Treasury
Information
Enhanced Returns
USD/JPY Ratchet Structure
| Start: | Spot |
| Mat.: | 5y |
| Gulf Bank pay USD 3M LIBOR + 3.00% | |
| Gulf Bank recv. USD 3M LIBOR + spread | |
| With spread equal to | |
| Q1: | 0% |
| Q2-10: | previous spread + max [90-USD/JPY;0%]/USD/JPY |
| Q11: | max [90-USD/JPY;0%] / USD/JPY |
| Q12-20: | previous spread + max [90-USD/JPY;0%]/USD/JPY |
The spread KO as soon as USDJPY trades at one Quarterly observation date above Spot 118 – First Observation is after first year APR 08, Q thereafter.
Investor will receive 3% per annum (leveraged) with no capital outlay as long as USD-JPY never trades below 90 for the next 5 years. If it does then client will have to pay a spread as mentioned in the formula above.
Description
- Tailor made solutions to hedge a customer’s assets as well as looking at solutions to enhance the customer’s return using leveraged ideas.
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