7.21.2014

London Big Bad Wolves at Goldman Sachs and Oporto Little Red Riding Hoods at Metro do Porto

Interest: PayIndex[1]+PayIndex[2]+PayIndex[3]
PayIndex[1]: If Index 1 is less than or equal to 7.75%, 1.665%+Radial [1,n], subject to a maximum of AverageCap [1,n]
Otherwise,
7.75%+Radial[1,n], subject to a maximum of AverageCap[1,n]
PayIndex[2}: Radial[2,n]subject to a maximum of AverageCap[2,n]
PayIndex[3]: Radial[3,n], subject to a maximum of AverageCap[3,n]
Index1: Max (12m Euribor, 12m USD Libor), Reset in Arrears
Index2: 10 year EURSwap Rate - 2 year EUR Swap Rate, Reset in Arrears
Index3: 10 year GBP Swap Rate - 10 year EUR Swap Rate, Reset in Arrears
12m Euribor: EUR-EURIBOR-Reuters, with a Designated Maturity of 12 months as published on Reuters page [EURIBOR01]
12m USD Libor: USD-LIBOR-BBA, with a Designated Maturity of 12 months as published on Reuters page [LIBOR01}
10 year EUR Swap Rate: 10 year EUR Interest Rate Swap Rate
Source: Reuters Page ISDAFIX2, 11am London Time Fixing
2 year EUR Swap Rate: 2 year EUR Interest Rate Swap Rate
Source: Reuters Page ISDAFIX2, 11am London time fixing
10 year GBP Swap Rate: 10 year GBP Interest Rate Swap Rate
Source: Reuters Page ISDAFIX3, 11am London time Fixing
Radial[1,n]: Max (Radial[1,n-1]+Index1-7.75%,0),Radial[1,0]=0
Radial[2,n]: Max (Radial[2,n-1]-0.30%-Index2, 0), Radial[2,0]=0
Radial[3,n]: Max (Radial[3,n-1]-0.45%-Index3, 0), Radial[3,0]=0
n: Number of the Interest Calculation Period, n=1,...,80
For the avoidance of doubt, n=1 corresponds to the Interest Calculation Period from 15feb08 to 15May08
AverageCap[i,n]: {SumDCF[n]x6.33%-SumCpn[i,n-1]}/DCF[n], Where i=1,2,3
SumCpn[i,n] = SumCpn[i,n-1]+Cpn[i,n], SumCpn[i.0]=0, Where i=1,2,3
Cpn[i,n]:PayIndex[i]xDCF[n], Where i=1,2,3
DCF[n]: Daycount Fraction of Interest Calculation Period n, according to 30/360, adjusted modified following convention
SumDCF[n]: Daycount Fraction from the Effective Date to the Interest Payment Date of Interest Calculation Period n, according to 30/360, adjusted modified following convention.

http://www.independent.co.uk/news/business/analysis-and-features/exclusive-blinded-by-science-the-goldman-deal-that-went-off-the-rails-9613719.html 































































































http://www.metrodoporto.pt/en/PageGen.aspx?WMCM_PaginaId=17246
http://www.metrodoporto.pt/PageGen.aspx?WMCM_PaginaId=17246

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