Scribd Logo
Upload

Welcome to Scribd!

  • 49 views

    Ratchet Note 20041020

    Uploaded by

    ererererrrrrr
    This document outlines the key terms of a ratchet swap and ratchet note/structured step-up deposit (SSD). It describes the start and maturity dates, currencies, notional amounts, coupon rates including fixed and floating rates and spreads, day count conventions, interest periods, and determination of reference rates. The document also lists the swap and bond counterparts, arranger, and potential issuers.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Ratchet Note 20041020

    Uploaded by

    ererererrrrrr
    49 views3 pages
    This document outlines the key terms of a ratchet swap and ratchet note/structured step-up deposit (SSD). It describes the start and maturity dates, currencies, notional amounts, coupon rates including fixed and floating rates and spreads, day count conventions, interest periods, and determination of reference rates. The document also lists the swap and bond counterparts, arranger, and potential issuers.

    Original Description:

    xcvxcvxcvxcv

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    This document outlines the key terms of a ratchet swap and ratchet note/structured step-up deposit (SSD). It describes the start and maturity dates, currencies, notional amounts, coupon rates including fixed and floating rates and spreads, day count conventions, interest periods, and determination of reference rates. The document also lists the swap and bond counterparts, arranger, and potential issuers.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    49 views3 pages

    Ratchet Note 20041020

    Uploaded by

    ererererrrrrr
    This document outlines the key terms of a ratchet swap and ratchet note/structured step-up deposit (SSD). It describes the start and maturity dates, currencies, notional amounts, coupon rates including fixed and floating rates and spreads, day count conventions, interest periods, and determination of reference rates. The document also lists the swap and bond counterparts, arranger, and potential issuers.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 3

    20.10.

    04

    Term Sheet Ratchet Swap

    Start Date Spot, Forward Start or Forward Start with a fixed payment period
    at the beginning

    Maturity 3 Months up to 15 Years

    Currency Euro, USD, GBP

    Notional 1.000.000,00 and more

    Counterpart A pays

    Coupon Floating or Fixed Rate

    Spread (in Floating case) ± X bp

    Reference (in Floating case) Euribor or Libor

    Day count Act/Act, Act/360, E30/360, 30/360 etc.


    Adjusted or unadjusted, following or modified following

    Roll over 1 Month up to 12 Months

    Counterpart B pays see Bond Cash Flows below

    Swap counterparts BGB, LBB or other counterparts

     Zins-/Kreditprodukte - Marktanalyse u. Produktentwicklung 1 of 3


    Seite(2), 20.10.04

    Term Sheet Ratchet Note / SSD

    Start Date see Ratchet Swap

    Maturity see Ratchet Swap

    Currency see Ratchet Swap

    Notional see Ratchet Swap

    Coupon1 Fixing + Y1

    Coupon i min{max[Reference i + Yi, Ci-1], Ci-1 + Bi} Minimum coupon


    0%, i > 1

    or

    Coupon i min{ Reference i + Yi , Ci-1 + Bi} Minimum coupon 0%, i > 1

    Reference Fixing Upfront or In Arrears

    Definition of N Bi% is a ratchet cap for an interest period that limits the increase
    of the coupon i compared to the previous interest period i-1 to a
    specified number.
    Yi% is a spread per interest period
    Bi% and Yi%, can change (go up and / or go down) during tenor
    but specified at trade day

    Simple coupon example 3 Months Euribor + 50 basis points, Euribor can go up by 60 basis
    points for each interest period, if Euribor drops coupon stays on
    the pervious level (for first version only)

    Day count Act/Act, Act/360, E30/360, 30/360 etc.


    Adjusted or unadjusted, following or modified following

    Interest period begins on coupon date (included) and ends on the following cou-
    pon date (excluded)

    Coupon Roll over 1 Months up to 12 Months

    Determination of Reference 1 Month up to 12 Months Euribor or Libor in Euro, USD, GBP


    or 1 Year to 10 Year Swaprate (CMS) in Euro, USD, GBP

    Determination Date of Refer- two TARGET-business days prior to each day within the cur-
    ence rent interest period

    Interest Calculation Bankgesellschaft Berlin AG


    Agent

     Zins-/Kreditprodukte - Marktanalyse u. Produktentwicklung 2 of 3


    Seite(3), 20.10.04

    Arranger Bankgesellschaft Berlin AG

    Issuer of Bond / SSD Landesbank Berlin (Berlin or London Branch) or other issuers

     Zins-/Kreditprodukte - Marktanalyse u. Produktentwicklung 3 of 3

    You might also like