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Excerpt

The table below details Eagle's trade and market value calculations for opens and terminations of CDX using par-based prices, including gains and losses due to price movements. This is based on Data Management signage.

...

Open Sell Protection

Cash Direction

Price

Cost Basis

Market Value

Close Sell Protection

Value at Open --> Value at Close: Gain or Loss

Receive Fee &
Pay Traded Interest

Price < 100

Long, Receive Fee to Open

Cost = Negative

Price < 100

Negative MV
As price decreases, value goes down

Pay Fee to Close

Receive Traded Interest

95 --> 90: Loss

90 --> 95: Gain

Pay Fee &
Pay Traded Interest

Price > 100

Long, Pay Fee to Open

Cost = Positive

Price > 100

Positive MV
As price increases, value goes up

Receive Fee to Close

Receive Traded Interest

105 --> 110: Gain

110 --> 105: Loss


Open Buy Protection

Cash Direction

Price

Cost Basis

Market Value

Close

...

Sell Protection

Value at Open --> Value at Close: Gain or Loss

Pay Fee &
Receive Traded Interest

Price < 100

Short, Pay Fee to Open

Cost = Positive

Price < 100

Positive MV
As price decreases, value goes up

Receive Fee to Close

Pay Traded Interest

95 --> 90: Gain

90 --> 95: Loss

Receive Fee &
Receive Traded Interest

Price > 100

Short, Receive Fee to Open

Cost = Negative

Price > 100

Negative MV
As price increases, value goes down

Pay Fee to Close

Pay Traded Interest

105 --> 110: Loss]

110 --> 105: Gain