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Payment Formula

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The formula, described below, that is used to calculate the Payment Amount, if any, payable under a Certificate to a Certificate Holder on a given Payment Date.

For Cap Certificates the payment formula is calculated as follws:
Terms:
B = the level of the Benchmark Rate for the Calculation Period, expressed as an annual percentage
P = Payment Amount payable
A = Amount Protected
C = the Cap Rate, expressed as an annual percentage
d = the number of calendar days in the Calculation Period

Payment Formula:
If B<=C, then P=0.
If B>C, then P=(B‐C) x A x d/365

For Floor Certificates the payment formula is calculated as follows:

Terms:
P = Payment Amount payable
A = Amount Protected
R = the level of the Benchmark Interest Rate for the Calculation Period, expressed
as an annual percentage
F = the Floor Rate, expressed as an annual percentage
d = the number of calendar days in the Calculation Period

Payment Formula:
If R>=F, then P=0
If R<F, then P=(F-R) x A x d/365

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