while also protecting against near term inflation downside collateral (in this case) is lOy Italian Government Bond. surprises. The tOy BTP repack Format: Size: Start date Maturity: Collateral: Coupon: paid yearly Price: (priced through GS) SPV [50MM USD] (T+3weeks) 01-Mar-2024 Italy 4.5% 01-Mar-2024 (ISIN: IT0004953417) start date to 01-Mar-2018: 4.25% fixed (Annual, Act/Act) 1-Mar-2018 to Maturity: 245% x (YoY Return Linked to USCPI in arrears, 3m lag) [Floored at 0.00%, Capped at 7%[ (Annual) 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: To: Cc: Date: subject: vinit sahni Nav Gupta "Tazia Smith" 12/12/2013 11:58 AM Re: 5 Month Maturity, Greek sovereign Paper, 2.5x Leverage Classification: Confidential (provided by us) Yields 10% [c] 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