EFTA01450725.pdf

while also protecting against near term inflation downside surprises. The collateral (in this case) is lOy Italian Government Bond. tOy BTP repack (priced through GS) Format: SPV Size: [50MM USD] Start date (T+3weeks) Maturity: 01-Mar-2024 Collateral: Italy 4.5% 01-Mar-2024 (ISIN: IT0004953417) Coupon: start date to 01-Mar-2018: 4.25% fixed (Annual, Act/Act) 1-Mar-2018 to Maturity: 245% x (YoY Return Linked to USCPI paid yearly in arrears, 3m lag) [Floored at 0.00%, Capped at 7%[ (Annual) Price: 100.00% Market Triggers are applicable, i.e. Gs right to terminate the structure if either one of the 2 conditions is satisfied: (i) MtM of Swap (from GS perspective) > 60% MtM of BTP (ii) SPV Note value < 50% (Note value defined as Swap MtM from SPV perspective + MtM of BTP) Note that: a) Even though current inflation is low, historically this has averaged close to 2.7% annually. (Embedded image moved to file: pic10835.gif) b) Current forwards look like.. (Embedded image moved to file: pic10266.gif) ..rising sharply from 2017 onwards. If these are realised the coupons from Year 5 onwards would be between 6.5-7%, and the IRR on the structure close to 5.5%. Higher than the forward inflation currently priced in benefits the investor (until the cap of 7% is hit). Compare this to the yield on the same BTP Mar-24 of 4.07% ! Hope this helps and please call if any questions' Regards, vanshree. Forwarded by Tazia Snit on 12/23/2013 11:05 AM From: vinit sahni To: Nav Gupta Cc: "Tazia Smith" Date: 12/12/2013 11:58 AM subject: Re: 5 Month Maturity, Greek sovereign Paper, 2.5x Leverage (provided by us) Yields 10% [c] Classification: Confidential Nav - can u pls give tazia a call and talk to her abt the idea. she will be taking a very active interest and looking after the KCP cap markets effort in US. wud like u to talk to her as much as possible and share ideas. Thanks Original Message From: Nay Gupta Sent: 12/12/2013 04:12 PM GMT To: Hella Alashkar; Karine Genevey; Karsten LeBlanc; Manuel deSouzaGirao; Pierluigi Amicarella; Ramona Lieser; Roger Posch; vinit Sahni; Anurag mahesh; Bobby Abraham; Caroline Kitidis; Dario Schiraldi Cc: Juan Landazabal; Mitch Matharu; Apurva Gupta; Debdutta Bhattacharya CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 106547 CONFIDENTIAL SDNY_GM_00252731 EFTA01450725