Spreadsheet: 148032d1333110578-excel-formatting-cleaning-up-information-so-it-looks-consistent-maw-test
Sheet: HDSData Copy

DES_NOTES
4.25%   to 8/10; 5.5% to 8/14;  7.5%.
4.65%  to 07/10;  5.5% to 07/12; 6% to 07/14;  7.5%.
4%    to 2/07;  STEP-UP BY 0.10% GOVT GTD FROM 9/30/08-9/30/10.
[NAME] IF USDMXN IS IN RANGE (MIN 12.2, MAX 14.5) ELSE TIIE
[NAME] USDMXN IS IN RANGE (MIN 12.3, MAX 14.3) ELSE TIIE.
SWITCHER NOTE6.5% to 04/09THERAFTER 4% OR ISSR OPTION to SWITCH to      3MO USD LIBOR +100  BPS (ACT/360; QUARTERLY PAYMENTS).
[NAME],  ISSUER OPTION to SWITCH to 10YR =CMS FROM 04/30/12 WITH 5 BD NOTICE (MIN  4%).
SERIES W264,  IRR 4.66355%.
SERIES 03556% to 06/09   LNKD to CPTFEMU                CPTFEMU +150BP.
SERIES 0348   3MO CZK PRIBOR PRBO +6.5% to BUT EXCLUDING 4/4/10THAN 3MO CZK PRIBOR PRBO -.37% FROM 4/4/10 to BUT EXCLUDING THE MATURITY DATE
IRR= 4.7586%.
IRR= 4.8225%.
IRR= 4.7357%.
MIN 0%.
SEC'D BY CITIGROUP 4% STEP NOTES DUE 2012 (XS0190004191).
REDEMPTION LNKD to CPTFEMU INFLATION
RDMPT  to 10yr=CMSMIN RDMPTN=142%.
NOCPI+425BPS, FLR=4.25%.
MIN 6.50%
MIN 3.75%.
MIN 3.75%.
MIN 3.75%.
MIN 0%.
MIN 0%MAX 6%.
MAX=5.75%.
MAX ISSUED AMNT UP to EUR 200.000.000.
MAX 6.25%.
MAX 6%.
MAX 6%MIN 0%.
MAX 5.75%.
MAX 5.75%.
MAX 5%.
to EUROZONE INFLATION CPTFEMU
LONG 1ST
LONG 1ST
LAST SHORT COUPON
ISSUER'S OPTION to SWITCH  to 10YR =CMS + 0.10% FROM 03/14/08 AND       MIN 3%.
ISSUER'S OPT to SWITH  to 3mE+50BP (PD QLY, ACT/360) EFF 2/14/2009.
ISSUE AMT UP to =50MM
ISSUE AMT UP to =200MM.
ISSR'S OPT to SWITCH  to 3M LIBOR+100 BPS FROM 04/10/09  & ON ANY        PAYMENT DATE  WITH 5 BUSINESS DAY NOTICE, PAYING QRTLY.
ISSR'S OPT to SWITCH  to 10 YR EURCMS (2% FLOOR) FROM 03/19/08 & ON ANY       PAYMENT DATE
ISSR' OPT to SWITCH to 100% * 10YR EUR CMS FROM 05/11/11.
ISS PRX=82.8821084%IRR=5.5%.
IRR=6.03%
IRR=[PHONE]%.
[NAME].
IRR=5.171378%
IRR=5.11%.
IRR=4.68%.
IRR=4.64079
IRR=4.416767%.
IRR=4.2343045%
IRR=3.225%
IRR=3.19503%
IRR= 5.1220811%
IRR= 5.063076766%
IRR= 4.95%.
IRR= 3.93462859%
IRR= 3.87249933%
7.5% to 4/12;  4*(USSW30-USSW2-.5%) CAP=7.5% FLOOR=0%
7.5% to 4/12;  4*(USSW30-USSW2-.5%) CAP=7.5% FLOOR=0%
7.5% to 4/12;  4*(USSW30-USSW2-.5%) CAP=7.5% FLOOR=0%
GOVT GTD FROM 9/30/08-9/30/10.
FOLLOW BUS DAY CNVTN:  EN, AU
ERGAENZUNGSKAPITALDIP
ERGAENZUNGSKAPITAL                                                            ENTIRE ISSUE [NAME]
ENTIRE ISSUE CANCELLED.
1.25%+{5.75*(# OF DAYS US$6MO LIBOR IS 0%<= AND =>7%/ACTUAL # OF DAYS}
CMS  +17%SERIES W343  CREDIT  to A SINGLE      TRANCHE OF A PORTFOLIO OF REFERENCE ENTITIESSHORT 1ST
CD RDMPTN  to THE CPI ((CPI1-CPI13)/CPI13)+100B),SUBJ to -1%<  ((CPI3-CPI15)/CPI15) < 7%; OTHERWISE=0%.
CD RDMPTN  to THE CPI ((CPI1-CPI13)/CPI13)+100B),SUBJ to -1%<  ((CPI3-CPI15)/CPI15) < 7%; OTHERWISE=0%.
CD RDMPTN  to THE CPI ((CPI1-CPI13)/CPI13)+100B),SUBJ to -1%<  ((CPI3-CPI15)/CPI15) < 7%; OTHERWISE=0%.
CD PUT IN EVENT OF HLDRS DEATH7% to 11/11;        4 *(10YR US$CMS - 2YR US$CMS - 0.55%)MAX 6%.
CD PUT IN EVENT OF HLDRS DEATH7% to 10/11;        4 *(10YR US$CMS - 2YR US$CMS - 0.55%)MAX 6%.
CD LIMITED DEATH PUT.
CD 8% to 3/12;  4 *(30YR US$CMS - 5YR US$CMS)     MAX 8.00% MIN 0%
CD
BOOK-ENTRY.
BASED ON 10YR CMS
AGENT WILL NOT PROVIDE S.
AGENT WILL NOT PROVIDE S.
ACCRL YLD=4.5156915%SERIES W347,
9% to 4/11;  1% + (8.30% * #DAYS 3MO USD LIBOR IS =>3% / #DAYS WITHIN   EA ACCRL PRD)SERIES 09LR075.
9% to 2/11;  1% + 8% * (#DAYS  IS =>3.25% / #DAYS WITHIN EA ACCRL  PRD).
9% to 2/11;  1% + 8% * (#DAYS  IS =>3.25% / #DAYS WITHIN EA ACCRL  PRD).
9% to 2/11;  1% + 8% * (#DAYS  IS =>3.25% / #DAYS WITHIN EA ACCRL  PRD).
9% to 04/05 8%-(2*6MO US$ LIBOR)[LAST 10.50%-SUM OF PRV V S PD]CALL IF SUM OF ALL PREV S=>10.50%MIN 0%.
8.6% to 3/11;  1% + 7.6% * (#DAYS 3ml IS=>3%/ #DAYS            WITHIN EA ACCRL PRD).SERIES 09LR025.
8.55% *(#DAYS 30YR US$CMS -2YR US$CMS @LST 0/#DAYS WITHIN EA ACCRL PRD)UNSEC'D.
8.5% to 6/05; PREV  + 2*(10YR US$CMS - X) to 3/08;  PREV X=4.25%TO 3/06; 5% to 3/07; 5.25% to 3/08MIN 0%.
8.5% to 6/05; PREV  + 2*(10YR US$CMS - X) to 3/08;  PREV X=4.25%TO 3/06; 5% to 3/07; 5.25% to 3/08MIN 0%.
8.15%-6mEMIN 0%.
8.1% * (#DAYS 6ml IS WITHIN RANGE /#DAYS WITHIN EA ACCRL PRD).
8% to 8/06;  [NAME] to 8/08; 1.5 to 8/10  1.6LAST 14%-SUM OF PREV S PD.CALL ONLY IF SUM OF PREV S PD @LST 14%.
8% to 5/12;  4 * (30YR CMS - 2YR CMS -.8%)CAP=8%
8% to 5/12;  4 * (30YR CMS - 2YR CMS -.8%)CAP=8%
8% to 4/2011  2% + 6%*(#DAYS 3MO USD LIBOR>=3%/#DAYS W/IN EA ACCRLPRD).
8% to 4/14 (QRTLY, );  3MO LIBOR + 225BP (QRTLY, ACT/365)       SERIES 09LV071.
8% to 4/11;  1% + (7% * #DAYS 3MO USD LIBOR IS =>3% / #DAYS WITHIN      EA ACCRL PRD)SERIES 09LR046.
8% to 4/11;  1% + (7% * #DAYS 3MO USD LIBOR IS =>3% / #DAYS WITHIN      EA ACCRL PRD)SERIES 09LR046.
8% to 11/10, THERAFTER 3M USD LIBOR+1.75% * (DAYS ACCRUED/ ACTUAL DAYS).WHERE DAYS ACCRUED=NO.OF DAYS  FIXES ABOVE 3% AND BELOW 6.50% OF 3MO $LIBOR
8% to 06/11;  1% + (7% * #DAYS 3MO USD LIBOR IS =>3% / #DAYS WITHIN     EA ACCRL PRD)SERIES 09LR106.
8% + 10 * (AVG 1ml * 65%  - AVG SIFMA ).MIN 0%.
8% + 10 * (AVG 1ml * 65%  - AVG SIFMA ).MIN 0%.
7.65% to 05/10 (, );  3MO USD LIBOR +310BP (QRTLY, ACT/360).
7.50% to 7/10 ( );  3MO USD LIBOR +250 (ACT/360)
7.50% to 06/10 (UNADJ, );  3mE+140BP (ADJ,ACT/360).
7.50% * (#DAYS 6ml IS WITHIN RANGE / #DAYS WITHIN EA ACRRL PRD).
7.5% to 7/10 QTRLY (ACT/365)  MAX[3MO AUD BBSW +197 BPS.6%]       [NAME] (ACT/365).
7.4% *(#DAYS 6ml IS WITHIN RANGE/#DAYS WITHIN EA ACCRL PR).
7.05% to 05/20/11 QRTLY    3MO GBP LIBOR + 230 BP QTRLY(ACT/365).
7% to 7/10  ;  3MO USD LIBOR + 200BP (ACT/360).
7% to 4/11;  3MO AUD BBSW +100 BPS.
7% to 3/11;  3MO BBSW + 100BPMIN = 0, MAX  = 7.5%.
7% to 3/07;  X * (#DAYS 3ml IS WITHIN RANGE /#DAYS WITHIN EA   ACCRL PRD)X=7% to 3/11;  20%.
7% to 2/06;  7% * (#DAYS X US$CMS IS WITHIN RANGE /#DAYS WITHIN EA ACCRLPRD).X=11YR CMS to 2/06; STEP DOWN BY 1YR.
7% to 11/10 (QRTLY, 30//360);  3ml +97.5BP (QRTLY, ACT/360).
7% to 06/10 (UNADJ, );  3ml +155BP (ADJ, ACT/360).
7% * (#DAYS 3ml IS WITHIN RANGE /#DAYS WITHIN EA ACCRL PRD).
7% (QRTLY ) to 06/2010;  3M USDLIBOR+2.6% (QRTLY ACT/360).
6ml +72BP S/A (ACT/360) to 4/10;  5.25% S/A
[NAME] 6/07 QTRLY (ACT/360);  7.14%
6ml +67BPMAX 4.85% to 8/06;  STEPS UP 25BP
6ml +62BPMOD FOLLOW BUS DAY CNVTNMAX 6.75%.
6ml +57BPMAX 4.7% to 8/06;  STEPS UP 25BP
6ml +52.5BP to 1/08 ;  5.4% (,UNADJ).
6ml +50BP to 6/07 S/A ;  5.5%  (,UNADJ)
6.9% * (#DAYS 30YR $CMS - 2YR $CMS => 0% / #DAYS WITHIN EA ACCRL PRD).
6.82% - 6MO PRIBORMIN 3.5%.
6.50% to 7/10  ;  3MO USD LIBOR + 250BP (ACT/360).
6.50% to 7/10  ;  3MO USD LIBOR + 250BP (ACT/360).
6.50% to 7/10  ;  3MO USD LIBOR + 250BP (ACT/360).
6.5% to 08/10 (QRTLY, );  3ml +250BP (QRTLY, ACT/360).
6.25% to 10/10; 3MO $LIBOR + 115 BPS.
6.25% to 10/10 (QRTLY, );  3ml +115BP (QRTLY, ACT/360).
6.25% to 10/10 (QRTLY, );  3ml +115BP (QRTLY, ACT/360).
6.25% * (#DAYS 30YR US$CMS-10YR US$CMS @LST 0% /#DAYS WITHIN EA ACCRL PRD).
6.20% *(#DAYS 6ml IS WITHIN RANGE /#DAYS WITHIN EA ACCRL PRD).
6.2% to 9/07;  X * PREV  - 3mEX=1.25 to 9/08;    STEP-UP  BY25MIN 0%MAX 20%.
6.2% to 11/12;  3M USD LIBOR+125BP; CAP=7%.
6.0% to 4/10 ([NAME]);  3MO HIBOR +215BP ([NAME]).
6* to 6/10;  3% * CPTFEMUYMIN 0%                                CREDIT  & SECURED BY CHARGED ASSETS.
6% to 8/12;  3ml +145BPMAX 7%.
6% to 6/11;  CPI YOY + 2.3%MAX 8%.
6% to 5/10;  3MO AUD BBSW +300 BPS.
6% to 5/07;  103% OF 10YR =CMS IF (10YR =CMS - 2YR =CMS > 0), ELSE0%AGENT WILL NOT PROVIDE S.
6% to 4/6/10  3M AUD BBSW+3%.
6% to 06/09 ( );   3mE + 115BPS (ACT/360).
6% to 04/09 ;  [NAME]
6% to 03/09 ;  [NAME] SERIES 2008-403-A.
6% to 03/09  ;  [NAME] (ACT/360).
6% to 03/09 ( );  3MO PLN-WIBOR-WIBO +90BP (ACT/365F).
6% to 02/09 (QRTLY, );  [NAME] (QRTLY, ACT/360).
6% *(#DAYS 6ml IS WITHIN RANGE/ #DAYS WITHIN EA ACCRL PRD).
5.841% to 6/14;  1% + {5.1 * (10YR US$CMS - 2YR US$CMS)} to 6/25;        5.841%MIN=0%, MAX=9% SHORT 1ST SR 282.
5.75% to 8/11;  3ml +175BPS      MAX 6.5%.
5.75% to 7/09  ;  3MO LIBOR + 120BP QTRLY ACT/360.
5.7% to 11/12  3M USD LIBOR+125BP; CAP=7%.
5.5% to 10/10; 3mE + 110 BPS.
5.375% to 8/11;  3ml +165BPS     MAX 6.5%.
5.25% to 3/15; 6.25% to 3/20;  7.25%.
5.15% to 04/09 ;  3MO USD LIBOR + 100BP
5.15% to 04/03/09;  3M LIBOR + 100BPS IF NOT CALLED.
5.15% to 03/09  ;  3ml +100BP (ACT/360).
5.15% to 02/09 (QRTL;  );  3MO LIBOR+ 100BP (QRTL; ACT/360).
5.15% to 02/09 (QRTL;  );  3MO LIBOR+ 100BP (QRTL; ACT/360).
5.1% to 10/07;  130%*(10YR =CMS - 2YR =CMS) to 10/09;  ISSUER SWITCHED  to 130% * 10YR =CMSMIN  0%.
5% to 7/09;  3 MO US$[NAME].
5% to 6/12;  CPURNSA + 1.50%, CAP 7.00%
5% to 6/12;  CPURNSA + 1.50%, CAP 7.00%
5% to 6/12;  CPURNSA + 1.50%, CAP 7.00%
5% to 6/10;  6%SHORT 1ST
5% to 5/10;  3MO LIBOR +250BP.
5% to 5/06;  8.5% - 2 * 6mEMIN 0%LAST 9% - SUM OF PREV S PDCALL ONLY IF SUM OF PREV S PD => 9%.
5% to 12/17; 5.75% to 12/22 & 8%
5% to 10/12 QTRLY    MAX[5% OR 1mE] QTRLY
5% to 10/10  ISSUER CAN SWIITCH MAX [(3ml + 200 BPS),4%)]
5% to 06/11 (-);  3MO USD LIBOR+127.5BPS          (ACT/360).
5% to 06/09 ( );   3MO LIBOR + 100BPS (ACT/360).
5% to 06/09 ( );   3MO LIBOR + 100BPS (ACT/360).
5% to 03/10 ;  3MO LIBOR + 250BP
5% to 03/09  ;  [NAME] (ACT/360)QTRLY.
5% to 03/09  ;  [NAME] (ACT/360)QTRLY.
4.8% * (#DAYS 1YR  =CMS IS WITHIN RANGE / #DAYS WITHIN EA ACCRL PRD) SERIES 573.
4.75% TIL 05/11/13  8%*(#DAYS 3ml IS WITHIN RANGE/#DAYS WITHIN EA ACCRL PR)
4.7% to 03/11;  ISSR'S EXERCISED OPTION to SWITCH to 10YR =CMS + 8BP.
4.6% to 12/11;  4.6% *[#DAYS (10YR =CMS -2YR =CMS) =>0.20%/#DAYS  W/IN ACCRL PRD] + 3% *[#DAYS (10YR =CMS -2YR =CMS)<=0.2%/#DAYS W/IN ACCRL PRD].
4.5% to 6/10;  CPI YOY +3.25% FLOOR 3%.
4.5% to 6/10;  CPI YOY +3.25% FLOOR 3%.
4.5% to 6/10;  CPI YOY +3.25% FLOOR 3%.
4.45% to 3/15  ;  3MO $LIBOR +100BP (ACT/360).
4.25% to 11/15; 5% to 11/21 & 7.5%
4.25% to 09/15; 5.50% to 9/21 & 8%
4.16% to 12/05; RESET  @4.56%, 4.96%, 5.36%, 5.76%, 6.16%, 6.56%, 6.96%, 7.36%, 7.76%.
4* (30YR US$CMS - 2YR US$CMS -.25%)MIN 0%     MAX 12% UNTIL 8/11.
4% UNTIL 10/21/2011 3M USD-LIBOR +125BP.
4% to 8/10 QTRLY    MAX[3MO LIBOR +130 BPS, 3%]            QTRLY (ACT/360)
4% to 5/11;  3ml +70BP.
4% to 5/07;  0%IRR =4.133%                           SERIES W316
4% to 12/10  ISSUER CAN SWIITCH 3M EURIBOR+ 100 BPS.
4% to 11/10 (QRTLY, 30//360);  3ml +60BP (QRTLY, ACT/360).
4% to 10/15; 5% to 10/19;  7%.
4% TIL 05/07/13  8%*(#DAYS 3MO US$IBOR IS WITHIN RANGE/#DAYS WITHIN EA  ACCRL PR)
4 *(10YR US$CMS -2YR US$CMS-0.55%), CAP= 7.00%
3MO HIBOR + 30BPMAX 6%MIN 1%
3MO AUD$BBSWMAX 9%MIN 5.88%
3mlMAX 5%MIN 1.9%.
3ml +80BPMAX 8%MIN 1.5%.
3ml +60BP QTRLY to 3/10 (ACT/360, ADJ);  5.75%            (, UNADJ).
3ml +41BPMAX 6.0%.
3ml +40BP to 6/09 QTRLY ;  6.15%             (,UNADJ)
3ml +100BPMAX 6.5%MIN 3%.
[NAME] 11/05 QTRLY (ACT/360) (ADJ) ;  10YR CMS -.52%   (UNADJ)MIN 0%IHS.
[NAME] 11/05 QTRLY (ACT/360) (ADJ) ;  10YR CMS -.52%   (UNADJ)MIN 0%IHS.
3mE + 1.25% *(#DAYS 3mE IS WITHIN RANGE/#DAYS WITHIN EA     ACCRL PRD)AGENT WILL NOT PROVIDE THE S.
3.75% to 6/11;  3ml +100BPS.
3.50% to 08/10;  3M HIBOR+130BP, MIN 2.50%.
3.5% to 10/14/11   ; 3MO USDLIBOR+160 BPS QTRLY  (ACT/360).
3.5% to 10/07/11 ( UNADJUSTED);  3mE + 15 BP (ACT/360ADJUSTED)
3.5% to 06/11;  3.5%*n/N STEP RANGE
3.5% to 03/12  to CPTFEMUY                       GOVT GTD UNDER ELG SCHEME UNTIL MTY.
3.5% (-, UNADJ) to 12/10;  3MO USD LIBOR+100BPS             (ACT/360, ADJ)
3.25% to 12/12;  3ml +100BPMAX 6%.
3.25% to 10/12;  3ml +100BPS.
3.25% TILL 11/11  ;  3M USD LIBOR + 110 BP  ; CAP=7%FLOOR=1.1%
3.1% to 7/11 (QRTLY, ) ;  3ml +100BP (QRTLY, ACT/360).
3.1% to 10/12;  3ml +100BPMAX 6%.
3.00% to 02/12;  3M HIBOR+100BP, MAX3.75%                   MIN SUBSCRIPTION AMT FOR HK INVESTORS: [NAME] 500,000
3(a)2 EXEMPT, SEC 1933.
3% UNTIL 11/10;  3M USD -LIBOR +175BPFLR= 2.25%.
3% to 3/12;  3ml +250BPS         MAX 7%.
3% to 12/11;  3mE +50BP; MIN 1%.
3% to 12/11;  3mE +50BP; MIN 1%.
3% to 06/25/11  (ACT/360); 3MO USD LIBOR + 213BP (ACT/360)         CAP = 8%
3% to 04/13;  5.75% SUBJ to CMS30-CMS2>0.
3 1/2% to 6/06; 5% to 6/09; THERAFTER 6%SERIES A    SHORT 1ST BOOK-ENTRY.
20YR =CMS * (#DAYS 20YR =CMS - 2YR =CMS @LST O% /#DAYS WITHIN EA ACCRL PRD).PRVT PLCMTSERIES 1452A
2.75% (ANLY) to 05/11;  3mE + 20BPS (QTL)CAP=4%,          FLOOR =2%.
2.6% to 11/12  3M USD LIBOR+50BP; CAP=6%.
2.15%  to US CPI URBAN CONSUMERS NSA (CPURNSA)MIN 0%.
1ST PD 12/6/10 DUE to MOD FOLLOW BUS DAY CNVTN (ADJ): EN, US, AU.
1ST INTERPL 3MO & 4MO EURIBOR -3BP,                               3mE-3BP SERIES 1038
14.75% to 3/00; 4% to 3/04;  7% - [12MO EURIBOR * (365/360)].MIN 0%.
14% to 2/00; 4% to 2/04;   to 12MO EURIBORMIN 0%     SERIES 99.
13% to 12/05;  17*(30YR US$CMS - 10YR US$CMS)MIN 0%.
12.2000< MXFT < 14.5000 (TIIE    +100.000%) IF X ELSE (TIIE    +60%)
11% 12/23/11  4* ((USSW30-USSW2 -.0.50%) MAX =11%, MIN 0%.
10% to 6/11;                                4 *(USISDA30- USISDA02-.25%)MAX 10%MIN 0%.
10% to 5/04;   to 6mlMIN 0%.
10% to 12/05;  X * PREV  - 3ml                       X=1.4 to 9/06;  X=1.5MAX 10%
10% to 11/19/12,  4 * (USSW10-USSW2 -.25%) MAX  =10%, MIN 0%.
1.7% TILL 11/11  ;  3M USD LIBOR + 100 BPS (ACT/360).
1 * 10YR = CMSMIN 4.26%, MAX 6%ERGAENZUNGSKAPITAL
0.86*EUR 10YR CMSMIN 2.5%; MAX 6%                          SERIES 613.
[(1+CMS 10YR - 0.2%) ^ 1/4] -1SERIES 0143,
[NAME]
5.1% to 8/12;  3ml +175BPS    MAX 8%.
1.5% to 5/12;  3ml +1% CAP=3.5%
RT=CPI YOY  + 212BP.
to [NAME] YOY
6% to 4/11;  CPI YOY +2.5% MAX 8%
2.35% to 12/12;  3ml +100BP         FLOOR=2.35%  CAP=6%
(3ml +520BP) * (#DAYS 30YR $CMS - 10YR $CMS IS @LST 0%        /#DAYS WITHIN EA ACCRL PRD).
(3mE + X) * (#DAYS 6mE IS WITHIN RANGE /#DAYS WITHIN EA     ACCR PRD)X=1.25% to 07/06;  STEP-UP  BY 20BP.
(12.5%*ARS 62,168,000)/FX RDMTN=(ARS 62,168,000/FX )
(10YR =CMS +120BP) * (#DAYS 10YR =CMS - 2YR =CMS > 0.2% / #DAYS WITHIN EA   ACCRL PRD)SERIES 317,
& RDMPTN PAID IN USDINITIAL FX RT: 1.5828
[NAME] IF USDMXN IS IN RANGE (MIN 12.5, MAX 14.5) ELSE TIIEAGENTWILL NOT PROVIDE S.
PROGRAM.
MXIBTIIE + 60BP.
MXIBTIIE + 60BP.
Max(3.50%, 150% x 6 month Euribor)
to THE ARITHMETIC DAILY AVERAGE DIFFERENTIAL BETWEEN EUR CMS10Y AND  EUR CMS 2Y.
to THE 10YR =CMSMIN 0%SERIES 2006-0114,
to SPIPC   SPIPCY + 1.25%.
to SPIPC   SERIES 0550
to SPIPC
to SPAIN CPI (SPIPC) SERIES 0336.
to PERFORMANCE OF 3ml
to NORWEGIAN CPI (NOCPI)MIN 3.45%
to ITCPIUNR
to EUR 10 YEAR CMS, MIN 5.5% PER ANNUM                         ,
to CPURNSA  8% to 12/08;  CPI YOY  +250BP
to CPTFEMU  CPTFEMUY + 125BP.
to CPTFEMU
to CPI.
LIKE to CPI.
9.0% to 2011,  VAR 1% +(8.%* N/n)                          N/n = NOOF DAYS/ACTUAL DAYS OBSERVED WHERE 3M USD LIBOR => 3.0%
8.0% to 2011,  VAR 1% +(7%* N/n)                           N/n = NOOF DAYS/ACTUAL DAYS OBSERVED WHERE 3M USD LIBOR => 3.0%
8.0% to 2010,  VAR 1% +(7.%* N/n)                          N/n = NOOF DAYS/ACTUAL DAYS OBSERVED WHERE 3M USD LIBOR => 3.0%
8% to 3/12,  4*(30YR CMS - 2YR CMS) MAX 10.00% FlOOR=0%.
7.65% to 05/27/10 QURTLY;  3ml+ 310 BP QURTLY               SERIES 09LV096.
7.65% to 05/20/10 QURTLY;  3ml+ 310 BP QURTLY               SERIES 09LV080.
7.27% TILL 3/11;  BBSW3M+75BPS(FLR:0%,CAP:7.5%)
7.00% to 06/20/10 QURTLY;  3ml+ 260 BP QURTLY.
7% TILL 03/11;  BBSW3M+100 BPS (FLR:0%, CAP:7.5%).
6MO USD LIBOR UNTIL 11/19/12 4.25% UNTIL MTY.
6% to 4/11 THERAFTER CPURNSA%  +250 BPS,      FLOOR = 0.00%, CAP = 8.00%.
5.7588% to 03/09;   to ITCPIUNR MIN 5.48%.
5.7% to 09/09  to EQUITY BASKET.
5.25% to 11/12;  3ml +125BPCAP=7%
5.15% UNTIL 06/19/09 (  )THERAFTR 3M USD LIBOR +100BP(QRTLY, ACT/360).
5% to 10/12, 5.25% to 10/13 & 5.5% to 9/14;  [NAME]; MIN  5.5%.
5% to 1/16, 5.5% to 1/21 & 6%
4% to 8/11;  3ml +125BPMIN 1.25%.
3MO US$ LIBOR + 46BPSMAX 5.5%.
3ml + 125BPS MIN 3% MAX 8%
3.5% to 9/12; 3ML +100BP CAPPED @6%.
3.10% UNTIL 11/12;  3MO$LIBOR +1% CAP=6.00%
3%  04/10;   270%*INFLATION FLOORED AT 0%
1Y 7.2%, 2Y-6Y 3M AUD BBSW+120,
11.5% to 11/12;  4.25*[(USSW10-USSW2)-.35%]      FLOOR=0% CAP=10%
10YR =CMS-60BPMOD FOLLOW BUS DAY CNVTN: TEOBLIGATION FONCIERE;    SEC'D BY ELIGIBLE ASSETSSUPPORT AGRMT FROM DEXIA CLF.
1.1% to 12/11,  3ml +50BP                             PRVT PLCMNTISS'D UNDER 144
6% to 8/12;  3ml +130BP CAP=7%
6% to 8/12;  3ml +130BP CAP=7%
6% to 5/11;  CPI YOY +2.1% CAP=8%
5% to 4/16, 5.5% to 4/21 & 6% to MTY.
5% to 3/11 & CPI YOY +250BPS CAP=9%, FLOOR=0%.
5% to 2/17, 5.5% to 2/23 &7.5% to 2/26.
4.55% to 9/12;  3ml +150BP CAP=6.25%
4% to 9/11;  3ml +125BP CAP=7%
4% to 3/15, 5% to 3/18, 6% to 6/20, 7%
3.75% to 6/11;  3ml +200BP           SHORT 1ST
COUPON  5% to 11/23/2011;  3ML+50BP FLOORED AT 1.50% CAPPED AT 6.00%.