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K. Termination of the 4 LIBOR Notes
On August 1, 1991, the 4 Sumitomo LIBOR notes held by BFCE
were terminated in exchange for Sumitomo's payment of $15,223,523
to BFCE.
L. Termination of the IBJ CDs
On August 14, 1990, Sumitomo transferred the IBJ CDs to
Sumitomo Bank Limited, Cayman Branch (Sumitomo Cayman). Sumitomo
Cayman elected to exercise its put option with respect to the IBJ
CDs effective January 15, 1992.
VIII. Otrabanda-Related Swaps
A. Otrabanda Swap
On June 29, 1990, concurrent with Otrabanda's purchase of
the IBJ CDs, Otrabanda entered into an interest rate swap with
Merrill Lynch. The swap, which was used to transform Otrabanda's
return on the IBJ CDs from a floating LIBOR-based rate to one
based on Treasury bills, was terminated on July 27, 1990,
concurrent with Otrabanda' sale of the IBJ CDs.
B. Sumitomo Swaps
Merrill Lynch offered Sumitomo a structured transaction in
connection with its purchase of the IBJ CDs for cash and LIBOR
notes. In particular, Merrill Lynch and Sumitomo executed a swap
that provided Sumitomo with both an asset and liability that were
attractively priced versus other alternatives in the market. The
Sumitomo swap was designed to replicate the economic effect of
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