EFTA01388311.pdf

(B) the amounts payable by the Fixed Rate Payer under the Relevant Swap Transaction. The discount factors used to calculate such present value will be calculated from a current zero coupon curve agreed between the parties and the Business Day Convention used to calculate such present value will be the Business Day Convention applicable to Fixed Rate Payer Payment Dates under the Relevant Swap Transaction. If the parties arc unable to agree on such current market zero coupon curve, the Cash Settlement Amount will be determined as if the parties had specified "Cash Price" to be the applicable Cash Settlement Method. (ii) If "Zero Coupon Yield - Adjusted" is specified in the related Confirmation to be the Cash Settlement Method applicable to a Swap Transaction to which Optional Early Termination or Mandatory Early Termination is applicable, and the Optional Early Termination Date or Mandatory Early Termination date, as the case may be, falls on a date which is not both a Fixed Rate Payer Payment Date and a Floating Rate Payer Payment Date under that Swap Transaction, then the Cash Settlement Amount will be an amount equal to the Cash Settlement Amount determined pursuant to subparagraph (i) above in respect of the period from, and including, the next such date, together with an amount in respect of amounts accrued but in respect of which the originally scheduled Payment Date has not yet arisen as at the Optional Early Termination Date or Mandatory Early Termination Date, as the case may be. (e) Par Yield Curve - Unadjusted. (i) Subject to subparagraph (ii) below, if "Par Yield Curve - Unadjusted" is specified in the related Confirmation to be the Cash Settlement Method applicable to an Option Transaction or Swap Transaction to which Mandatory Early Termination is applicable, the Cash Settlement Amount will be an amount calculated as the present value of an annuity equal to the difference between: (A) the amounts that would be payable by the Fixed Rate Payer under the Relevant Swap Transaction if the Fixed Rate were the Settlement Rate; and (B) the amounts payable by the Fixed Rate Payer under the Relevant Swap Transaction. The discount rate used to calculate such present value will be equal to the Settlement Rate. Such annuity payment and discounting shall be calculated based on the Fixed Rate Payer Payment Dates under the Relevant Swap Transaction without regard to adjustment based on any Business Day Convention. (ii) If -Par Yield Curve - Unadjusted" is specified in the related Confirmation to be the Cash Settlement Method applicable to a Swap Transaction to which Optional Early Termination or Mandatory Early Termination is applicable, and the Optional Early Termination Date or Mandatory Early Termination Date, as the case may be, falls on a date which is not both a Fixed Rate Payer Payment Date and a Floating Rate Payer Payment Date under that Swap Transaction, then the Cash Settlement Amount will be an amount equal to the Cash Settlement Amount determined pursuant to subparagraph (i) above in respect of the period from, and including, the next such date, together with an amount in respect of amounts accrued but in respect of which the originally scheduled Payment Date has not yet arisen as at the Optional Early Termination Date or Mandatory Early Termination Date, as the case may be. 104 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0091789 CONFIDENTIAL SDNY GM_00237973 EFTA01388311