Index and Tranche Market Recap

Current Date: 28Apr11 Change Window: 1 Business Day
CDX Index Curve - Time Series
200 180 100 160 140 120 100 85 80 60 40 M J J A S O N D J F M A M J J A S O N D J F M A 09 10 3y Spread 5y Spread 7y Spread 10y Spread 70 M J J A S O N D J F M A M J J A S O N D J F M A 09 10 3y Price 5y Price 7y Price 10y Price 75 M J J A S O N D J F M A M J J A S O N D J F M A 09 10 5y Price 80 80 100 95 Spread (bp) Spread (bp) Spread (bp) Price ($) Price ($) 110

CDXHY Index Curve - Time Series
105

LCDX Index Curve - Time Series

90

90

Series 16
Level Index Broad HVOL 3y 51.50 85.00 5y 89.50 143.00 7y 107.00 165.00 10y 122.00 180.00 3y -2.00 -3.00 Change 5y 7y -2.00 -3.00 -2.00 -3.00 10y -2.00 -3.00

Series 16
Level Index 100 B BB 3y 106.00 5y 103.12 101.69 110.88 7y 103.00 10y 102.88 3y 0.25 Change 5y 7y 0.25 0.00 0.00 0.25 10y 0.25

Series 16
Level Index 100 3y 5y 100.88 7y 10y 3y Change 5y 7y 0.00 10y

Series 15
Level Index 3y 5y 101.19 7y 10y 3y Change 5y 7y 0.00 10y

Series 15
Level Index Broad HVOL 3y 43.00 60.00 5y 77.00 110.00 7y 98.00 130.00 10y 113.50 140.00 3y -2.00 -3.00 Change 5y 7y -2.00 -3.00 -2.00 -3.00

Series 15
10y -2.00 -3.00 Index 100 B BB HB 3y 106.25 5y 104.31 105.69 110.56 96.06 Level 7y 103.44 10y 102.94 3y 0.12 Change 5y 7y 0.19 0.31 0.12 0.25 0.19 10y 0.19

100

Series 14
Level Index 100 3y 5y 101.56 7y 10y 3y Change 5y 7y 0.00 10y

Series 14
Level Index Broad HVOL 3y 35.00 52.00 5y 68.00 92.00 7y 94.00 127.00 10y 111.50 142.00 3y -2.00 -3.00 Change 5y 7y -2.00 -3.00 -2.00 -3.00 10y -2.00 -3.00

Series 14
Level Index 100 B BB HB 3y 106.44 5y 105.50 107.19 111.12 97.81 7y 104.50 10y 104.25 3y 0.12 Change 5y 7y 0.12 0.25 0.06 0.12 0.12

Series 13
10y 0.12 Index 100 3y 5y 108.88 Level 7y 10y 3y Change 5y 7y 0.00 10y

Series 13
Level Index Broad HVOL 3y 27.00 40.00 5y 59.00 83.00 7y 88.00 120.00 10y 108.00 140.00 3y -2.00 -3.00 Change 5y 7y -2.00 -3.00 -2.00 -3.00 10y -2.00 -3.00

Series 13
Level Index 100 B BB HB 3y 106.00 5y 106.50 108.12 111.44 99.69 7y 105.38 10y 105.31 3y 0.06 Change 5y 7y 0.06 0.12 0.12 0.06 0.25 10y 0.06

Numbers in BOLD are quoted in Price space.

1

25 7y 107.50 0.00 7y 338.00 3y -1.00 Series 6 Level Index Senior 3y 5y 106.00 Change 5y 7y -1.50 0.00 108.00 10y 117.Time Series 180 160 140 120 100 80 60 40 20 M J J A S O N D J F M A M J J A S O N D J F M A 09 10 3y Spread 5y Spread 7y Spread 10y Spread 1.50 0.00 7y 10y 3y Change 5y 7y 0.00 Change 5y 7y -7.00 10y -7.50 10y 399.00 -1.50 0.50 3y -7.00 3y -7.50 0.00 10y Series 14 Series 14 Level Index 125 HVOL 3y 56.00 -7.50 0.50 0.50 7y 10y 3y Change 5y 7y 0.00 10y -7.00 Change 5y 7y -1.00 10y -7.50 3y -1.00 -7.50 146.50 33.00 10y -1.50 78.00 Series 4 Level Index Senior 3y 5y 106.50 157.50 7y 104.50 7y 111.00 7y 101.01 5y 72.00 Change 5y 7y -7.00 XOVER Series 12 Level Index 3y 170.Index and Tranche Market Recap Current Date: 28Apr11 Change Window: 1 Business Day iTraxx Europe Index Curve .50 7y 325.Time Series 110 LEVX Index Curve .00 XOVER 3y 257.00 Change 5y 7y -1.00 -1.50 5y 96.50 125.00 XOVER Numbers in BOLD are quoted in Price space.00 66.00 7y 385.00 -7.00 10y -1.50 95.00 10y Series 13 Level Index 3y 203.00 Series 3 Level Index Senior 3y 5y 108.50 0.50 0.Time Series 105 100 Spread (bp) Spread (bp) Spread (bp) 95 Price ($) 90 80 75 M J J A S O N D J F M A M J J A S O N D J F M A 09 10 5y Price Series 15 Level Index 125 HVOL 3y 63.00 Change 5y 7y -7.50 0.25 5y 90. 2 .50 10y 338.00 10y -7.00 10y -1.00 5y 303.50 0.00 Change 5y 7y -1.50 0.50 7y 10y 3y Change 5y 7y 0.50 10y 115.00 Series 5 Level Index Senior 3y 5y 106.75 3y -7.50 7y 10y 3y Change 5y 7y 0.50 5y 354.75 144.25 3y -1.50 127.50 0.00 10y Series 12 Level Index 125 HVOL 3y 29.000 900 800 700 600 500 400 300 200 M J J A S O N D J F M A M J J A S O N D J F M A 09 10 3y Spread 5y Spread 7y Spread 10y Spread 85 iTraxx Europe Xover Index Curve .50 136.50 110.25 10y 121.50 10y 350.50 85.00 Index 10y -1.50 0.00 Change 5y 7y -7.50 0.00 157.75 Level 7y 381.51 5y 80.00 -1.75 134.75 5y 354.00 -7.00 10y Series 13 Level Index 125 HVOL 3y 44.75 148.00 3y -7.75 10y 396.00 5y 277.00 3y -1.50 10y 123.50 0.00 -1.00 Series 15 Level Index XOVER 3y 263.

04 -0.70 1.99 1.32 0.24 0.62 -1.3% 3% .04 -2.01 45.63 44.20 0.7% 7% .27 54.66 48.15% 15% .05 -0.69 7.14 2.31 -0.12 0.81 45.13 BaseCorr Close Chg 39.87 -0.18 0.00 BaseCorr Close Chg 48.02 -0.49 Series 15 7y Tranche 0% .25 -1.7% 7% .30% 30% .62 -0.10% 10% .31 -4.66 BaseCorr Close Chg 37.62 -0.50 -1.88 116.15% 15% .00 0.00 Level Chg -0.92 9.7% 7% .97 4.28 -2.93 Series 9 7y Tranche 0% .56 -0.15% 15% .04 -0.38 BaseCorr Close Chg 44.37 0.69 Series 7 10y Tranche 0% .15% 15% .59 25.3% 3% .47 0.13 0.45 0.69 -0.3% 3% .98 -3.02 -0.7% 7% .02 0.81 54.59 0.08 -0.02 57.100% Index Ref Close 26.00 Delta Adj Chg 0.19 -0.00 Delta 4.81 6.51 6.02 -2.50 0.79 46.01 -2.68 Series 9 10y Tranche 0% .03 -2.100% Index Ref Close 63.73 79.17 0.7% 7% .50 76.23 -2.38 2.29 -0.07 0.30% 30% .10 -0.00 0.00 -2.76 44.79 47.90 -5.100% Index Ref Close 39.03 -0.95 46.02 -0.15% 15% .31 0.01 0.30% 30% .55 -3.07 0.18 BaseCorr Close Chg 40.05 0.19 5.01 -0.02 -0.03 90 Base Correlation (%) 0 5 10 15 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.68 0.04 Series 8 5y Tranche 0% .03 55.73 0.76 3.00 -2.03 53.30% 30% .81 -0.72 3.32 0.16 0.22 7.65 -1.11 -0.61 -4.01 -0.13 0.10% 10% .05 -0.32 BaseCorr Close Chg 42.32 1.04 0.03 -0.29 -0.02 -0.13 84.50 -1.02 0.71 0.01 0.11 -0.12 -9.41 4.15 14.48 -0.31 -7.14 -0.11 -0.00 0.00 Delta Adj Chg 0.02 -2.3% 3% .50 0.30 -0.00 Delta Adj Chg -0.07 0.04 -0.30% 30% .04 Delta 12.06 0.96 Series 8 10y Tranche 0% .31 -0.80 1.31 -0.05 Delta 5.50 0.07 -2.81 -1.76 50.01 0.55 58.75 -0.31 -0.99 60.05 -2.00 Delta Adj Chg -0.51 -1.01 -0.7% 7% .7% 7% .26 0.50 0.06 50.05 -2.3% 3% .00 Delta Adj Chg 0.01 -1.03 0.01 0.72 -0.Index and Tranche Market Recap Current Date: 28Apr11 Change Window: 1 Business Day CDX 75 70 Base Correlation (%) Base Correlation (%) 65 60 55 50 45 0 5 10 15 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.10% 10% .00 Delta Adj Chg -0.73 2.69 -0.13 72.00 Level Chg -0.83 61.10 0.98 -2.00 -0.30 -0.05 54.09 0.00 Delta Adj Chg 0.97 -1.84 -3.100% Index Ref Close 17.50 Series 7 7y Tranche 0% .96 -1.56 -0.11 BaseCorr Close Chg 39.00 Delta Adj Chg 0.73 74.10% 10% .50 -0.20 0.45 0.7% 7% .01 0.11 0.10 -1.75 60.00 0.85 2.3% 3% .48 -0.32 0.91 86.50 -0.57 -1.45 0.00 Delta 19.20 0.7% 7% .27 BaseCorr Close Chg 43.26 4.02 58.50 -0.37 0.04 69.75 -4.37 50.00 BaseCorr Close Chg 46.04 -0.30 -1.50 -0.06 -10.90 1.53 -0.52 6.00 0.19 6.83 55.00 Delta Adj Chg 0.63 0.3% 3% .61 1.02 0.60 0.100% Index Ref Close 34.09 -0.73 74.17 0.10% 10% .3% 3% .47 -0.06 3.01 0.10% 10% .83 58.05 -0.01 -2.39 1.53 49. 3 .01 Delta 8.10% 10% .00 Level Chg -0.00 19.10 0.10% 10% .00 -1.36 51.50 -0.36 BaseCorr Close Chg 41.19 BaseCorr Close Chg 39.57 51.00 Delta 9.01 Delta 6.18 5.00 0.06 -9.00 Delta 24.63 -0.15% Index Ref Close 3.01 Delta 4.00 Level Chg -0.7% 7% .3% 3% .65 80.44 17.44 0.03 0.87 123.00 0.58 -1.24 -0.100% Index Ref Close 36.15% 15% .15% 15% .58 1.19 23.99 98.24 -0.83 0.38 69.100% Index Ref Close 6.76 52.07 0.00 1.18 2.81 71.25 -2.35 -2.10% 10% .13 -0.50 Level Chg -0.45 0.00 4.50 11.01 -0.01 0.30% 30% .42 0.75 -0.01 0.02 0.14 0.30% 30% .16 0.03 -0.76 120.48 0.00 Delta Adj Chg 0.46 0.95 -2.3% 3% .64 4.00 Level Chg -0.03 -0.78 0.38 -2.11 4.50 -0.29 -0.71 0.01 -0.00 -0.37 6.07 -0.43 -3.02 -0.7% 7% .50 -0.25 0.53 49.14 0.32 -2.18 Numbers in BOLD are quoted in Price space.54 -2.100% Index Ref Close 60.03 Delta 11.26 7.00 Level Chg -0.02 -0.30% 30% .57 -1.100% Index Ref Close 42.00 Level Chg -1.93 Series 8 7y Tranche 0% .100% Index Ref Close 57.30 74.25 -0.53 Series 9 5y Tranche 0% .03 0.60 2.32 0.00 0.11 -0.03 -0.25 77.26 -0.91 0.13 30.13 0.09 Series 7 5y Tranche 0% .84 2.3% 3% .01 -0.08 -0.29 -0.62 -0.19 -0.20 0.15% 15% .44 -0.15% 15% .73 -0.26 75.36 -0.24 -0.03 50.29 -0.02 0.00 Delta 26.15% 15% .01 0.00 Delta Adj Chg 0.87 0.02 70 80 70 60 60 50 50 40 20 0 10 20 Attachment/Exhaustion Point (%) Current Week Month 30 20 Series 15 5y Tranche 0% .00 Level Chg -0.

92 -10.69 Level Chg -0.65 76.63 -0.08 1.00 Delta Adj Chg -0.17 87.15% 15% .37 BaseCorr Close Chg 65.74 -14.00 -0.70 106.50 -11.87 1.00 0.58 0.75 Numbers in BOLD are quoted in Price space.07 63.100% Index Ref Close 49.99 3.01 -0.21 -0.25 Delta Adj Chg -0.38 -9.95 1.50 -0.00 0.35% 35% .88 -3.74 60.25% 25% .19 Delta 2.03 -0.00 0.07 2.47 Series 13 3y Tranche 0% .00 -3.18 0.10 -0.81 -0.100% Index Ref Close 71.25 Delta Adj Chg -0.20 -11.00 0.94 0.09 80 Base Correlation (%) 80 90 85 80 75 75 70 70 65 60 0 10 20 30 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.Index and Tranche Market Recap Current Date: 28Apr11 Change Window: 1 Business Day CDXHY 85 90 100 95 Base Correlation (%) Base Correlation (%) 0 10 20 30 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.75 -0.00 Delta 3.25% 25% .51 76.15% 15% .81 -0.35% 35% .15% 15% .25 Delta Adj Chg -0.22 BaseCorr Close Chg 65.03 -0.14 -0.25 BaseCorr Close Chg 50.28 Series 15 5y Tranche 0% .63 0.18 1.01 BaseCorr Close Chg 15.15% 15% .79 -6.07 0.68 86.15% 15% .00 0.49 0.23 0.25 Level Chg -1.34 0.35% 35% .100% Index Ref Close 29.02 -0.03 1.13 -0.87 106.19 60 40 40 70 0 10 20 30 Attachment/Exhaustion Point (%) Current Week Month 40 Series 15 3y Tranche 0% .93 3.00 0.35% 35% .51 -0.55 BaseCorr Close Chg 70.50 106.62 0.00 Delta Adj Chg 0.74 72.29 0.75 -0.00 Delta Adj Chg -0.15 82.50 6.34 0.00 Series 10 5y Tranche 10% .100% Index Ref Close 65.68 80.35% Index Ref Close 11.18 1.87 0.68 86.56 -8.15 90.06 73.00 Delta Adj Chg -0.11 0.15% 15% .23 0.25% 25% .25% 25% .15 0.91 0.24 -3.34 0.05 2.25% 25% .14 0.75 -14.69 104.00 0.01 0.100% Index Ref Close 41.50 0.89 1.06 -0.27 0.88 -10.01 Delta 3.18 0.00 44.75 -7.69 Series 11 7y Tranche 10% .72 -4.89 41.74 100.00 Delta Adj Chg -0.15% 15% .72 0.42 76.21 0. 4 .00 0.05 BaseCorr Close Chg 24.89 0.87 1.32 0.35% 35% .38 0.100% Index Ref Close 40.00 0.65 68.51 1.63 0.38 0.00 Level Chg -0.60 0.38 -15.28 78.87 1.59 -7.13 0.06 Delta Adj Chg -0.23 0.35% 35% .44 17.50 -0.71 0.00 Delta 4.95 1.00 -1.96 0.88 107.93 -7.75 -0.05 -0.01 0.06 Delta Adj Chg -0.40 105.15% 15% .25% 25% .85 1.100% Index Ref Close 18.00 0.00 0.67 2.26 -14.00 Level Chg 0.00 0.00 Delta 3.35% 35% .25% Index Ref Close 1.35% 35% .25% 25% .19 -0.03 0.03 -0.01 -0.63 BaseCorr Close Chg 72.00 0.08 Delta 1.03 68.48 0.01 0.19 Series 13 5y Tranche 0% .43 1.24 Series 11 3y Tranche 10% .27 -0.16 Delta 18.75 -0.00 0.64 Series 10 7y Tranche 10% .85 -23.15 3.13 0.73 0.00 Level Chg -0.15 107.07 Delta 2.52 72.15% 15% .25 -6.25% 25% .21 1.07 1.81 Level Chg 1.06 0.15 1.50 -14.25% 25% .11 0.00 Level Chg -0.67 1.50 -0.05 0.00 Delta 5.07 0.12 BaseCorr Close Chg 67.34 -0.19 0.70 Series 10 3y Tranche 10% .02 -0.26 5.75 -0.32 -0.00 Level Chg -0.27 1.36 BaseCorr Close Chg 60.12 0.05 0.15% 15% .28 102.64 Series 11 5y Tranche 10% .50 -0.68 107.38 24.100% Index Ref Close 3.00 0.74 1.00 0.53 1.12 BaseCorr Close Chg 62.01 Delta 19.07 0.

00 30 Series 15 5y Tranche 0% .44 -13.00 0.100% Index Ref Close 24.11 0.03 0.00 0.02 0.44 -1.67 1.00 0.00 Delta 2.00 0.69 67.99 2.00 0.38 10.00 0.100% Index Ref Close 40.24 2.26 Numbers in BOLD are quoted in Price space.47 BaseCorr Close Chg 63.03 0.00 0.04 Series 14 5y Tranche 0% .30% 30% .48 0.50 14.15% 15% .00 Delta Adj Chg 0.00 0.15% 15% .97 0.61 0.80 69.75 Level Chg -0.30% 30% .50 Level Chg 0.00 Delta Adj Chg 0.00 0.36 0.42 BaseCorr Close Chg 65.19 101.8% 8% .00 Delta 3.11 71.30 0.00 0.Index and Tranche Market Recap Current Date: 28Apr11 Change Window: 1 Business Day LCDX 76 74 Base Correlation (%) 72 70 68 66 64 62 0 10 20 Attachment/Exhaustion Point (%) Current Week Month Level Chg 0.48 0.00 0.13 0.00 0.00 Delta Adj Chg -0.03 Delta 3.25 2.25 0.00 0.100% Index Ref Close 36.03 Series 13 5y Tranche 0% .04 0. 5 .8% 8% .00 0.8% 8% .00 0.63 101.00 0.04 76.06 -7.15% 15% .30% 30% .00 0.42 1.25 0.52 BaseCorr Close Chg 68.00 0.44 74.00 0.03 0.47 108.62 78.25 0.75 -7.69 -9.68 1.

97 2.96 -1.38 0.10 -0.00 Level Chg -0.46 75.6% 6% .41 0.29 BaseCorr Close Chg 40.10 Series 8 5y Tranche 0% .6% 6% .12% 12% .36 -0.09 -0.11 0.67 0.87 -1.42 BaseCorr Close Chg 42.42 6.05 0.51 4.96 2.22 0.54 52.22% 22% .01 0.70 -0.35 4.93 -0.00 Delta Adj Chg 0.100% Index Ref Close 38.97 2.30 45.10 0.22% 22% .93 6.23 56.10 -2.65 40.82 1.00 Delta Adj Chg 0.83 -0.10 56.41 13.25 6.05 -3.55 60.17 -0.30 -0.50 -0.92 0.00 0.67 -2.83 -0.04 0.59 0.68 -2.07 116.05 15.40 -0.27 53.99 -0.100% Index Ref Close 53.50 68.65 51.18 64.16 -0.05 0.59 -0.20 Delta 5.3% 3% .82 -2.21 BaseCorr Close Chg 38.22% 22% .00 67.40 72.100% Index Ref Close 19.00 0.54 -5.82 0.74 -0.00 Level Chg -0.12% 12% .52 Series 9 7y Tranche 0% .83 -0.00 -0.00 Delta Adj Chg -0.48 130.59 -4.44 -0.22% 22% .9% 9% .6% 6% .6% 6% .39 70.56 -5.12 0.26 Delta 21.53 3.3% 3% .20 -2.50 -3.00 Level Chg -0.08 0.9% 9% .31 0.00 21.07 Delta 30.85 -0.17 1.01 38.05 -0.92 47.26 -0.Index and Tranche Market Recap Current Date: 28Apr11 Change Window: 1 Business Day iTraxx Europe 70 65 Base Correlation (%) Base Correlation (%) 60 55 50 45 40 35 0 10 15 20 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.06 7.16 47.37 1.05 156.00 Level Chg -0.35 0.31 94.05 0.48 3.100% Index Ref Close 51.100% Index Ref Close 53.9% 9% .49 -0.54 50.26 BaseCorr Close Chg 40.27 1.100% Index Ref Close 11.51 0.09 Series 6 5y Tranche 0% .22% 22% .53 -0.47 -0.79 -0.13 -1.00 Delta Adj Chg 0.36 51.01 -0.75 -0.14 Delta 13.3% 3% .11 0.63 0.04 -0.52 48.71 -0.9% 9% .59 -0.15 -0.53 7.23 -3.00 Level Chg -0.22 -4.6% 6% .10 0.40 -0.6% 6% .97 2.56 2.15 0.10 0.45 0.14 11.22% 22% .63 41.90 52.86 35.36 -0.56 16.45 0.09 -0.04 5.28 75.80 0.05 0.00 -0.90 1.01 0.09 Series 7 5y Tranche 0% .18 -0.92 -0.39 BaseCorr Close Chg 41.70 -0.71 -0.76 4.19 48.16 -0.01 0.50 39.12% 12% .100% Index Ref Close 49.18 45.79 -2.77 -0.91 14.57 -4.12% 12% .21 -1.37 -0.05 0.04 0.00 Delta Adj Chg -0.22% 22% .65 0.25 -3.11 120.86 116.66 0.28 -0.23 -0.84 6.05 -0.02 0.32 43.12% 12% .96 3.16 Delta 26.65 12.15 Delta 11.00 Delta Adj Chg -0.74 -0.47 0.00 -3.12 Delta 9.79 6.40 Delta 17.35 Series 8 10y Tranche 0% .96 -1.14 -0.03 0.70 -0.05 0.3% 3% .09 0.75 0.30 0.79 38.02 0.00 Level Chg -0.12% 12% .71 -5.03 0.60 269.71 0.64 0.10 6.20 6.100% Index Ref Close 34.84 0.06 0.33 36.48 8.27 3.57 0.96 -1.6% 6% .60 5.83 42.22% 22% .55 1.06 BaseCorr Close Chg 32.12% 12% .22 5.07 -0.26 -0.38 -0.00 80 80 60 Base Correlation (%) 0 10 15 20 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.72 -0.50 121.22 15.55 -0.76 59.49 121.26 46.54 -2.24 57.00 Delta Adj Chg 0.12% 12% .28 -0.77 41.12% 12% .21 36.52 Series 8 7y Tranche 0% .3% 3% .24 46.21 2.06 0.59 -2.00 70 70 60 50 50 40 5 25 5 25 40 0 10 15 20 Attachment/Exhaustion Point (%) Current Week Month Level Chg -0.42 -4.06 -1.38 Series 6 10y Tranche 0% .92 -1.54 -2.57 0.9% 9% .48 47.00 0.10 0.01 0.85 88.29 1.9% 9% .22% 22% .74 252.22 111.66 -3.59 64.30 68.46 -1.94 75.03 BaseCorr Close Chg 29.00 5 25 Series 9 5y Tranche 0% .19 -2.22% 22% .01 0.00 Level Chg -0.98 0.3% 3% .05 -0.71 52.09 0.09 0.54 -0.96 5.6% 6% .47 -0.56 -2.87 0.14 -2.18 Delta 6.58 119.90 57.00 Delta Adj Chg -0.31 -0.01 2.75 -0.37 -0.3% 3% .76 -0.12% 12% .52 2.36 Delta 12.66 -0.13 18.9% 9% .83 46.63 -0.43 -4.01 0.35 0.09 Numbers in BOLD are quoted in Price space.38 112.60 34.00 Level Chg -0.9% 9% .75 -0.3% 3% . 6 .10 0.09 0.57 0.12% 12% .41 BaseCorr Close Chg 42.74 -1.83 49.15 0.15 268.40 0.9% 9% .22% 22% .12 -0.03 -0.6% 6% .04 47.15 7.79 -1.00 0.73 -0.28 -0.27 0.94 -1.05 0.96 -2.9% 9% .40 BaseCorr Close Chg 42.21 3.36 -0.09 -0.6% 6% .47 0.10 1.18 -0.60 -0.53 3.02 0.31 1.18 57.10 0.03 6.50 18.54 -4.22% 22% .57 0.48 -2.53 43.65 57.100% Index Ref Close 32.20 Delta 6.35 47.100% Index Ref Close 8.23 -0.90 4.42 -5.09 0.37 -0.16 1.40 3.75 107.10 BaseCorr Close Chg 35.46 -0.07 0.02 -0.50 -0.20 Delta 5.96 46.79 121.12% 12% .00 -0.20 4.73 50.6% 6% .83 -0.07 0.69 -0.00 2.37 -3.100% Index Ref Close 3.79 Series 7 10y Tranche 0% .50 30.00 Delta Adj Chg -0.11 -0.63 -2.23 86.05 -0.96 -1.09 1.9% 9% .12 -4.30 -0.53 84.01 0.09 -0.6% 6% .52 Series 7 7y Tranche 0% .3% 3% .24 0.32 74.16 -0.19 BaseCorr Close Chg 37.00 Delta Adj Chg 0.32 -4.13 BaseCorr Close Chg 35.77 -0.30 -0.79 268.00 Delta Adj Chg -0.100% Index Ref Close 35.51 0.01 0.52 Series 6 7y Tranche 0% .95 3.00 Delta Adj Chg 0.44 -0.25 0.09 Series 9 10y Tranche 0% .29 -2.3% 3% .65 1.98 40.17 -0.9% 9% .51 35.00 Level Chg -0.42 0.3% 3% .01 0.58 -0.10 -0.88 3.83 -0.55 51.04 34.53 62.00 1.3% 3% .05 -0.10 55.36 -0.47 -2.70 -0.21 8.

the credit default swap market is expected to change and the ISDA Credit Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. endorsed. Numbers in BOLD are quoted in Price space. so that an issuers current financial condition may be better or worse than a rating indicates. This presentation is not sponsored. Goldman Sachs does not make any representations as to (a) the suitability of any Credit Default Swap. Conflicts of Interest. securities. recommendation or warranty. persons who enter into Credit Default Swaps are also subject to the risk that the ISDA Credit Derivatives Definitions could be interpreted in a manner that would be adverse to them or that the credit derivatives market generally may evolve in a manner that would be adverse to them. or promoted by Markit or any of its members. While ISDA has published and supplemented the ISDA Credit Derivatives Definitions in order to facilitate transactions and promote uniformity in the credit default swap market. Accordingly. by virtue of its status as an underwriter. accounting. Goldman Sachs may from time be an active participant on both sides of the market and have long or short positions in. The parties to the Credit Default Swap will not have any recourse against any Reference Entity and will have no rights to enforce directly compliance by any Reference Entity with the terms of its obligations that are referred to in the Credit Default Swap. There can be no assurance that changes to the ISDA Credit Derivatives Definitions and other terms applicable to credit derivatives generally will be predictable. Goldman Sachs may have potential conflicts of interest due to present or future relationships between Goldman Sachs and any Reference Entity or any obligation of any Reference Entity. security arrangements and cash-flows associated with any Credit Default Swap as they deem appropriate to evaluate the merits and risks of any Credit Default Swap Goldman Sachs may. notice or other document which may at any time be supplied in connection with a Credit Default Swap and accepts no responsibility or liability therefore. Prospective counterparties should review the list of Reference Obligations and conduct their own investigation and analysis with regard to each Reference Obligation. no rights of set-off against any Reference Entity. Goldman Sachs does not make any representation. Also. market. Limited Provision of Information about Reference Obligations/Reference Entities: No information will be provided to prospective counterparties with respect to any Reference Obligation or Reference Entity. No Reliance: Goldman Sachs does not provide investment. structural and legal risks associated with each Reference Obligation. The Markit CDXsm Index referenced herein is/are the property of Markit and is used under license. credit ratings may not fully reflect the true risks underlying any Credit Default Swap. Credit Ratings: Credit ratings represent the rating agencies opinions regarding credit quality and are not a guarantee of quality. Therefore. to disclose. including the credit. no voting rights with respect to any Reference Entity and no security interest in any Reference Obligation. such status or nonpublic information in connection with any Credit Default Swap. and does not intend. including such independent investigation and analysis regarding the risks. Rating agencies attempt to evaluate the safety of principal and/or interest payments and do not evaluate the risks of fluctuations in market value. adequacy. rating agencies may fail to make timely changes in credit ratings in response to subsequent events. 7 . tax or legal advice in respect of the Credit Default Swaps and shall not have a fiduciary relationship with any counterparty to a Credit Default Swap. (b) the appropriate accounting treatment or possible tax consequences of any Credit Default Swap or (c) the future performance of any Credit Default Swap either in absolute terms or relative to competing investments. Reference Entities and the credit risk of their counterparty. In particular. possess or have access to non-publicly available information relating to the Reference Entities and/or the obligations of the Reference Entities (including the Reference Obligations) and has not undertaken. Concentration Risk/Structural Risk: The concentration of the Reference Obligations in the Index in one particular type of structured product security subjects the Credit Defaults Swap to a greater degree of risk with respect to defaults within such type of structured product security. this presentation may not contain all information that would be material to the evaluation of the merits and risks of entering into any Credit Default Swap. in addition to the credit risk of Reference Obligations. options or other derivatives identical or related to those mentioned herein.Index and Tranche Market Recap Current Date: 28Apr11 Change Window: 1 Business Day Disclaimer No Claims on the Reference Entities: Participation in a Credit Default Swap does not constitute a purchase or other acquisition or assignment of any interest in any obligation of any Reference Entity. Prospective counterparties should obtain their own independent accounting. Accordingly. Investors should conduct their own investigation and analysis with respect to the creditworthiness of each Reference Obligation and the likelihood of the occurrence of an event triggering payments under the Credit Default Swap occurring with respect to each Reference Entity and Reference Obligation. tax and legal advice and should consult their own professional investment advisor to ascertain the suitability of any Credit Default Swap. express or implied. commodities. advisor or otherwise. or buy and sell. Evolving Nature of the Credit Default Swap Market: Credit default swaps (including credit default swaps on asset backed securities) are relatively new instruments in the market. reasonableness or completeness of the information contained herein or in any further information. futures. Amendments or supplements to the ISDA Credit Derivatives Definitions that are published by ISDA will only apply to the Credit Default Swap if the Credit Default Swap is amended. regarding the accuracy. interest rate.

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