Termsheet - Callble Range Accrual Note

Counterparty A:
Bank XXX
Counterparty B:
Bank YYY
Trade date:
23rd November 2007
Natioanl amount:
EUR 8000,000,000
Effective date:
25th November 2007
Payment dates:
25th February, 25th May, 25th August and 25th November each year subject to Modfollowing day convention
25th February 2012
Day count:
Conterparty A pays:
n/N * Reference rate, where
N = number of business days from previous payment date to the current payment date and
N = number of business days when the reference rate is between the lower bound and the upper bounds as defined by the schedule A below
Reference rate:
USD-LIBOR-BBA with designed maturity of 6 months
Reference rate fixing dates:
2 days prior to the payment dates
Business Calendar:
London, New York
Callable on each payment date

schedule a

Lower bound
Upper bound
9 ownwords


Structure transactions are complex and may involve a high risk of loss. Prior to entering into a transaction you should consult with your own legal, regulatory,tax, financial and accounting advisors to the extent you consider it neccessary, and make your own investment,helding and trading decisions (including decisions regarding the suitablity of this transaction) based upon your own judgement and advice from those advisers you consider necessary.

This document is for information purposes only and should not be construed as an offer,recommendation or solicitation to conclude a transaction and should not be treated as giving inverstment advice. The terms of any investment will be exclusively subject to the detailed provisions,including risk considerations,contained in the Information Memorandum.