivatives

6.13: Estimating forward default probability curve by fitting a Nelson-Siegel curve

40% N-S parametersb0 4.078%b1 -3.943%b2 -0.827%tau 1.00

IBOR DFs Daycount Survival Hazard Premiumz-c rates (Act/360)

1 100.00%3.17% 0.996224 0.119 99.83% 0.17% 0.1189933.10% 0.988428 0.256 98.99% 0.85% 0.3711743.01% 0.981015 0.261 97.56% 1.42% 0.6247372.90% 0.974509 0.253 95.68% 1.88% 0.8650702.82% 0.968514 0.244 93.46% 2.23% 1.0916012.77% 0.962150 0.261 90.97% 2.48% 1.3263932.74% 0.955837 0.253 88.31% 2.66% 1.5462012.75% 0.949178 0.253 85.54% 2.78% 1.7580922.78% 0.941995 0.253 82.69% 2.84% 1.9617652.83% 0.934209 0.253 79.82% 2.87% 2.1570392.89% 0.925984 0.253 76.96% 2.86% 2.3438782.96% 0.917454 0.253 74.12% 2.83% 2.5223553.02% 0.908738 0.253 71.34% 2.79% 2.6926243.09% 0.899900 0.253 68.61% 2.73% 2.8548973.15% 0.890827 0.256 65.95% 2.66% 3.0110903.21% 0.881706 0.253 63.37% 2.58% 3.1580813.27% 0.872423 0.253 60.87% 2.50% 3.2978313.33% 0.862876 0.256 58.45% 2.42% 3.4320563.39% 0.853185 0.256 56.12% 2.33% 3.5595013.44% 0.843476 0.253 53.87% 2.25% 3.6791493.50% 0.833768 0.250 51.70% 2.17% 3.7914293.56% 0.823763 0.256 49.61% 2.09% 3.9002633.61% 0.813719 0.256 47.61% 2.01% 4.0034323.67% 0.803786 0.253 45.68% 1.93% 4.1001583.72% 0.793997 0.250 43.82% 1.85% 4.1908283.77% 0.784055 0.256 42.05% 1.78% 4.2786403.81% 0.773970 0.261 40.34% 1.71% 4.3636103.85% 0.764288 0.253 38.70% 1.64% 4.4415393.89% 0.755006 0.244 37.12% 1.57% 4.512955

Page 866: Ch 6 Credit Derivatives

3.93% 0.745171 0.261 35.61% 1.51% 4.5851833.97% 0.735697 0.253 34.16% 1.45% 4.6514064.01% 0.726241 0.253 32.77% 1.39% 4.7141164.04% 0.716774 0.253 31.43% 1.34% 4.7734884.08% 0.707298 0.253 30.15% 1.28% 4.8296874.11% 0.697746 0.256 28.92% 1.23% 4.8834524.15% 0.688359 0.253 27.74% 1.18% 4.9337804.18% 0.679169 0.250 26.61% 1.13% 4.9808874.21% 0.669886 0.256 25.53% 1.08% 5.0264474.25% 0.660717 0.256 24.49% 1.04% 5.0695524.27% 0.651760 0.253 23.49% 1.00% 5.1098954.30% 0.643010 0.250 22.53% 0.96% 5.1476554.33% 0.634176 0.256 21.61% 0.92% 5.1841714.36% 0.625451 0.256 20.73% 0.88% 5.2187164.38% 0.616923 0.253 19.89% 0.85% 5.2510454.40% 0.608585 0.250 19.08% 0.81% 5.2813014.43% 0.600159 0.256 18.30% 0.78% 5.3105574.45% 0.591828 0.256 17.55% 0.75% 5.3382314.47% 0.583677 0.253 16.84% 0.72% 5.3641264.49% 0.575613 0.253 16.15% 0.69% 5.3886214.51% 0.567374 0.261 15.49% 0.66% 5.4125454.53% 0.559491 0.253 14.86% 0.63% 5.4344534.55% 0.551705 0.253 14.25% 0.61% 5.4551754.57% 0.544015 0.253 13.67% 0.58% 5.4747744.59% 0.536428 0.253 13.11% 0.56% 5.4933124.61% 0.528947 0.253 12.58% 0.53% 5.5108474.63% 0.521573 0.253 12.07% 0.51% 5.5274314.64% 0.514308 0.253 11.57% 0.49% 5.5431184.66% 0.507157 0.253 11.10% 0.47% 5.5579564.67% 0.500042 0.256 10.65% 0.45% 5.5721434.69% 0.493122 0.253 10.22% 0.43% 5.5854184.70% 0.486392 0.250 9.80% 0.42% 5.5978394.71% 0.479632 0.256 9.40% 0.40% 5.6098494.72% 0.472988 0.256 9.02% 0.38% 5.6212104.74% 0.466528 0.253 8.65% 0.37% 5.6318424.75% 0.460177 0.253 8.30% 0.35% 5.6419024.76% 0.453864 0.256 7.96% 0.34% 5.6515244.77% 0.447657 0.256 7.63% 0.32% 5.6606274.77% 0.441619 0.253 7.32% 0.31% 5.6691474.78% 0.435743 0.250 7.02% 0.30% 5.6771234.79% 0.429835 0.256 6.74% 0.29% 5.6848374.80% 0.423898 0.261 6.46% 0.27% 5.6922934.81% 0.418245 0.253 6.20% 0.26% 5.6991254.81% 0.412862 0.244 5.95% 0.25% 5.705380

Page 867: Ch 6 Credit Derivatives

4.82% 0.407204 0.261 5.70% 0.24% 5.7117014.83% 0.401815 0.253 5.47% 0.23% 5.7174944.83% 0.396510 0.253 5.25% 0.22% 5.7229774.84% 0.391285 0.253 5.03% 0.21% 5.7281674.84% 0.386142 0.253 4.83% 0.21% 5.7330804.85% 0.381078 0.253 4.63% 0.20% 5.7377314.85% 0.376091 0.253 4.44% 0.19% 5.7421334.86% 0.371178 0.253 4.26% 0.18% 5.7463014.86% 0.366287 0.256 4.09% 0.17% 5.7502904.86% 0.361471 0.256 3.92% 0.17% 5.7540664.87% 0.356780 0.253 3.76% 0.16% 5.7576024.87% 0.352210 0.250 3.61% 0.15% 5.7609134.87% 0.347610 0.256 3.46% 0.15% 5.7641184.88% 0.343082 0.256 3.32% 0.14% 5.7671524.88% 0.338672 0.253 3.18% 0.14% 5.7699944.88% 0.334377 0.250 3.05% 0.13% 5.7726554.88% 0.330054 0.256 2.93% 0.12% 5.7752314.89% 0.325800 0.256 2.81% 0.12% 5.7776704.89% 0.321657 0.253 2.70% 0.11% 5.7799554.89% 0.317622 0.250 2.59% 0.11% 5.7820954.89% 0.313563 0.256 2.48% 0.11% 5.7841674.89% 0.309481 0.261 2.38% 0.10% 5.7861714.89% 0.305593 0.253 2.28% 0.10% 5.7880094.90% 0.301765 0.253 2.19% 0.09% 5.7897504.90% 0.297998 0.253 2.10% 0.09% 5.7913994.90% 0.294290 0.253 2.01% 0.09% 5.7929604.90% 0.290640 0.253 1.93% 0.08% 5.7944404.90% 0.287047 0.253 1.85% 0.08% 5.7958424.90% 0.283511 0.253 1.78% 0.08% 5.7971704.90% 0.279992 0.256 1.71% 0.07% 5.7984424.90% 0.276564 0.253 1.64% 0.07% 5.7996344.90% 0.273224 0.250 1.57% 0.07% 5.8007514.90% 0.269861 0.256 1.50% 0.06% 5.8018334.90% 0.266548 0.256 1.44% 0.06% 5.8028584.89% 0.263318 0.253 1.38% 0.06% 5.8038194.89% 0.260168 0.250 1.33% 0.06% 5.8047194.89% 0.256994 0.256 1.27% 0.05% 5.8055914.89% 0.253864 0.256 1.22% 0.05% 5.8064184.89% 0.250810 0.253 1.17% 0.05% 5.8071934.89% 0.247797 0.253 1.12% 0.05% 5.8079274.89% 0.244792 0.256 1.08% 0.05% 5.8086304.89% 0.241762 0.261 1.03% 0.04% 5.8093114.89% 0.238867 0.253 0.99% 0.04% 5.8099364.89% 0.236102 0.244 0.95% 0.04% 5.810509

Page 868: Ch 6 Credit Derivatives

4.89% 0.233186 0.261 0.91% 0.04% 5.8110884.88% 0.230398 0.253 0.88% 0.04% 5.8116204.88% 0.227645 0.253 0.84% 0.04% 5.812124

Page 869: Ch 6 Credit Derivatives

0.135%

Payment Margin

0.000988 0.83%0.006008 1.62%0.014391 2.30%0.025380 2.93%0.038322 3.51%0.052654 3.97%0.067919 4.39%0.083739 4.76%0.099810 5.09%0.115893 5.37%0.131804 5.62%0.147408 5.84%0.162607 6.04%0.177333 6.21%0.191537 6.36%0.205193 6.50%0.218284 6.62%0.230804 6.72%0.242754 6.82%0.254144 6.91%0.264989 6.99%0.275299 7.06%0.285094 7.12%0.294394 7.18%0.303221 7.24%0.311593 7.28%0.319528 7.32%0.327051 7.36%0.334184 7.41%

0.00 5.00 10.00 15.00 20.00 25.00 30.000.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

Market CDS prices

NS CDS prices

Page 870: Ch 6 Credit Derivatives

0.340941 7.44%0.347343 7.47%0.353406 7.50%0.359148 7.52%0.364585 7.55%0.369729 7.57%0.374599 7.59%0.379208 7.61%0.383569 7.63%0.387695 7.65%0.391599 7.66%0.395294 7.68%0.398790 7.69%0.402097 7.70%0.405227 7.72%0.408188 7.73%0.410989 7.74%0.413638 7.75%0.416144 7.76%0.418516 7.77%0.420757 7.77%0.422878 7.78%0.424884 7.79%0.426781 7.80%0.428575 7.80%0.430272 7.81%0.431878 7.81%0.433396 7.82%0.434832 7.82%0.436191 7.83%0.437476 7.83%0.438691 7.84%0.439841 7.84%0.440929 7.84%0.441958 7.85%0.442932 7.85%0.443853 7.85%0.444725 7.86%0.445549 7.86%0.446330 7.86%0.447069 7.86%0.447767 7.87%0.448428 7.87%0.449055 7.87%

Page 871: Ch 6 Credit Derivatives

0.449647 7.87%0.450208 7.87%0.450738 7.88%0.451241 7.88%0.451716 7.88%0.452167 7.88%0.452593 7.88%0.452996 7.88%0.453378 7.88%0.453740 7.89%0.454082 7.89%0.454406 7.89%0.454713 7.89%0.455003 7.89%0.455278 7.89%0.455539 7.89%0.455785 7.89%0.456019 7.89%0.456240 7.89%0.456450 7.89%0.456648 7.89%0.456836 7.90%0.457014 7.90%0.457182 7.90%0.457342 7.90%0.457493 7.90%0.457636 7.90%0.457772 7.90%0.457900 7.90%0.458022 7.90%0.458137 7.90%0.458247 7.90%0.458350 7.90%0.458449 7.90%0.458542 7.90%0.458630 7.90%0.458713 7.90%0.458792 7.90%0.458867 7.90%0.458938 7.90%0.459006 7.90%0.459070 7.90%0.459130 7.90%0.459187 7.90%

Page 872: Ch 6 Credit Derivatives

0.459242 7.90%0.459293 7.90%0.459342 7.90%

Page 873: Ch 6 Credit Derivatives

0.00 5.00 10.00 15.00 20.00 25.00 30.000.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

Market CDS prices

NS CDS prices

Page 874: Ch 6 Credit Derivatives
Page 875: Ch 6 Credit Derivatives
Page 876: Ch 6 Credit Derivatives
Page 877: Ch 6 Credit Derivatives

0.00 5.00 10.00 15.00 20.00 25.00 30.000.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

9.00%

Market CDS prices

NS CDS prices

Page 878: Ch 6 Credit Derivatives
Page 879: Ch 6 Credit Derivatives
Page 880: Ch 6 Credit Derivatives
Page 881: Ch 6 Credit Derivatives

6.14: Modelling a 3 year knock-out forward starting CDS

MaturityPrincipalTo payRecovery rateValue of SwapProbability of Knock-out

Forwarddefault

probabilities DFs d

[1]

6-Feb-08 120-Mar-08 0.1848% 0.996224 0.11920-Jun-08 0.9764% 0.988428 0.25622-Sep-08 1.7443% 0.981015 0.26122-Dec-08 1.2570% 0.974509 0.25320-Mar-09 1.4640% 0.968514 0.24422-Jun-09 1.9989% 0.962150 0.26121-Sep-09 2.5594% 0.955837 0.25321-Dec-09 3.1240% 0.949178 0.25322-Mar-10 3.5371% 0.941995 0.25321-Jun-10 4.0174% 0.934209 0.25320-Sep-10 4.6514% 0.925984 0.25320-Dec-10 5.0821% 0.917454 0.25321-Mar-11 5.1802% 0.908738 0.25320-Jun-11 4.9653% 0.899900 0.25320-Sep-11 4.7313% 0.890827 0.25620-Dec-11 4.4077% 0.881706 0.25320-Mar-12 4.1283% 0.872423 0.25320-Jun-12 3.9413% 0.862876 0.25620-Sep-12 3.8281% 0.853185 0.25620-Dec-12 3.8380% 0.843476 0.25320-Mar-13 4.0587% 0.833768 0.250

Page 882: Ch 6 Credit Derivatives

3 yrs100 m USD

1056.1 bp pa.40%

0.000015.68%

Survival Hazard Premium CFs Payment CFs

[2] [3] [4] [5]

100.00%99.82% 0.18%98.84% 0.97%97.12% 1.72%95.90% 1.22%94.49% 1.40%92.60% 1.89%90.23% 2.37%87.41% 2.82%84.32% 3.09%80.93% 3.39% -2,251,059.30 2,032,558.0077.17% 3.76% -2,160,624.30 2,258,749.2873.25% 3.92% -2,060,125.33 2,353,136.7169.45% 3.79% -1,955,426.76 2,276,628.5666.01% 3.45% -1,854,132.28 2,069,147.1962.88% 3.12% -1,781,432.71 1,873,725.8560.11% 2.77% -1,678,701.26 1,662,982.1157.63% 2.48% -1,604,709.87 1,488,921.5255.36% 2.27% -1,555,369.19 1,362,787.1553.24% 2.12% -1,494,068.12 1,271,503.0651.20% 2.04% -1,421,255.01 1,225,993.5849.12% 2.08% -1,351,687.89 1,246,718.79

PV => -18,848,887 18,848,887

Page 883: Ch 6 Credit Derivatives

6.15: Modelling a 3 year no-knock-out forward starting CDS

MaturityPrincipalTo payRecovery rateValue of Swap

Forwarddefault

probabilities DFs d

[1]

6-Feb-08 120-Mar-08 0.1848% 0.996224 0.11920-Jun-08 0.9764% 0.988428 0.25622-Sep-08 1.7443% 0.981015 0.26122-Dec-08 1.2570% 0.974509 0.25320-Mar-09 1.4640% 0.968514 0.24422-Jun-09 1.9989% 0.962150 0.26121-Sep-09 2.5594% 0.955837 0.25321-Dec-09 3.1240% 0.949178 0.25322-Mar-10 3.5371% 0.941995 0.25321-Jun-10 4.0174% 0.934209 0.25320-Sep-10 4.6514% 0.925984 0.25320-Dec-10 5.0821% 0.917454 0.25321-Mar-11 5.1802% 0.908738 0.25320-Jun-11 4.9653% 0.899900 0.25320-Sep-11 4.7313% 0.890827 0.25620-Dec-11 4.4077% 0.881706 0.25320-Mar-12 4.1283% 0.872423 0.25320-Jun-12 3.9413% 0.862876 0.25620-Sep-12 3.8281% 0.853185 0.25620-Dec-12 3.8380% 0.843476 0.25320-Mar-13 4.0587% 0.833768 0.250

Page 884: Ch 6 Credit Derivatives

3 yrs100 m USD

854.2 bp pa.40%

0.0000

Hazard Survival Premium CFs Payment CFs

[3] [2] [4] [5]

0.18%0.97%1.72%1.22%1.40%1.89%2.37%2.82%3.09% 100.00%3.39% 96.61% -2,159,258.25 2,032,558.003.76% 92.85% -2,086,111.28 2,258,749.283.92% 88.93% -2,004,824.23 2,353,136.713.79% 85.13% -1,920,140.40 2,276,628.563.45% 81.68% -1,838,209.92 2,069,147.193.12% 78.56% -1,783,128.03 1,873,725.852.77% 75.79% -1,696,315.24 1,662,982.112.48% 73.31% -1,636,468.44 1,488,921.522.27% 71.04% -1,600,280.02 1,362,787.152.12% 68.92% -1,550,697.59 1,271,503.062.04% 66.87% -1,488,083.79 1,225,993.582.08% 64.80% -1,428,095.45 1,246,718.79

PV => -18,848,887 18,848,887

Page 885: Ch 6 Credit Derivatives

6.16: Pricing a Floating Credit default swap

Maturity 3Principal 100Credit rating A

Recovery rate 40%Value of Swap 0.0000Margin on Floating side 0.00

Forwarddefault

probabilities DFs d Survival

6-Feb-08 1 100.00%20-Mar-08 0.18477% 0.996224 0.119 99.82%20-Jun-08 0.97642% 0.988428 0.256 98.84%22-Sep-08 1.74430% 0.981015 0.261 97.12%22-Dec-08 1.25703% 0.974509 0.253 95.90%20-Mar-09 1.46397% 0.968514 0.244 94.49%22-Jun-09 1.99885% 0.962150 0.261 92.60%21-Sep-09 2.55938% 0.955837 0.253 90.23%21-Dec-09 3.12403% 0.949178 0.253 87.41%22-Mar-10 3.53710% 0.941995 0.253 84.32%21-Jun-10 4.01744% 0.934209 0.253 80.93%20-Sep-10 4.65139% 0.925984 0.253 77.17%20-Dec-10 5.08215% 0.917454 0.253 73.25%21-Mar-11 5.18017% 0.908738 0.253 69.45%20-Jun-11 4.96529% 0.899900 0.253 66.01%20-Sep-11 4.73126% 0.890827 0.256 62.88%20-Dec-11 4.40766% 0.881706 0.253 60.11%20-Mar-12 4.12828% 0.872423 0.253 57.63%20-Jun-12 3.94126% 0.862876 0.256 55.36%20-Sep-12 3.82813% 0.853185 0.256 53.24%20-Dec-12 3.83804% 0.843476 0.253 51.20%20-Mar-13 4.05870% 0.833768 0.250 49.12%

Page 886: Ch 6 Credit Derivatives

yrsm USD

bp pa.

Pay CFs Receive CFsHazard Y(t) Z(t) ForwardPV => swaps (bps) -17,253,536 17,253,536

0 0 0 92.810.1848% 0.1190 0.0018 229.25 -110,859.54 110,859.540.9746% 0.3711 0.0115 400.82 -584,768.47 584,768.471.7241% 0.6243 0.0284 298.37 -1,034,444.75 1,034,444.751.2208% 0.8635 0.0403 359.34 -732,468.43 732,468.431.4039% 1.0906 0.0539 459.31 -842,330.92 842,330.921.8888% 1.3280 0.0721 607.50 -1,133,250.95 1,133,250.952.3701% 1.5517 0.0947 741.53 -1,422,037.12 1,422,037.122.8189% 1.7682 0.1215 839.57 -1,691,346.34 1,691,346.343.0919% 1.9763 0.1506 953.59 -1,855,154.38 1,855,154.383.3876% 2.1755 0.1822 1104.07 -2,032,558.00 2,032,558.003.7646% 2.3649 0.2171 1206.31 -2,258,749.28 2,258,749.283.9219% 2.5439 0.2531 1229.58 -2,353,136.71 2,353,136.713.7944% 2.7121 0.2876 -2,276,628.56 2,276,628.563.4486% 2.8701 0.31863.1229% 3.0204 0.34642.7716% 3.1605 0.37082.4815% 3.2931 0.39252.2713% 3.4202 0.41212.1192% 3.5409 0.43022.0433% 3.6544 0.44742.0779% 3.7611 0.4647

Page 887: Ch 6 Credit Derivatives

6.17: Constant Maturity Credit default swap pricing with no convexity adjustment

Maturity 3Principal 100Credit rating AConstant maturity 2Recovery rate 40%Value of Swap 0.0000Margin on CM side -215.16

Forwarddefault

probabilities DFs d Survival

6-Feb-08 1 100.00%20-Mar-08 0.18477% 0.996224 0.119 99.82%20-Jun-08 0.97642% 0.988428 0.256 98.84%22-Sep-08 1.74430% 0.981015 0.261 97.12%22-Dec-08 1.25703% 0.974509 0.253 95.90%20-Mar-09 1.46397% 0.968514 0.244 94.49%22-Jun-09 1.99885% 0.962150 0.261 92.60%21-Sep-09 2.55938% 0.955837 0.253 90.23%21-Dec-09 3.12403% 0.949178 0.253 87.41%22-Mar-10 3.53710% 0.941995 0.253 84.32%21-Jun-10 4.01744% 0.934209 0.253 80.93%20-Sep-10 4.65139% 0.925984 0.253 77.17%20-Dec-10 5.08215% 0.917454 0.253 73.25%21-Mar-11 5.18017% 0.908738 0.253 69.45%20-Jun-11 4.96529% 0.899900 0.253 66.01%20-Sep-11 4.73126% 0.890827 0.256 62.88%20-Dec-11 4.40766% 0.881706 0.253 60.11%20-Mar-12 4.12828% 0.872423 0.253 57.63%20-Jun-12 3.94126% 0.862876 0.256 55.36%20-Sep-12 3.82813% 0.853185 0.256 53.24%20-Dec-12 3.83804% 0.843476 0.253 51.20%20-Mar-13 4.05870% 0.833768 0.250 49.12%

Page 888: Ch 6 Credit Derivatives

6.17: Constant Maturity Credit default swap pricing with no convexity adjustment

yrsm USD

yrs ==> 8 periods

bp pa.

Pay CFs Receive CFsHazard Y(t) Z(t) ForwardPV => swaps (bps) -17,253,536 17,253,536

0 0 0 412.16100.1848% 0.1190 0.0018 480.5190 -235,304.21 110,859.540.9746% 0.3711 0.0115 567.8382 -676,881.39 584,768.471.7241% 0.6243 0.0284 650.4939 -910,199.98 1,034,444.751.2208% 0.8635 0.0403 759.8238 -1,068,691.96 732,468.431.4039% 1.0906 0.0539 864.6377 -1,276,751.78 842,330.921.8888% 1.3280 0.0721 959.1925 -1,602,443.25 1,133,250.952.3701% 1.5517 0.0947 1028.2829 -1,741,627.30 1,422,037.122.8189% 1.7682 0.1215 1074.6755 -1,854,640.21 1,691,346.343.0919% 1.9763 0.1506 1102.2977 -1,899,211.42 1,855,154.383.3876% 2.1755 0.1822 1108.0206 -1,890,910.57 2,032,558.003.7646% 2.3649 0.2171 1087.1814 -1,826,652.47 2,258,749.283.9219% 2.5439 0.2531 1049.9753 -1,701,037.22 2,353,136.713.7944% 2.7121 0.2876 -1,545,698.89 2,276,628.563.4486% 2.8701 0.31863.1229% 3.0204 0.34642.7716% 3.1605 0.37082.4815% 3.2931 0.39252.2713% 3.4202 0.41212.1192% 3.5409 0.43022.0433% 3.6544 0.44742.0779% 3.7611 0.4647

Page 889: Ch 6 Credit Derivatives

6.18: Estimated volatilities and correlations for convexity adjustment

AssumeTurn On/Off? y Lambda 95%Volatility 2.50% 0 1 2

0 0.119 0.3750 0 100% 100.0% 100% 89% 70%1 0.12 97.5% 97.5% 89% 100% 78%2 0.38 95.0% 95.0% 70% 78% 100%3 0.64 92.5% 92.5% 55% 61% 78%4 0.89 90.0% 90.0% 43% 48% 61%5 1.13 87.5% 87.5% 34% 38% 49%6 1.39 85.0% 85.0% 27% 30% 38%7 1.65 82.5% 82.5% 21% 23% 30%8 1.90 80.0% 80.0% 16% 18% 23%9 2.15 77.5% 77.5% 13% 14% 18%

10 2.41 75.0% 75.0% 10% 11% 15%11 2.66 72.5% 72.5% 8% 9% 11%12 2.91 70.0% 70.0% 6% 7% 9%13 3.16 67.5% 67.5% 5% 6% 7%14 3.42 65.0% 65.0% 4% 4% 6%15 3.67 62.5% 62.5% 3% 3% 4%16 3.93 60.0% 60.0% 2% 3% 3%17 4.18 57.5% 57.5% 2% 2% 3%18 4.43 55.0% 55.0% 1% 2% 2%19 4.69 52.5% 52.5% 1% 1% 2%20 4.94 50.0% 50.0% 1% 1% 1%

Page 890: Ch 6 Credit Derivatives

1

3 4 5 6 7 8 9 10 110.636 0.889 1.133 1.394 1.647 1.900 2.153 2.406 2.65855% 43% 34% 27% 21% 16% 13% 10% 8%61% 48% 38% 30% 23% 18% 14% 11% 9%78% 61% 49% 38% 30% 23% 18% 15% 11%

100% 79% 62% 49% 38% 30% 24% 19% 15%79% 100% 79% 62% 49% 38% 30% 24% 19%62% 79% 100% 78% 61% 48% 38% 30% 23%49% 62% 78% 100% 79% 62% 49% 38% 30%38% 49% 61% 79% 100% 79% 62% 49% 38%30% 38% 48% 62% 79% 100% 79% 62% 49%24% 30% 38% 49% 62% 79% 100% 79% 62%19% 24% 30% 38% 49% 62% 79% 100% 79%15% 19% 23% 30% 38% 49% 62% 79% 100%12% 15% 18% 24% 30% 38% 49% 62% 79%9% 12% 15% 19% 24% 30% 38% 49% 62%7% 9% 11% 15% 19% 24% 30% 38% 49%6% 7% 9% 11% 15% 19% 24% 30% 38%4% 6% 7% 9% 11% 15% 19% 24% 30%3% 4% 6% 7% 9% 11% 15% 19% 24%3% 3% 4% 6% 7% 9% 11% 15% 19%2% 3% 3% 4% 6% 7% 9% 11% 15%2% 2% 3% 3% 4% 6% 7% 9% 11%

Page 891: Ch 6 Credit Derivatives

12 13 14 15 16 17 18 19 202.911 3.164 3.417 3.672 3.925 4.178 4.433 4.689 4.942

6% 5% 4% 3% 2% 2% 1% 1% 1%7% 6% 4% 3% 3% 2% 2% 1% 1%9% 7% 6% 4% 3% 3% 2% 2% 1%

12% 9% 7% 6% 4% 3% 3% 2% 2%15% 12% 9% 7% 6% 4% 3% 3% 2%18% 15% 11% 9% 7% 6% 4% 3% 3%24% 19% 15% 11% 9% 7% 6% 4% 3%30% 24% 19% 15% 11% 9% 7% 6% 4%38% 30% 24% 19% 15% 11% 9% 7% 6%49% 38% 30% 24% 19% 15% 11% 9% 7%62% 49% 38% 30% 24% 19% 15% 11% 9%79% 62% 49% 38% 30% 24% 19% 15% 11%

100% 79% 62% 49% 38% 30% 24% 18% 15%79% 100% 79% 62% 49% 38% 30% 23% 18%62% 79% 100% 78% 62% 49% 38% 30% 23%49% 62% 78% 100% 79% 62% 49% 38% 30%38% 49% 62% 79% 100% 79% 62% 48% 38%30% 38% 49% 62% 79% 100% 78% 62% 48%24% 30% 38% 49% 62% 78% 100% 78% 62%18% 23% 30% 38% 48% 62% 78% 100% 79%15% 18% 23% 30% 38% 48% 62% 79% 100%

Page 892: Ch 6 Credit Derivatives

6.19: Constant Maturity Credit default swap pricing with convexity adjustment

Maturity 3Principal 100Credit rating AConstant maturity 2Recovery rate 40%Value of Swap 0.0000Margin on CM side -262.89

Convexity yCorrelation coefficent (lambda) 95%

Forwarddefault

probabilities DFs d Survival

6-Feb-08 1 100.00%20-Mar-08 0.18477% 0.996224 0.119 99.82%20-Jun-08 0.97642% 0.988428 0.256 98.84%22-Sep-08 1.74430% 0.981015 0.261 97.12%22-Dec-08 1.25703% 0.974509 0.253 95.90%20-Mar-09 1.46397% 0.968514 0.244 94.49%22-Jun-09 1.99885% 0.962150 0.261 92.60%21-Sep-09 2.55938% 0.955837 0.253 90.23%21-Dec-09 3.12403% 0.949178 0.253 87.41%22-Mar-10 3.53710% 0.941995 0.253 84.32%21-Jun-10 4.01744% 0.934209 0.253 80.93%20-Sep-10 4.65139% 0.925984 0.253 77.17%20-Dec-10 5.08215% 0.917454 0.253 73.25%21-Mar-11 5.18017% 0.908738 0.253 69.45%20-Jun-11 4.96529% 0.899900 0.253 66.01%20-Sep-11 4.73126% 0.890827 0.256 62.88%20-Dec-11 4.40766% 0.881706 0.253 60.11%20-Mar-12 4.12828% 0.872423 0.253 57.63%20-Jun-12 3.94126% 0.862876 0.256 55.36%20-Sep-12 3.82813% 0.853185 0.256 53.24%20-Dec-12 3.83804% 0.843476 0.253 51.20%20-Mar-13 4.05870% 0.833768 0.250 49.12%

Table showing impact of correlation on the margin

-262.89

Page 893: Ch 6 Credit Derivatives

0% -306.1910% -299.4320% -293.3730% -287.9140% -282.9850% -278.5260% -274.4770% -270.7880% -267.4190% -264.33

100% -261.51

Page 894: Ch 6 Credit Derivatives

6.19: Constant Maturity Credit default swap pricing with convexity adjustment

yrsm USD

yrs ==> 8 periods

bp pa.

Forward Pay CFs Receive CFsHazard Y(t) Z(t) swaps (bps)PV => -17,253,536 17,253,536 j

0 0 0 412.1610 00.1848% 0.1190 0.0018 482.0357 -178,294.64 110,859.54 10.9746% 0.3711 0.0115 573.3671 -559,001.57 584,768.47 21.7241% 0.6243 0.0284 663.2266 -801,288.53 1,034,444.75 31.2208% 0.8635 0.0403 783.2369 -982,779.89 732,468.43 41.4039% 1.0906 0.0539 901.5651 -1,219,752.56 842,330.92 51.8888% 1.3280 0.0721 1011.5828 -1,575,792.92 1,133,250.95 62.3701% 1.5517 0.0947 1094.9729 -1,752,538.65 1,422,037.12 72.8189% 1.7682 0.1215 1154.3307 -1,897,888.41 1,691,346.34 83.0919% 1.9763 0.1506 1191.4181 -1,969,756.89 1,855,154.38 93.3876% 2.1755 0.1822 1199.6235 -1,979,135.71 2,032,558.00 103.7646% 2.3649 0.2171 1174.8726 -1,916,411.98 2,258,749.28 113.9219% 2.5439 0.2531 1151.0353 -1,778,990.92 2,353,136.71 123.7944% 2.7121 0.2876 -1,644,444.06 2,276,628.563.4486% 2.8701 0.31863.1229% 3.0204 0.34642.7716% 3.1605 0.37082.4815% 3.2931 0.39252.2713% 3.4202 0.41212.1192% 3.5409 0.43022.0433% 3.6544 0.44742.0779% 3.7611 0.4647

Table showing impact of correlation on the margin

Page 895: Ch 6 Credit Derivatives
Page 896: Ch 6 Credit Derivatives

Calculating the convexity adjustment

i ====> 0 1 2 3 4d(i) 0.119 0.256 0.261 0.253S(i) 100.00% 99.82% 98.84% 97.12% 95.90%DF(i) 1 0.99622437 0.98842844 0.98101546 0.97450909R(i) 0.93% 2.29% 4.01% 2.98%vols(i) 97.5% 95.0% 92.5% 90.0%

1-period phi(i) 0.0018 0.0092 0.0159 0.0112CDS premia

T(j)

00.119 0.93% 1 0 0.00721 0.01691 0.022290.375 2.29% 2 0 0.00000 0.01237 0.019230.636 4.01% 3 0 0.00000 0.00000 0.008790.889 2.98% 4 0 0.00000 0.00000 0.000001.133 3.59% 5 0 0.00000 0.00000 0.000001.394 4.59% 6 0 0.00000 0.00000 0.000001.647 6.08% 7 0 0.00000 0.00000 0.000001.900 7.42% 8 0 0.00000 0.00000 0.000002.153 8.40% 9 0 0.00000 0.00000 0.000002.406 9.54% 10 0 0.00000 0.00000 0.000002.658 11.04% 11 0 0.00000 0.00000 0.000002.911 12.06% 12 0 0.00000 0.00000 0.000003.164 12.30%3.417 11.79% 1 0.0011 0.0069 0.0170 0.02423.672 11.11% 2 0.0000 0.0058 0.0159 0.02313.925 10.46% 3 0.0000 0.0000 0.0101 0.01734.178 9.80% 4 0.0000 0.0000 0.0000 0.00714.433 9.25% 5 0.0000 0.0000 0.0000 0.00004.689 8.99% 6 0.0000 0.0000 0.0000 0.00004.942 9.11% 7 0.0000 0.0000 0.0000 0.0000

8 0.0000 0.0000 0.0000 0.00009 0.0000 0.0000 0.0000 0.0000

10 0.0000 0.0000 0.0000 0.000011 0.0000 0.0000 0.0000 0.000012 0.0000 0.0000 0.0000 0.0000

Page 897: Ch 6 Credit Derivatives
Page 898: Ch 6 Credit Derivatives

5 6 7 8 9 10 110.244 0.261 0.253 0.253 0.253 0.253 0.253

94.49% 92.60% 90.23% 87.41% 84.32% 80.93% 77.17%0.96851444 0.96214997 0.95583669 0.94917765 0.9419955 0.93420947 0.92598391

3.59% 4.59% 6.08% 7.42% 8.40% 9.54% 11.04%87.5% 85.0% 82.5% 80.0% 77.5% 75.0% 72.5%0.0126 0.0167 0.0206 0.0242 0.0265 0.0290 0.0322

0.02711 0.03207 0.03689 0.04136 0.04520 0.00000 0.000000.02537 0.03170 0.03785 0.04354 0.04843 0.05264 0.000000.01666 0.02476 0.03264 0.03994 0.04620 0.05160 0.056320.01001 0.02031 0.03033 0.03960 0.04757 0.05443 0.060430.00000 0.01300 0.02563 0.03733 0.04738 0.05603 0.063600.00000 0.00000 0.01619 0.03118 0.04407 0.05515 0.064850.00000 0.00000 0.00000 0.01906 0.03544 0.04953 0.061870.00000 0.00000 0.00000 0.00000 0.02082 0.03874 0.054420.00000 0.00000 0.00000 0.00000 0.00000 0.02278 0.042720.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.025340.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.000000.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000

0.0323 0.0432 0.0568 0.0729 0.0729 0.0729 0.07290.0313 0.0422 0.0559 0.0720 0.0895 0.0895 0.08950.0255 0.0365 0.0502 0.0665 0.0842 0.1035 0.10350.0153 0.0264 0.0402 0.0566 0.0744 0.0939 0.11540.0082 0.0192 0.0330 0.0495 0.0676 0.0873 0.10910.0000 0.0109 0.0247 0.0412 0.0594 0.0793 0.10130.0000 0.0000 0.0136 0.0300 0.0481 0.0681 0.09040.0000 0.0000 0.0000 0.0161 0.0340 0.0539 0.07620.0000 0.0000 0.0000 0.0000 0.0175 0.0371 0.05930.0000 0.0000 0.0000 0.0000 0.0000 0.0190 0.04070.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.02090.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000

Page 899: Ch 6 Credit Derivatives
Page 900: Ch 6 Credit Derivatives

12 13 14 15 16 17 180.253 0.253 0.253 0.256 0.253 0.253 0.256

73.25% 69.45% 66.01% 62.88% 60.11% 57.63% 55.36%0.91745366 0.90873754 0.89989967 0.89082744 0.88170557 0.87242251 0.86287554

12.06% 12.30% 11.79% 11.11% 10.46% 9.80% 9.25%70.0% 67.5% 65.0% 62.5% 60.0% 57.5% 55.0%0.0339 0.0332 0.0307 0.0282 0.0253 0.0228 0.0209

0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.000000.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.000000.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.000000.06539 0.00000 0.00000 0.00000 0.00000 0.00000 0.000000.06986 0.07469 0.00000 0.00000 0.00000 0.00000 0.000000.07287 0.07906 0.08356 0.00000 0.00000 0.00000 0.000000.07205 0.07992 0.08565 0.08977 0.00000 0.00000 0.000000.06738 0.07738 0.08466 0.08991 0.09360 0.00000 0.000000.05919 0.07191 0.08117 0.08783 0.09254 0.09587 0.000000.04629 0.06246 0.07423 0.08270 0.08868 0.09292 0.095960.02663 0.04719 0.06215 0.07293 0.08053 0.08592 0.089780.00000 0.02615 0.04517 0.05887 0.06854 0.07538 0.08029

0.0729 0.0729 0.0729 0.0729 0.0729 0.0729 0.07290.0895 0.0895 0.0895 0.0895 0.0895 0.0895 0.08950.1035 0.1035 0.1035 0.1035 0.1035 0.1035 0.10350.1154 0.1154 0.1154 0.1154 0.1154 0.1154 0.11540.1316 0.1316 0.1316 0.1316 0.1316 0.1316 0.13160.1242 0.1462 0.1462 0.1462 0.1462 0.1462 0.14620.1136 0.1359 0.1560 0.1560 0.1560 0.1560 0.15600.0996 0.1221 0.1425 0.1608 0.1608 0.1608 0.16080.0826 0.1053 0.1259 0.1444 0.1607 0.1607 0.16070.0639 0.0866 0.1072 0.1259 0.1423 0.1569 0.15690.0435 0.0658 0.0864 0.1050 0.1214 0.1361 0.14930.0216 0.0433 0.0634 0.0818 0.0982 0.1127 0.1260

Page 901: Ch 6 Credit Derivatives
Page 902: Ch 6 Credit Derivatives

19 200.256 0.253

53.24% 51.20%0.85318476 0.84347636

8.99% 9.11%52.5% 50.0%0.0194 0.0185

0.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.00000 0.000000.09259 0.000000.08387 0.08655

0.0729 0.07290.0895 0.08950.1035 0.10350.1154 0.11540.1316 0.13160.1462 0.14620.1560 0.15600.1608 0.16080.1607 0.16070.1569 0.15690.1493 0.14930.1382 0.1382

Page 903: Ch 6 Credit Derivatives
Page 904: Ch 6 Credit Derivatives

6.20: Valuing an old CDS

Trade dateMaturityPrincipalTo payRecovery rate

Value of Swap

Forwarddefault

probabilities Daycount IBOR DFs(Act/360) z-c rates

[1]

6-Feb-08 120-Mar-08 0.1848% 0.119 3.16697% 0.99622420-Jun-08 0.9764% 0.375 3.10374% 0.98842822-Sep-08 1.7443% 0.636 3.01316% 0.98101522-Dec-08 1.2570% 0.889 2.90491% 0.97450920-Mar-09 1.4640% 1.133 2.82281% 0.96851422-Jun-09 1.9989% 1.394 2.76705% 0.96215021-Sep-09 2.5594% 1.647 2.74208% 0.95583721-Dec-09 3.1240% 1.900 2.74523% 0.94917822-Mar-10 3.5371% 2.153 2.77571% 0.94199521-Jun-10 4.0174% 2.406 2.82906% 0.93420920-Sep-10 4.6514% 2.658 2.89273% 0.92598420-Dec-10 5.0821% 2.911 2.95946% 0.91745421-Mar-11 5.1802% 3.164 3.02473% 0.90873820-Jun-11 4.9653% 3.417 3.08699% 0.89990020-Sep-11 4.7313% 3.672 3.14808% 0.890827

Page 905: Ch 6 Credit Derivatives

15-Aug-065 yrs

100 m USD650.0 bp pa.40%

Value of Swap 1,152,169

d Survival Hazard Premium CFs Payment CFs

[2] [3] [4] [5]

100.00%0.119 99.82% 0.18% -776,388.89 110,859.540.256 98.84% 0.97% -1,658,041.94 584,768.470.261 97.12% 1.72% -1,677,544.97 1,034,444.750.253 95.90% 1.22% -1,595,678.79 732,468.430.244 94.49% 1.40% -1,523,677.15 842,330.920.261 92.60% 1.89% -1,603,737.18 1,133,250.950.253 90.23% 2.37% -1,521,520.84 1,422,037.120.253 87.41% 2.82% -1,482,579.41 1,691,346.340.253 84.32% 3.09% -1,436,263.14 1,855,154.380.253 80.93% 3.39% -1,385,461.11 2,032,558.000.253 77.17% 3.76% -1,329,801.02 2,258,749.280.253 73.25% 3.92% -1,267,946.84 2,353,136.710.253 69.45% 3.79% -1,203,507.94 2,276,628.560.253 66.01% 3.45% -1,141,164.15 2,069,147.190.256 62.88% 3.12% -1,096,419.69 1,873,725.85

PV => -19,632,558 20,784,727