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

Project Wilhelm
Call Spread Values/Initial Conversion Premium Analysis
 |  | Grid #1
 |  | Average Prices of Remaining Strips
 |  | Starting Top to Bottom, at Each Date KLU Must be Assigned to the First Applicable Level
 |  | This Grid [NAME] At Deal Closing Based on Forward Prices at that [NAME] (Latest Update 02/25/2000)
 | 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
 | 25 | > $2166.55 | > $2164.88 | > $2162.93 | > $2160.89 | > $2158.83 | > $2156.69 | > $2154.41 | > $2152.01 | > $2149.47 | > $2146.93 | > $2144.65 | > $2142.56 | > $2140.73 | > $2138.95 | > $2137.23 | > $2135.60
 | 24 | > $2116.55 | > $2114.88 | > $2112.93 | > $2110.89 | > $2108.83 | > $2106.69 | > $2104.41 | > $2102.01 | > $2099.47 | > $2096.93 | > $2094.65 | > $2092.56 | > $2090.73 | > $2088.95 | > $2087.23 | > $2085.60
 | 23 | > $2066.55 | > $2064.88 | > $2062.93 | > $2060.89 | > $2058.83 | > $2056.69 | > $2054.41 | > $2052.01 | > $2049.47 | > $2046.93 | > $2044.65 | > $2042.56 | > $2040.73 | > $2038.95 | > $2037.23 | > $2035.60
 | 22 | > $2016.55 | > $2014.88 | > $2012.93 | > $2010.89 | > $2008.83 | > $2006.69 | > $2004.41 | > $2002.01 | > $1999.47 | > $1996.93 | > $1994.65 | > $1992.56 | > $1990.73 | > $1988.95 | > $1987.23 | > $1985.60
 | 21 | > $1966.55 | > $1964.88 | > $1962.93 | > $1960.89 | > $1958.83 | > $1956.69 | > $1954.41 | > $1952.01 | > $1949.47 | > $1946.93 | > $1944.65 | > $1942.56 | > $1940.73 | > $1938.95 | > $1937.23 | > $1935.60
 | 20 | > $1916.55 | > $1914.88 | > $1912.93 | > $1910.89 | > $1908.83 | > $1906.69 | > $1904.41 | > $1902.01 | > $1899.47 | > $1896.93 | > $1894.65 | > $1892.56 | > $1890.73 | > $1888.95 | > $1887.23 | > $1885.60
 | 19 | > $1866.55 | > $1864.88 | > $1862.93 | > $1860.89 | > $1858.83 | > $1856.69 | > $1854.41 | > $1852.01 | > $1849.47 | > $1846.93 | > $1844.65 | > $1842.56 | > $1840.73 | > $1838.95 | > $1837.23 | > $1835.60
 | 18 | > $1816.55 | > $1814.88 | > $1812.93 | > $1810.89 | > $1808.83 | > $1806.69 | > $1804.41 | > $1802.01 | > $1799.47 | > $1796.93 | > $1794.65 | > $1792.56 | > $1790.73 | > $1788.95 | > $1787.23 | > $1785.60
 | 17 | > $1766.55 | > $1764.88 | > $1762.93 | > $1760.89 | > $1758.83 | > $1756.69 | > $1754.41 | > $1752.01 | > $1749.47 | > $1746.93 | > $1744.65 | > $1742.56 | > $1740.73 | > $1738.95 | > $1737.23 | > $1735.60
 | 16 | > $1716.55 | > $1714.88 | > $1712.93 | > $1710.89 | > $1708.83 | > $1706.69 | > $1704.41 | > $1702.01 | > $1699.47 | > $1696.93 | > $1694.65 | > $1692.56 | > $1690.73 | > $1688.95 | > $1687.23 | > $1685.60
 | 15 | > $1666.55 | > $1664.88 | > $1662.93 | > $1660.89 | > $1658.83 | > $1656.69 | > $1654.41 | > $1652.01 | > $1649.47 | > $1646.93 | > $1644.65 | > $1642.56 | > $1640.73 | > $1638.95 | > $1637.23 | > $1635.60
 | 14 | > $1616.55 | > $1614.88 | > $1612.93 | > $1610.89 | > $1608.83 | > $1606.69 | > $1604.41 | > $1602.01 | > $1599.47 | > $1596.93 | > $1594.65 | > $1592.56 | > $1590.73 | > $1588.95 | > $1587.23 | > $1585.60
 | 13 | > $1566.55 | > $1564.88 | > $1562.93 | > $1560.89 | > $1558.83 | > $1556.69 | > $1554.41 | > $1552.01 | > $1549.47 | > $1546.93 | > $1544.65 | > $1542.56 | > $1540.73 | > $1538.95 | > $1537.23 | > $1535.60
 | 12 | > $1516.55 | > $1514.88 | > $1512.93 | > $1510.89 | > $1508.83 | > $1506.69 | > $1504.41 | > $1502.01 | > $1499.47 | > $1496.93 | > $1494.65 | > $1492.56 | > $1490.73 | > $1488.95 | > $1487.23 | > $1485.60
 | 11 | > $1466.55 | > $1464.88 | > $1462.93 | > $1460.89 | > $1458.83 | > $1456.69 | > $1454.41 | > $1452.01 | > $1449.47 | > $1446.93 | > $1444.65 | > $1442.56 | > $1440.73 | > $1438.95 | > $1437.23 | > $1435.60
 | 10 | > $1416.55 | > $1414.88 | > $1412.93 | > $1410.89 | > $1408.83 | > $1406.69 | > $1404.41 | > $1402.01 | > $1399.47 | > $1396.93 | > $1394.65 | > $1392.56 | > $1390.73 | > $1388.95 | > $1387.23 | > $1385.60
 | 9 | > $1366.55 | > $1364.88 | > $1362.93 | > $1360.89 | > $1358.83 | > $1356.69 | > $1354.41 | > $1352.01 | > $1349.47 | > $1346.93 | > $1344.65 | > $1342.56 | > $1340.73 | > $1338.95 | > $1337.23 | > $1335.60
 | 8 | > $1316.55 | > $1314.88 | > $1312.93 | > $1310.89 | > $1308.83 | > $1306.69 | > $1304.41 | > $1302.01 | > $1299.47 | > $1296.93 | > $1294.65 | > $1292.56 | > $1290.73 | > $1288.95 | > $1287.23 | > $1285.60
 | 7 | > $1266.55 | > $1264.88 | > $1262.93 | > $1260.89 | > $1258.83 | > $1256.69 | > $1254.41 | > $1252.01 | > $1249.47 | > $1246.93 | > $1244.65 | > $1242.56 | > $1240.73 | > $1238.95 | > $1237.23 | > $1235.60
 | 6 | > $1216.55 | > $1214.88 | > $1212.93 | > $1210.89 | > $1208.83 | > $1206.69 | > $1204.41 | > $1202.01 | > $1199.47 | > $1196.93 | > $1194.65 | > $1192.56 | > $1190.73 | > $1188.95 | > $1187.23 | > $1185.60
 | 5 | > $1166.55 | > $1164.88 | > $1162.93 | > $1160.89 | > $1158.83 | > $1156.69 | > $1154.41 | > $1152.01 | > $1149.47 | > $1146.93 | > $1144.65 | > $1142.56 | > $1140.73 | > $1138.95 | > $1137.23 | > $1135.60
 | 4 | > $1116.55 | > $1114.88 | > $1112.93 | > $1110.89 | > $1108.83 | > $1106.69 | > $1104.41 | > $1102.01 | > $1099.47 | > $1096.93 | > $1094.65 | > $1092.56 | > $1090.73 | > $1088.95 | > $1087.23 | > $1085.60
 | 3 | > $1066.55 | > $1064.88 | > $1062.93 | > $1060.89 | > $1058.83 | > $1056.69 | > $1054.41 | > $1052.01 | > $1049.47 | > $1046.93 | > $1044.65 | > $1042.56 | > $1040.73 | > $1038.95 | > $1037.23 | > $1035.60
 | 2 | > $1016.55 | > $1014.88 | > $1012.93 | > $1010.89 | > $1008.83 | > $1006.69 | > $1004.41 | > $1002.01 | > $999.47 | > $996.93 | > $994.65 | > $992.56 | > $990.73 | > $988.95 | > $987.23 | > $985.60
 | 1 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00 | > $0.00
 |  | At any date, identify the higher and lower bands and choose the lower one. For example, if the average aluminum prices on the remaining strips on 3/31/2000 are $2,000, the higer level is #22 ($2,023.38) and the lower level is #21 ($1,973.38).
 |  | Grid #2
 |  | Power Price Adder (Prepayment of Unused + Used Portion for Level 13 Case--No Movement in Forward Prices--)
 |  | Depending on Level Assigned on Grid #1, the Power Price Adder [NAME] As Follows
 | 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
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.146689914494016 | 1.200390306354138 | 1.294426394758405 | 1.177902765659081 | 1.111001738352148 | 0.9740613574299454 | 0.8315016324186268 | 0.7513405412480606 | 0.5245108827635094 | 0.3740364282649663 | 0.1904424269471471 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.146689914494016 | 1.200390306354138 | 1.294426394758405 | 1.166072235057766 | 1.10218773846197 | 0.9684721704294127 | 0.828269770078699 | 0.749512976152865 | 0.5239755906874748 | 0.3739727494758591 | 0.1904519552965418 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.146689914494016 | 1.200390306354138 | 1.278784020130825 | 1.147028644058531 | 1.087293702215655 | 0.9584272562457637 | 0.821952278502516 | 0.745510656854684 | 0.522521922061213 | 0.3736645489983288 | 0.190458246921403 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.146689914494016 | 1.200390306354138 | 1.241221591570506 | 1.117069668173269 | 1.062742626855715 | 0.9409036126607085 | 0.8100681923911239 | 0.7372081759245395 | 0.5189177359387892 | 0.3725623063830908 | 0.1904526214101138 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.146689914494016 | 1.200390306354138 | 1.185662347688811 | 1.071140238021809 | 1.023392421998858 | 0.9112983567265273 | 0.7886137010505607 | 0.7209159037608481 | 0.5107165030641003 | 0.3692465658164429 | 0.1902829187434078 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.146689914494016 | 1.137689552154725 | 1.104903037942195 | 1.00217436630975 | 0.9617657314527681 | 0.8622903819597657 | 0.750855292451394 | 0.6899107619964668 | 0.4928067850086701 | 0.359799053482846 | 0.188261457182012 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 1.041232188406429 | 1.129775490729589 | 1.069863547626513 | 1.015851958950168 | 0.9890155753757084 | 0.9002264306138128 | 0.8673034386326364 | 0.7824380941187129 | 0.6852528855483143 | 0.632449197103036 | 0.4551874734217382 | 0.3352685861966374 | 0.1779412169135139 | 0
 |  | 0.9354391355319227 | 1.020498401685844 | 0.9853356605355353 | 0.9719018452732473 | 0.8972906867190699 | 0.8533067847260832 | 0.8321756843234274 | 0.7592131878025263 | 0.7334779209070159 | 0.6641416622565761 | 0.5834842760956295 | 0.5401577571221918 | 0.3903130846678161 | 0.2886383566353702 | 0.1535550994332783 | 0
 |  | 0.8226381908260538 | 0.8162763291552343 | 0.7588893957941657 | 0.7487564060358016 | 0.6916309593668427 | 0.6581880093023657 | 0.6424099509412287 | 0.5868362351401664 | 0.5678921106899244 | 0.5154323044437061 | 0.4538168910572645 | 0.4209570961860265 | 0.3050625382030825 | 0.2262550946402185 | 0.1205678296080132 | 0
 |  | 0.5568893384415312 | 0.5522398174577149 | 0.5133261549903491 | 0.5062492849786526 | 0.4675812738176418 | 0.4451010446844514 | 0.434483435438146 | 0.3972964340088063 | 0.3849937356811869 | 0.3509707148363509 | 0.3103496557424509 | 0.2887542467811938 | 0.210749766386283 | 0.1578633957804849 | 0.08581078930363371 | 0
 |  | 0.3311832976536808 | 0.3296544123234658 | 0.3076829001391306 | 0.3045946338018933 | 0.2824701735590024 | 0.2699813683519527 | 0.264525266382761 | 0.24282165277037 | 0.236073621125845 | 0.2157024678295636 | 0.1911248517819776 | 0.177954104469253 | 0.1298663183967695 | 0.09703936895572993 | 0.05247600671938682 | 0
 |  | 0.1592268761407857 | 0.1583078258387665 | 0.1474631478785347 | 0.145765192974054 | 0.1348748002246326 | 0.1285455696345049 | 0.1256225525219289 | 0.1148382192956741 | 0.1111009482236847 | 0.1005098825809346 | 0.08827284807446906 | 0.08159507895305812 | 0.05873517605427947 | 0.04307939507657683 | 0.02255136723221956 | 0
 |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0
 |  | -0.1406748613339864 | -0.1393809523664813 | -0.1289749275013031 | -0.1268968987839256 | -0.1165651656320382 | -0.110030655859196 | -0.1066400072137395 | -0.09611617763768393 | -0.0915302196518234 | -0.08008090040489532 | -0.06801203630317199 | -0.06138203834347573 | -0.04192097596792906 | -0.02856519514259115 | -0.01270608955601552 | 0
 |  | -0.2613665309346707 | -0.2583311867426385 | -0.2381397833152477 | -0.2335607849861668 | -0.2135695767409291 | -0.200446258577427 | -0.1931815555595354 | -0.1726120774105037 | -0.1626835586788033 | -0.1396166653908481 | -0.1163087210014658 | -0.1032548969790629 | -0.06821968103700082 | -0.04424462154252737 | -0.01750767227442065 | 0
 |  | -0.3637877535982066 | -0.3585620744028359 | -0.3293397930395577 | -0.3218714599863415 | -0.2929369189290708 | -0.2733934909695148 | -0.26187056309951 | -0.2319635807094137 | -0.2162560856473701 | -0.1824362174866389 | -0.1494434917623419 | -0.1304354823876354 | -0.08362904463367651 | -0.05185436121111283 | -0.01862510207135539 | 0
 |  | -0.4499305622922453 | -0.4421744641724284 | -0.4047143569444337 | -0.3940880613275487 | -0.3569750312645237 | -0.3313329997832807 | -0.3153807381394749 | -0.2770187323208072 | -0.255556505917263 | -0.21253109952583 | -0.1716379261388071 | -0.1475380769790152 | -0.09232156210724987 | -0.05533705917715194 | -0.01877896246269981 | 0
 |  | -0.5212611753771743 | -0.510775064828931 | -0.4658891970933291 | -0.4519812890846097 | -0.407524622909516 | -0.3762279810085788 | -0.3559197141966777 | -0.3101438970827694 | -0.2833846603110182 | -0.2329224712469643 | -0.1858655023349725 | -0.1577601953343983 | -0.09691133949126621 | -0.05679766899538078 | -0.0187912068906727 | 0
 |  | -0.5791609698264415 | -0.5658672034115952 | -0.5143950049235483 | -0.4972210409437184 | -0.4463207995852801 | -0.4099401608230328 | -0.3855725309656023 | -0.3335553893650215 | -0.3022585934704248 | -0.2460891536088133 | -0.1944731811339763 | -0.1634493114654936 | -0.0991098256403245 | -0.05732350005574529 | -0.01879352771574968 | 0
 |  | -0.6251394284290958 | -0.6090784466644555 | -0.5518811554449891 | -0.5315949396337307 | -0.4751910190154739 | -0.4343996741739792 | -0.4064462293545608 | -0.3494108528021865 | -0.3144764940765002 | -0.2541473077732206 | -0.1993557420444984 | -0.1663665999305491 | -0.1000487701820609 | -0.0574777919331586 | -0.01879520123754634 | 0
 |  | -0.6607763066872 | -0.6420972054883983 | -0.5800401917713137 | -0.5569172309715625 | -0.4959563471118374 | -0.4514923616911851 | -0.4205430493663723 | -0.3596697203072438 | -0.3219986898989313 | -0.2588004682055753 | -0.2019381886997612 | -0.167737276838535 | -0.1004036457184296 | -0.05751254821073924 | -0.01879520123754634 | 0
 |  | -0.6876491472849727 | -0.6665909694995221 | -0.6005219336836147 | -0.5749282287566022 | -0.5103282162414713 | -0.46293984226864 | -0.4296298258734156 | -0.3659765694686238 | -0.3263750410121128 | -0.2613171589971999 | -0.2031999630929709 | -0.168321872998929 | -0.1005212796115584 | -0.05751893510454208 | -0.01879520123754634 | 0
 |  | -0.7072927631130348 | -0.6841626785352041 | -0.6148884139345774 | -0.5872443836991841 | -0.5198558146755765 | -0.4702529307915757 | -0.4351919829569443 | -0.369638387936108 | -0.3287619346481474 | -0.2625784984900751 | -0.203761053895316 | -0.1685428755043933 | -0.1005536821573424 | -0.05751971299285986 | -0.01879520123754634 | 0
 |  | -0.7211535906905517 | -0.6962995238721065 | -0.6245613111545095 | -0.595301616382233 | -0.525874872413298 | -0.4746857856821999 | -0.4384073423848702 | -0.3716346835932073 | -0.3299746683696607 | -0.2631606698123021 | -0.2039872769319992 | -0.1686175712385939 | -0.1005617836604486 | -0.05751988873672154 | -0.01879520123754634 | 0
 |  | -0.7305447663069515 | -0.7043239817299392 | -0.6307731004153514 | -0.6003094796915874 | -0.5294710509631673 | -0.4772139265472164 | -0.44014596750967 | -0.3726446422948657 | -0.3305403875693858 | -0.2634036249442436 | -0.2040679403103518 | -0.168638947472357 | -0.1005632691801944 | -0.05751988873672154 | -0.01879520123754634 | 0