03/26/14 Stock Trigger High Low Methode : Credit Derivatives Method Flat Termstructure : Vol, CDS and Interest Rate Name AXA BANCA MONTE DEI PASCHI SIENA BANCA POPOLARE DI MILANO BANCO BILBAO VIZCAYA ARGENTA BANCO ESPIRITO SANTO-REG BANCO POPOLARE SCARL BANCO SANTANDER SA BARCLAYS PLC BNP PARIBAS COMMERZBANK AG CREDIT AGRICOLE SA CREDIT SUISSE GROUP AG-REG DEUTSCHE BANK AG-REGISTERED INTESA SANPAOLO LLOYDS BANKING GROUP PLC MEDIOBANCA SPA SOCIETE GENERALE STANDARD CHARTERED PLC UBS AG-REG UNICREDIT SPA FR IT IT SP PO IT SP GB FR GE FR SZ GE IT GB IT FR GB SZ IT CAXA1E5 CBMP1E5 CMIL1E5 CBBV1E5 CESP1E5 CBPL1E5 CBSH1E5 CBAR1E5 CBNP1E5 CCMZ1E5 CCAI1E5 CCS1E5 CDB1E5 CBCI1E5 CLOY1E10 CBCR1E5 CSOC1E5 CSTC1E5 CUBS1E5 CUNI1E5 30% 15% CDS Spread (Sr) CDS Recovery Div. Yld 93.678 40% 2.00% 247.389 40% 0.00% 242.146 40% 0.00% 132.338 40% 3.00% 224.882 40% 0.00% 208.2 40% 0.00% 127.493 40% 2.00% 93.991 40% 2.00% 79.368 40% 2.00% 110.975 40% 0.00% 93.853 40% 0.00% 74.718 40% 0.35% 83.197 40% 2.35% 131.466 40% 2.21% 124.64 40% 2.00% 123.266 40% 2.00% 100.331 40% 1.02% 133.711 40% 2.00% 67.228 40% 0.83% 156.53 40% 1.41% USD USD High Trigger - 5 Year Maturity Low Trigger - 5 Year Maturity 30% 1.58% 15% 1.58% Full Write Cp=2 x S0 /3 Cp = S0 Full Write Cp=2 x S0 /3 Cp = S0 Coupon Coupon Coupon Coupon Coupon Coupon 12.01% 4.77% 8.85% 4.71% 2.67% 4.27% 20.05% 6.96% 14.25% 9.60% 4.08% 8.39% 19.79% 6.90% 14.09% 9.43% 4.04% 8.25% 14.33% 5.41% 10.42% 5.85% 3.00% 5.24% 18.95% 6.67% 13.52% 8.89% 3.88% 7.79% 18.12% 6.45% 12.97% 8.36% 3.73% 7.35% 13.99% 5.32% 10.19% 5.75% 2.97% 5.15% 12.03% 4.77% 8.86% 4.72% 2.67% 4.28% 11.11% 4.51% 8.23% 4.27% 2.54% 3.90% 12.92% 5.02% 9.46% 5.32% 2.85% 4.78% 11.89% 4.73% 8.76% 4.78% 2.69% 4.33% 10.68% 4.39% 7.94% 4.17% 2.51% 3.82% 11.38% 4.59% 8.42% 4.38% 2.57% 3.99% 14.23% 5.38% 10.35% 5.86% 3.01% 5.24% 13.83% 5.27% 10.08% 5.66% 2.95% 5.07% 13.75% 5.25% 10.03% 5.62% 2.94% 5.04% 12.35% 4.86% 9.08% 4.95% 2.74% 4.47% 14.34% 5.41% 10.42% 5.94% 3.03% 5.31% 10.21% 4.26% 7.62% 3.93% 2.44% 3.61% 15.53% 5.74% 11.23% 6.67% 3.24% 5.93% USD High Trigger - 10 Year Maturity 30% 2.74% Full Write Cp=2 x S0 /3 Cp = S0 Coupon Coupon Coupon 10.72% 5.15% 7.28% 18.06% 7.19% 15.03% 17.82% 7.13% 14.80% 12.68% 5.71% 8.33% 17.02% 6.91% 14.06% 16.25% 6.70% 13.35% 12.42% 5.63% 8.69% 10.73% 5.15% 7.29% 9.96% 4.93% 6.67% 11.57% 5.39% 9.09% 10.68% 5.14% 8.31% 9.64% 4.84% 7.24% 10.18% 5.00% 6.67% 12.62% 5.69% 8.74% 12.28% 5.59% 8.57% 12.22% 5.57% 8.52% 11.04% 5.24% 8.06% 12.73% 5.72% 8.95% 9.23% 4.73% 6.67% 13.82% 6.02% 10.25% USD Low Trigger - 10 Year Maturity 15% 2.74% Full Write Cp=2 x S0 /3 Cp = S0 Coupon Coupon Coupon 6.08% 3.81% 5.59% 11.72% 5.43% 10.34% 11.53% 5.38% 10.18% 7.35% 4.18% 6.66% 10.89% 5.20% 9.65% 10.28% 5.02% 9.13% 7.25% 4.15% 6.58% 6.09% 3.81% 5.60% 5.59% 3.67% 5.18% 6.81% 4.02% 6.20% 6.20% 3.85% 5.69% 5.51% 3.64% 5.11% 5.70% 3.70% 5.27% 7.37% 4.19% 6.68% 7.15% 4.12% 6.49% 7.10% 4.11% 6.45% 6.37% 3.89% 5.83% 7.47% 4.21% 6.76% 5.23% 3.56% 4.87% 8.31% 4.46% 7.47%
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