Message-ID: <26733037.1075861508707.JavaMail.evans@thyme> Date: Wed, 14 Nov 2001 15:37:59 -0800 (PST) From: wallace@haas.berkeley.edu To: dasovich@haas.berkeley.edu Subject: Revision to the Swap Agreement in Rockefeller Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Nancy Wallace X-To: dasovich@haas.berkeley.edu X-cc: X-bcc: X-Folder: \JDASOVIC (Non-Privileged)\Dasovich, Jeff\Inbox X-Origin: Dasovich-J X-FileName: JDASOVIC (Non-Privileged).pst Announcement for E283-1: Real Estate Finance: Hi All, The Rockefeller spreadsheet is now on izio. I would also like to revise the wording of the swap agreement that is in the case. The new version is now on izio. I have added the following footnote to the case: The Swap contract serves as an inverse floater to the floating rate bonds. If there is a swap contract, then the A-2FL and the B-FL pay as floating rate notes, to the bond holder, with coupons of LIBOR +.36% and LIBOR + .48% per annum respectively. Since the underlying collateral is fixed, there has to be a cap on the payments on these floating rate notes and these caps would be 6.4449% and 6.5710% respectively. Alternatively, there has to be another position, an inverse floater, such that the sum of the two positions pays out the capped coupon as its maximum. In this case Goldman Sachs achieves this using a SWAP contract. The contract is written such that the Trust pay out the two floating rate coupons to the bond holders and also pays the difference between the floating rate coupon and the respective cap to the Swap Counterparty if the floaters are below the caps. If the floating contract rates are above the cap, then the Swap Counterparty pays the trust the diff! erence. In this way the pool only pays out 6.4449% and 6.5710% on the two positions. There will always be sufficient cash flow to cover those positions. N. =========================================== This message was sent from the Izio system at http://haas.Izio.convene.com. If you have any questions or comments regarding this email or the Izio system, please forward them to IzioSupport@convene.com.