PV of CDS 1,197.

04 R 45%

(1) (2) (3) 4 5 6 7 8 9 10

Expected
Survival Expected PV of Default Accrued PV of Expected PV of
Probability to Fixed Periodic Fixed Payments PV of fixed Probability Payment accrued Contingent Contingen
Month Discount Factor Period (%) Payment (bps) (bps) payment for the period (bps) payment Payment (bps) t Payment

0 1 100.0% 0 0.0000 0.00 0.0% 0.00 0.00 0.00 0

3 0.99 99.9% 40 39.9600 3,956.04 0.1% 0.02 1.98 5.50 544
6 0.98 99.6% 40 39.8400 3,904.32 0.3% 0.06 5.88 16.50 1,617
9 0.97 99.1% 40 39.6400 3,845.08 0.5% 0.10 9.70 27.50 2,667
12 0.96 98.4% 40 39.3600 3,778.56 0.7% 0.14 13.44 38.50 3,696
15 0.95 97.5% 40 39.0000 3,705.00 0.9% 0.18 17.10 49.50 4,702
18 0.94 96.4% 40 38.5600 3,624.64 1.1% 0.22 20.68 60.50 5,687
21 0.93 95.2% 40 38.0800 3,541.44 1.2% 0.24 22.32 66.00 6,138
24 0.92 94.0% 40 37.6000 3,459.20 1.2% 0.24 22.08 66.00 6,072
Total 29,814.28 Total 113.18 Total 31,125
 PV of CDS 8,678.91 R 45%

(1) (2) (3) 4 5 6 7 8 9 10

Expected
Survival Expected PV of Default Accrued PV of Expected PV of
Probability to Fixed Periodic Fixed Payments PV of fixed Probability Payment accrued Contingent Contingen
Month Discount Factor Period (%) Payment (bps) (bps) payment for the period (bps) payment Payment (bps) t Payment

0 1 100.0% 0 0.0000 0.00 0.0% 0.00 0.00 0.00 0

3 0.99 99.9% 30 29.9700 2,967.03 0.1% 0.01 1.48 5.50 544
6 0.98 99.6% 30 29.8800 2,928.24 0.3% 0.05 4.41 16.50 1,617
9 0.97 99.1% 30 29.7300 2,883.81 0.5% 0.07 7.27 27.50 2,667
12 0.96 98.4% 30 29.5200 2,833.92 0.7% 0.11 10.08 38.50 3,696
15 0.95 97.5% 30 29.2500 2,778.75 0.9% 0.13 12.82 49.50 4,702
18 0.94 96.4% 30 28.9200 2,718.48 1.1% 0.17 15.51 60.50 5,687
21 0.93 95.2% 30 28.5600 2,656.08 1.2% 0.18 16.74 66.00 6,138
24 0.92 94.0% 30 28.2000 2,594.40 1.2% 0.18 16.56 66.00 6,072
Total 22,360.71 Total 84.89 Total 31,125
 Break Even
PV of CDS 0.00 Premium 41.60 R 45%

(1) (2) (3) 4 5 6 7 8 9 10

Expected
Survival Expected PV of Default Accrued PV of Expected PV of
Month Probability to Fixed Periodic Fixed Payments PV of fixed Probability Payment accrued Contingent Contingent
Discount Factor Period (%) Payment (bps) (bps) payment for the period (bps) payment Payment (bps) Payment

0 1 100.0% 0 0.0000 0.00 0.0% 0.00 0.00 0.00 0

3 0.99 99.9% 41.60 41.5583 4,114.27 0.1% 0.02 2.06 5.50 544
6 0.98 99.6% 41.60 41.4335 4,060.49 0.3% 0.06 6.12 16.50 1,617
9 0.97 99.1% 41.60 41.2255 3,998.88 0.5% 0.10 10.09 27.50 2,667
12 0.96 98.4% 41.60 40.9343 3,929.70 0.7% 0.15 13.98 38.50 3,696
15 0.95 97.5% 41.60 40.5599 3,853.19 0.9% 0.19 17.78 49.50 4,702
18 0.94 96.4% 41.60 40.1023 3,769.62 1.1% 0.23 21.51 60.50 5,687
21 0.93 95.2% 41.60 39.6031 3,683.09 1.2% 0.25 23.21 66.00 6,138
24 0.92 94.0% 41.60 39.1039 3,597.56 1.2% 0.25 22.96 66.00 6,072
Total 31,006.79 Total 117.71 Total 31,125