BETTING ON FAILURE . PROFITING FROM DEF ALTIT'S ON SUB PRIME MORTGAGE CASE STUDY'S Principal Outstanding Writedown on Face Value on National Size Faced Swap Floating Rate Net Cash Flow Bond Band at SWED PENITENT PENITENT to SWAP BLIYET Ninth 10`0.00 00 00 2.000, 00,0. 000 9.9 7 0B.].3.23 1994 LEGGET 5400 0 00 198.8.3.3.3:373 5:304250 . 5}:41.250 9.91250 0 0 0 198.250 0 0 0 0 5.368.5,00 -5.36.8500 1\ #` $8.8.3.3.3.3.3.3 197 GEGGGET 5:3527.50 -5.3.52750 LIS DEC4 IGGET 196.010.3.2373 5.3.370 00 97 150.0 0 00 195.50^``DD 5:294250 - 52:247250 9745.83.3.3 3 5278500 -52TESDO DO ST LEGGGET 1943.3.3.3.3.3 3 52627.50 -5262750 193750 0 0 0 0 52470.0 0 -5247000 10 95.50}}3:3 3 193 1 GGGGET 5.2:31250 - 523:1250 11 DIEZBIGGET 19250.3.3 3:3 3 5215500 - 5015.50 0 12 5:59 TOODIDDY 191940 0 0 0 0 5159210 $789210