gs cdx vol analytics 27jan12

CDX17 + CDXHY17 5y

SECURITIES DIVISION | Credit Sales Strats | 26Jan12

Prepared by a Goldman Sachs sales and trading desk, which may have a position in the products mentioned that is inconsistent with the views expressed in this material. Inevaluating this material, you should know that it could have been previously provided to other clients and/or internal Goldman Sachs personnel, who could have already acted onit. The views or ideas expressed here are those of the desk and/or author only and are not an "official view" of Goldman Sachs; others at Goldman Sachs may have opinions ormay express views that are contrary to those herein. This material is not independent advice and is not a product of Global Investment Research.

Source: Goldman Sachs. Please see back of document for important assumptions, Risk Factors and disclaimers.

1

19Jan12 - 26Jan12 Summary: CDX S17 CDXHY S17

Index Close 101.5 97.5Index Low 101.5 96Index High 108 97.6Index Change -6.5 1.5

1w Realised Vol 31.6 37.41w Realised Vol Change 11.1 9.520Mar12 ATMFVol Close 47.2 55.920Mar12 ATMFVol Change -5 -020Jun12 ATMFVol Close 57.9 62.820Jun12 ATMFVol Change -1.7 -1.4

Expiration: 20Mar12

CDX S17 CDXHY S17

ATMFVol Change (% of Vol)

Jan

2012

DecNovOct

2011−60

−40

−20

0

20

Expiration: 20Jun12

CDX S17 CDXHY S17

ATMFVol Change (% of Vol)

231692

Jan2012

2619125

Dec2011

2821

−40

−30

−20

−10

0

10

North American Credit Index Option Trading Team

Taymour El Chammah Email: [email protected]

All prices are indicative only. Please contact your Goldman Sachs sales representative for live quotations.

CDX17 + CDXHY17 5y




2

CDX17 20Dec16 Expiration: MAR12

Underlier Spread Realised Vol Implied Vol

Vol Spread (bp per year)

Jan

2012

DecNovOctSepAug

201120

40

60

80

100

80

100

120

140

160

Expiration: JUN12



231692

Jan2012

2619125

Dec2011

2821

40

50

60

70

80

90

100

120

140

160

CDXHY17 100 Unfunded 20Dec16 - PMI Expiration: MAR12



Jan

2012

DecNovOctSepAug

201120

40

60

80

100

400

600

800

1,000

Expiration: JUN12



231692

Jan2012

2619125

Dec2011

2821

40

60

80

100

500

600

700

800

900

CDX17 + CDXHY17 5y




3

CDX17 20Dec16 Expiration: MAR12

Implied Vol S&P 500

Implied Vol (%) S&P 500

Jan

2012

DecNovOctSepAug

201140

60

80

100

1,000

1,100

1,200

1,300

1,400

Expiration: MAR12

Implied Vol VIX (%)

Implied Vol (%) VIX (%)

Jan

2012

DecNovOctSepAug

201140

60

80

100

10

20

30

40

50

CDXHY17 100 Unfunded 20Dec16 - PMI Expiration: MAR12

Implied Vol S&P 500

Implied Vol (%) S&P 500

Jan

2012

DecNovOctSepAug

201140

60

80

100

1,000

1,100

1,200

1,300

1,400

Expiration: MAR12

Implied Vol VIX (%)

Implied Vol (%) VIX (%)

Jan

2012

DecNovOctSepAug

201140

60

80

100

10

20

30

40

50

CDX17 + CDXHY17 5y




4

CDX17 20Dec16 MAR12 Implied Vol vs Index Spread

100 110 120 130 140 150

50

60

70

80

90

Impl

ied

Vol

(%

)

Index Spread

Implied Vol (%) R-sq:0.76 Beta:0.66 Y-intercept:-10.85Current

JUN12 Implied Vol vs Index Spread

110 120 130 140

60

70

80

Impl

ied

Vol

(%

)

Index Spread

Implied Vol (%) R-sq:0.78 Beta:0.60 Y-intercept:-3.50Current

CDXHY17 100 Unfunded 20Dec16 - PMI MAR12 Implied Vol vs Index Price

90 95 10050

60

70

80

90

100

Impl

ied

Vol

(%

)Index Price

Implied Vol (%) R-sq:0.44 Beta:-2.77 Y-intercept:334.14Current

JUN12 Implied Vol vs Index Price

88 90 92 94 9660

70

80

90

Impl

ied

Vol

(%

)

Index Price


CDX17 + CDXHY17 5y




5

CDX17 20Dec16 Implied Vol vs S&P 500

1100 1150 1200 1250 1300

50

60

70

80

90

Impl

ied

Vol

(%

)

S&P 500


Implied Vol vs VIX (%)

20 30 40

50

60

70

80

90

Impl

ied

Vol

(%

)

VIX (%)

Implied Vol (%) R-sq:0.53 Beta:1.02 Y-intercept:39.75Current

CDXHY17 100 Unfunded 20Dec16 - PMI Implied Vol vs S&P 500

1100 1150 1200 1250 130050

60

70

80

90

100

Impl

ied

Vol

(%

)S&P 500


Implied Vol vs VIX (%)

20 30 4050

60

70

80

90

100

Impl

ied

Vol

(%

)

VIX (%)

Implied Vol (%) R-sq:0.60 Beta:1.36 Y-intercept:36.79Current

CDX17 + CDXHY17 5y




6

CDX17 20Dec16 Straddle Quote Table

Fwd Fwd SDV01 50 60 70 80 90 100 110 120 130 140 150 160Ref rate: 101.5

20Mar12 104.85 4.52 254 207 160 115 81 67 76 101 135 172 212 252

20Jun12 111.06 4.25 267 223 184 154 136 130 135 149 171 198 228 261

Straddle Vol Table 50 60 70 80 90 100 110 120 130 140 150 160

20Mar12 28.9 32.3 35.9 39.4 42.4 45.5 49.6 54.7 59.6 64 67.9 71.2

20Jun12 40 44 47.5 50.5 53.1 55.4 57.6 60.1 62.9 65.6 68.1 70.6

Vol (%)

Spread Strike (bp)

60 80 100 120 140 16020

30

40

50

60

70

80

20Mar12 20Jun12

Risk Measures Table 50 60 70 80 90 100 110 120 130 140 150 160

Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Ref rate: 101.5

20Mar12 Price % 100 0 100 0 100 0 99.2 0.8 91.8 8.2 66.5 33.5 34.6 65.4 16.3 83.7 8.2 91.8 4.5 95.5 2.6 97.4 1.6 98.4Delta -100 0 -100 0 -100 0 -97 3 -85 15 -64 36 -44 56 -30 70 -20 80 -14 86 -10 90 -8 92Gamma 0 0 0 0 0.03 0.03 0.42 0.42 1.39 1.39 2.11 2.11 2.07 2.07 1.66 1.66 1.25 1.25 0.94 0.94 0.71 0.71 0.54 0.54Vega 0 0 0 0 89 89 1,319 1,319 4,365 4,365 6,805 6,805 7,137 7,137 6,237 6,237 5,117 5,117 4,119 4,119 3,296 3,296 2,633 2,633Theta -2,604 0 -2,600 0 -2,617 -22 -2,968 -377 -3,878 -1,291 -4,500 -1,918 -4,380 -1,802 -3,881 -1,307 -3,306 -736 -2,767 -200 -2,292 270 -1,885 674

20Jun12 Price % 100 0 99.8 0.2 98.5 1.5 93.7 6.3 83.4 16.6 68.3 31.7 51.7 48.3 37.3 62.7 26.5 73.5 19.1 80.9 14.1 85.9 10.6 89.4Delta -100 0 -99 1 -96 4 -88 12 -78 22 -68 32 -57 43 -48 52 -41 59 -35 65 -30 70 -26 74Gamma 0.01 0.01 0.08 0.08 0.31 0.31 0.61 0.61 0.87 0.87 1.02 1.02 1.08 1.08 1.05 1.05 0.98 0.98 0.9 0.9 0.81 0.81 0.73 0.73Vega 51 51 727 727 2,828 2,828 5,833 5,833 8,607 8,607 10,519 10,519 11,479 11,479 11,676 11,676 11,390 11,390 10,854 10,854 10,213 10,213 9,547 9,547Theta -2,604 -5 -2,672 -78 -2,911 -322 -3,258 -673 -3,552 -973 -3,702 -1,127 -3,704 -1,134 -3,609 -1,043 -3,462 -900 -3,289 -732 -3,109 -556 -2,931 -382

CDX17 + CDXHY17 5y




7

CDXHY17 100 Unfunded 20Dec16 - PMI Straddle Quote Table

Fwd Fwd SDV01 102 101 100 99 98 97 96 95 94 93 92 91Ref rate: 97.5

20Mar12 96.77 3.75 538 466 407 365 343 343 363 400 451 513 583 659

20Jun12 95.52 3.47 734 684 647 621 607 605 615 637 668 709 757 811

Straddle Vol Table 102 101 100 99 98 97 96 95 94 93 92 91

20Mar12 49.1 50 50.7 51.5 52.3 53.5 55.1 57 59 61 63.1 65.2

20Jun12 54.5 55.6 56.6 57.6 58.6 59.5 60.5 61.7 62.9 64.2 65.5 66.8

Vol (%)

Price Strike

9294969810010245

50

55

60

65

70

20Mar12 20Jun12

Risk Measures Table 102 101 100 99 98 97 96 95 94 93 92 91

Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Call Put Ref rate: 97.5

20Mar12 Price % 97.6 2.4 94.6 5.4 89 11 80 20 67.7 32.3 53.4 46.6 39.8 60.2 28.5 71.5 20.1 79.9 14.1 85.9 10 90 7.2 92.8Delta -93 7 -88 12 -81 19 -73 27 -64 36 -55 45 -46 54 -38 62 -32 68 -26 74 -22 78 -18 82Gamma 0.61 0.61 0.91 0.91 1.22 1.22 1.48 1.48 1.65 1.65 1.71 1.71 1.67 1.67 1.56 1.56 1.41 1.41 1.24 1.24 1.08 1.08 0.94 0.94Vega 10,820 10,820 16,185 16,185 21,631 21,631 26,370 26,370 29,761 29,761 31,457 31,457 31,500 31,500 30,269 30,269 28,232 28,232 25,793 25,793 23,232 23,232 20,725 20,725Theta -15,325 -3,933 -17,298 -5,891 -19,210 -7,787 -20,716 -9,277 -21,574-10,120-21,723-10,252-21,228 -9,741 -20,232 -8,729 -18,914 -7,395 -17,431 -5,897 -15,901 -4,351 -14,397 -2,831

20Jun12 Price % 93.3 6.7 89.3 10.7 84 16 77.5 22.5 70.1 29.9 62.1 37.9 53.9 46.1 46.1 53.9 39 61 32.7 67.3 27.3 72.7 22.8 77.2Delta -87 13 -82 18 -77 23 -72 28 -67 33 -62 38 -56 43 -52 48 -47 53 -43 57 -39 61 -35 65Gamma 0.57 0.57 0.67 0.67 0.76 0.76 0.84 0.84 0.89 0.89 0.92 0.92 0.93 0.93 0.92 0.92 0.9 0.9 0.87 0.87 0.83 0.83 0.79 0.79Vega 26,401 26,401 32,008 32,008 37,019 37,019 41,224 41,224 44,514 44,514 46,857 46,857 48,280 48,280 48,858 48,858 48,717 48,717 47,999 47,999 46,840 46,840 45,362 45,362Theta -14,513 -3,244 -15,173 -3,889 -15,712 -4,411 -16,094 -4,778 -16,306 -4,973 -16,349 -5,001 -16,244 -4,880 -16,016 -4,636 -15,688 -4,292 -15,279 -3,867 -14,812 -3,384 -14,304 -2,860

CDX17 + CDXHY17 5y




8

Skew By Delta 15Feb12

(Vol

_i-V

ol_5

0)/V

ol_5

0

10% Put

20% Put

30% Put

40% Put

50% 40% Call

30% Call

20% Call

10% Call

-0.1

0.0

0.1

0.2

0.3

0.4CDX S17 CDXHY S17

Skew Table Index Skew 1w Skew Chg

CDX S17 0.15 -0.09

CDXHY S17 0.17 0.01

Skew By Delta 21Mar12

(Vol

_i-V

ol_5

0)/V

ol_5

0

10% Put

20% Put

30% Put

40% Put

50% 40% Call

30% Call

20% Call

10% Call

-0.2

-0.1

0.0

0.1

0.2

0.3

0.4



CDX S17 0.27 -0.04

CDXHY S17 0.2 -0.03

CDX17 + CDXHY17 5y




9

Skew By Delta 20Jun12

(Vol

_i-V

ol_5

0)/V

ol_5

0

10% Put

20% Put

30% Put

40% Put

50% 40% Call

30% Call

20% Call

10% Call

-0.2

-0.1

0.0

0.1

0.2

0.3

0.4



CDX S17 0.29 -0.06

CDXHY S17 0.26 0.01

CDX17 + CDXHY17 5y




10

CDX17 20Dec16 PDF 20Mar12

Pro

babi

ity (

%)

50 60 70 80 90 100 110 120 130 140 150 160

0

5

10

15

20

25

26Jan12 19Jan12

PDF 20Jun12

Pro

babi

ity (

%)

50 60 70 80 90 100 110 120 130 140 150 160

0

2

4

6

8

10

12

14

26Jan12 19Jan12

CDXHY17 100 Unfunded 20Dec16 - PMI PDF 20Mar12

Pro

babi

ity (

%)

102 101 100 99 98 97 96 95 94 93 92 910

2

4

6

8

10

12

26Jan12 19Jan12

PDF 20Jun12

Pro

babi

ity (

%)

102 101 100 99 98 97 96 95 94 93 92 910

1

2

3

4

5

6

26Jan12 19Jan12

CDX17 + CDXHY17 5y




11

CDX17 20Dec16 PDF 20Mar12

Pro

babi

ity (

%)

50 60 70 80 90 100 110 120 130 140 150 160

0

5

10

15

20

25

Vol Surface Flat ATMF Vol

PDF 20Jun12

Pro

babi

ity (

%)

50 60 70 80 90 100 110 120 130 140 150 160

0

2

4

6

8

10

12

14


CDXHY17 100 Unfunded 20Dec16 - PMI PDF 20Mar12

Pro

babi

ity (

%)

102 101 100 99 98 97 96 95 94 93 92 910

2

4

6

8

10

12


PDF 20Jun12

Pro

babi

ity (

%)

102 101 100 99 98 97 96 95 94 93 92 910

1

2

3

4

5

6


CDX17 + CDXHY17 5y




12

CDX17 20Dec16 CDF 20Mar12

Pro

babi

ity (

%)

50 60 70 80 90 100 110 120 130 140 150 160

0

20

40

60

80

100

120


CDF 20Jun12

Pro

babi

ity (

%)

50 60 70 80 90 100 110 120 130 140 150 160

0

20

40

60

80

100

120


CDXHY17 100 Unfunded 20Dec16 - PMI CDF 20Mar12

Pro

babi

ity (

%)

102 101 100 99 98 97 96 95 94 93 92 910

20

40

60

80

100


CDF 20Jun12

Pro

babi

ity (

%)

102 101 100 99 98 97 96 95 94 93 92 910

10

20

30

40

50

60

70


CDX17 + CDXHY17 5y




13

CDX17 20Dec16 Straddle/Strangle Breakeven Table: 20Mar12 - ATMF: 105

60 70 80 90 100 110 120 130 140 150 16060 207 (17-105) 160 (26-105) 115 (36-105) 74 (44-106) 44 (51-110) 26 (54-116) 17 (56-124) 11 (58-132) 8 (58-142) 6 (59-151) 4 (59-161)70 160 (36-105) 115 (46-105) 74 (54-106) 44 (60-110) 26 (64-116) 17 (66-124) 11 (68-132) 8 (68-142) 6 (69-151) 4 (69-161)80 115 (55-105) 75 (64-107) 45 (70-110) 27 (74-116) 17 (76-124) 12 (77-133) 9 (78-142) 6 (79-151) 5 (79-161)90 81 (72-108) 51 (79-111) 33 (83-117) 23 (85-125) 18 (86-134) 14 (87-143) 12 (87-153) 11 (88-162)100 67 (85-115) 49 (89-121) 39 (91-129) 33 (93-138) 30 (93-147) 28 (94-156) 26 (94-166)110 76 (93-127) 66 (95-135) 61 (97-144) 57 (97-153) 55 (98-163) 54 (98-172)120 101 (98-143) 96 (99-152) 92 (100-161) 90 (100-171) 89 (100-181)130 135 (100-161) 132 (101-170) 129 (101-180) 128 (102-190)140 172 (101-180) 170 (102-190) 169 (102-199)150 212 (102-199) 210 (103-209)160 252 (103-220)

Straddle/Strangle Breakeven Table: 20Jun12 - ATMF: 111 60 70 80 90 100 110 120 130 140 150 160

60 223 (11-111) 181 (20-112) 144 (28-113) 114 (35-116) 89 (40-121) 70 (44-126) 56 (47-133) 46 (50-141) 38 (51-149) 33 (53-158) 28 (54-167)70 184 (29-112) 147 (37-114) 116 (44-117) 91 (49-121) 72 (54-127) 59 (57-134) 48 (59-141) 41 (61-150) 35 (62-158) 30 (63-167)80 154 (45-116) 123 (52-119) 98 (58-123) 79 (62-129) 65 (65-135) 55 (67-143) 48 (69-151) 42 (70-160) 37 (72-169)90 136 (59-122) 111 (65-126) 92 (69-132) 78 (72-138) 68 (74-146) 60 (76-154) 55 (78-163) 50 (79-172)100 130 (70-130) 111 (75-136) 97 (78-143) 87 (80-151) 79 (82-159) 73 (83-168) 69 (84-177)110 135 (79-142) 121 (82-149) 111 (84-156) 103 (86-165) 97 (88-174) 93 (89-183)120 149 (85-156) 139 (88-163) 132 (89-172) 126 (91-181) 121 (92-190)130 171 (90-171) 164 (92-180) 158 (93-189) 153 (94-198)140 198 (94-188) 192 (95-197) 188 (96-206)150 228 (96-206) 224 (97-215)160 261 (98-225)

CDXHY17 100 Unfunded 20Dec16 - PMI Straddle/Strangle Breakeven Table: 20Mar12 - ATMF: 96.77

108 106 104 102 100 98 96 94 92 90 88108 1123 (119.2-96.8) 923 (117.2-96.8) 725 (115.3-96.8) 537 (113.4-96.6) 370 (111.7-96.3) 237 (110.4-95.6) 147 (109.5-94.5) 92 (108.9-93.1) 60 (108.6-91.4) 40 (108.4-89.6) 27 (108.3-87.7)106 923 (115.2-96.8) 726 (113.3-96.8) 537 (111.4-96.6) 370 (109.7-96.3) 237 (108.4-95.6) 147 (107.5-94.5) 93 (106.9-93.1) 60 (106.6-91.4) 40 (106.4-89.6) 27 (106.3-87.7)104 727 (111.3-96.7) 539 (109.4-96.6) 372 (107.7-96.3) 239 (106.4-95.6) 149 (105.5-94.5) 94 (105.0-93.1) 62 (104.6-91.4) 42 (104.4-89.6) 29 (104.3-87.7)102 549 (107.5-96.5) 382 (105.8-96.2) 250 (104.5-95.5) 160 (103.6-94.4) 105 (103.1-93.0) 73 (102.7-91.3) 53 (102.5-89.5) 40 (102.4-87.6)100 415 (104.2-95.9) 283 (102.8-95.2) 193 (101.9-94.1) 138 (101.4-92.6) 106 (101.1-91.0) 85 (100.9-89.2) 73 (100.7-87.3)98 350 (101.5-94.5) 260 (100.6-93.4) 206 (100.1-92.0) 173 (99.7-90.3) 153 (99.5-88.5) 140 (99.4-86.6)96 370 (99.7-92.3) 315 (99.2-90.9) 283 (98.8-89.2) 263 (98.6-87.4) 250 (98.5-85.5)94 461 (98.6-89.4) 428 (98.3-87.7) 408 (98.1-85.9) 395 (98.0-84.1)92 595 (98.0-86.1) 575 (97.8-84.3) 562 (97.6-82.4)90 755 (97.6-82.5) 742 (97.4-80.6)88 929 (97.3-78.7)

Straddle/Strangle Breakeven Table: 20Jun12 - ATMF: 95.52 108 106 104 102 100 98 96 94 92 90 88

108 1248 (120.5-95.5) 1052 (118.5-95.5) 866 (116.7-95.4) 699 (115.0-95.0) 555 (113.6-94.5) 435 (112.4-93.7) 339 (111.4-92.6) 266 (110.7-91.4) 212 (110.1-89.9) 170 (109.7-88.3) 139 (109.4-86.6)106 1056 (116.6-95.5) 870 (114.7-95.3) 703 (113.0-95.0) 558 (111.6-94.4) 438 (110.4-93.6) 343 (109.4-92.6) 270 (108.7-91.3) 215 (108.2-89.9) 174 (107.8-88.3) 143 (107.4-86.6)104 884 (112.9-95.2) 717 (111.2-94.8) 572 (109.7-94.3) 452 (108.5-93.5) 357 (107.6-92.4) 284 (106.9-91.2) 229 (106.3-89.7) 188 (105.9-88.1) 157 (105.6-86.4)102 749 (109.5-94.5) 605 (108.1-94.0) 485 (106.9-93.2) 389 (105.9-92.1) 316 (105.2-90.9) 262 (104.6-89.4) 220 (104.2-87.8) 189 (103.9-86.1)100 660 (106.6-93.4) 540 (105.4-92.6) 444 (104.5-91.6) 372 (103.7-90.3) 317 (103.2-88.8) 276 (102.8-87.3) 244 (102.5-85.6)98 620 (104.2-91.8) 524 (103.3-90.8) 451 (102.5-89.5) 397 (102.0-88.0) 355 (101.6-86.5) 324 (101.3-84.8)96 628 (102.3-89.7) 555 (101.6-88.5) 501 (101.0-87.0) 459 (100.6-85.4) 428 (100.3-83.7)94 682 (100.8-87.2) 627 (100.3-85.7) 586 (99.9-84.2) 554 (99.6-82.5)92 772 (99.7-84.3) 731 (99.3-82.7) 699 (99.0-81.0)90 889 (98.9-81.1) 858 (98.6-79.4)88 1026 (98.3-77.8)

CDX17 + CDXHY17 5y




14

CDX17 20Dec16 Payer Spread Table: 20Mar12 - ATMF: 105

105 110 115 120 125 130 135 140 145 150100 10 (1.17) 18 (1.49) 24 (1.85) 28 (2.23) 31 (2.63) 33 (3.04) 35 (3.46) 37 (3.88) 38 (4.31) 39 (4.74)105 8 (1.93) 13 (2.39) 17 (2.88) 21 (3.38) 23 (3.90) 25 (4.43) 26 (4.97) 27 (5.51) 28 (6.05)110 6 (3.02) 10 (3.63) 13 (4.26) 15 (4.91) 17 (5.57) 19 (6.23) 20 (6.91) 21 (7.59)115 4 (4.45) 7 (5.22) 10 (6.01) 11 (6.81) 13 (7.63) 14 (8.46) 15 (9.29)120 3 (6.25) 5 (7.18) 7 (8.14) 9 (9.12) 10 (10.10) 11 (11.10)125 2 (8.41) 4 (9.53) 6 (10.67) 7 (11.83) 8 (13.00)130 2 (10.96) 3 (12.27) 5 (13.61) 6 (14.97)135 1 (13.92) 3 (15.45) 4 (17.01)140 1 (17.33) 2 (19.09)145 1 (21.24)

Payer Spread Table: 20Jun12 - ATMF: 111 105 110 115 120 125 130 135 140 145 150

100 10 (1.12) 19 (1.27) 27 (1.43) 33 (1.60) 38 (1.79) 43 (1.97) 47 (2.16) 51 (2.36) 54 (2.56) 56 (2.75)105 9 (1.44) 16 (1.62) 23 (1.82) 28 (2.02) 33 (2.23) 37 (2.45) 41 (2.67) 44 (2.89) 46 (3.11)110 8 (1.84) 14 (2.06) 19 (2.29) 24 (2.53) 28 (2.77) 32 (3.01) 35 (3.26) 38 (3.51)115 6 (2.32) 12 (2.58) 17 (2.84) 21 (3.10) 24 (3.38) 27 (3.65) 30 (3.93)120 5 (2.88) 10 (3.16) 14 (3.46) 18 (3.76) 21 (4.06) 24 (4.36)125 5 (3.50) 9 (3.82) 12 (4.15) 15 (4.48) 18 (4.81)130 4 (4.20) 8 (4.55) 11 (4.91) 13 (5.28)135 4 (4.96) 7 (5.35) 9 (5.75)140 3 (5.80) 6 (6.22)145 3 (6.70)

CDXHY17 100 Unfunded 20Dec16 - PMI Payer Spread Table: 20Mar12 - ATMF: 96.77

96 95 94 93 92 91 90 89 88 8797 40 (1.52) 71 (1.83) 94 (2.18) 113 (2.54) 127 (2.93) 138 (3.34) 147 (3.76) 154 (4.19) 160 (4.63) 164 (5.08)96 31 (2.24) 55 (2.66) 73 (3.10) 87 (3.58) 99 (4.07) 107 (4.58) 114 (5.12) 120 (5.66) 125 (6.22)95 24 (3.20) 42 (3.74) 57 (4.31) 68 (4.91) 77 (5.53) 84 (6.18) 89 (6.84) 94 (7.52)94 18 (4.44) 33 (5.12) 44 (5.84) 53 (6.58) 60 (7.37) 65 (8.17) 70 (8.99)93 14 (6.00) 25 (6.86) 34 (7.74) 41 (8.68) 47 (9.63) 52 (10.62)92 11 (7.95) 20 (8.97) 27 (10.09) 33 (11.21) 37 (12.38)91 9 (10.26) 16 (11.60) 22 (12.90) 26 (14.28)90 7 (13.30) 13 (14.74) 17 (16.34)89 6 (16.50) 10 (18.41)88 5 (20.77)

Payer Spread Table: 20Jun12 - ATMF: 95.52 96 95 94 93 92 91 90 89 88 87

97 45 (1.23) 84 (1.39) 118 (1.55) 147 (1.72) 172 (1.90) 194 (2.09) 214 (2.28) 230 (2.47) 245 (2.67) 258 (2.87)96 39 (1.56) 73 (1.75) 102 (1.94) 127 (2.14) 149 (2.34) 169 (2.56) 186 (2.77) 200 (2.99) 213 (3.22)95 34 (1.96) 63 (2.17) 88 (2.39) 110 (2.62) 130 (2.85) 147 (3.09) 161 (3.34) 174 (3.59)94 29 (2.41) 55 (2.66) 77 (2.91) 96 (3.17) 113 (3.43) 128 (3.71) 141 (3.98)93 25 (2.94) 47 (3.22) 67 (3.50) 83 (3.79) 98 (4.09) 111 (4.39)92 22 (3.54) 41 (3.85) 58 (4.16) 73 (4.49) 86 (4.82)91 19 (4.20) 36 (4.55) 51 (4.91) 64 (5.26)90 17 (4.94) 32 (5.34) 45 (5.72)89 15 (5.78) 28 (6.19)88 13 (6.64)

CDX17 + CDXHY17 5y




15

CDX17 20Dec16 Receiver Spread Table: 20Mar12 - ATMF: 105

75 80 85 90 95 100 105 110 115 12070 0 (132.95) 1 (51.74) 3 (23.92) 7 (12.89) 13 (7.81) 22 (5.17) 35 (3.65) 49 (2.71) 66 (2.10) 85 (1.70)75 1 (31.78) 3 (16.68) 6 (9.67) 13 (6.13) 22 (4.17) 34 (3.00) 49 (2.25) 66 (1.76) 84 (1.43)80 2 (11.09) 6 (6.97) 12 (4.65) 21 (3.27) 34 (2.40) 49 (1.82) 65 (1.44) 84 (1.17)85 4 (4.94) 10 (3.45) 20 (2.50) 32 (1.87) 47 (1.44) 64 (1.15) 82 (0.94)90 6 (2.56) 16 (1.91) 28 (1.45) 43 (1.13) 60 (0.90) 78 (0.74)95 9 (1.45) 21 (1.12) 36 (0.87) 53 (0.70) 72 (0.58)100 12 (0.86) 27 (0.67) 44 (0.54) 62 (0.45)105 15 (0.52) 32 (0.42) 50 (0.35)110 17 (0.33) 35 (0.28)115 18 (0.23)

Receiver Spread Table: 20Jun12 - ATMF: 111 75 80 85 90 95 100 105 110 115 120

70 3 (6.96) 7 (5.38) 13 (4.27) 20 (3.47) 28 (2.87) 38 (2.42) 50 (2.08) 62 (1.80) 76 (1.57) 91 (1.39)75 4 (4.32) 10 (3.50) 17 (2.89) 25 (2.43) 35 (2.07) 47 (1.79) 59 (1.56) 73 (1.37) 88 (1.21)80 6 (2.90) 13 (2.43) 21 (2.06) 31 (1.77) 43 (1.54) 55 (1.35) 69 (1.19) 84 (1.06)85 7 (2.06) 16 (1.77) 26 (1.53) 37 (1.34) 50 (1.18) 64 (1.04) 78 (0.93)90 9 (1.52) 19 (1.33) 30 (1.16) 43 (1.03) 56 (0.91) 71 (0.81)95 10 (1.16) 21 (1.02) 34 (0.90) 48 (0.80) 63 (0.71)100 11 (0.90) 24 (0.80) 38 (0.71) 53 (0.63)105 13 (0.70) 26 (0.62) 41 (0.56)110 14 (0.55) 29 (0.49)115 15 (0.44)

CDXHY17 100 Unfunded 20Dec16 - PMI Receiver Spread Table: 20Mar12 - ATMF: 96.77

104 103 102 101 100 99 98 97 96 95105 1 (67.69) 5 (38.60) 12 (23.28) 25 (14.91) 45 (10.07) 74 (7.12) 113 (5.22) 162 (3.93) 222 (3.05) 291 (2.43)104 4 (26.82) 11 (17.35) 24 (11.66) 44 (8.15) 72 (5.90) 111 (4.40) 161 (3.35) 221 (2.62) 290 (2.10)103 7 (12.69) 20 (8.95) 40 (6.48) 69 (4.81) 108 (3.65) 157 (2.82) 217 (2.22) 286 (1.79)102 13 (6.82) 33 (5.10) 62 (3.88) 100 (2.99) 150 (2.34) 210 (1.86) 279 (1.51)101 20 (4.00) 49 (3.10) 87 (2.43) 137 (1.92) 197 (1.53) 266 (1.25)100 29 (2.48) 67 (1.96) 117 (1.56) 177 (1.26) 246 (1.03)99 39 (1.58) 88 (1.26) 149 (1.02) 218 (0.84)98 50 (1.01) 110 (0.82) 179 (0.68)97 60 (0.66) 129 (0.55)96 69 (0.45)

Receiver Spread Table: 20Jun12 - ATMF: 95.52 104 103 102 101 100 99 98 97 96 95

105 9 (10.35) 22 (8.00) 41 (6.32) 66 (5.10) 96 (4.19) 133 (3.51) 176 (2.98) 225 (2.56) 280 (2.21) 341 (1.93)104 13 (6.45) 32 (5.21) 57 (4.28) 88 (3.57) 124 (3.02) 167 (2.59) 216 (2.24) 271 (1.95) 332 (1.71)103 19 (4.33) 43 (3.61) 74 (3.05) 111 (2.61) 154 (2.25) 203 (1.96) 258 (1.72) 318 (1.51)102 25 (3.06) 55 (2.62) 92 (2.26) 135 (1.96) 184 (1.72) 239 (1.51) 300 (1.34)101 31 (2.26) 68 (1.96) 110 (1.72) 159 (1.51) 214 (1.33) 275 (1.18)100 37 (1.72) 80 (1.51) 129 (1.33) 184 (1.18) 244 (1.05)99 43 (1.33) 92 (1.18) 147 (1.04) 208 (0.93)98 49 (1.04) 104 (0.92) 165 (0.82)97 55 (0.82) 116 (0.73)96 61 (0.65)

CDX17 + CDXHY17 5y




16

CDX17 20Dec16 Payer Butterfly Breakeven Table: 20Mar12 - ATMF: 105

Middle Width Strike 20 25 30 35 40 45 50 55 60 65 Straddle60 0 (119.5) 1 (90.2) 1 (68.8) 2 (52.4) 2 (39.7) 4 (30.2) 5 (23.2) 7 (18.0) 10 (14.2) 13 (11.5) 20770 1 (38.3) 2 (26.8) 4 (19.6) 6 (14.8) 8 (11.6) 11 ( 9.3) 15 ( 7.7) 20 ( 6.4) 26 ( 5.5) 32 ( 4.8) 16080 5 ( 8.8) 8 ( 7.0) 12 ( 5.8) 17 ( 4.9) 22 ( 4.2) 28 ( 3.7) 35 ( 3.3) 43 ( 3.0) 51 ( 2.8) 60 ( 2.5) 11590 10 ( 4.5) 16 ( 3.6) 22 ( 3.1) 30 ( 2.7) 38 ( 2.5) 46 ( 2.3) 55 ( 2.1) 65 ( 2.0) 75 ( 1.9) 85 ( 1.8) 81100 12 ( 3.9) 18 ( 3.2) 25 ( 2.7) 33 ( 2.4) 42 ( 2.2) 52 ( 2.0) 62 ( 1.9) 72 ( 1.8) 82 ( 1.7) 93 ( 1.6) 67110 8 ( 5.3) 13 ( 4.3) 19 ( 3.6) 25 ( 3.1) 33 ( 2.8) 41 ( 2.5) 50 ( 2.3) 60 ( 2.1) 70 ( 2.0) 80 ( 1.9) 76120 4 (10.5) 7 ( 8.2) 10 ( 6.7) 14 ( 5.5) 19 ( 4.7) 25 ( 4.1) 31 ( 3.6) 39 ( 3.2) 47 ( 2.9) 56 ( 2.6) 101130 2 (21.1) 3 (16.5) 5 (13.3) 7 (11.0) 10 ( 9.3) 13 ( 7.9) 17 ( 6.8) 21 ( 5.9) 26 ( 5.1) 32 ( 4.5) 135140 1 (38.5) 2 (30.3) 3 (24.7) 4 (20.6) 5 (17.4) 7 (14.9) 9 (12.9) 11 (11.2) 14 ( 9.7) 17 ( 8.5) 172150 1 (64.1) 1 (50.7) 2 (41.5) 2 (34.9) 3 (29.8) 4 (25.8) 5 (22.5) 6 (19.7) 8 (17.4) 9 (15.3) 212160 0 (99.3) 1 (78.7) 1 (64.8) 1 (54.8) 2 (47.1) 2 (41.0) 3 (36.1) 4 (32.0) 5 (28.4) 6 (25.4) 252

Payer Butterfly Breakeven Table: 20Jun12 - ATMF: 111 Middle Width Strike 20 25 30 35 40 45 50 55 60 65 Straddle60 2 (18.8) 4 (14.8) 6 (12.1) 8 (10.2) 10 ( 8.7) 13 ( 7.6) 17 ( 6.8) 20 ( 6.1) 25 ( 5.5) 29 ( 5.0) 22370 5 ( 9.3) 7 ( 7.5) 11 ( 6.3) 14 ( 5.5) 18 ( 4.9) 23 ( 4.4) 27 ( 4.1) 33 ( 3.8) 38 ( 3.5) 44 ( 3.3) 18480 6 ( 7.1) 10 ( 5.8) 14 ( 4.9) 18 ( 4.3) 23 ( 3.8) 29 ( 3.4) 35 ( 3.2) 42 ( 2.9) 49 ( 2.7) 56 ( 2.6) 15490 6 ( 7.0) 10 ( 5.7) 14 ( 4.7) 19 ( 4.1) 24 ( 3.6) 30 ( 3.2) 37 ( 3.0) 44 ( 2.7) 52 ( 2.5) 60 ( 2.4) 136100 6 ( 7.6) 9 ( 6.1) 13 ( 5.1) 17 ( 4.4) 23 ( 3.9) 28 ( 3.4) 35 ( 3.1) 42 ( 2.9) 49 ( 2.7) 57 ( 2.5) 130110 5 ( 8.6) 8 ( 6.9) 11 ( 5.8) 15 ( 5.0) 19 ( 4.4) 24 ( 4.0) 30 ( 3.6) 36 ( 3.3) 43 ( 3.0) 50 ( 2.8) 135120 4 (11.3) 6 ( 9.0) 9 ( 7.5) 12 ( 6.4) 15 ( 5.7) 19 ( 5.0) 24 ( 4.5) 29 ( 4.1) 34 ( 3.8) 40 ( 3.5) 149130 3 (16.3) 4 (13.0) 6 (10.7) 8 ( 9.1) 11 ( 7.9) 14 ( 6.9) 17 ( 6.2) 21 ( 5.6) 25 ( 5.1) 30 ( 4.7) 171140 2 (23.5) 3 (18.7) 4 (15.4) 6 (13.1) 7 (11.3) 10 (10.0) 12 ( 8.8) 15 ( 7.9) 18 ( 7.2) 21 ( 6.5) 198150 1 (33.2) 2 (26.4) 3 (21.9) 4 (18.6) 5 (16.1) 7 (14.1) 8 (12.6) 10 (11.3) 12 (10.2) 15 ( 9.2) 228160 1 (45.9) 1 (36.6) 2 (30.3) 3 (25.8) 4 (22.3) 5 (19.6) 6 (17.5) 7 (15.7) 9 (14.2) 11 (12.9) 261

CDXHY17 100 Unfunded 20Dec16 - PMI Payer Butterfly Breakeven Table: 20Mar12 - ATMF: 96.77

Middle Width Strike 4 5 6 7 8 9 10 11 12 13 Straddle108 0 (1702.0) 0 (916.4) 1 (521.5) 1 (313.1) 2 (196.9) 3 (129.8) 6 (88.9) 9 (63.3) 13 (46.4) 19 (35.1) 1123106 2 (111.4) 3 (77.4) 5 (55.7) 8 (41.4) 13 (31.5) 18 (24.6) 25 (19.6) 34 (16.0) 45 (13.2) 59 (11.1) 923104 9 (22.3) 14 (17.2) 22 (13.8) 31 (11.4) 42 ( 9.6) 55 ( 8.2) 70 ( 7.1) 89 ( 6.2) 109 ( 5.5) 133 ( 4.9) 727102 22 ( 9.1) 34 ( 7.3) 49 ( 6.1) 67 ( 5.2) 87 ( 4.6) 111 ( 4.1) 137 ( 3.6) 166 ( 3.3) 197 ( 3.0) 231 ( 2.8) 549100 35 ( 5.8) 54 ( 4.6) 77 ( 3.9) 104 ( 3.4) 134 ( 3.0) 166 ( 2.7) 201 ( 2.5) 238 ( 2.3) 277 ( 2.2) 317 ( 2.1) 41598 42 ( 4.7) 65 ( 3.9) 91 ( 3.3) 121 ( 2.9) 155 ( 2.6) 191 ( 2.4) 229 ( 2.2) 269 ( 2.0) 311 ( 1.9) 354 ( 1.8) 35096 35 ( 5.7) 55 ( 4.6) 78 ( 3.8) 105 ( 3.3) 135 ( 3.0) 168 ( 2.7) 204 ( 2.5) 242 ( 2.3) 282 ( 2.1) 324 ( 2.0) 37094 22 ( 9.1) 35 ( 7.2) 51 ( 5.9) 70 ( 5.0) 92 ( 4.3) 118 ( 3.8) 146 ( 3.4) 178 ( 3.1) 212 ( 2.8) 248 ( 2.6) 46192 13 (15.9) 20 (12.5) 29 (10.2) 41 ( 8.6) 55 ( 7.3) 71 ( 6.3) 90 ( 5.6) 112 ( 4.9) 136 ( 4.4) 164 ( 4.0) 59590 7 (27.2) 12 (21.4) 17 (17.6) 24 (14.8) 32 (12.6) 41 (10.9) 52 ( 9.5) 66 ( 8.4) 81 ( 7.4) 98 ( 6.6) 75588 4 (45.8) 7 (36.1) 10 (29.6) 14 (24.9) 19 (21.3) 24 (18.5) 31 (16.2) 39 (14.3) 48 (12.6) 58 (11.2) 929

Payer Butterfly Breakeven Table: 20Jun12 - ATMF: 95.52 Middle Width Strike 4 5 6 7 8 9 10 11 12 13 Straddle108 3 (60.3) 6 (45.4) 8 (35.3) 12 (28.3) 17 (23.1) 23 (19.3) 31 (16.3) 39 (14.0) 49 (12.1) 61 (10.7) 1248106 10 (19.5) 16 (15.6) 23 (12.9) 32 (11.0) 42 ( 9.5) 53 ( 8.4) 67 ( 7.5) 81 ( 6.8) 97 ( 6.2) 115 ( 5.7) 1056104 18 (11.0) 28 ( 8.9) 40 ( 7.5) 54 ( 6.5) 70 ( 5.7) 87 ( 5.2) 106 ( 4.7) 127 ( 4.3) 149 ( 4.0) 173 ( 3.8) 884102 23 ( 8.6) 36 ( 7.0) 51 ( 5.9) 69 ( 5.1) 89 ( 4.5) 111 ( 4.1) 135 ( 3.7) 161 ( 3.4) 189 ( 3.2) 218 ( 3.0) 749100 24 ( 8.2) 38 ( 6.6) 55 ( 5.5) 74 ( 4.7) 96 ( 4.2) 121 ( 3.7) 148 ( 3.4) 177 ( 3.1) 209 ( 2.9) 242 ( 2.7) 66098 24 ( 8.3) 38 ( 6.6) 54 ( 5.5) 74 ( 4.8) 96 ( 4.2) 120 ( 3.7) 147 ( 3.4) 177 ( 3.1) 208 ( 2.9) 242 ( 2.7) 62096 23 ( 8.7) 35 ( 7.1) 50 ( 5.9) 68 ( 5.1) 88 ( 4.5) 110 ( 4.1) 135 ( 3.7) 162 ( 3.4) 191 ( 3.1) 222 ( 2.9) 62894 18 (11.0) 28 ( 8.8) 41 ( 7.3) 56 ( 6.3) 72 ( 5.5) 92 ( 4.9) 113 ( 4.4) 136 ( 4.1) 161 ( 3.7) 188 ( 3.5) 68292 13 (14.9) 21 (11.9) 30 ( 9.9) 42 ( 8.4) 55 ( 7.3) 70 ( 6.5) 86 ( 5.8) 105 ( 5.2) 126 ( 4.8) 148 ( 4.4) 77290 10 (20.6) 15 (16.5) 22 (13.6) 30 (11.6) 40 (10.1) 51 ( 8.9) 63 ( 7.9) 77 ( 7.1) 93 ( 6.4) 110 ( 5.9) 88988 7 (28.9) 11 (22.9) 16 (18.9) 22 (16.1) 29 (13.9) 37 (12.2) 46 (10.9) 56 ( 9.8) 68 ( 8.9) 80 ( 8.1) 1026

CDX17 + CDXHY17 5y




17

CDX17 20Dec16 Zero Cost Receiver Spread Collar Table: 20Mar12 - ATMF: 105

Payer Receiver Spread Width 1:2 PayerStrike 15 20 25 30 35 40 45 50 55 60 Uncapped Spread

109 105 103 102 102 102 102 102 102 102 102 102 124110 104 102 102 102 102 102 102 102 102 102 102 126111 103 102 101 101 101 101 101 101 101 101 101 127112 103 101 101 101 101 101 101 101 101 101 101 128113 102 101 100 100 100 100 100 100 100 100 100 129114 101 100 100 100 100 100 100 100 100 100 100 131115 101 100 99 99 99 99 99 99 99 99 99 132116 100 99 99 99 99 99 99 99 99 99 99 133117 99 99 98 98 98 98 98 98 98 98 98 134118 99 98 98 98 98 98 98 98 98 98 98 136119 98 98 97 97 97 97 97 97 97 97 97 137

Zero Cost Receiver Spread Collar Table: 20Jun12 - ATMF: 111 Payer Receiver Spread Width 1:2 PayerStrike 25 30 35 40 45 50 55 60 65 70 Uncapped Spread

124 111 108 106 105 105 105 104 104 104 104 104 165126 110 106 105 104 104 104 104 104 104 104 104 168128 108 105 104 103 103 103 103 103 103 103 103 171130 107 104 103 102 102 102 102 102 102 102 102 174132 106 103 102 102 101 101 101 101 101 101 101 177134 105 102 101 101 101 101 101 101 101 101 101 180136 104 101 100 100 100 100 100 100 100 100 100 183138 103 101 100 99 99 99 99 99 99 99 99 185140 102 100 99 99 99 98 98 98 98 98 98 188142 101 99 98 98 98 98 98 98 98 98 98 191144 100 98 98 97 97 97 97 97 97 97 97 194

CDXHY17 100 Unfunded 20Dec16 - PMI Zero Cost Receiver Spread Collar Table: 20Mar12 - ATMF: 96.77

Payer Receiver Spread Width 1:2 PayerStrike 1.5 2 2.5 3 3.5 4 4.5 5 5.5 6 Uncapped Spread

95.8 96.3 96.6 96.6 96.6 96.6 96.6 96.6 97.5 92.795.5 96 96.6 96.8 96.8 96.8 96.8 96.8 96.8 97.6 92.495.2 95.3 96.3 96.8 96.9 96.9 96.9 96.9 96.9 96.9 97.8 92.195 95.7 96.5 97 97 97 97 97 97 97 97.9 91.994.8 96 96.8 97.1 97.1 97.1 97.1 97.1 97.1 97.1 98.1 91.694.5 94.7 96.3 97 97.3 97.3 97.3 97.3 97.3 97.3 97.3 98.2 91.394.2 95.2 96.6 97.2 97.4 97.4 97.4 97.4 97.4 97.4 97.4 98.4 9194 95.6 96.8 97.4 97.5 97.5 97.5 97.5 97.5 97.5 97.5 98.5 90.893.8 95.9 97 97.6 97.6 97.6 97.6 97.6 97.6 97.6 97.6 98.6 90.593.5 96.2 97.3 97.7 97.7 97.7 97.7 97.7 97.7 97.7 97.7 98.8 90.293.2 96.5 97.5 97.8 97.8 97.8 97.8 97.8 97.8 97.8 97.8 98.9 89.9

Zero Cost Receiver Spread Collar Table: 20Jun12 - ATMF: 95.52 Payer Receiver Spread Width 1:2 PayerStrike 2.5 3 3.5 4 4.5 5 5.5 6 6.5 7 Uncapped Spread

93 93.7 94.6 95.1 95.1 95.1 95.1 95.1 97 86.492.5 93.1 94.3 95.1 95.3 95.3 95.3 95.3 95.3 97.2 85.892 93.8 94.8 95.5 95.5 95.5 95.5 95.5 95.5 97.5 85.291.5 92.8 94.4 95.3 95.7 95.7 95.7 95.7 95.7 95.7 97.7 84.691 93.5 94.9 95.8 95.9 95.9 95.9 95.9 95.9 95.9 97.9 8490.5 91.9 94.2 95.4 96.1 96.1 96.1 96.1 96.1 96.1 96.1 98.1 83.590 92.8 94.7 95.8 96.2 96.2 96.2 96.2 96.2 96.2 96.2 98.3 82.989.5 93.5 95.2 96.2 96.4 96.4 96.4 96.4 96.4 96.4 96.4 98.5 82.389 94.1 95.7 96.5 96.5 96.5 96.5 96.5 96.5 96.5 96.5 98.7 81.788.5 94.7 96.1 96.7 96.7 96.7 96.7 96.7 96.7 96.7 96.7 98.9 81.288 95.2 96.5 96.8 96.8 96.8 96.8 96.8 96.8 96.8 96.8 99.1 80.6

CDX17 + CDXHY17 5y




18

CDX17 20Dec16 Zero Cost Payer Spread Collar Table: 20Mar12 - ATMF: 105

Receiver Payer Spread Width 1:2 ReceiverStrike 10 15 20 25 30 35 40 45 50 55 Uncapped Spread

100 101 104 105 107 108 109 109 110 110 113 9499 103 105 107 108 109 110 111 112 112 115 9398 100 104 107 109 110 111 112 113 114 114 118 9297 102 106 109 111 112 113 114 115 116 116 120 9196 103 108 110 113 114 115 117 117 118 119 123 9195 105 110 113 115 116 118 119 120 121 121 126 9094 107 112 115 117 119 120 122 123 123 124 129 8993 109 114 117 120 122 123 124 126 126 127 132 8892 111 116 120 122 124 126 128 129 130 131 136 8891 114 119 123 125 128 130 131 132 133 134 140 8790 116 122 126 129 131 133 135 136 137 138 144 86

Zero Cost Payer Spread Collar Table: 20Jun12 - ATMF: 111 Receiver Payer Spread Width 1:2 Receiver

Strike 25 30 35 40 45 50 55 60 65 70 Uncapped Spread103 104 106 107 108 110 111 127 91102 104 106 107 109 110 111 112 130 90101 103 105 107 109 111 112 113 114 133 89100 102 105 107 109 111 112 114 115 116 135 8999 100 103 106 109 111 113 114 116 117 118 138 8898 101 105 108 111 113 115 116 118 119 120 142 8797 103 107 110 112 115 116 118 120 121 122 145 8796 105 109 112 114 117 119 120 122 123 125 148 8695 107 111 114 116 119 121 123 124 126 127 152 8594 109 113 116 119 121 123 125 127 128 130 156 8493 111 115 118 121 123 125 127 129 131 132 160 84

CDXHY17 100 Unfunded 20Dec16 - PMI Zero Cost Payer Spread Collar Table: 20Mar12 - ATMF: 96.77

Receiver Payer Spread Width 1:2 ReceiverStrike 1.5 2 2.5 3 3.5 4 4.5 5 5.5 6 Uncapped Spread

98.1 98.1 97.5 97.1 96.8 96.6 96.3 96.2 96 94.7 99.798.2 97.8 97.3 96.9 96.6 96.4 96.2 96 95.8 94.5 99.898.4 98.4 97.6 97.1 96.7 96.4 96.2 96 95.8 95.6 94.2 99.998.5 98.1 97.4 96.9 96.5 96.2 96 95.8 95.6 95.4 94 10098.6 97.9 97.2 96.7 96.3 96 95.8 95.5 95.4 95.2 93.8 100.198.8 98.7 97.7 97 96.5 96.1 95.8 95.6 95.3 95.1 95 93.5 100.298.9 98.5 97.4 96.8 96.3 95.9 95.6 95.3 95.1 94.9 94.8 93.3 100.399 98.2 97.2 96.6 96.1 95.7 95.4 95.1 94.9 94.7 94.5 93 100.499.1 97.9 97 96.3 95.9 95.5 95.2 94.9 94.7 94.5 94.3 92.8 100.599.2 97.7 96.8 96.1 95.6 95.2 94.9 94.7 94.4 94.2 94.1 92.5 100.699.4 97.4 96.5 95.9 95.4 95 94.7 94.4 94.2 94 93.8 92.2 100.7

Zero Cost Payer Spread Collar Table: 20Jun12 - ATMF: 95.52 Receiver Payer Spread Width 1:2 Receiver

Strike 2.5 3 3.5 4 4.5 5 5.5 6 6.5 7 Uncapped Spread97.5 97.2 96.9 91.9 10097.8 97.5 97.1 96.7 96.4 91.4 100.298 97.5 97.1 96.7 96.3 96 90.8 100.498.2 97.6 97.1 96.6 96.2 95.9 95.5 90.2 100.698.5 97.8 97.1 96.6 96.2 95.8 95.4 95.1 89.6 100.898.8 98 97.3 96.7 96.2 95.7 95.3 94.9 94.6 89 10199 98.4 97.5 96.8 96.2 95.7 95.2 94.8 94.4 94.1 88.3 101.199.2 99.1 97.9 97 96.3 95.7 95.2 94.7 94.3 93.9 93.6 87.6 101.399.5 98.5 97.3 96.5 95.8 95.2 94.6 94.2 93.8 93.4 93 86.8 101.599.8 97.9 96.8 95.9 95.2 94.6 94.1 93.6 93.2 92.8 92.5 86.1 101.7100 97.3 96.3 95.4 94.7 94.1 93.5 93.1 92.6 92.2 91.9 85.2 101.9

CDX17 + CDXHY17 5y




19

Commentary Table Notes

Front page summary table provides:Sprd Close: the closing spread on the commentary date.Sprd Low and Sprd High: the low and high spreads over the past week.Sprd Chg: the spread change (close to close) over the past week.1w Realised Vol: the realised volatility of the underlier over the past week (same calculation convention used as for the realised volatility plots below).ATMFVol Close: the closing at the money forward volatility for the expiration date indicated.ATMFVol Chg: the change in the at the money forward volatility over the past week for the expiration date indicated.The volatility plots provide the %change in the at the money forward implied volatility from the value on the first date of the plot

Time Series Notes

Realized versus Implied Vol plots provide:Realized Vol: The square root of the sum of squared daily log spread returns weighted by the annualised sample period. At each plot point the realized vol sampleperiod is taken to be the same length from plot date backwards as the number of business days from plot date to the expiration date for the plot. This means thatwhere the realized vol sample period cuts across a new index series issue date, sample data from both series is used. The daily return on the new series issue date ishowever excluded to remove the artifical effect of switching from old to new index series.Implied Vol: The implied Term Vol for the underlying index at the ATM forward spread strike as seen on plot date with expiration at the date indicated in the plotheader. Underlier Spread: The underlier index spread is provided as a backdrop to the vol series. Note that as the index changes from old to new series a spike in thedata may occur. This is simply the effect of changing from old to new index series and does not represent a market event.

The Implied volatility for the credit index corresponds to a maturity at the next IMM roll date that is at least 1m in the future. IMM roll dates are the the 20th of March,June, Spetember and December. Implied Vol: The implied Term Vol for the underlying index at the ATM forward spread strike as seen on plot date with expiration atthe date indicated in the plot header. Underlier Spread: The underlier index spread is provided as a backdrop to the vol series. Note that as the index changes fromold to new series a spike in the data may occur. This is simply the effect of changing from old to new index series and does not represent a market event.

Vol Regressions Notes

Each dot in the graph is identified by a pair of coordinates (x,y). The coordinates are respectively the Index Spread (bps per year), Equity Index or Equity Vol and theATM Forward Implied volatility (%). The dots are then connected by a line in order to show the evolution across time, of the relationship between Implied Vols and theIndex Spread. The data series is a union set of the then on the run index.The last point of the series is highlighted to show the most recent observation.

Straddle Quote Table Notes

Straddle Quote Table provides bid/offer price quotations for straddles quoted in cents across a range of strikes and expiration dates. Strikes are spread strikes quotedin basis points (bps). The Ref rate is the spread rate of the underlying index in bps. Below the Ref rate the ATM Forward Spread strike is provided in bps for eachexpiration date.

Volatility Surface Notes

Vol Surface provides the term vol smile structure of the underlying index over a range expiration dates. Risk Measures Table Notes

Risk Measures Table provides a number of credit index option risk metrics across a range of strikes and expiration dates for both European Calls (payers) and Puts(receivers).Delta: The quantity of underlying index that makes the option position neutral to local changes in index spread, expressed as a percentange of the option notional.Vega: The price change (EUR) of 100MMnotional of option due to a 1 vol shock to the term vol surface parallel upwards.Theta: The change in price (EUR) of 100M notional of option when comparing today’s price versus the price that would be attained on the next business day if allspreads and rates were unchanged.Theta Comp: The spread movement required in the underlying ’today’ in order that the price ’today’ at spread + spread movement is the same as the seven day Thetaprice (the price in seven day’s time if all spreads and rates were the same as today). Theta Comp shows the absolute value of spread movement.Gamma shows the change in Index Delta with underlying index spread, expressed in percentage of option notional.

Skew By Delta Notes

Skew By Delta provides the term vol smile structure relative to the 50% Delta of each underlying index over a range of Delta values for a given expiration date. Theassociated skew table provides the skew defined as the difference between the 25% Call Delta and the 25% Put Delta divided by the 50% Call Delta. The close skewand 1 week change in skew are provided.

Prob Distributions Notes

The implied probability distributions are calculated using the actual volatiltiy surface and assuming that the surface is flat the At The Money Forward volatility. Inaddition they compare the distributions on the current date and one week prior.

Relative Value Notes

The Straddle/Strangle Breakeven Tables show the pricing and breakevens for straddles and strangles. In each cell of the matrix is the price of the straddle/stranglewith strikes corresponding to the row and column as well as the upper and lower breakeven spreads.

The Payer/Receiver Spread Tables show the pricing and payout ratios for either payer of receiver spreads. In each cell of the matrix is the price of the option spreadwith strikes corresponding to the row and column as well as the max payout ratio. The payout ratio is defined as the max profit divided by the cost.

The Butterfly Breakeven Tables show the pricing and breakevens for butterflys. In each cell of the matrix is the price of the butterfly with central strike corresponding tothe row and widths corresponding to the column as well as the gross payout ratio if the index ends up at the middle strike.

The Zero Cost Payer/Receiver Tables show the strike for Receiver/Payer Spread with given with that is costless against a Payer/Receiver at a given strike. TheUncapped column show the zero cost collar/risk reversal.

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Disclaimer

CDS Risk FactorsNo 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 anyReference Entity. 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 ReferenceEntity with the terms of its obligations that are referred to in the Credit Default Swap, no rights of set-off against any Reference Entity, no voting rights with respect to any Reference Entityand no security interest in any Reference Obligation.Limited Provision of Information about Reference Obligations/Reference Entities: No information will be provided to prospective counterparties with respect to any Reference Obligation orReference Entity. Investors should conduct their own investigation and analysis with respect to the creditworthiness of each Reference Obligation and the likelihood of the occurrence of anevent triggering payments under the Credit Default Swap occurring with respect to each Reference Entity and Reference Obligation.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 agreater degree of risk with respect to defaults within such type of structured product security. Prospective counterparties should review the list of Reference Obligations and conduct theirown investigation and analysis with regard to each Reference Obligation, including the credit, market, interest rate, structural and legal risks associated with each Reference Obligation.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. While ISDAhas published and supplemented the ISDA Credit Derivatives Definitions in order to facilitate transactions and promote uniformity in the credit default swap market, the credit default swapmarket is expected to change and the ISDA Credit Derivatives Definitions and terms applied to credit derivatives are subject to interpretation and further evolution. There can be noassurance that changes to the ISDA Credit Derivatives Definitions and other terms applicable to credit derivatives generally will be predictable. Amendments or supplements to the ISDACredit Derivatives Definitions that are published by ISDA will only apply to the Credit Default Swap if the Credit Default Swap is amended. Therefore, in addition to the credit risk ofReference Obligations, Reference Entities and the credit risk of their counterparty, persons who enter into Credit Default Swaps are also subject to the risk that the ISDA Credit DerivativesDefinitions could be interpreted in a manner that would be adverse to themor that the credit derivatives market generally may evolve in a manner that would be adverse to them.Credit Ratings: Credit ratings represent the rating agencies opinions regarding credit quality and are not a guarantee of quality. Rating agencies attempt to evaluate the safety of principaland/or interest payments and do not evaluate the risks of fluctuations in market value. Accordingly, credit ratings may not fully reflect the true risks underlying any Credit Default Swap. Also,rating agencies may fail to make timely changes in credit ratings in response to subsequent events, so that an issuers current financial condition may be better or worse than a ratingindicates.Conflicts of Interest; No Reliance: Goldman Sachs does not provide investment, accounting, tax or legal advice in respect of the Credit Default Swaps and shall not have a fiduciaryrelationship with any counterparty to a Credit Default Swap. In particular, Goldman Sachs does not make any representations as to (a) the suitability of any Credit Default Swap, (b) theappropriate 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 tocompeting investments. Prospective counterparties should obtain their own independent accounting, tax and legal advice and should consult their own professional investment advisor toascertain the suitability of any Credit Default Swap, including such independent investigation and analysis regarding the risks, security arrangements and cash-flows associated with anyCredit Default Swap as they deemappropriate to evaluate the merits and risks of any Credit Default SwapGoldman Sachs may, by virtue of its status as an underwriter, advisor or otherwise, possess or have access to non-publicly available information relating to the Reference Entities and/or theobligations of the Reference Entities (including the Reference Obligations) and has not undertaken, and does not intend, to disclose, such status or nonpublic information in connection withany Credit Default Swap. Accordingly, this presentation may not contain all information that would be material to the evaluation of the merits and risks of entering into any Credit DefaultSwap.Goldman Sachs does not make any representation, recommendation or warranty, express or implied, regarding the accuracy, adequacy, reasonableness or completeness of theinformation contained herein or in any further information, notice or other document which may at any time be supplied in connection with a Credit Default Swap and accepts no responsibilityor liability therefore. Goldman Sachs may from time be an active participant on both sides of the market and have long or short positions in, or buy and sell, securities, commodities, futures,options or other derivatives identical or related to those mentioned herein. Goldman Sachs may have potential conflicts of interest due to present or future relationships between GoldmanSachs and any Reference Entity or any obligation of any Reference Entity.Risk Disclosure Regarding OTC Options Prior to entering into an OTC Option transaction you should be aware of the general risks associated with OTC Option transactions: Liquidity Risk: There is no public market for OTC Optiontransactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; Transfer Restrictions: OTC Option transactions entered into with GoldmanSachs cannot be assigned or otherwise transferred without its prior written consent and, therefore, it may be impossible for you to transfer any OTC Option transaction to a third party;Counterparty Credit Risk: Because Goldman Sachs, or one of its affiliates, may be obligated to make substantial payments to you as a condition of an OTC option transaction, you mustevaluate the credit risk of doing business with Goldman Sachs or its affiliates; Pricing and Valuation: The price of each OTC Option transaction is individually negotiated between GoldmanSachs and each counterparty and Goldman Sachs does not represent or warrant that the prices for which it offers OTC Option transactions are the best prices available, possibly making itdifficult for you to establish what is a fair price for a particular OTC Option transaction; Proprietary Trading: Goldman Sachs engages in proprietary trading for its own account and theaccounts of its affiliates in the same or similar instruments underlying OTC Option transactions (including such trading as Goldman Sachs deems appropriate in its sole discretion to hedge itsmarket risk in any OTC Option transaction whether between Goldman Sachs and you or with third parties) and such trading may affect the value of an OTC Option transaction. 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Disclaimer

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