1hls example repllcaLes !

ohn Pulls chapLer CredlL uerlvaLlves (CuS valuaLlon)

AssumpLlons
noLlonal 10000000000
8lskfree raLe 300
rob of uefaulL
8ecovery raLe 40
aymenLs made aL raLe of s per year
1hls equallLy allows us Lo solve for spread
1hls slde (paymenLs) ls Lhe CuS buyer (buyer of proLecLlon)
Survlval ulscounL
1lme Spread uefaulL probablllLy rob lacLor v of
1 900 1304 8696 1 7826087
ln year 2 Lhe 2 1000 1399 7297 1 7297132
sp ln year 1 3 1100 3993 1 6392083
margln prob of defaulL le annual defaulL prlob eah year
u
900 1y 13043
1000 2y 14132
1100 3y 13078
margln u
uefaulL ulscounL
rob lacLor v of
1304 1 7826087
1216 1 7296322 630 630
932 1 3710813 881270 881900
1100
1hls example repllcaLes !ohn Pulls chapLer CredlL uerlvaLlves (CuS valuaLlon)
AssumpLlons
noLlonal 10000000000
8lskfree raLe 300
rob of uefaulL 13078 margln prob of defaulL le annual defaulL prlob eah year
8ecovery raLe 40
aymenLs made aL raLe of s per year
1hls equallLy allows us Lo solve for spread
1hls slde (paymenLs) ls Lhe CuS buyer (buyer of proLecLlon)
Survlval ulscounL margln u
1lme rob lacLor v of uefaulL ulscounL
rob lacLor v of
1 8492 1 934139993 1308 1 9046909383
2 6984 1 768279989 1280 1 7682799893
3 3477 1 602419984 1033 1 6318690403
2304839968 2304839968
u
900 1y 13043
1000 2y 14132
1100 3y 13078
29449036
ln year 2 Lhere ls a 196 marglnal defaulL prbablllLy 29449036
sp ln year 1 * marglnal prob ln 2nd year 29449036 000

100
1hls example repllcaLes !ohn Pulls chapLer CredlL uerlvaLlves (CuS valuaLlon)
AssumpLlons
noLlonal 10000000000
8lskfree raLe 300
rob of uefaulL 13078 margln prob of defaulL le annual defaulL prlob eah year
8ecovery raLe 40
aymenLs made aL raLe of s per year
1hls equallLy allows us Lo solve for spread
1hls slde (paymenLs) ls Lhe CuS buyer (buyer of proLecLlon)
Survlval ulscounL margln u
1lme rob lacLor v of uefaulL ulscounL
rob lacLor v of
1 8492 1 2180230818 1308 1 9046909383
2 6984 1 69843633 1280 1 7682799893
3 3477 1 34763433 1033 1 6318690403
2304839906 2304839968
u
900 1y 13043
1000 2y 14132
1100 3y 13078
############
ln year 2 Lhere ls a 196 marglnal defaulL prbablllLy 698436334 377103326
sp ln year 1 * marglnal prob ln 2nd year 377103387 062
062
noLlonal 1000000000
ueal spread 3000
MarkeL spread 4000
8 40000
Annual u 6667
00623
S (Lo
erlod Coupon Swap Curve ul erlod u Cum u perlod end) v paymenLs
023 12300000 2000 0993062 00160 00160 09840 9791333
03 12300000 2000 0990148 00137 00318 09682 9387062
073 12300000 2000 0983238 00133 00473 09327 9387033
1 12300000 2000 0980392 00132 00623 09373 9191176
123 12300000 2000 0973331 00130 00773 09223 8999407
13 12300000 2000 0970733 00148 00923 09077 8811638
173 12300000 2000 0963939 00143 01068 08932 8627787
2 12300000 2000 0961169 00143 01211 08789 8447772
223 12300000 2000 0936422 00141 01332 08648 8271314
23 12300000 2000 0931699 00138 01490 08310 8098932
273 12300000 2000 0946999 00136 01626 08374 7929932
3 12300000 2000 0942322 00134 01760 08240 7764497
323 12300000 2000 0937669 00132 01892 08108 7602494
33 12300000 2000 0933038 00130 02022 07978 7443871
373 12300000 2000 092843 00128 02130 07830 7288338
4 12300000 2000 0923843 00126 02273 07723 7136486
423 12300000 2000 0919283 00124 02399 07601 6987386
43 12300000 2000 0914743 00122 02321 07479 6841794
473 12300000 2000 0910226 00120 02640 07360 6699043
3 12300000 2000 0903731 00118 02738 07242 6339270
161467228
v proLecLlon
9333674
9336300
9161083
8969943
8782789
8399340
8420113
8244433
8072416
7903989
7739076
7377604
7419300
7264696
7113121
6964709
6819394
6677110
6337793
6401387
137380676
1hls example repllcaLes !ohn Pulls chapLer CredlL uerlvaLlves (CuS valuaLlon)
AssumpLlons
noLlonal 100000000 124
8lskfree raLe 300
rob of uefaulL 2 margln prob of defaulL le annual defaulL prlob eah year
8ecovery raLe 40
aymenLs made aL raLe of s per year
1hls equallLy allows us Lo solve for spread v(aymenLs) v(ayoffs)
1hls slde (paymenLs) ls Lhe CuS buyer (buyer of proLecLlon) 1hls slde (pa
A?MLn1
LxpecLed aymenLs
Survlval ulscounL of per
1lme rob lacLor Annum v of 1lme
03
1 9800 1 9800 098
13
2 9604 1 9604 09604
23
3 9412 1 9412 0941192
33
4 9224 1 9224 0922368
43
3 9039 1 9039 0903921
4707881
LxpecLed aymenLs 4707881
LxpecLed ayoff 0038
use spread (s) Lo solve 122
411303s 031
Spread (s) 00124
Spread (s) 124 basls polnLs
4113
0031
00124
120
Lx A?Cll
uefaulL ulscounL of
rob lacLor noLlonal v of
200 1 120 0012
19600 1 118 0012
19208 1 113 0012
18824 1 113 0011
18447 1 111 0011
0038
hazard raLe 2
0 1 2 3 4 3
Cum u 20 40 60 80 100
Cum S 980 960 940 920 900
uncondlLlonal u 20 20 20 20 20
CondlLlonal u 20 21 21 22
uncondlLlonal u Cum u Cum S Pazard rLe
1 02 02 08 02
2 02 04 06 023
3 02 06 04 0333333333
4 02 08 02 03
3 02 1 0 1
uncondlLlonal u Cum u Cum S Pazard rLe
1 0333333333 0333333333 0666666667 0333333333
2 0333333333 0666666667 0333333333 03
3 0333333333 1 0 1
0222222222
Coupon 100 bp
noLlonal 100 m uSu
8 0
?ear ul u for perlod Cum u S Lo perlod Lv flxed paymenLs v flxed paymenL
0 1 00 00 1000
1 099 10 10 990 001 9801
2 098 03 13 987 001 9673
3 097 03 18 982 001 9323
4 096 07 23 973 001 9360
3 093 09 34 966 001 9177
47336
,arkeL par spreads
1 100
2 200
3 300
4 400
Lv proLecLlon v proLecLlon nv 3 300

001 9901 100
000 2940 6633
001 4830
001 6720
001 8330
32961
200
1hls example repllcaLes !ohn Pulls chapLer CredlL uerlvaLlves (CuS valuaLlon)
AssumpLlons
noLlonal 10000000000
8lskfree raLe 300
rob of uefaulL 322 margln prob of defaulL le annual defaulL prlob eah year
8ecovery raLe 40
aymenLs made aL raLe of s per year
1hls equallLy allows us Lo solve for spread
1hls slde (paymenLs) ls Lhe CuS buyer (buyer of proLecLlon)
Survlval ulscounL margln u
1lme rob lacLor v of uefaulL ulscounL
rob lacLor v of
1 9678 1 193362674 322 1 1931197716
2 9336 1 187123349 312 1 1869038972
3 9034 1 180688023 301 1 1806880228
4 8713 1 174230697 291 1 1744721483
3 8391 1 167813371 280 1 1682362741
903440114 903440114
ln year 2 Lhere ls a 196 marglnal defaulL prbablllLy
sp ln year 1 * marglnal prob ln 2nd year
000
noLlonal 100
8 40
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0013 0003
2 2917 94320 2840 3480 08900 0867 0017 0013 0002
3 3269 91430 3090 8370 08396 0794 0013 0016 0000
4 3631 88110 3320 11890 07921 0724 0014 0016 0002
3 4018 84370 3340 13430 07473 0638 0013 0016 0003
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0077 0000
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0013 0002
2 2917 94320 2840 3480 08900 0867 0016 0013 0001
3 3269 91430 3090 8370 08396 0794 0013 0016 0001
4 3631 88110 3320 11890 07921 0724 0013 0016 0002
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0061 0000
Spread 173 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0013 0002
2 2917 94320 2840 3480 08900 0867 0013 0013 0000
3 3269 91430 3090 8370 08396 0794 0014 0016 0002
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2603 0046 0046
Spread 166 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0016 0013 0001
2 2917 94320 2840 3480 08900 0867 0014 0013 0001
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1810 0030 0030 0000
Spread 138 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0013 0013 0000
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0013 0013 0000
Curve
1 138
2 166
noLlonal 100
8 0
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0023 0007
2 2917 94320 2840 3480 08900 0867 0017 0023 0008
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0014 0026 0012
3 4018 84370 3340 13430 07473 0638 0013 0026 0014
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0129 0032
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0023 0007
2 2917 94320 2840 3480 08900 0867 0016 0023 0009
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0013 0026 0013
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0102 0041
Spread 2999 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 20000 80000 20000 20000 09434 0943 0283 0189 0094
2 30000 36000 24000 44000 08900 0712 0213 0214 0000
3 30000 28000 28000 72000 08396 0470 0141 0233 0094
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2126 0637 0637
Spread 2430 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 20000 80000 20000 20000 09434 0943 0229 0189 0041
2 30000 36000 24000 44000 08900 0712 0173 0214 0041
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1633 0402 0402
Spread 2000 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 20000 80000 20000 20000 09434 0943 0189 0189
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0189 0189
Curve
1 20000
2 24300
3 29990
noLlonal 100
8 0
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0023 0007
2 2917 94320 2840 3480 08900 0867 0017 0023 0008
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0014 0026 0012
3 4018 84370 3340 13430 07473 0638 0013 0026 0014
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0129 0032
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0023 0007
2 2917 94320 2840 3480 08900 0867 0016 0023 0009
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0013 0026 0013
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0102 0041
Spread 3438 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 3438 63421 34379 34379 09434 0943 0326 0326
2 3438 42799 22622 37201 08900 0382 0201 0201
3 3438 28000 14799 72000 08396 0339 0124 0124
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1883 0632 0632
Spread 3438 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 3438 63421 34379 34379 09434 0943 0326 0326
2 3438 42799 22622 37201 08900 0382 0201 0201
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1326 0328 0328
Spread 3438 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 3438 63421 34379 34379 09434 0943 0326 0326
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0326 0326
Curve par
1 20000 34379
2 24300 34379
3 29990 34379
0001
0999
0009
09
009
0999
0733073
0264923
0421873
noLlonal 100
8 0
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0023 0007
2 2917 94320 2840 3480 08900 0867 0017 0023 0008
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0014 0026 0012
3 4018 84370 3340 13430 07473 0638 0013 0026 0014
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0129 0032
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0023 0007
2 2917 94320 2840 3480 08900 0867 0016 0023 0009
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0013 0026 0013
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0102 0041
Spread 970 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0092 0083 0007
2 10082 81823 9173 18173 08900 0810 0079 0082 0003
3 10210 73470 8333 26330 08396 0687 0067 0070 0004
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2440 0237 0237 0000
Spread 930 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0090 0083 0003
2 10082 81823 9173 18173 08900 0810 0077 0082 0003
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1733 0167 0167 0000
Spread 900 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0083 0083
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0083 0083
Curve
1 9000
2 9300
3 9700
noLlonal 100
8 0
Spread 194 3y
dL SL kL C
?ear Marglnal AnS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0023 0007
2 2917 94320 2840 3480 08900 0867 0017 0023 0008
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0014 0026 0012
3 4018 84370 3340 13430 07473 0638 0013 0026 0014
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0129 0032
Spread 183 4y
dL SL kL C
?ear Marglnal AnS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0023 0007
2 2917 94320 2840 3480 08900 0867 0016 0023 0009
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0013 0026 0013
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0102 0041
Spread 970 3y
dL SL kL C
?ear Marglnal AnS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9766 90234 9766 9766 09434 0943 0092 0092 0001
2 9766 81422 8812 18378 08900 0803 0078 0078 0001
3 9766 73470 7932 26330 08396 0684 0066 0067 0000
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2430 0236 0237 0002
Spread 930 2y
dL SL kL C
?ear Marglnal AnS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0090 0083 0003
2 10082 81823 9173 18173 08900 0810 0077 0082 0003
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1733 0167 0167 0000
Spread 900 1y
dL SL kL C
?ear Marglnal AnS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0083 0083
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0083 0083
Curve
1 9000 9766
2 9300 9766
3 9700 9766

0013
0036
noLlonal 100
8 0
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0023 0007
2 2917 94320 2840 3480 08900 0867 0017 0023 0008
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0014 0026 0012
3 4018 84370 3340 13430 07473 0638 0013 0026 0014
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0129 0032
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0023 0007
2 2917 94320 2840 3480 08900 0867 0016 0023 0009
3 3269 91430 3090 8370 08396 0794 0013 0026 0011
4 3631 88110 3320 11890 07921 0724 0013 0026 0013
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0102 0041
Spread 970 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0092 0083 0007
2 10082 81823 9173 18173 08900 0810 0079 0082 0003
3 10210 73470 8333 26330 08396 0687 0067 0070 0004
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2440 0237 0237 0000
Spread 930 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0090 0083 0003
2 10082 81823 9173 18173 08900 0810 0077 0082 0003
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1733 0167 0167 0000
Spread 900 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 9000 91000 9000 9000 09434 0943 0083 0083
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0083 0083
Curve
1 9000
2 9300
3 9700
m def h cum def sp
1 00233 00233 00233 09763
2 002383 0023243 0048743
3 0028433
4 0031279
3 0034406
m def h
1 00222 00222 00222
2 002442 0023878 0046078
3 0026862 0023626 0071704
noLlonal 100
8 40
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0037 0037
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4 3631 88110 3320 11890 07921 0724 0007 0016 0009
3 4018 84370 3340 13430 07473 0638 0007 0016 0009
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0040 0077 0000
Spread 100 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0028 0028
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4 3631 88110 3320 11890 07921 0724 0007 0016 0009
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0033 0061 0000
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0020 0020
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2603 0026 0046 0000
Spread 100 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0012 0012
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1810 0018 0030 0000
Spread 100 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0006 0006
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0009 0013 0000
noLlonal 100
8 40
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0037 0037
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4 3631 88110 3320 11890 07921 0724 0007 0016 0009
3 4018 84370 3340 13430 07473 0638 0007 0016 0009
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0040 0077 0000
Spread 100 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0028 0028
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4 3631 88110 3320 11890 07921 0724 0007 0016 0009
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0033 0061 0000
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0020 0020
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2603 0026 0046 0000
Spread 100 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0012 0012
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1810 0018 0030 0000
Spread 194 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0006 0006
1 2640 97360 2640 2640 09434 0943 0018 0013 0003
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0018 0013 0009
0084174
0128033
086 0079973
07621 0118409
03941 07318
00979 06 37
0168
03943
00943
01373
noLlonal 100
8 40
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0037 0037
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4 3631 88110 3320 11890 07921 0724 0007 0016 0009
3 4018 84370 3340 13430 07473 0638 0007 0016 0009
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0040 0077 0000
Spread 100 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0028 0028
1 2640 97360 2640 2640 09434 0943 0009 0013 0006
2 2917 94320 2840 3480 08900 0867 0009 0013 0007
3 3269 91430 3090 8370 08396 0794 0008 0016 0008
4 3631 88110 3320 11890 07921 0724 0007 0016 0009
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0033 0061 0000
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0361 0361
1 20000 80000 20000 20000 09434 0943 0009 0113 0104
2 30000 36000 24000 44000 08900 0712 0007 0128 0121
3 30000 28000 28000 72000 08396 0470 0003 0141 0136
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2126 0021 0382 0000
Spread 100 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0223 0223
1 20000 80000 20000 20000 09434 0943 0009 0113 0104
2 30000 36000 24000 44000 08900 0712 0007 0128 0121
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1633 0017 0241 0000
Spread 100 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1 0104 0104
1 20000 80000 20000 20000 09434 0943 0009 0113 0104
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0009 0113
noLlonal 100
8 40
Spread 103 3y
dL SL kL C
?ear Marglnal AnS Marg u from no Cum u ul remlum v roLecLlon v neL v
0 3746 3746
1 2932 97049 2932 2932 09434 0010 0017 0007
2 2932 94184 2864 3816 08900 0009 0013 0006
3 2932 91404 2780 8396 08396 0008 0014 0006
4 2932 88706 2698 11294 07921 0008 0013 0003
3 2932 86088 2618 13912 07473 0007 0012 0003
defaulL raLes aka hazard raLe
uncondlLonal? 3788 0071 3717
Spread 100 4y
dL SL kL C
?ear Marglnal AnS Marg u from no Cum u ul remlum v roLecLlon v neL v
0 2818 2818
1 3631 96369 3631 3631 09434 0009 0021 0011
2 3631 92870 3499 7130 08900 0009 0019 0010
3 3631 89498 3372 10302 08396 0008 0017 0009
4 3631 86248 3230 13732 07921 0007 0013 0008
3
defaulL raLes aka hazard raLe
uncondlLonal? 2831 0072 2779
Spread 100 3y
dL SL kL C
?ear Marglnal AnS Marg u from no Cum u ul remlum v roLecLlon v neL v
0 1964 1964
1 3269 96731 3269 3269 09434 0009 0019 0009
2 3269 93369 3162 6431 08900 0009 0017 0008
3 3269 90310 3039 9490 08396 0008 0013 0008
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1990 0031 1939
Spread 100 2y
dL SL kL C
?ear Marglnal AnS Marg u from no Cum u ul remlum v roLecLlon v neL v
0 1201 1201
1 2917 97083 2917 2917 09434 0009 0017 0007
2 2917 94231 2832 3749 08900 0009 0013 0006
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1219 0032 1187
Spread 100 1y
dL SL kL C
?ear Marglnal AnS Marg u from no Cum u ul remlum v roLecLlon v neL v
0 0331 0331
1 2640 97360 2640 2640 09434 0009 0013 0006
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0360 0013 0343
noLlonal 100
8 40
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
0 0037 0037
1 2640 97360 2640 2640 09434 0009 0013 0006
2 2917 94320 2840 3480 08900 0009 0013 0007
3 3269 91430 3090 8370 08396 0008 0016 0008
4 3631 88110 3320 11890 07921 0007 0016 0009
3 4018 84370 3340 13430 07473 0007 0016 0009
defaulL raLes aka hazard raLe
uncondlLonal? 0077 0077 0000
Spread 100 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
0 0028 0028
1 2640 97360 2640 2640 09434 0009 0013 0006
2 2917 94320 2840 3480 08900 0009 0013 0007
3 3269 91430 3090 8370 08396 0008 0016 0008
4 3631 88110 3320 11890 07921 0007 0016 0009
3
defaulL raLes aka hazard raLe
uncondlLonal? 0061 0061 0000
Spread 100 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
0 0020 0020
1 2640 97360 2640 2640 09434 0009 0013 0006
2 2917 94320 2840 3480 08900 0009 0013 0007
3 3269 91430 3090 8370 08396 0008 0016 0008
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0046 0046 0000
Spread 100 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
0 0012 0012
1 2640 97360 2640 2640 09434 0009 0013 0006
2 2917 94320 2840 3480 08900 0009 0013 0007
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0030 0030 0000
Spread 100 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
0 6000 6000
1 2640 97360 2640 2640 09434 0009 0013 0006
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0009 6013 6006
noLlonal 10000
8 40
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
1 2640 97360 2640 2640 09434 1830 1494 0336
2 2917 94320 2840 3480 08900 1681 1317 0164
3 3269 91430 3090 8370 08396 1340 1337 0017
4 3631 88110 3320 11890 07921 1403 1378 0173
3 4018 84370 3340 13430 07473 1277 1387 0310
defaulL raLes aka hazard raLe
uncondlLonal? 7733 7733 0001
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
1 2640 97360 2640 2640 09434 1742 1494 0248
2 2917 94320 2840 3480 08900 1600 1317 0084
3 3269 91430 3090 8370 08396 1466 1337 0091
4 3631 88110 3320 11890 07921 1337 1378 0240
3
defaulL raLes aka hazard raLe
uncondlLonal? 6143 6143 0000
Spread 173 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
1 2640 97360 2640 2640 09434 1633 1494 0161
2 2917 94320 2840 3480 08900 1320 1317 0004
3 3269 91430 3090 8370 08396 1392 1337 0164
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 4367 4367 0000
Spread 166 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
1 2640 97360 2640 2640 09434 1369 1494 0073
2 2917 94320 2840 3480 08900 1441 1317 0073
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 3011 3011 0000
Spread 138 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul remlum v roLecLlon v neL v
1 2640 97360 2640 2640 09434 1494 1494
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1494 1494
noLlonal 100
8 40
Spread 194 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0018 0013 0003
2 2917 94320 2840 3480 08900 0867 0017 0013 0002
3 3269 91430 3090 8370 08396 0794 0013 0016 0000
4 3631 88110 3320 11890 07921 0724 0014 0016 0002
3 4018 84370 3340 13430 07473 0638 0013 0016 0003
defaulL raLes aka hazard raLe
uncondlLonal? 3986 0077 0077 0000
Spread 183 4y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0013 0002
2 2917 94320 2840 3480 08900 0867 0016 0013 0001
3 3269 91430 3090 8370 08396 0794 0013 0016 0001
4 3631 88110 3320 11890 07921 0724 0013 0016 0002
3
defaulL raLes aka hazard raLe
uncondlLonal? 3328 0061 0061 0000
Spread 173 3y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2640 97360 2640 2640 09434 0943 0017 0013 0002
2 2917 94320 2840 3480 08900 0867 0013 0013 0000
3 3269 91430 3090 8370 08396 0794 0014 0016 0002
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 2603 0046 0046
Spread 166 2y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2800 97200 2800 2800 09434 0943 0016 0016 0000
2 2800 94478 2722 3322 08900 0863 0014 0013 0000
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 1808 0030 0030 0000
Spread 166 1y
dL SL kL C
?ear Marglnal AS Marg u fromCum u ul 8lsky uv01 remlum v roLecLlon v neL v
0 1
1 2800 97200 2800 2800 09434 0943 0016 0016 0000
2
3
4
3
defaulL raLes aka hazard raLe
uncondlLonal? 0943 0016 0016 0000