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•:tfe 'on : interbank The U.S. Dollar LIBOR rate is defined as the average rate at which each individual bank on the U.S. Dollar LIBOR panel could borrow funds, were it to do so by asking for and then accepting inter -bank offers in reasonable market size, just prior to 11:00 am London time. It is the reference point for determining interest rates for financial instruments worldwide. LIBOR rates are calculated for several currencies, such as U.S. Dollars, and seven borrowing periods ranging from overnight to one year. They are published each business day. This Settlement only involves U.S. Dollar LIBOR. )):Wijitted "ins#am r ts's e,e c! e l il`y; e nen MiaT The Settlement relates to U.S. Dollar LIBOR -Based Instruments, which are instruments that include any term, provision, obligation or right to be paid or to receive interest based upon the U.S. Dollar LIBOR rate. These include, but are not limited to, the following: • Asset Swaps — a type of over-the-counter derivative in which one investor exchanges the cash flows of an asset or pool of assets for a different cash flow without affecting the underlying investment position. • Collateralized Debt Obligations ("CDOs") — a type of structured asset back security ("ABS"). CDOs have multiple levels of risk ("tranches") and are issued by special purpose entities. They are collateralized by debt obligations including bonds and loans. • Credit Default Swaps ("CDSs") — a type of over-the-counter, credit -based derivative where the seller of the CDSs compensates the buyer of the CDS only if the underlying loan goes into default or has another credit event. • Forward Rate Agreements ("FRAs") — a type of over-the-counter derivative based on a "forward contract." The contract sets the rate of interest or the currency exchange rate to be paid or received on an obligation beginning at a future start date. • Inflation Swaps — a type of over-the-counter derivative used to transfer inflation risk from one party to another through an exchange of cash flows. • Interest Rate Swaps — a type of over-the-counter derivative in which two parties agree to exchange interest rate cash flows, based on a specified notional amount from a fixed rate to a floating rate (or vice versa) or from one floating rate to another. Interest rate swaps are commonly used for both hedging and speculating. • Total Return Swaps — a type of over-the-counter derivative based on financial contracts that transfer both the credit and market risk of an underlying asset. These derivatives allow one contracting party to derive the economic benefit of owning an asset without putting that asset on its balance sheet. • Options — a type of over-the-counter derivative based on a contract between two parties for a future transaction on an asset. The other derivative instruments, defined above, can serve as the asset for an option. • Floating Rate Notes — evidence an amount of money owed to the buyer from the seller. The interest rate on floating rate notes is adjusted at contractually -set intervals and is based on a variable rate index, such as U.S. Dollar LIBOR. QUESTIONS? CALL 1-888-568-7640 OR VISIT WWW.BARCLAYSLIBORSETTLEMENT.COM -5- P164