Spreadsheet: elizabeth_sager__9502__Project Wilhelm Call Spread Values-Al Price Delta Grids
Sheet: Call Spread Values

Project Wilhelm
Call Spread Values/Initial Conversion Premium Analysis
Call Spread Values
 | Level | 2000-03-31 00:00:00 | 2000-04-30 00:00:00 | 2000-05-31 00:00:00 | 2000-06-30 00:00:00 | 2000-07-31 00:00:00 | 2000-08-31 00:00:00 | 2000-09-30 00:00:00 | 2000-10-31 00:00:00 | 2000-11-30 00:00:00 | 2000-12-31 00:00:00 | 2001-01-31 00:00:00 | 2001-02-28 00:00:00 | 2001-03-31 00:00:00 | 2001-04-30 00:00:00 | 2001-05-31 00:00:00 | 2001-06-30 00:00:00
 | 24 | 92219027.0140495 | 87148901.44157262 | 82044310.13794377 | 76845305.97142722 | 71602605.57663152 | 66285865.12497552 | 60873314.58870403 | 55401069.53405207 | 49832658.95934685 | 44197066.60951379 | 36983471.65347942 | 29675079.55913717 | 22322664.05046539 | 14914586.31557833 | 7472294.177731774 | 0
 | 23 | 90772608.81287722 | 85855052.32283008 | 80906280.87367721 | 75855896.66190113 | 70763888.82744749 | 65593637.92817195 | 60317546.34413612 | 54978577.62521788 | 49528047.1231423 | 43997465.56335077 | 36868055.38559591 | 29616129.61942654 | 22303547.69984603 | 14912385.57662679 | 7472634.454145357 | 0
 | 22 | 88819827.12701398 | 84083254.23092028 | 79321355.12540281 | 74451350.17473873 | 69545237.1660123 | 64559408.70694623 | 59459399.53287085 | 54298492.90345322 | 49013309.23046965 | 43638741.5880243 | 36642445.12642726 | 29487030.80814441 | 22251634.28586497 | 14901734.16812334 | 7472859.140652401 | 0
 | 21 | 86208768.7631711 | 81683102.80852595 | 77140864.35497718 | 72484899.31787425 | 67802180.41063206 | 63041722.77647372 | 58161242.00182621 | 53228597.95663872 | 48164824.06603011 | 43012937.2283148 | 36218040.64321723 | 29219225.98326167 | 22122921.59106097 | 14863640.66334071 | 7472658.242393238 | 0
 | 20 | 82754402.13692182 | 78469708.55632633 | 74180420.6018564 | 69772660.94199155 | 65350920.53770606 | 60857645.27241873 | 56241114.53327484 | 51588366.1470698 | 46804880.98617716 | 41955674.32839333 | 35451857.84846304 | 28693702.45234965 | 21830039.16264008 | 14749048.66935736 | 7466597.820759835 | 0
 | 19 | 78217763.63939756 | 74202504.5604054 | 70198729.02914585 | 66072375.42944398 | 61946595.11040685 | 57760830.66603059 | 53450072.78843179 | 49125456.93648875 | 44675062.56090429 | 40205501.53352273 | 34103429.56056959 | 27693600.59959776 | 21190447.31144456 | 14422542.64310825 | 7394407.385479269 | 0
 | 18 | 72275419.39076109 | 68559725.69239385 | 64866969.1394219 | 61056285.51087554 | 57256376.78642777 | 53409766.53750943 | 49445002.08213401 | 45484692.25691544 | 41410445.72104053 | 37353816.63014306 | 31760636.40524681 | 25840120.36239526 | 19846986.45605205 | 13574769.69369689 | 7025850.965010664 | 0
 | 17 | 64754016.68939128 | 61370670.34325247 | 58003823.19667466 | 54543886.81302883 | 51093454.77770114 | 47604953.27561893 | 44024615.44736718 | 40448827.32963877 | 36785435.82844309 | 33129214.45548243 | 28126275.82447254 | 22863167.67437315 | 17530192.28487198 | 11963228.96005949 | 6154973.937556491 | 0
 | 16 | 55971652.66266401 | 52942085.17334212 | 49916974.19023087 | 46831980.43298271 | 43748934.5944984 | 40636871.56768712 | 37466311.70167839 | 34292901.59616056 | 31062790.2273404 | 27818505.86926921 | 23495594.16998244 | 19018231.1552162 | 14485724.76952342 | 9807263.425507048 | 4976932.557556622 | 0
 | 15 | 46481229.64630794 | 43816983.32907585 | 41147419.73464496 | 38450934.32924764 | 35747672.22416534 | 33027109.88725217 | 30280371.32589185 | 27524056.21815743 | 24741822.38703844 | 21945253.58121134 | 18372092.26241982 | 14753896.04481391 | 11117627.06240187 | 7443646.312914656 | 3735689.134206622 | 0
 | 14 | 38420815.51769222 | 36124431.7276362 | 33803487.81739825 | 31481749.58457884 | 29136984.6117288 | 26773236.00606598 | 24406617.00333774 | 22007452.8305704 | 19595143.22800582 | 17114553.94410495 | 14114336.06338339 | 11179926.65439995 | 8229117.367800368 | 5341567.945851123 | 2545237.378557997 | 0
 | 13 | 32279907.79262372 | 30202693.69872499 | 28081720.02466785 | 25992604.10956871 | 23866058.63921179 | 21722280.76226848 | 19606139.21230739 | 17436908.45432206 | 15276087.65250716 | 13000796.33970591 | 10441285.30698085 | 8071769.927349569 | 5688882.012465362 | 3476711.248587592 | 1476568.65319228 | 0
 | 12 | 26593597.59188398 | 24731575.23773722 | 22815516.08762962 | 20954959.0403854 | 19049409.77358971 | 17131661.37948104 | 15264623.79714952 | 13335805.96683495 | 11436438.88189662 | 9411387.41297558 | 7288885.356545413 | 5439839.060639726 | 3591331.405214933 | 1987887.354741097 | 671214.2265952551 | 0
 | 11 | 21569816.94392465 | 19914569.52395163 | 18209563.47670308 | 16569402.21841293 | 14886634.57853836 | 13202246.59743743 | 11579145.14784269 | 9903305.031037977 | 8273154.490729602 | 6551538.297715956 | 4860039.516086535 | 3459900.031832573 | 2094249.51144825 | 1000674.210613146 | 217454.3563708288 | 0
 | 10 | 17259676.03914502 | 15803649.42391163 | 14311068.14587549 | 12883098.31126348 | 11422413.04901765 | 9973324.593163967 | 8588269.237011982 | 7171483.458351037 | 5814095.093957176 | 4425397.058537613 | 3135268.312141066 | 2109249.103683074 | 1155070.15602156 | 458793.2342313507 | 45980.23433114475 | 0
 | 9 | 13602009.33538482 | 12339669.94637521 | 11054133.39860093 | 9831081.38325744 | 8588046.524794735 | 7368233.029977729 | 6214377.136430462 | 5051922.572540363 | 3962628.561923506 | 2896225.214092733 | 1951959.378728659 | 1232512.14074416 | 604770.9632570773 | 195800.6312850372 | 6074.581423011246 | 0
 | 8 | 10525677.35130331 | 9450025.755938094 | 8362356.972430004 | 7335275.640905319 | 6301117.45707104 | 5299097.291220521 | 4365065.487049273 | 3442912.99819428 | 2604406.037396009 | 1821476.786709138 | 1159351.738276334 | 680850.8496046105 | 294343.779240825 | 75438.58957872548 | 579.91912731958 | 0
 | 7 | 7978318.496814328 | 7079188.997249366 | 6177681.081032651 | 5334485.689621291 | 4495890.440245077 | 3695807.721702674 | 2964038.474512344 | 2259947.114215086 | 1642665.021547829 | 1093260.119803991 | 651256.5371588747 | 351126.1999333737 | 130433.6493028339 | 24959.91426073673 | 142.6461155515324 | 0
 | 6 | 5910601.037442098 | 5175204.687832486 | 4445441.671799864 | 3770999.865370492 | 3110401.378800186 | 2491878.356168896 | 1939237.126978309 | 1423875.901831298 | 990381.8915587359 | 623051.5592976375 | 343859.1118888502 | 167618.070008766 | 51921.3119476642 | 6787.192814539419 | 59.76481040239332 | 0
 | 5 | 4268618.323824112 | 3681824.121013638 | 3106736.264378171 | 2583037.926643665 | 2079388.102509107 | 1618380.215379897 | 1217842.110655905 | 857645.5915632596 | 568131.24661277 | 335278.7577783229 | 169493.0966522854 | 73518.01327993452 | 18389.72447317245 | 1454.865531135369 | 0 | 0
 | 4 | 2995954.127470692 | 2540695.816058174 | 2101120.759092465 | 1707899.538008198 | 1337816.705531771 | 1007966.158765439 | 730656.0110476997 | 491280.9152226576 | 308164.158989554 | 169105.0924180719 | 77268.76169954106 | 29305.45893594334 | 5716.409318373278 | 253.688577948253 | 0 | 0
 | 3 | 2036271.244043031 | 1694191.331833735 | 1369676.791920371 | 1085439.454557229 | 824568.5151742853 | 599153.73238337 | 416617.01496428 | 266050.717971454 | 156917.4645179989 | 79229.03086757724 | 32208.27456923625 | 10448.72518627378 | 1515.467726961098 | 32.95752812247541 | 0 | 0
 | 2 | 1334758.435591279 | 1086913.067560566 | 856621.0491979932 | 659793.1397416003 | 484318.9198955231 | 337988.7150522896 | 224388.8661575284 | 135279.8568606575 | 74426.42045664444 | 34184.07489801555 | 12170.59983588692 | 3320.068370014581 | 358.3080119208083 | 6.073707859844617 | 0 | 0
 | 1 | 839760.5611429956 | 667463.6927172185 | 511182.5436797767 | 381335.1782154295 | 269366.3299660131 | 179682.60119832 | 113266.0443284109 | 63988.14635432562 | 32514.3430411452 | 13393.57263864486 | 4091.722749856547 | 910.6827676413974 | 68.98713299300566 | 0 | 0 | 0
 |  | Actual Interest Due (Unused + Used) for a Level 13 Exposure Level
 | Level | 2000-03-31 00:00:00 | 2000-04-30 00:00:00 | 2000-05-31 00:00:00 | 2000-06-30 00:00:00 | 2000-07-31 00:00:00 | 2000-08-31 00:00:00 | 2000-09-30 00:00:00 | 2000-10-31 00:00:00 | 2000-11-30 00:00:00 | 2000-12-31 00:00:00 | 2001-01-31 00:00:00 | 2001-02-28 00:00:00 | 2001-03-31 00:00:00 | 2001-04-30 00:00:00 | 2001-05-31 00:00:00 | 2001-06-30 00:00:00
 |  | 208104.9924746374 | 204862.3783718598 | 196298.4877738425 | 192667.0552345779 | 184529.4055424678 | 178536.4418108782 | 174292.014344962 | 166674.3936463592 | 161930.1672227911 | 154410.5856655487 | 147777.7667392044 | 143820.8717499812 | 136222.9106412967 | 131419.2195830181 | 127097.5444581102 | 125000
 |  | Initial Conversion Premium: | 2482291.576017911 | (PV-11.25%)