CDX Trade & Market Value Calculations Processing Notes

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