in each case expressed as an amount of the Cash Settlement Currency.
(b) Cash Settlement Valuation Time. "Cash Settlement Valuation Time" means, in respect
of an Option Transaction, the time specified as such in the related Confirmation.
(c) Cash Settlement Valuation Date. "Cash Settlement Valuation Date" means. in respect
of an Exercise Date or Mandatory Early Termination Date, the date specified as such in the related
Confirmation (or determined pursuant to a method specified for such purpose), subject to adjustment in
accordance with the Modified Following Business Day Convention unless otherwise specified in the
Confirmation. Unless the parties specify otherwise, the Cash Settlement Valuation Date will be:
in respect of a Swaption, the Exercise Date;
(ii) in respect of a Swap Transaction to which Optional Early Termination or
Mandatory Early Termination is specified to be applicable, if the currency in which the single
Notional Amount is expressed and, if relevant, the Floating Rate Option by reference to which
Floating Amounts under the Swap Transaction or Underlying Swap Transaction, as appropriate.
are calculated is listed in Section 18.2(d) (Certain Cash Settlement Valuation Dates), the date
determined as indicated for that currency and, if relevant, Floating Rate Option in
Section 18.2(d); or
(iii) in all other cases, the day that is two Valuation Business Days preceding the
Cash Settlement Payment Date, the Optional Early Termination Date or the Mandatory Early
Termination Date, as appropriate.
(d) Certain Cash Settlement Valuation Dates. For purposes of Section 18.2(c)(ii), the
Cash Settlement Valuation Date for each of the following currencies and Floating Rate Options will be
determined as indicated below:
Cash Settlement
Currency Floating Rate Option Valuation Date
Canadian Dollar Am The Cash Settlement
Payment Date. Optional
Early Termination Date or
Mandatory Early
Termination Date, as
appropriate
Sterling Any The Cash Settlement
Payment Date, Optional
Early Termination Date or
Mandatory Early
Termination Date, as
appropriate
Danish Kroner "DICK-C1BOR-DKNA13" The Cash Settlement
"DKK-CIBOR-DKNAI3- Payment Date, Optional
Bloomberg". Early Termination Date or
Mandatory Early
Termination Date, as
98
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0091783
CONFIDENTIAL SDNY GM_00237987
EFTA01388306