1. GENERAL
On each Issue Date, the Issuer enters into a swap transaction (each, a "Floating Currency Swap") with the Swap Counterparty in respect of each Class of Floating LTR Notes issued by it issued on such Issue Date which are FX Notes.
2. INITIAL PAYMENTS
On each Issue Date, the Issuer pays to the Swap Counterparty under each related Floating Currency Swap an amount in the related Notes Currency in return for which the Swap Counterparty makes a payment to the Issuer of an amount in EUR equal to such amount, converted at the initial foreign exchange rate specified in the Floating Currency Swap Confirmation (the "FX Rate").
3. INTERIM PAYMENTS
Under each related Floating Currency Swap, on each 3 month roll date under the related Floating Long-Term Repo Transaction and on the Redemption Date of the related Class of Notes, the Issuer will pay to the Swap Counterparty an amount equal to the related Long-Term Repo Rate Amount received by the Issuer from the Repo Counterparty under the related Floating Long-Term Repo Transaction on such date and the Swap Counterparty will pay to the Issuer an amount in the relevant Notes Currency equal to the notional amount of that Floating Currency Swap multiplied by the FX Floating Rate applicable to the relevant Notes Currency multiplied by the relevant day count fraction which the Issuer will pay to the Swap Counterparty under the related Performance Swap.
4. LIQUIDITY EVENT
Under each Currency Swap, if a Liquidity Event occurs in respect of the related Class of Notes and sufficient cash to cure such Liquidity Event is not generated by alternative permitted means in accordance with paragraph 10 (Rebalancing Events) of the section of this Prospectus headed "The Performance Swaps" above, that Floating Currency Swap will be decreased in size and the Swap Counterparty and the Issuer will make corresponding payments to each other, as described in Section A, paragraph 6 (Decrease and increase of Floating Long-Term Repo Transaction) of the section of this Prospectus headed "The Repo Agreement" below.
5. FLOATING LONG-TERM REPO TRANSACTION INCREASE OR DECREASE
If the Swap Counterparty and the Portfolio Manager agree to increase or decrease the size of any Floating Long-Term Repo Transaction in respect of any Class of FX Notes, the notional amounts of the related Floating Currency Swap will be correspondingly increased or decreased in size and the Swap Counterparty and the Issuer will make corresponding payments to each other, as described in Section A, paragraph 6 (Decrease and increase of Floating Long-Term Repo Transaction) of the section of this Prospectus headed "The Repo Agreement" below.
6. CHANGES TO INVESTOR NOTEHOLDING
If the Investor Noteholding relating to a Class of Floating LTR Notes which are FX Notes increases or decreases, the notional amounts of the related Floating Currency Swap will be correspondingly increased or decreased and the Swap Counterparty and the Issuer will make corresponding payments to each other, as described in paragraph 5 (Adjustments to Total Return Swaps) of the section of this Prospectus headed "The Total Return Swaps" above.
7. FINAL PAYMENT
On the Redemption Date of any Class of Floating LTR Notes which are FX Notes, the Issuer will pay to the Swap Counterparty under the related Floating Currency Swap an amount in EUR equal to the repurchase price under the related Floating Long-Term Repo Transaction and the Swap Counterparty will pay to the Issuer an amount equivalent to such amount in the relevant Notes Currency converted using the relevant FX Rate.
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Upon an early termination of a Floating Currency Swap in relation to any Class of Notes including on an early redemption of the Notes, a termination payment will be calculated (which may be payable by the Issuer to the Swap Counterparty or by the Swap Counterparty to the Issuer) in accordance with the related ISDA Master Agreement in respect of the related Floating Currency Swap as described under the section of this Prospectus headed "The ISDA Master Agreement"
below.
8. PORTFOLIO CLOSE-OUT EVENT
If a Portfolio Close-Out Event occurs in respect of any Class of Floating LTR Notes which are FX Notes, the Floating Currency Swap relating to such Class will be terminated and replaced with a Zero-Coupon Currency Swap relating to such Class, as described in paragraph 11 (Portfolio Close-Out Events) of the section of this Prospectus headed "The Performance Swaps" above.
Under any Zero-Coupon Currency Swap entered into in respect of a Class of Floating LTR Notes, the Issuer will pay an amount in the relevant Notes Currency to the Swap Counterparty equal to the present value of the Protected Amount (excluding any Lock-In Amount) as of the Redemption Date of the related Class of Notes discounted using the Zero-Coupon Yield relating to such Class of Notes plus any Lock-In Amount on the date of the occurrence of such Portfolio Close-Out Event and the Swap Counterparty will pay an equivalent EUR amount to the Issuer at the initial foreign exchange rate specified in the Zero-Coupon Currency Swap Confirmation, as determined by the Swap Counterparty in its sole discretion (acting in good faith).
Under any Zero-Coupon Currency Swap entered into in respect of a Class of Floating LTR Notes, on the Redemption Date of the related Class of Notes, the Issuer will pay to the Swap Counterparty an amount in EUR equal to the repurchase price under the related Zero-Coupon Long-Term Repo Transaction and the Swap Counterparty will pay to the Issuer an amount equal to the Protected Amount of the Investor Noteholding of the related Class of Notes.
SECTION B: ZERO-COUPON LTR NOTES 1. GENERAL
On each Issue Date, the Issuer enters into a Zero-Coupon Currency Swap with the Swap Counterparty in respect of each Class of Zero-Coupon LTR Notes issued by it on such Issue Date which are FX Notes.
2. INITIAL PAYMENTS
On each Issue Date, the Issuer pays to the Swap Counterparty under each related Zero-Coupon Currency Swap an amount in the related Notes Currency in return for which the Swap Counterparty makes a payment to the Issuer of an amount in EUR equal to such amount, converted at the initial foreign exchange rate specified in the related Zero-Coupon Currency Swap Confirmation (the "FX Rate").
3. CHANGES TO INVESTOR NOTEHOLDING
If the Investor Noteholding relating to a Class of Zero-Coupon LTR Notes which are FX Notes increases or decreases, the notional amounts of the related Zero-Coupon Currency Swap will be correspondingly increased or decreased and the Swap Counterparty and the Issuer will make corresponding payments to each other, as described in paragraph 5 (Adjustments to Total Return Swaps) of the section of this Prospectus headed "The Total Return Swaps" above.
4. FINAL PAYMENT
On the Redemption Date of any Class of Zero-Coupon LTR Notes which are FX Notes, the Issuer will pay to the Swap Counterparty under the related Zero-Coupon Currency Swap an amount in EUR equal to the repurchase price under the related Zero-Coupon Long-Term Repo Transaction and the Swap Counterparty will pay to the Issuer an amount in the relevant Notes Currency equal to the Protected Amount (excluding any Lock-In Amount) of that Class of Notes.
Upon an early termination of a Zero-Coupon Currency Swap in relation to any Class of Notes including on an early redemption of the Notes, a termination payment will be calculated (which may be payable by the Issuer to the Swap Counterparty or by the Swap Counterparty to the Issuer) in accordance with the related ISDA Master Agreement in respect of the related
Zero-60
Coupon Currency Swap as described under the section of this Prospectus headed "The ISDA Master Agreement" below.
5. PORTFOLIO CLOSE-OUT EVENT
If a Portfolio Close-Out Event occurs in respect of any Class of Zero-Coupon LTR Notes which are FX Notes, the Swap Counterparty will enter into an additional Zero-Coupon Currency Swap, as described in paragraph 11 (Portfolio Close-Out Events) of the section of this Prospectus headed
"The Performance Swaps" above.
Under any such Zero-Coupon Currency Swap entered into in respect of a Class of Zero-Coupon LTR Notes, the Issuer will pay an amount in the relevant Notes Currency to the Swap Counterparty equal to the Lock-In Amount (if any) on the date of the occurrence of the Portfolio Close-Out Event and the Swap Counterparty will pay an equivalent EUR amount to the Issuer at the initial foreign exchange rate specified in the related Zero-Coupon Currency Swap Confirmation, as determined by the Swap Counterparty in its sole discretion (acting in good faith).
Under any such Zero-Coupon Currency Swap entered into in respect of a Class of Zero-Coupon LTR Notes, on the Redemption Date of the related Class of Notes, the Issuer will pay to the Swap Counterparty an amount in EUR equal to the repurchase price under the related Zero-Coupon Long-Term Repo Transaction and the Swap Counterparty will pay to the Issuer an equivalent amount in the related Notes Currency at the foreign exchange rate specified in the related Zero-Coupon Currency Swap Confirmation.
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THE ISDA MASTER AGREEMENT