Exhibit 5 The Nine "Elephant Trades" Underlying stock Trade Structure Trade Expiration Number Premium Date Date of Shares Deal Value per Share 1. Citigroup forward + put 1/25/08 1/21/11 11,207,051 $100,000,001 $8.92 2. Citigroup forward + put 1/29/08 1/29/11 11,093,197 $100,000,002 $9.01 3. EdF forward + put + short call 2/19/08 2/7/11 3,161,130 $73,768,695 $23.34 4. EdF forward + put + short call 2/22/08 2/15/11 3,155,563 $65,964,436 $20.90 5. EdF forward + put 2/27/08 2/15/11 1,180,845 $37,197,500 $31.50 6. Banco Santander forward + put 4/24/08 6/3/11 36,226.542 $150,969,365 $4.17 7. Allianz forward + put 4/25/08 6/3/11 1,734,362 $75,785,636 $43.70 8. Eni forward + put 4/28/08 6/3/11 21,027,783 $151,436,385 $7.20 9. UniCredit forward + put 4/28/08 6/3/11 166,346,152 $452,679,480 $2.723. Calculate the price of the rst Citigroup trade in Exhibit 5. a. Use a Binomial tree with 3 steps (1 step = 1 year). Assume cash dividends of $0.18 are paid at the end of the rst and second year. Suppose the annualized volatility is 39.2%. b. Use the Black-Scholes model with a volatility of 39.2% and a dividend yield of 2.6%. 4. What could be the potential reasons why your estimated values in 3.3. and 3 .b differ from the $100 millions paid by the LIA