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%