Abstract:
In one aspect, the present invention comprises a method comprising: receiving data regarding bank rates and swap rates for two or more currencies; calculating a swap curve for each of the currencies; calculating signals for each of the swap curves; and based on the signals, taking a position with respect to each of the swap curves and currencies. In various embodiments, the method further comprises calculating a sub-index value for each of the currencies, the sub-index values based on returns for the positions; and weighting each sub-index value and calculating a value for an index, based on a combination of the sub-index values. In another aspect, the invention comprises: receiving data regarding the index; calculating a performance value for the index to be used in a derivative based on the index; and calculating an amount due to, or owed by, an investor in the derivative, based on the performance value.

Description:
CROSS REFERENCE TO RELATED APPLICATIONS 
     This application claims priority to U.S. Provisional Patent Application No. 61/044,759, filed Apr. 14, 2008. The entire contents of that provisional application are incorporated herein by reference. 
    
    
     INTRODUCTION 
     Exemplary embodiments of the present invention are referred to herein as “Global COMPASS” or “Global Compass.” These embodiments aim to capture momentum in the slope of swap curves as signaled by dynamics in monetary policy regimes. The swap curve is the yield curve used to price interest rate swaps, reflecting both the general level of risk-free interest rates and the credit spread or swap spread in the interbank market attributable to the credit risk of default over the life of the swap. 
     Related embodiments comprise a Global COMPASS Index, which offers an attractive risk/return profile for investors: (a) a historical Sharpe Ratio of 1.15 since 1991 (after hedging costs) for at least one embodiment; (b) low historical correlation with asset class benchmarks to enhance portfolio diversification; and (c) maximum transparency: the Index is published daily on Bloomberg. 
     In one aspect, the present invention comprises a computer-implemented method comprising: (a) receiving with a first computer data regarding bank rates and swap rates for two or more currencies; (b) calculating with a second computer a swap curve for each of the two or more currencies; (c) calculating with a third computer one or more signals for each of the swap curves; and (d) based on the one or more signals, taking a position with respect to each of the swap curves and currencies, wherein the computers may be the same computer or different computers. In various embodiments: (1) the method further comprises calculating with a fourth computer a sub-index value for each of the currencies, the sub-index values based on returns for the positions; (2) the method further comprises weighting each of the sub-index values and calculating a value for an index, based on a combination of the sub-index values; (3) the weighting is based on relative gross domestic product values; (4) each signal is based on an average of a plurality of monetary policy indicators; (5) each of the monetary policy indicators has the value +1 or −1; (6) at least one of the monetary policy indicators is based on change in central bank target rate for a corresponding currency over a specified period of time; (7) at least one of the monetary policy indicators is a monetary policy surprise indicator; (8) each swap curve is based on data for a plurality of swap rates; (9) the data for the plurality of swap rates comprises 10 year swap rate data and 2 year swap rate data; (10) the signals are calculated on a weekly basis; and (11) the currencies comprise United States dollar, Euro, British pound, Japanese yen, and Canadian dollar. 
     In another aspect, the invention comprises a computer-implemented method comprising: (a) receiving with a first computer data regarding the above index; (b) calculating with a second computer a performance value for the index to be used in a derivative based on the index; and (c) calculating with a third computer an amount due to, or owed by, an investor in the derivative, based on the performance value, wherein the computers may be the same computer or different computers. In various embodiments: (1) the derivative is a total return swap; (2) the derivative combines a floating rate investment of limited duration risk with a leveraged exposure to the index; (3) the derivative comprises a liability structure; (4) the derivative comprises a constant proportion portfolio insurance note; (5) the derivative comprises a Euro medium term note; and (6) the derivative comprises a UCITS-compliant note. 
     In another aspect, the invention comprises an apparatus comprising a computer readable medium that stores data describing a derivative product based on an index, the index constructed by steps comprising: (a) receiving with a first computer data regarding bank rates and swap rates for two or more currencies; (b) calculating with a second computer a swap curve for each of the two or more currencies; (c) calculating with a third computer one or more signals for each of the swap curves; (d) based on the one or more signals, taking a position with respect to each of the swap curves and currencies; (e) calculating with a fourth computer a sub-index value for each of the currencies, the sub-index values based on returns for the positions; and (f) weighting each of the sub-index values and calculating a value for the index, based on a combination of the sub-index values, wherein the computers may be the same computer or different computers. In various embodiments: (1) the derivative product is a total return swap; (2) the derivative product combines a floating rate investment of limited duration risk with a leveraged exposure to the index; (3) the derivative comprises a liability structure; (4) the derivative product comprises a constant proportion portfolio insurance note; (5) the derivative product comprises a Euro medium term note; and (6) the derivative product comprises a UCITS-compliant note. 
     In another aspect, the invention comprises a computer system comprising: (a) a processor that electronically receives data regarding bank rates and swap rates for two or more currencies; (b) a processor that electronically calculates a swap curve for each of the two or more currencies; (c) a processor that electronically calculates one or more signals for each of the swap curves; and (d) a processor that electronically, based on the one or more signals, takes a position with respect to each of the swap curves and currencies, wherein the processors may be the same processor or different processors. In various embodiments: (1) the system further comprises a processor that calculates a sub-index value for each of the currencies, the sub-index values based on returns for the positions; (2) the system further comprises a processor that weights each of the sub-index values and calculates a value for an index, based on a combination of the sub-index values; (3) weighting is based on relative gross domestic product values; (4) each signal is based on an average of a plurality of monetary policy indicators; (5) each of the monetary policy indicators has the value +1 or −1; (6) at least one of the monetary policy indicators is based on change in central bank target rate for a corresponding currency over a specified period of time; (7) at least one of the monetary policy indicators is a monetary policy surprise indicator; (8) each swap curve is based on data for a plurality of swap rates; (9) the data for the plurality of swap rates comprises 10 year swap rate data and 2 year swap rate data; (10) the signals are calculated on a weekly basis; and (11) the currencies comprise United States dollar, Euro, British pound, Japanese yen, and Canadian dollar. 
     In another aspect, the invention comprises a computer system comprising: (a) a processor that receives data regarding an index as described above; (b) a processor that calculates a performance value for the index to be used in a derivative based on the index; and (c) a processor that calculates an amount due to, or owed by, an investor in the derivative, based on the performance value, wherein the processors may be the same processor or different processors. In various embodiments: (1) the derivative is a total return swap; (2) the derivative combines a floating rate investment of limited duration risk with a leveraged exposure to the index; (3) the derivative comprises a liability structure; (4) the derivative comprises a constant proportion portfolio insurance note; (5) the derivative comprises a Euro medium term note; and (6) the derivative comprises a UCITS-compliant note. 
     In another aspect, the invention comprises a program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps comprising: (a) receiving with a first computer data regarding bank rates and swap rates for two or more currencies; (b) calculating with a second computer a swap curve for each of the two or more currencies; (c) calculating with a third computer one or more signals for each of the swap curves; and (d) based on the one or more signals, taking a position with respect to each of the swap curves and currencies, wherein the computers may be the same computer or different computers. In various embodiments: (1) the method steps further comprise calculating with a fourth computer a sub-index value for each of the currencies, the sub-index values based on returns for the positions; (2) the method steps further comprise weighting each of the sub-index values and calculating a value for an index, based on a combination of the sub-index values; (3) the weighting is based on relative gross domestic product values; (4) each signal is based on an average of a plurality of monetary policy indicators; (5) each of the monetary policy indicators has the value +1 or −1; (6) at least one of the monetary policy indicators is based on change in central bank target rate for a corresponding currency over a specified period of time; (7) at least one of the monetary policy indicators is a monetary policy surprise indicator; (8) each swap curve is based on data for a plurality of swap rates; (9) the data for the plurality of swap rates comprises 10 year swap rate data and 2 year swap rate data; (10) the signals are calculated on a weekly basis; and (11) the currencies comprise United States dollar, Euro, British pound, Japanese yen, and Canadian dollar. 
     In another aspect, the invention comprises a program storage device readable by a machine, tangibly embodying a program of instructions executable by the machine to perform method steps comprising: (a) receiving with a first computer data regarding an index as described above; (b) calculating with a second computer a performance value for the index to be used in a derivative based on the index; and (c) calculating with a third computer an amount due to, or owed by, an investor in the derivative, based on the performance value, wherein the computers may be the same computer or different computers. In various embodiments: (1) the derivative is a total return swap; (2) the derivative combines a floating rate investment of limited duration risk with a leveraged exposure to the index; (3) the derivative comprises a liability structure; (4) the derivative comprises a constant proportion portfolio insurance note; (5) the derivative comprises a Euro medium term note; and (6) the derivative comprises a UCITS-compliant note. 
     These and other aspects and embodiments will be apparent to those skilled in the art upon reviewing the description below. 
    
    
     
       BRIEF DESCRIPTION OF THE DRAWINGS 
         FIG. 1  depicts historical performance of an exemplary U.S. Compass strategy. 
         FIG. 2  depicts U.S. Compass performance over three years. 
         FIG. 3  depicts an exemplary dynamic allocation mechanism. 
         FIG. 4  illustrates back-testing results. 
         FIG. 5  depicts negative correlation of Fed Funds rate and USD swap curve slope. 
         FIG. 6  depicts negative correlation of ECB policy rate and EUR swap curve slope. 
         FIG. 7  depicts negative correlation of BOJ policy rate and JPY swap curve slope. 
         FIG. 8  depicts negative correlation of BOE base rate and GBP swap curve slope. 
         FIG. 9  depicts negative correlation of BOC policy rate and CAD swap curve slope. 
         FIG. 10  illustrates signal determination of curve position taken by an exemplary embodiment (Global Compass index) of the invention. 
         FIG. 11  depicts historical performance of an exemplary Global Compass index. 
         FIG. 12  depicts an exemplary payoff diagram. 
         FIG. 13  depicts an exemplary dynamic allocation mechanism. 
         FIG. 14  illustrates a performance comparison of vanilla floater versus Global Compass note. 
         FIG. 15  depicts an exemplary payoff diagram. 
         FIG. 16  depicts a computer based system for processing data according to an embodiment of the invention. 
     
    
    
     DETAILED DESCRIPTION OF EXEMPLARY EMBODIMENTS 
     Exemplary embodiments of the present invention are described in detail below. 
     Investors usually face a difficult choice between passive and active investment management: (a) investments based upon static market views may achieve poor performance during certain rate cycles or changes in rate cycles; and (b) the management cost in actively managed funds can be high and the regulatory treatment of such investments is not always optimal. A cost effective alternative is to invest in a dynamic strategy that changes according to the yield curve environment. 
     The U.S. COMPASS (or simply COMPASS, or Compass) Index is a liquid index based on a dynamic investment strategy that automatically adjusts itself over time in response to changes in the market. The underlying strategy is a steepener/flattener position on the US curve that is contingent on the changes in the Fed Funds rate. 1  The Index preferably is structured so as to offer minimal duration. The COMPASS Index is published on Bloomberg to offer maximum transparency to investors.  1  The yield curve is said to flatten when yields of shorter maturities rise relative to yields of longer maturities, and to steepen when yields of short maturities fall relative to yields of long maturities. Since short-term rates are always less than long-term rates, flattening means the two types of rates are converging, and steepening means the two types of rates are diverging—i.e., the spread is increasing. 
     The COMPASS Note is a EUR-denominated note with a dynamic allocation mechanism that gives participation in the COMPASS Index and provides enhanced returns through leverage while providing full capital protection. The note has historically outperformed Vanilla floater and offered low correlation with other fixed income asset classes. 
     COMPASS Index 
     The COMPASS Index invests in a USD steepener when the Fed Funds Target rate is falling (easing cycle) or a USD flattener strategy when the Fed Funds Target rate is increasing (tightening cycle). 
     Index Methodology 
     The COMPASS Index involves entering into a duration-weighted pair of USD forward-starting 10-year and 2-year swaps according to the evolution of the Fed Funds target rate. By choosing the Fed Funds target rate as a condition, the index captures changes in US monetary policy. The steepening/flattening Position for any quarter is conditional on the change in the Fed Funds rate during the previous 3-month period as defined below: 
     
       
         
               
               
               
             
           
               
                 TABLE 1 
               
               
                   
               
               
                 Position 
                 Curve View 
                 Condition 
               
               
                   
               
             
             
               
                 +1 
                 Steepening 
                 Fed Funds t  ≦ Fed Funds t−3m  (“Easing Cycle”) 
               
               
                 −1 
                 Flattening 
                 Fed Funds t  &gt; Fed Funds t−3m  (“Tightening Cycle”) 
               
               
                   
               
             
          
         
       
         
         
           
             For any day t within a Calculation Period, Index t  is calculated by taking the Index at the end of the previous period, and multiplying it by a factor equal to:
           One, plus the product of the Position (as defined above); the EUR/USD exchange rate at the start of the period divided by the EUR/USD exchange rate at day t; and the change in the 10y USD Swap less the change in the 2y USD Swap (duration-weighted; the forwards versus the actual rates).   Historical COMPASS Index Performance   
         
           
         
       
    
     The COMPASS strategy would have outperformed standard Steepener or Flattener strategies in the past.  FIG. 1  compares the performance of a Standard Steepener, a Standard Flattener and the COMPASS index from October 1987. The COMPASS strategy would have outperformed the other two strategies for most of the sample period. The indices show the return on a derivative-based strategy hence they do not include any accretion at Euribor. See  FIG. 1 . 
     COMPASS and Benchmark Asset Class Indices 
     COMPASS has offered high return-to-risk and diversification benefits. Judging by risk adjusted historical returns, COMPASS has performed well in comparison to benchmark equity and fixed income asset class indices. COMPASS has also exhibited low correlation to these asset classes across business cycles. See  FIG. 2 . 
     
       
         
               
             
               
               
               
               
               
               
               
             
               
               
               
               
               
               
               
             
           
               
                 TABLE 2 
               
             
             
               
                   
               
               
                 Historical Average Excess Returns* 
               
             
          
           
               
                   
                   
                   
                   
                   
                 Tremont 
                   
               
               
                   
                 Lehman 
                 Lehman 
                   
                 DJ 
                 Hedge 
                   
               
               
                   
                 US Agg 
                 Euro 
                 S&amp;P 500 
                 EuroStoxx 
                 Fund 
                 COMPASS 
               
               
                   
                 Index 
                 Agg Index 
                 Index 
                 50 Index 
                 Index 
                 Index 
               
               
                   
               
             
          
           
               
                 Annual 
                 2.47% 
                 1.76% 
                 6.66% 
                 6.01% 
                 6.29% 
                 0.48% 
               
               
                 return 
                   
                   
                   
                   
                   
                   
               
               
                 Annual st. 
                 3.86% 
                 3.04% 
                 13.55% 
                 18.43% 
                 7.46% 
                 0.55% 
               
               
                 dev. 
                   
                   
                   
                   
                   
                   
               
               
                 Sharpe 
                 0.64 
                 0.58 
                 0.49 
                 0.33 
                 0.84 
                 0.88 
               
               
                 Ratio 
                   
                   
                   
                   
                   
                   
               
               
                 Correlation 
                 −0.03 
                 0.05 
                 −0.20 
                 −0.17 
                 −0.17 
                 — 
               
               
                 with 
                   
                   
                   
                   
                   
                   
               
               
                 COMPASS 
               
               
                   
               
               
                 *Calculations are based on monthly data from January 1988 (or as far back as availalbe). Source: Bloomberg, Lehman Brothers calculations. 
               
             
          
         
       
     
     COMPASS Note 
     The COMPASS Note offers a structured participation on the COMPASS Index using a dynamic allocation approach. The redemption amount for the note is equal to 100% plus any coupon payable at maturity date. At the inception of the COMPASS Note, the Capital is equal to 100% of the Nominal. The Capital at the end of any calculation period “k” is then calculated as follows: 
     Capital at the Beginning Growing at the 3-Month Euribor Rate:
 
Capital k-1 ×(1+(3 m  EURIBOR+spread)×Daycount Fraction k )
 
+
 
     Leveraged Return Earned on the Capital Allocated to the Strategy:
 
Capital k-1 ×Exposure k ×Performance k  
 
−
 
     An Administrative Fee of 1.00% Per Annum:
 
Administration Fee×Daycount Fraction k  
 
     The Capital at the beginning of an Allocation period is then set equal to the Capital at the end of the immediately preceding Allocation Period. The Exposure is a function of the performance of the strategy during the preceding calculation period. It is described in further detail below. The Performance of the strategy during a calculation period is defined as the percentage return on the index over that quarter less the roll cost of 0.01% (representing the cost of changing the dynamic allocation). 
     Dynamic Allocation Mechanism 
     The dynamic allocation mechanism protects the value of the investment while enhancing the returns during periods of high index returns. The core principle of this mechanism is that the percentage allocated to the strategy is a function of the performance. If the strategy performs well, the Exposure is increased providing a higher leverage. If the performance decreases, the Exposure is reduced and under extreme scenarios, positions in the strategy might be totally unwound to preserve the capital guarantee at maturity. 
     The Exposure to the strategy at the beginning of any calculation period is defined as the product of the Multiplier and the Allocation. The Allocation is defined as the leveraged difference between the value of the Note and the Barrier. The Barrier represents at inception the present value of the guaranteed amount at maturity. This Barrier is fixed and rises linearly to 100% over the life of the note. The Barrier has therefore the appealing feature of being insensitive to interest rate movements. 
     Example of the Dynamic Allocation Mechanism
 
Exposure=Multiplier×Allocation
         Multiplier=25   Allocation=2.70×(Distance from the Barrier) with a maximum of 150%. See  FIG. 3 .       

     Historical Performance Analysis 
     The COMPASS Note would have outperformed a vanilla note over most periods. The performance has been analyzed (net of fees with Euribor flat issuer) of a 10y investment assuming that on each month of the back-testing period an equal amount is invested in the COMPASS note (as described above) and a Vanilla Floater. See  FIG. 4 . 
     
       
         
               
               
               
               
             
               
               
               
               
             
           
               
                 TABLE 3 
               
               
                   
               
               
                   
                 COMPASS 
                 COMPASS 
                 Vanilla Floater 
               
               
                   
                 Matured Notes 
                 Total Notes 
                 (%) 
               
               
                   
               
             
             
               
                   
               
             
          
           
               
                 Average Returns 
                 14.33% 
                 16.17% 
                 3.63% 
               
               
                 Min. return 
                  7.80% 
                  5.62% 
                 2.70% 
               
               
                 Max. return 
                 18.18% 
                 30.47% 
                 6.03% 
               
               
                   
               
               
                 (*) For notes issued after November 1997 we show the realized IRR until November 2007. No suspension Events occurred on any of the backtested notes. The last note used in the backtest was issued in November 2006 to ensure that we have at least 12 months of data for the calculation of the IRR. Backtesting for short periods is less indicative of the performance of a 10-year note and more susceptible to variations which could be unrepresentative. For assumptions on the back-testing see below. 
               
             
          
         
       
     
     COMPASS Note Structure—Exemplary Indicative Terms of 10-Year Restructured COMPASS Note: 
     
       
         
               
               
               
             
           
               
                   
                   
               
             
             
               
                   
                 Principal: 
                            10 m minimum 
               
               
                   
                 Tenor: 
                 10 years 
               
               
                   
                 Issuer: 
                 Lehman Brothers Treasury Co BV 
               
               
                   
                 Issue Price: 
                 100% 
               
               
                   
                 Coupon: 
                 Coupon = 0%. Alternative coupon 
               
               
                   
                   
                 paying structures available 
               
               
                   
                 Redemption: 
                 The greater of 100% and the Capital  
               
               
                   
                   
                 value of the Notes 
               
               
                   
                   
                 The redemption price is subject  
               
               
                   
                   
                 to the Suspension Event 
               
               
                   
                 Suspension: 
                 If on any day t, (Capital t  − Barriers t ) is lower  
               
               
                   
                   
                 than 5%, a Suspension 
               
               
                   
                   
                 Event will be deemed to have occurred, in  
               
               
                   
                   
                 which all open positions in 
               
               
                   
                   
                 the strategy will be closed and the  
               
               
                   
                   
                 Allocation will be deemed to be 
               
               
                   
                   
                 zero from that point onwards 
               
               
                   
                 Allocation Period: 
                 Quarterly, from and including one  
               
               
                   
                   
                 Allocation Date to and including 
               
               
                   
                   
                 the immediately following Allocation Date 
               
               
                   
                 Administration Fee: 
                 1.00% per annum at all times 
               
               
                   
                 Performance Fee: 
                 None 
               
               
                   
                   
               
             
          
         
       
     
     Summary of U.S. COMPASS 
     Investment Strategy 
     Historically, the USD forward curve tends to over-predict flattening suggesting that a steepening strategy would be profitable over long periods. However the slope of the curve is highly negatively correlated with the level of Fed Funds rate. COMPASS Index takes the advantages of these relationships to allow the investor to benefit in differing rate cycles. 
     Note Format
         The structure could be classified as a bond rather than an investment in a hedge fund even though it employs strategies adopted by hedge funds, thus achieving greater transparency, favorable accounting and regulatory treatment       

     Market Access
         The note provides an opportunity for investors who can not easily access markets to implement dynamic strategies and a minimum coupon       

     Note Performance
         The dynamic allocation mechanism further enhances the return on the note by leveraging the returns while providing full capital protection   The note has been structured so as to have minimal duration (other than via the Strategy itself and the minimum coupon)   The note has historically outperformed a comparable vanilla structure particularly over the last few years       

     Downside Scenario
         Possible breakdown of relationship between slope and the level of the curve could lead to underperformance of the Index and a complete de-leveraging of the Notes in the worst case resulting in a redemption at only 100%.       

     Glossary 
     Index Position
         The Index Position determines whether the Index is on a steepener or a flattener strategy. It is set to +1 if the Fed Funds rate decreased or remained the same during the previous 3-month period. In this case, the Index is a steepener. It is set to −1 if the Fed Funds rate increases during the previous 3-month period. In this case it is a flattener.       

     Capital
         The Capital is equal to 100% at inception and increases during subsequent quarters at Euribor plus or minus the performance of the index, less the fees.       

     Redemption Amount
         The Redemption Amount is the Capital at maturity with a minimum redemption of 100%       

     Multiplier
         The Multiplier factor is a constant factor equal to 25. The Multiplier is multiplied by the Allocation to calculate the leveraged return on the strategy.       

     Allocation
         The Allocation is the percentage of the Capital (prior to any additional leverage) that is invested in the strategy. The Allocation at the beginning of any quarter “k” is calculated as:       

     
       
         
           
             
               Allocation 
               k 
             
             = 
             
               2.70 
               × 
               
                 
                   [ 
                   
                     
                       Capital 
                       - 
                       Barrier 
                     
                     Capital 
                   
                   ] 
                 
                 . 
               
             
           
         
       
     
     Barrier
         The Barrier is a pre-determined percentage that only changes with time. It does not vary with interest rate movements and is an essential element of the Dynamic Allocation mechanism to provide the capital protection at maturity       

     
       
         
           
             
               Barrier 
               t 
             
             = 
             
               
                 Barrier 
                 0 
               
               + 
               
                 
                   [ 
                   
                     
                       ( 
                       
                         1 
                         - 
                         
                           Barrier 
                           0 
                         
                       
                       ) 
                     
                     × 
                     
                       t 
                       T 
                     
                   
                   ] 
                 
                 . 
               
             
           
         
       
         
         
           
             Where
           T is the Total number of days from the initial allocation date to but excluding the final allocation date   Barrier 0  is the level of the Barrier at inception   
         
           
         
       
    
     Exemplary Methodology and Assumptions 
     Index Back-Testing Assumptions
         Details of source:
           Money market rates: British Bankers Association fixings provided by Bloomberg   Fed Funds: Federal Reserve provided by Bloomberg   Swap rates: ISDA fixings until October 1998, LehmanLive from 1987 to October 1998. Historical data for the 12-year swap rate was not available before November 1993. A synthetic rate has been created by assuming a linear interpolation between the 10-year swap rate and the 30-year swap rate (closest maturity available). When the 30-year swap rate was not available, we have carried out a linear interpolation between the 10-year Treasury and the 30-year Treasury and then have adjusted by the asset-swap spread   
           Forward rates have been determined by Lehman Brothers proprietary systems using historical swap curves       

     COMPASS Note Back-Testing
         The internal rate of return (IRR) for a vanilla floater is defined as the interest rate at which the net present value of the cash flows received (quarterly 3-month Euribor cash flows plus redemption amount) equals the issue price   The back-testing of the Compass Notes have been carried out on a monthly basis assuming that on each month of the back-testing period an equal amount is invested in the Compass note and a Vanilla Floater. The data and graph on this presentation are based on the IRR of theses returns for each month.   For backtested notes we evaluated whether a suspension event occurred on each of the roll dates. The analysis found that no suspension event occurred on any of the roll dates of historically backtested notes.   The value of the barrier for historically issued Notes is determined by using the yield curve as of the Note issue date (source: LehmanLive—data missing are omitted)   For notes issued after November 1997 we show the realized IRR until November 2007. The last note used in the backtest was issued in November 2006 to ensure that we have at least 12 months of data for the calculation of the IRR. Backtesting for short periods is less indicative of the performance of a 10-year note and more susceptible to variations which could be unrepresentative.       

     Global COMPASS 
     Exemplary embodiments of the present invention comprise a Global COMPASS Index and/or a Global COMPASS Note. Global COMPASS is based on a dynamic investment strategy based on the slopes of swap curves. A wide range of formats is available to best suit the needs of investors: for example, CPPI, OTC Swaps, and UCITS III. 
     Exemplary Global COMPASS Strategy 
     Historically, the Fed Funds rate and the swap curve slope have been negatively correlated. See  FIG. 5 . The same negative correlation can also be observed in other financial regions. See  FIGS. 6-9 . An embodiment comprises a Global COMPASS Index that uses momentum in monetary policy regimes to determine the appropriate positioning in the slope of the yield curves. 
     Policy rates and yield curves are fundamentally linked. Central banks effect monetary policy by intervening in markets to set short term lending rates. The current level and expected future levels of short rates are a key influence on the shape of the yield curve. 
     Momentum in curve slopes can be exploited. Markets tend to chronically underestimate changes in policy regime, as well as cross market relationships (U.S. in particular). This creates momentum in the slope of the curve over the course of tightening and easing cycles. 
     Solid rationale underlies the market inefficiency. Business cycle dynamics are complex and difficult to predict. Thus markets tend to exhibit confirmation biases (i.e., to wait for further information to corroborate a potential change in the market environment) and herd mentality. 
     Computing Global COMPASS Signals 
     The positions in the slope of yield curves implemented are derived from the dynamics of monetary policy regimes. The signal for each currency is calculated as the average of three monetary policy indicators. More details are provided below. 
     Local Monetary Policy
         The current local monetary policy regime (tightening vs. easing cycles) is assessed through the past quarter change in the local central bank target rate.   Possible indicator values: +1, −1.       

     Fed Monetary Policy
         The U.S. economy is the world&#39;s predominant economy and the Fed is a relatively proactive central bank. Hence Fed actions can potentially exhibit cross-momentum impact on other swap curves.   The same methodology as that used for the local monetary signal is applied to compute this indicator.   Possible indicator values: +1, −1.       

     Monetary Surprises
         Steepeners tend to outperform in periods when there is a negative/downward surprise in short rates (as compared to what was expected by forwards).   The monetary policy surprise indicator identifies the recent surprises in monetary policy by comparing short rates (3m) priced in by forwards 3-month ago with the actual realized short rates.   Possible indicator vales: +1, −1.       

     Signals are calculated for each swap curve: USD, EUR, GBP, JPY and CAD. Each Signal determines the curve position taken by the Global COMPASS Index. See  FIG. 10 . 
     Historical Global COMPASS Index Performance
         We compute the historical Global COMPASS Index return based upon the strategy described above.  FIG. 11  illustrates the performance on Index net of hedging costs. TABLE 4 shows that historically the Sharpe Ratio of the Strategy would have been attractive. The Index shows the return on the derivative-based strategy only (pure alpha) and does not reflect any accretion at Libor. Bloomberg ticker: LBGLCMEU&lt;Index&gt;&lt;Go&gt;.       

     
       
         
               
             
               
               
               
               
               
               
             
           
               
                 TABLE 4 
               
             
             
               
                   
               
               
                 Statistical Analysis(*) 
               
             
          
           
               
                   
                 Feb- 
                 5  
                 12 
                 6  
                 3 
               
               
                   
                 91 
                 years 
                 months 
                 months 
                 months 
               
               
                   
               
               
                 Avg Annual.  
                 2.2% 
                 1.6% 
                 2.6% 
                 4.8% 
                 6.9% 
               
               
                 Return 
                   
                   
                   
                   
                   
               
               
                 StDev Annual.  
                 2.0% 
                 1.7% 
                 2.5% 
                 3.5% 
                 4.7% 
               
               
                 Return 
                   
                   
                   
                   
                   
               
               
                 Sharpe Ratio 
                 1.10    
                 0.93    
                 1.02    
                 1.37    
                 1.45    
               
               
                 Maximum 1- 
                 −1.0%   
                 −0.7%   
                 −0.7%   
                 −0.7%   
                 −0.7%   
               
               
                 day fall 
                   
                   
                   
                   
                   
               
               
                 % of positive  
                 53% 
                 53% 
                 54% 
                 57% 
                 62% 
               
               
                 returns 
                   
                   
                   
                   
                   
               
               
                 % of negative  
                 47% 
                 47% 
                 46% 
                 43% 
                 38% 
               
               
                 returns 
               
               
                   
               
             
          
         
       
     
     
       
         
               
             
               
               
               
             
           
               
                 TABLE 5 
               
               
                   
               
               
                 Correlation of monthly Returns 
               
               
                   
               
             
             
               
                   
               
             
          
           
               
                   
                 Global Equity Index (**) 
                 −24% 
               
               
                   
                 Lehman Global Aggregate Index [Bond] 
                  −3% 
               
               
                   
                 Lehman Global Agg. Corporate Index [Credit] 
                  −5% 
               
               
                   
                 Lehman Commodity Index 
                 −19% 
               
               
                   
                   
               
               
                   
                 *Calculations are based on daily data from February 1991 to 14 March 2008 
               
               
                   
                 **GDP-weighted composite Index of the leading Equity indices in each of the 5 geographies covered by the Global COMPASS Index. Correlation numbers for the 
               
             
          
         
       
     
     Products Linked to the Global COMPASS Index 
     Delta 1: A simple and effective way to gain direct exposure to the Global COMPASS Index. 
     CCPI: CPPI structures offer a dynamic allocation mechanism that further enhances the return while providing capital protection at maturity. Constant proportion portfolio insurance (“CPPI”) is a technique for leveraging investments while providing full or partial protection. Credit CPPI notes, for example, are investments whose principal is protected by a low-risk portfolio consisting of zero-coupon bonds or a cash deposit, and whose return is increased by leveraging the exposure to a portfolio of credit default swap names. 
     Custom Payouts: It is possible to structure options ranging from vanilla call options to more exotic options on the Global COMPASS Index. 
     EMTN stands for Euro Medium Term Note. EMTN/Certificates are structured notes using, for example, Lehman Brothers as an issuer or a third party are a common and simple format. Different maturities and currencies are available. 
     OTC Derivatives: OTC Swaps or Options can embed the various payouts available to take exposure to the Global COMPASS Index. Liability structures to lower the cost of funding can be tailored to match needs. 
     Undertakings for Collective Investment in Transferable Securities (UCITS) are a set of European Union directives that aim to allow collective investment schemes to operate freely throughout the EU on the basis of a single authorisation from one member state. UCITS (for example, UCITS III) provides a transparent and consistent regulatory framework that provides improved liquidity. 
     Total Return Swap (Delta 1): in a Total Return Swap, at the end of every period, the investor receives or pays the actual performance of the Global COMPASS Index over the period minus fees. A positive performance of the index is received by the investor, while a negative performance is paid. Thus the investor is exposed to all the upside and downside of the index. A total return swap is an effective way to gain direct exposure to the Global COMPASS Index. See  FIG. 12 . 
     
       
         
               
             
               
               
             
           
               
                 TABLE 6 
               
               
                   
               
               
                 Indicative Terms and Conditions 
               
               
                   
               
             
             
               
                   
               
             
          
           
               
                 Maturity 
                 5 years 
               
               
                 Currency 
                 EUR (other currencies available) 
               
               
                 Party A 
                 Lehman Brothers 
               
               
                 Party B 
                 Client 
               
               
                   
                 Leverage × [(Index End /Index Start ) − 1] × Notional Amount 
               
               
                 Periodic  
                 If the result of the above is positive, Party A will pay this  
               
               
                 Payments 
                 amount to Party B, while if this amount is negative, its  
               
               
                   
                 absolute value will be paid by Party B to Party A 
               
               
                 Index 
                 Global COMPASS Index 
               
               
                 Frequency 
                 Quarterly 
               
               
                 Basis 
                 Act/360 
               
               
                 Fees 
                 To be determined 
               
               
                   
               
             
          
         
       
     
     CPPI Notes/Swaps: CPPI Notes offer a structured participation using a dynamic allocation approach. A CPPI Investment combines a floating rate investment (limited duration risk) with a leveraged exposure into the Global COMPASS Index. The Capital is calculated on a daily basis as follows: 
     
       
         
               
             
           
               
                   
               
             
             
               
                 Capital growing at the Euribor Rate 
               
               
                 + 
               
               
                 Leveraged Return Earned on the Strategy 
               
               
                 − 
               
               
                 Fee 
               
               
                   
               
             
          
         
       
     
     Dynamic Allocation Mechanism
         The Exposure is usually a function of the performance of the strategy during the preceding calculation period:
           Typically if the strategy underperforms, the Exposure is decreased providing a lower leverage and vice-versa.   Under extreme conditions, the strategy might be totally unwound to preserve the capital guarantee at maturity.
 
Exposure=Multiplier×Allocation
   
               

     where the Allocation is defined as the leveraged difference between the value of the Note and the Barrier with a cap. The Barrier represents at inception the present value of the guaranteed amount at maturity. This Barrier is fixed and rises linearly to 100% over the life of the note. The Barrier has therefore the appealing feature of being insensitive to interest rate movements. See  FIG. 13 . 
     CPPI Notes/Swaps—Historical Performance 
     The Global COMPASS Note would have outperformed a vanilla floater over most periods. The performance is analyzed (net of fees with Euribor flat issuer) for an 8-year investment assuming that on each month of the back-testing period an equal amount is invested in the Global COMPASS note and a vanilla floater. See  FIG. 14 . 
     
       
         
               
               
               
               
             
               
               
               
               
             
           
               
                 TABLE 7 
               
               
                   
               
               
                   
                 Global COMPASS 
                 Global COMPASS 
                 Vanilla 
               
               
                   
                 Matured Notes 
                 Total Notes 
                 Floater 
               
               
                   
               
             
             
               
                   
               
             
          
           
               
                 Average Return 
                 11.67% 
                 12.31% 
                 3.57% 
               
               
                 Min. Return 
                  7.62% 
                  7.62% 
                 2.82% 
               
               
                 Max Return 
                 16.16% 
                 22.47% 
                 5.18% 
               
               
                   
               
             
          
         
       
     
     
       
         
               
             
               
               
             
           
               
                 TABLE 8 
               
               
                   
               
               
                 Indicative Terms and Conditions 
               
               
                   
               
             
             
               
                   
               
             
          
           
               
                 Maturity 
                 8 years (Alternative: 5 years or more) 
               
               
                 Currency 
                 EUR (other currencies available) 
               
               
                 Issuer 
                 Euribor flat issuer 
               
               
                 Issue Price 
                 100% 
               
               
                 Coupon 
                 None 
               
               
                   
                 (Alternative: Coupon paying structures available) 
               
               
                 Redemption 
                 Max [100% , Capital End ] 
               
               
                   
                 For any month t: 
               
               
                 Capital t   
                 (i) Capital t−1  × (1 + Euribor × Daycount t ) + 
               
               
                   
                 (ii) Capital t−1  × Exposure t  × Performance t  − 
               
               
                   
                 (iii) Fees × Daycount t   
               
               
                 Exposure t   
                 [4.0] × Allocation t    
               
               
                 Allocation t   
                 [3.50] × (Capital t  − Barrier t )/Capital t   
               
               
                   
                 with a maximum of [100%] 
               
               
                 Barrier t   
                 [71.25%] + [28.75%] × (t/T) 
               
               
                   
                 where: 
               
               
                   
                 T is the Total number of days from the Initial Allocation  
               
               
                   
                 Date to but excluding the Final Allocation Date 
               
               
                 Fees 
                 To be determined 
               
               
                   
               
             
          
         
       
     
     Liability Structures
         In a Liability Structure, at the end of the every period, the borrower receives 3m Euribor+Spread and pays: (Fixed rate−Leverage×Global COMPASS Index performance in the period). The payments are subject to a floor and a cap. This is an effective way to potentially reduce the cost of funding by taking exposure to the Global COMPASS Index. See  FIG. 15 .       

     
       
         
               
             
               
               
               
             
           
               
                 TABLE 9 
               
               
                   
               
               
                 Indicative Terms and Conditions 
               
               
                   
               
             
             
               
                   
               
             
          
           
               
                   
                 Maturity 
                 5 years 
               
               
                   
                 Currency 
                 EUR (other currencies available) 
               
               
                   
                 Party A 
                 Lehman Brothers 
               
               
                   
                 Party B 
                 Client 
               
               
                   
                 Party A Pays 
                 3 m Euribor + Spread 
               
               
                   
                 Party B Pays 
                 Fixed Rate − Leverage × Index Performance t   
               
               
                   
                   
                 Floored at [TBD] % , capped at [TBD] % 
               
               
                   
                 Index Performance 
                 (Index t /Index t −1  − 1 or (Index t /Index 0 ) − 1 
               
               
                   
                 Index 
                 Global COMPASS Index 
               
               
                   
                 Frequency 
                 Quarterly 
               
               
                   
                 Basis 
                 Act/360 
               
               
                   
                   
               
             
          
         
       
     
     Index Backtesting Exemplary Methodology and Assumptions
         Data Source (*) (*) Backtesting data source might slightly differ from the source used for the Index in production (i.e. data after [x] March 2008)   Swap Curve Construction: Libor and swap rates preferably are obtained from the following sources (in order): 1-ISDA (provided by Bloomberg), 2-LehmanLive, 3-Bloomberg. For each calendar date, select all data points from a single source only if it contains:
           (a) 2-year swap rate and 10-year swap rate   (b) at least one swap rate point between 1 year and 10 years (excluding 2-year and 10-year points)   (c) 1-month, 3-month and 6-month deposit rates.   If one of these conditions is not met, use the next data source.   
           If none of these conditions is met, the date is assumed to be a non-trading day.   The points (if available) considered to build the curves are:   /deposits/ 1m, 2m, 3m, 6m, 12m   /swaps/ 1y, 2y, 3y, 4y, 5y, 6y, 7y, 8y, 9y, 10y, 12y, 15y, 20y, 30y   Libor fixings from LehmanLive may be used for the ISDA data source.       

     
       
         
               
               
               
               
             
           
               
                 TABLE 10 
               
               
                   
               
               
                   
                 ISDA 
                 Bloomberg-deposits 
                 Bloomberg-swaps 
               
               
                   
               
             
             
               
                 USD 
                 11 am NY time 
                 BBA fixing 
                 Composite (LDN) 
               
               
                 EUR 
                 11 am FFT time 
                 BBA fixing 
                 Composite (LDN) 
               
               
                 JPY 
                 10 am TKY time 
                 BBA fixing 
                 Composite (LDN) 
               
               
                 GBP 
                 11 am LDN time  
                 BBA fixing 
                 Composite (LDN) 
               
               
                 CAD 
                 11 am EST 
                 BBA fixing 
                 Composite (LDN) 
               
               
                   
               
             
          
         
       
         
         
           
             Signals: 
             Central bank rates data have been provided by Bloomberg: 
             USD: US Federal Reserve Rate Target (FDTR Index) 
             EUR: ECB Minimum Bid Refinancing Rate 1 Week (GRRP14LR Index) 
             GBP: UK Base Rate (UKBRBASE Index) 
             JPY: Bank of Japan Target Rate (BOJDTR Index) 
             CAD: Bank of Canada overnight Lending Rate (CABROVER Index) 
             The Monetary Policy Signal is assumed to be equal to +1 (steepener) when data are missing. There are only two cases:
           For the period of 19 Mar. 2001 to 8 Mar. 2006 where there was no formal recommended target rate in Japan;   For the period before December 1992 where data for the Bank of Canada overnight Lending Rate were missing.   
         
           
         
       
    
     Index Calculations
         The first date of the Index is 25 Feb. 1991 when all 5 series are available.   Foreign Exchange   Data Source: Bloomberg—Composite London (USDDEm has been used for past data).   Forward Calculations   PV01 and forward rates may be determined using historical swap curves.   Transaction costs:   Two types of transaction costs are embedded in the Index:
           Rolling hedge costs are applied on the percentage of the position which is rolled from on Calculation Period to another. This cost is equal to 0.10 bps (spread to mid) on the overall transaction.   New hedge costs are applied on the net percentage of the position which is necessary to implement/unwind form one Calculation Period to another. This cost (spread to mid) is equal to:   
           USD: 0.50 bps   EUR: 0.30 bps   GBP: 0.75 bps   JPY: 0.50 bps   CAD: 2 bps   Statistical Data:   Sharpe ratio calculations may be done using the following formula:
 
(Average of Daily Returns×260)/(StDev of Daily Returns×sqrt(260)).
   Correlations are done on a monthly basis and use end of month values.       

     Notes Backtesting Exemplary Methodology and Assumptions
         The internal rate of return (IRR) for a Vanilla Floater is defined as the interest rate at which the net present value of the cash flows received (monthly 1-month Euribor cash flows plus redemption amount) equals the issue price.   The back-testing of the Global Compass Notes have been carried out on a monthly basis assuming that on each month of the back-testing period an equal amount is invested in the Compass note and a Vanilla Floater. The data and graph on this presentation are based on the IRR of these returns for each month.   For backtested notes we evaluated whether a suspension event occurred on each of the roll dates. The analysis found that no suspension event occurred on any of the roll dates of historically backtested notes.   The value of the Barrier for historically issued notes is determined by using the yield curve as of the note issue date (source: Bloomberg).       

     Exemplary Terms and Conditions 
     As explained above, Global COMPASS Index embodiments aim to capture the changes in the slope of swap curves. The underlying strategies are steepeners or flatteners on the slope of the five swap curves of the largest financial geographies: United States (US), Euro-area (EU), Japan (UK), United Kingdom (UK) and Canada (CA). 
     Following the calculation of weekly signals based on the dynamics of the different monetary policy regimes, steepeners or flatteners positions are implemented in the respective curves. Sub-indices for the 5 geographies are created. 
     The returns of each of these sub-indices, with weights based on relative GDP figures, determine the returns of the Global COMPASS Index. 
     Roll Dates 
     Monday of each week subject to the Following Index Business Day Convention. 
     Calculation Period 
     From and excluding one Roll Date to but including the immediately following Roll Date. 
     Calculation of the Index commences on [●], which is also the start of the Initial Calculation Period. 
     Index Business Days 
     London, New York and Target. 
     Index Global,t    
     The Index Level on [●] shall be equal to 100. (Index GLOBAL, INITIAL ). 
     For any Index Business Day t, 
     
       
         
           
             
               Index 
               
                 Global 
                 , 
                 t 
               
             
             = 
             
               { 
               
                 
                   
                     
                       
                         42.50 
                         ⁢ 
                         % 
                         × 
                         
                           ( 
                           
                             
                               
                                 Index 
                                 
                                   US 
                                   , 
                                   t 
                                 
                               
                               
                                 Index 
                                 
                                   US 
                                   , 
                                   
                                     t 
                                     - 
                                     1 
                                   
                                 
                               
                             
                             - 
                             1 
                           
                           ) 
                         
                       
                       + 
                       
                         33.00 
                         ⁢ 
                         % 
                         × 
                         
                           ( 
                           
                             
                               
                                 Index 
                                 
                                   EU 
                                   , 
                                   t 
                                 
                               
                               
                                 Index 
                                 
                                   EU 
                                   , 
                                   
                                     t 
                                     - 
                                     1 
                                   
                                 
                               
                             
                             - 
                             1 
                           
                           ) 
                         
                       
                       + 
                     
                   
                 
                 
                   
                     
                       
                         13.50 
                         ⁢ 
                         % 
                         × 
                         
                           ( 
                           
                             
                               
                                 Index 
                                 
                                   JN 
                                   , 
                                   t 
                                 
                               
                               
                                 Index 
                                 
                                   JN 
                                   , 
                                   
                                     t 
                                     - 
                                     1 
                                   
                                 
                               
                             
                             - 
                             1 
                           
                           ) 
                         
                       
                       + 
                       
                         7.00 
                         ⁢ 
                         % 
                         × 
                         
                           ( 
                           
                             
                               
                                 Index 
                                 
                                   UK 
                                   , 
                                   t 
                                 
                               
                               
                                 Index 
                                 
                                   UK 
                                   , 
                                   
                                     t 
                                     - 
                                     1 
                                   
                                 
                               
                             
                             - 
                             1 
                           
                           ) 
                         
                       
                       + 
                     
                   
                 
                 
                   
                     
                       4.00 
                       ⁢ 
                       % 
                       × 
                       
                         ( 
                         
                           
                             
                               Index 
                               
                                 CA 
                                 , 
                                 t 
                               
                             
                             
                               Index 
                               
                                 CA 
                                 , 
                                 
                                   t 
                                   - 
                                   1 
                                 
                               
                             
                           
                           - 
                           1 
                         
                         ) 
                       
                     
                   
                 
               
               } 
             
           
         
       
     
     US Sub-Index 
     Index US,t    
     The Index value on [●] shall be equal to 100. (Index US, [START] =100). 
     For any Calculation Period Index US, Previous  shall be equal to the value of the Index US, Final  for the immediately preceding Calculation Period. 
     For any Index Business Day t during a Calculation Period, Index US, t  shall be: 
     
       
         
           
             
               Index 
               
                 US 
                 , 
                 Previous 
               
             
             × 
             
               { 
               
                 1 
                 + 
                 
                   
                     Signal 
                     US 
                   
                   × 
                   
                     [ 
                     
                         
                     
                     ⁢ 
                     
                       
                         
                           
                             
                               
                                 
                                   10 
                                   ⁢ 
                                   
                                     yFwd 
                                     
                                       US 
                                       , 
                                       
                                         
                                           1 
                                           ⁢ 
                                           m 
                                         
                                         - 
                                         t 
                                       
                                     
                                     t 
                                   
                                 
                                 - 
                                 
                                   10 
                                   ⁢ 
                                   
                                     yFwd 
                                     
                                       US 
                                       , 
                                       
                                         1 
                                         ⁢ 
                                         m 
                                       
                                     
                                     0 
                                   
                                 
                               
                               ) 
                             
                             × 
                             10 
                             ⁢ 
                             yPV 
                             ⁢ 
                             
                                 
                             
                             ⁢ 
                             
                               01 
                               
                                 US 
                                 , 
                                 
                                   
                                     1 
                                     ⁢ 
                                     m 
                                   
                                   - 
                                   t 
                                 
                               
                               t 
                             
                           
                         
                       
                       
                         
                           
                             
                               
                                 
                                   
                                     - 
                                     
                                       ( 
                                       
                                         
                                           2 
                                           ⁢ 
                                           
                                             yFwd 
                                             
                                               US 
                                               , 
                                               
                                                 
                                                   1 
                                                   ⁢ 
                                                   
                                                       
                                                   
                                                   ⁢ 
                                                   m 
                                                 
                                                 - 
                                                 t 
                                               
                                             
                                             t 
                                           
                                         
                                         - 
                                         
                                           2 
                                           ⁢ 
                                           
                                             yFwd 
                                             
                                               US 
                                               , 
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                             
                                             0 
                                           
                                         
                                       
                                       ) 
                                     
                                   
                                   × 
                                 
                               
                             
                             
                               
                                 
                                   2 
                                   ⁢ 
                                   yPV 
                                   ⁢ 
                                   
                                       
                                   
                                   ⁢ 
                                   
                                     01 
                                     
                                       US 
                                       , 
                                       
                                         
                                           1 
                                           ⁢ 
                                           m 
                                         
                                         - 
                                         t 
                                       
                                     
                                     t 
                                   
                                   × 
                                   
                                     
                                       10 
                                       ⁢ 
                                       yPV 
                                       ⁢ 
                                       
                                           
                                       
                                       ⁢ 
                                       
                                         01 
                                         
                                           US 
                                           , 
                                           
                                             1 
                                             ⁢ 
                                             m 
                                           
                                         
                                         0 
                                       
                                     
                                     
                                       2 
                                       ⁢ 
                                       yPV 
                                       ⁢ 
                                       
                                           
                                       
                                       ⁢ 
                                       
                                         01 
                                         
                                           US 
                                           , 
                                           
                                             1 
                                             ⁢ 
                                             m 
                                           
                                         
                                         0 
                                       
                                     
                                   
                                 
                               
                             
                           
                         
                       
                     
                     ] 
                   
                 
                 - 
                 
                   TC 
                   US 
                 
               
               } 
             
           
         
       
     
     For any Calculation Period, Index US, Final  shall be equal to Index US, t  where t is the Final Fixing Date for such Calculation Period. 
     For the purpose of evaluating whether a Suspension Event should occur the Index US  may be valued intra-day by the Calculation Agent using current market data at that time to calculate the swap rates, but following the same formula and methodology as above. 
     TC US    
     The Transaction Costs will be charged based on the cost of rolling the position from one Calculation Period to another and the cost of implementation/unwinding new positions from one Calculation Period to another. 
     i) If the sign of Signal US   Previous  is different from the sign of Signal US :
 
 TC   US =|Signal US −Signal US   Previous |×0.0050%×10 yPV 01 US,1m   0  
 
     ii) Otherwise, 
     
       
         
           
             
               TC 
               US 
             
             = 
             
               
                 { 
                 
                   
                     
                       
                         
                           
                             min 
                             ⁡ 
                             
                               ( 
                               
                                 
                                    
                                   
                                     Signal 
                                     US 
                                   
                                    
                                 
                                 ; 
                                 
                                    
                                   
                                     Signal 
                                     US 
                                     Previous 
                                   
                                    
                                 
                               
                               ) 
                             
                           
                           × 
                           0.0010 
                           ⁢ 
                           % 
                         
                         + 
                       
                     
                   
                   
                     
                       
                         
                            
                           
                             
                               Signal 
                               US 
                             
                             - 
                             
                               Signal 
                               US 
                               Previous 
                             
                           
                            
                         
                         × 
                         0.0050 
                         ⁢ 
                         % 
                       
                     
                   
                 
                 } 
               
               × 
               10 
               ⁢ 
               yPV 
               ⁢ 
               
                   
               
               ⁢ 
               
                 01 
                 
                   US 
                   , 
                   
                     1 
                     ⁢ 
                     m 
                   
                 
                 0 
               
             
           
         
       
     
     Where Signal US   Previous  is equal to Signal US  for the previous Calculation Period (or zero in the case of the Initial Calculation Period). 
     Signal US    
     For any Calculation Period, the value of the US Global COMPASS signal calculated on or about [0.8.00 am London time] by the Calculation Agent one US Business Day before the Initial Fixing Date. 
     Initial Fixing Date 
     For any Calculation Period, the Final Fixing Date of the preceding Calculation Period subject to adjustment with the Following US Business Day Convention. 
     Final Fixing Date 
     For any Calculation Period, the last Index Business Day of such Calculation Period. 
     Forward Start Date US    
     For any Calculation Period, the day that is one month following the Initial Fixing Date for such Calculation Period subject to adjustment with the Following US Business Day Convention. 
     10yFwd US,1m   0    
     For any Calculation Period, the forward rate for a semi-annual USD swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     10yFwd US,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual USD swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on such day. 
     For any Index Business Day t which is not a US Business Day, 10yFwd US,1m-t   t  will be equal to 10yFwd US,1m-(t-1)   (t-1) . 
     2yFwd US,1m   0    
     For any Calculation Period, the forward rate for a semi-annual USD swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     2yFwd US,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual USD swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on such day. 
     For any Index Business Day t which is not a US Business Day, 2yFwd US,1m-t   t  will be equal to 2yFwd US,1m-(t-1)   (t-1) . 
     10yPV01 US,1m   0    
     For any Calculation Period, the present value in USD of USD 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd US,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     10yPV01 US,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in USD of USD 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd US,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on that day. 
     For any Index Business Day t which is not a US Business Day, 10yPV01 US,1m-t   t  will be equal to 10yPV01 US,1m-(t-1)   (t-1) . 
     2yPV01 US,1m   0    
     For any Calculation Period, the present value in USD of USD 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd US,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     2yPV01 US,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in USD of USD 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd US,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on that day. 
     For any Index Business Day t which is not a US Business Day, 2yPV01 US,1m-t   t  will be equal to 2yPV01 US,1m-(t-1)   (t-1) . 
     US Business Days 
     New York. 
     EU Sub-Index 
     Index EU,t    
     The Index value on [●] shall be equal to 100. (Index EU, [START] =100. 
     For any Calculation Period Index EU, Previous  shall be equal to the value of the Index EU, Final  for the immediately preceding Calculation Period. 
     For any Index Business Day t during a Calculation Period, Index EU, t  shall be: 
     
       
         
           
             
               Index 
               
                 EU 
                 , 
                 Previous 
               
             
             × 
             
               { 
               
                 1 
                 + 
                 
                   
                     
                       FX 
                       
                         EU 
                         , 
                         START 
                       
                     
                     
                       FX 
                       
                         EU 
                         , 
                         t 
                       
                     
                   
                   × 
                   
                     ( 
                     
                       
                         
                           Signal 
                           EU 
                         
                         × 
                         
                           [ 
                           
                               
                           
                           ⁢ 
                           
                             
                               
                                 
                                   
                                     
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             EU 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                       
                                       - 
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             EU 
                                             , 
                                             
                                               1 
                                               ⁢ 
                                               m 
                                             
                                           
                                           0 
                                         
                                       
                                     
                                     ) 
                                   
                                   × 
                                   10 
                                   ⁢ 
                                   yPV 
                                   ⁢ 
                                   
                                       
                                   
                                   ⁢ 
                                   
                                     01 
                                     
                                       EU 
                                       , 
                                       
                                         
                                           1 
                                           ⁢ 
                                           m 
                                         
                                         - 
                                         t 
                                       
                                     
                                     t 
                                   
                                 
                               
                             
                             
                               
                                 
                                   
                                     
                                       
                                         
                                           - 
                                           
                                             ( 
                                             
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     EU 
                                                     , 
                                                     
                                                       
                                                         1 
                                                         ⁢ 
                                                         
                                                             
                                                         
                                                         ⁢ 
                                                         m 
                                                       
                                                       - 
                                                       t 
                                                     
                                                   
                                                   t 
                                                 
                                               
                                               - 
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     EU 
                                                     , 
                                                     
                                                       1 
                                                       ⁢ 
                                                       m 
                                                     
                                                   
                                                   0 
                                                 
                                               
                                             
                                             ) 
                                           
                                         
                                         × 
                                       
                                     
                                   
                                   
                                     
                                       
                                         2 
                                         ⁢ 
                                         yPV 
                                         ⁢ 
                                         
                                             
                                         
                                         ⁢ 
                                         
                                           01 
                                           
                                             EU 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                         × 
                                         
                                           
                                             10 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 EU 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                           
                                             2 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 EU 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                         
                                       
                                     
                                   
                                 
                               
                             
                           
                           ] 
                         
                       
                       - 
                       
                         TC 
                         EU 
                       
                     
                     ) 
                   
                 
               
               } 
             
           
         
       
     
     For any Calculation Period, Index EU, Final  shall be equal to Index EU, t  where t is the Final Fixing Date for such Calculation Period. 
     For the purpose of evaluating whether a Suspension Event should occur the Index EU  may be valued intra-day by the Calculation Agent using current market data at the time to calculate the swap rates, but following the same formula and methodology as above. 
     TC EU    
     The Transaction Costs will be charged based on the cost of rolling the position from one Calculation Period to another and the cost of implementing/unwinding new positions from one Calculation Period to another. 
     i) If the sign of Signal EU   Previous  is different from the sign of Signal EU :
 
 TC   EU =|Signal EU −Signal EU   Previous |×0.0050%×10 yPV 01 EU,1m   0  
 
     ii) Otherwise, 
     
       
         
           
             
               TC 
               EU 
             
             = 
             
               
                 { 
                 
                   
                     
                       
                         
                           
                             min 
                             ⁡ 
                             
                               ( 
                               
                                 
                                    
                                   
                                     Signal 
                                     EU 
                                   
                                    
                                 
                                 ; 
                                 
                                    
                                   
                                     Signal 
                                     EU 
                                     Previous 
                                   
                                    
                                 
                               
                               ) 
                             
                           
                           × 
                           0.0010 
                           ⁢ 
                           % 
                         
                         + 
                       
                     
                   
                   
                     
                       
                         
                            
                           
                             
                               Signal 
                               EU 
                             
                             - 
                             
                               Signal 
                               EU 
                               Previous 
                             
                           
                            
                         
                         × 
                         0.0050 
                         ⁢ 
                         % 
                       
                     
                   
                 
                 } 
               
               × 
               10 
               ⁢ 
               yPV 
               ⁢ 
               
                   
               
               ⁢ 
               
                 01 
                 
                   EU 
                   , 
                   
                     1 
                     ⁢ 
                     m 
                   
                 
                 0 
               
             
           
         
       
     
     Where Signal EU   Previous  is equal to Signal EU  for the previous Calculation Period (or zero in the case of the Initial Calculation Period). 
     FX EU, Start    
     For any Calculation Period, the exchange rate (quoted as the number of EUR per 1 unit of USD) as determined by the Calculation Agent with reference to market data observed as of [8:00 am London Time] one EU Business Day before the Initial Fixing Date. 
     FX EU, t    
     For any Index Business Day t, the exchange rate (quoted as the number of EUR per 1 unit of USD) as determined by the Calculation Agent with reference to market data observed as of [8:00 am London Time] on such day t. 
     Signal EU    
     For any Calculation Period, the value of the EU Global COMPASS signal calculated on or about [08:00 am London time] by the Calculation Agent one US Business Day before the Initial Fixing Date. 
     Initial Fixing Date 
     For any Calculation Period, the Final Fixing Date of the preceding Calculation Period subject to adjustment with the Following EU Business Day Convention. 
     Final Fixing Date 
     For any Calculation Period, the last Index Business Day of such Calculation Period. 
     Forward Start Date EU    
     For any Calculation Period, the day that is one month following the Initial Fixing Date for such Calculation Period subject to adjustment with the Following EU Business Day Convention. 
     10yFwd EU,1m   0    
     For any Calculation Period, the forward rate for a semi-annual EUR swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     10yFwd EU,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual EUR swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on such day. 
     For any Index Business Day t which is not a EU Business Day, 10yFwd EU,1m-t   t  will be equal to 10yFwd EU,1m-(t-1)   (t-1) . 
     2yFwd EU,1m   0    
     For any Calculation Period, the forward rate for a semi-annual EUR swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     2yFwd EU,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual USD swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on such day. 
     For any Index Business Day t which is not a EU Business Day, 2yFwd EU,1m-t   t  will be equal to 2yFwd EU,1m-(t-1)   (t-1) . 
     10yPV01 EU,1m   0    
     For any Calculation Period, the present value in EUR of EUR 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd EU,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     10yPV01 EU,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in EUR of EUR 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd EU,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on that day. 
     For any Index Business Day t which is not a EUR Business Day, 10yPV01 EU,1m-t   t  will be equal to 10yPV01 EU,1m-(t-1)   (t-1) . 
     2yPV01 EU,1m   0    
     For any Calculation Period, the present value in EUR of EUR 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd EU,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     2yPV01 EU,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in EUR of EUR 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd EU,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on that day. 
     For any Index Business Day t which is not a EU Business Day, 2yPV01 EU,1m-t   t  will be equal to 2yPV01 EU,1m-(t-1)   (t-1) . 
     EU Business Days 
     Target. 
     UK Sub-Index 
     Index UK,t    
     The Index value on [●] shall be equal to 100. (Index UK, [START] =100. 
     For any Calculation Period Index UK, Previous  shall be equal to the value of the Index UK, Final  for the immediately preceding Calculation Period. 
     For any Index Business Day t during a Calculation Period, Index UK, t  shall be: 
     
       
         
           
             
               Index 
               
                 UK 
                 , 
                 Previous 
               
             
             × 
             
               { 
               
                 1 
                 + 
                 
                   
                     
                       FX 
                       
                         UK 
                         , 
                         START 
                       
                     
                     
                       FX 
                       
                         UK 
                         , 
                         t 
                       
                     
                   
                   × 
                   
                     ( 
                     
                       
                         
                           Signal 
                           UK 
                         
                         × 
                         
                           [ 
                           
                               
                           
                           ⁢ 
                           
                             
                               
                                 
                                   
                                     
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             UK 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                       
                                       - 
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             UK 
                                             , 
                                             
                                               1 
                                               ⁢ 
                                               m 
                                             
                                           
                                           0 
                                         
                                       
                                     
                                     ) 
                                   
                                   × 
                                   10 
                                   ⁢ 
                                   yPV 
                                   ⁢ 
                                   
                                       
                                   
                                   ⁢ 
                                   
                                     01 
                                     
                                       UK 
                                       , 
                                       
                                         
                                           1 
                                           ⁢ 
                                           m 
                                         
                                         - 
                                         t 
                                       
                                     
                                     t 
                                   
                                 
                               
                             
                             
                               
                                 
                                   
                                     
                                       
                                         
                                           - 
                                           
                                             ( 
                                             
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     UK 
                                                     , 
                                                     
                                                       
                                                         1 
                                                         ⁢ 
                                                         
                                                             
                                                         
                                                         ⁢ 
                                                         m 
                                                       
                                                       - 
                                                       t 
                                                     
                                                   
                                                   t 
                                                 
                                               
                                               - 
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     UK 
                                                     , 
                                                     
                                                       1 
                                                       ⁢ 
                                                       m 
                                                     
                                                   
                                                   0 
                                                 
                                               
                                             
                                             ) 
                                           
                                         
                                         × 
                                       
                                     
                                   
                                   
                                     
                                       
                                         2 
                                         ⁢ 
                                         yPV 
                                         ⁢ 
                                         
                                             
                                         
                                         ⁢ 
                                         
                                           01 
                                           
                                             UK 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                         × 
                                         
                                           
                                             10 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 UK 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                           
                                             2 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 UK 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                         
                                       
                                     
                                   
                                 
                               
                             
                           
                           ] 
                         
                       
                       - 
                       
                         TC 
                         UK 
                       
                     
                     ) 
                   
                 
               
               } 
             
           
         
       
     
     For any Calculation Period, Index UK, Final  shall be equal to Index UK, t  where t is the Final Fixing Date for such Calculation Period. 
     For the purpose of evaluating whether a Suspension Event should occur the Index UK  may be valued intra-day by the Calculation Agent using current market data at the time to calculate the swap rates, but following the same formula and methodology as above. 
     TC UK    
     The Transaction Costs will be charged based on the cost of rolling the position from one Calculation Period to another and the cost of implementing/unwinding new positions from one Calculation Period to another. 
     i) If the sign of Signal UK   Previous  is different from the sign of Signal UK :
 
 TC   UK =|Signal UK −Signal UK   Previous |×0.0050%×10 yPV 01 UK,1m   0  
 
     ii) Otherwise, 
     
       
         
           
             
               TC 
               UK 
             
             = 
             
               
                 { 
                 
                   
                     
                       
                         
                           
                             min 
                             ⁡ 
                             
                               ( 
                               
                                 
                                    
                                   
                                     Signal 
                                     UK 
                                   
                                    
                                 
                                 ; 
                                 
                                    
                                   
                                     Signal 
                                     UK 
                                     Previous 
                                   
                                    
                                 
                               
                               ) 
                             
                           
                           × 
                           0.0010 
                           ⁢ 
                           % 
                         
                         + 
                       
                     
                   
                   
                     
                       
                         
                            
                           
                             
                               Signal 
                               UK 
                             
                             - 
                             
                               Signal 
                               UK 
                               Previous 
                             
                           
                            
                         
                         × 
                         0.0050 
                         ⁢ 
                         % 
                       
                     
                   
                 
                 } 
               
               × 
               10 
               ⁢ 
               yPV 
               ⁢ 
               
                   
               
               ⁢ 
               
                 01 
                 
                   UK 
                   , 
                   
                     1 
                     ⁢ 
                     m 
                   
                 
                 0 
               
             
           
         
       
     
     Where Signal UK   Previous  is equal to Signal UK  for the previous Calculation Period (or zero in the case of the Initial Calculation Period). 
     FX UK,Start    
     For any Calculation Period, the exchange rate (quoted as the number of GBP per 1 unit of USD) as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time one UK Business Day before the Initial Fixing Date. 
     FX UK,t    
     For any Index Business Day t, the exchange rate (quoted as the number of GBP per 1 unit of USD) as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on such day t. 
     Signal UK    
     For any Calculation Period, the value of the UK Global COMPASS signal calculated on or about [08:00 am London time] by the Calculation Agent one US Business Day before the Initial Fixing Date. 
     Initial Fixing Date 
     For any Calculation Period, the Final Fixing Date of the preceding Calculation Period subject to adjustment with the Following UK Business Day Convention. 
     Final Fixing Date 
     For any Calculation Period, the last Index Business Day of such Calculation Period. 
     Forward Start Date UK    
     For any Calculation Period, the day that is one month following the Initial Fixing Date for such Calculation Period subject to adjustment with the Following UK Business Day Convention. 
     10yFwd UK,1m   0    
     For any Calculation Period, the forward rate for a semi-annual GBP swap transaction with a maturity of 10 years on a Act/365 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time] on the Initial Fixing Date. 
     10yFwd UK,1m-t   0    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual GBP swap transaction with a maturity of 10 years on a Act/365 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on such day. 
     For any Index Business Day t which is not a UK Business Day, 10yFwd UK,1m-t   t  will be equal to 10yFwd UK,1m-(t-1)   (t-1) . 
     2yFwd UK,1m   0    
     For any Calculation Period, the forward rate for a semi-annual GBP swap transaction with a maturity of 2 years on a Act/365 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     2yFwd UK,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual GBP swap transaction with a maturity of 2 years on a Act/365 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am London Time on such day. 
     For any Index Business Day t which is not a UK Business Day, 2yFwd UK,1m-t   t  will be equal to 2yFwd UK,1m-(t-1)   (t-1) . 
     10yPV01 UK,1m   0 For any Calculation Period, the present value in GBP of GBP 1 per annum paid semi-annually, Act/365, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd UK,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     10yPV01 UK,1m-t   0    
     For any Index Business Day t during a Calculation Period, the present value in GBP of GBP 1 per annum paid semi-annually, Act/365, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd UK,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on that day. 
     For any Index Business Day t which is not a UK Business Day, 10yPV01 UK,1m-t   t  will be equal to 10yPV01 UK,1m-(t-1)   (t-1)    
     2yPV01 UK,1m   0    
     For any Calculation Period, the present value in GBP of GBP 1 per annum paid semi-annually, Act/365, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd UK,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on the Initial Fixing Date. 
     2yPV01 UK,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in GBP of GBP 1 per annum paid semi-annually, Act/365, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd UK,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am London Time on that day. 
     For any Index Business Day t which is not a UK Business Day, 2yPV01 UK,1m-t   t  will be equal to 2yPV01 UK,1m-(t-1)   (t-1) . 
     UK Business Days 
     London. 
     JN Sub-Index 
     Index JN,t    
     The Index value on [●] shall be equal to 100. (Index JN, [START] =100. 
     For any Calculation Period Index JN, Previous  shall be equal to the value of the Index JN, Final  for the immediately preceding Calculation Period. 
     For any Index Business Day t during a Calculation Period, Index JN, t  shall be: 
     
       
         
           
             
               Index 
               
                 JN 
                 , 
                 Previous 
               
             
             × 
             
               { 
               
                 1 
                 + 
                 
                   
                     
                       FX 
                       
                         JN 
                         , 
                         START 
                       
                     
                     
                       FX 
                       
                         t 
                         , 
                         START 
                       
                     
                   
                   × 
                   
                     ( 
                     
                       
                         
                           Signal 
                           JN 
                         
                         × 
                         
                           [ 
                           
                               
                           
                           ⁢ 
                           
                             
                               
                                 
                                   
                                     
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             JN 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                       
                                       - 
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             JN 
                                             , 
                                             
                                               1 
                                               ⁢ 
                                               m 
                                             
                                           
                                           0 
                                         
                                       
                                     
                                     ) 
                                   
                                   × 
                                   10 
                                   ⁢ 
                                   yPV 
                                   ⁢ 
                                   
                                       
                                   
                                   ⁢ 
                                   
                                     01 
                                     
                                       JN 
                                       , 
                                       
                                         
                                           1 
                                           ⁢ 
                                           m 
                                         
                                         - 
                                         t 
                                       
                                     
                                     t 
                                   
                                 
                               
                             
                             
                               
                                 
                                   
                                     
                                       
                                         
                                           - 
                                           
                                             ( 
                                             
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     JN 
                                                     , 
                                                     
                                                       
                                                         1 
                                                         ⁢ 
                                                         
                                                             
                                                         
                                                         ⁢ 
                                                         m 
                                                       
                                                       - 
                                                       t 
                                                     
                                                   
                                                   t 
                                                 
                                               
                                               - 
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     JN 
                                                     , 
                                                     
                                                       1 
                                                       ⁢ 
                                                       m 
                                                     
                                                   
                                                   0 
                                                 
                                               
                                             
                                             ) 
                                           
                                         
                                         × 
                                       
                                     
                                   
                                   
                                     
                                       
                                         2 
                                         ⁢ 
                                         yPV 
                                         ⁢ 
                                         
                                             
                                         
                                         ⁢ 
                                         
                                           01 
                                           
                                             JN 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                         × 
                                         
                                           
                                             10 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 JN 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                           
                                             2 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 JN 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                         
                                       
                                     
                                   
                                 
                               
                             
                           
                           ] 
                         
                       
                       - 
                       
                         TC 
                         JN 
                       
                     
                     ) 
                   
                 
               
               } 
             
           
         
       
     
     For any Calculation Period, Index JN, Final  shall be equal to Index JN, t  where t is the Final Fixing Date for such Calculation Period. 
     For the purpose of evaluating whether a Suspension Event should occur the Index JN  may be valued intra-day by the Calculation Agent using current market data at the time to calculate the swap rates, but following the same formula and methodology as above. 
     TC JN    
     The Transaction Costs will be charged based on the cost of rolling the position from one Calculation Period to another and the cost of implementing/unwinding new positions from one Calculation Period to another. 
     i) If the sign of Signal JN   Previous  is different from the sign of Signal US :
 
 TC   JN =|Signal JN −Signal JN   Previous |×0.0050%×10 yPV 01 JP,1m   0  
 
     ii) Otherwise, 
     
       
         
           
             
               TC 
               JP 
             
             = 
             
               
                 { 
                 
                   
                     
                       
                         
                           
                             min 
                             ⁡ 
                             
                               ( 
                               
                                 
                                    
                                   
                                     Signal 
                                     JN 
                                   
                                    
                                 
                                 ; 
                                 
                                    
                                   
                                     Signal 
                                     JN 
                                     Previous 
                                   
                                    
                                 
                               
                               ) 
                             
                           
                           × 
                           0.0010 
                           ⁢ 
                           % 
                         
                         + 
                       
                     
                   
                   
                     
                       
                         
                            
                           
                             
                               Signal 
                               JN 
                             
                             - 
                             
                               Signal 
                               JN 
                               Previous 
                             
                           
                            
                         
                         × 
                         0.0050 
                         ⁢ 
                         % 
                       
                     
                   
                 
                 } 
               
               × 
               10 
               ⁢ 
               yPV 
               ⁢ 
               
                   
               
               ⁢ 
               
                 01 
                 
                   JN 
                   , 
                   
                     1 
                     ⁢ 
                     m 
                   
                 
                 0 
               
             
           
         
       
     
     Where Signal JN   Previous  is equal to Signal JN  for the previous Calculation Period (or zero in the case of the Initial Calculation Period). 
     Signal JN    
     For any Calculation Period, the value of the JN Global COMPASS signal calculated on or about [08:00 am London time] by the Calculation Agent one JN Business Day before the Initial Fixing Date. 
     Initial Fixing Date 
     For any Calculation Period, the Final Fixing Date of the preceding Calculation Period subject to adjustment with the Following JN Business Day Convention. 
     Final Fixing Date 
     For any Calculation Period, the last Index Business Day of such Calculation Period. 
     Forward Start Date JN    
     For any Calculation Period, the day that is one month following the Initial Fixing Date for such Calculation Period subject to adjustment with the Following JN Business Day Convention. 
     10yFwd JN,1m   0    
     For any Calculation Period, the forward rate for a semi-annual JPY swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     10yFwd JN,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual JPY swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on such day. 
     For any Index Business Day t which is not a JN Business Day, 10yFwd JN,1m-t   t  will be equal to 10yFwd JN,1m-(t-1)   (t-1) . 
     2yFwd JN,1m   0    
     For any Calculation Period, the forward rate for a semi-annual JPY swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual JPY swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on such day. 
     For any Index Business Day t which is not a JN Business Day, 2yFwd JN,1m-t   t  will be equal to 2yFwd JN,1m-(t-1)   (t-1) . 
     10yPV01 JN,1m   0    
     For any Calculation Period, the present value in JPY of JPY 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd JN,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     10yPV01 JN,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in JPY of JPY 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd JN,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on that day. 
     For any Index Business Day t which is not a JN Business Day, 10yPV01 JN,1m-t   1  will be equal to 10yPV01 JN,1m-(t-1)   (t-1)    
     2yPV01 JN,1m   0    
     For any Calculation Period, the present value in JPY of JPY 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd JN,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     2yPV01 JN,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in JPY of JPY 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd JN,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on that day. 
     For any Index Business Day t which is not a JN Business Day, 2yPV01 JN,1m-t   t  will be equal to 2yPV01 JN,1m-(t-1)   (t-1) . 
     JN Business Days 
     Tokyo. 
     CA Sub-Index 
     Index CA,t    
     The Index value on [●] shall be equal to 100. (Index CA, [START] =100. 
     For any Calculation Period Index CA, Previous  shall be equal to the value of the Index CA, Final  for the immediately preceding Calculation Period. 
     For any Index Business Day t during a Calculation Period, Index CA, t  shall be: 
     
       
         
           
             
               Index 
               
                 CA 
                 , 
                 Previous 
               
             
             × 
             
               { 
               
                 1 
                 + 
                 
                   
                     
                       FX 
                       
                         CA 
                         , 
                         START 
                       
                     
                     
                       FX 
                       
                         CA 
                         , 
                         t 
                       
                     
                   
                   × 
                   
                     ( 
                     
                       
                         
                           Signal 
                           CA 
                         
                         × 
                         
                           [ 
                           
                               
                           
                           ⁢ 
                           
                             
                               
                                 
                                   
                                     
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             CA 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                       
                                       - 
                                       
                                         10 
                                         ⁢ 
                                         
                                           yFwd 
                                           
                                             CA 
                                             , 
                                             
                                               1 
                                               ⁢ 
                                               m 
                                             
                                           
                                           0 
                                         
                                       
                                     
                                     ) 
                                   
                                   × 
                                   10 
                                   ⁢ 
                                   yPV 
                                   ⁢ 
                                   
                                       
                                   
                                   ⁢ 
                                   
                                     01 
                                     
                                       CA 
                                       , 
                                       
                                         
                                           1 
                                           ⁢ 
                                           m 
                                         
                                         - 
                                         t 
                                       
                                     
                                     t 
                                   
                                 
                               
                             
                             
                               
                                 
                                   
                                     
                                       
                                         
                                           - 
                                           
                                             ( 
                                             
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     CA 
                                                     , 
                                                     
                                                       
                                                         1 
                                                         ⁢ 
                                                         
                                                             
                                                         
                                                         ⁢ 
                                                         m 
                                                       
                                                       - 
                                                       t 
                                                     
                                                   
                                                   t 
                                                 
                                               
                                               - 
                                               
                                                 2 
                                                 ⁢ 
                                                 
                                                   yFwd 
                                                   
                                                     CA 
                                                     , 
                                                     
                                                       1 
                                                       ⁢ 
                                                       m 
                                                     
                                                   
                                                   0 
                                                 
                                               
                                             
                                             ) 
                                           
                                         
                                         × 
                                       
                                     
                                   
                                   
                                     
                                       
                                         2 
                                         ⁢ 
                                         yPV 
                                         ⁢ 
                                         
                                             
                                         
                                         ⁢ 
                                         
                                           01 
                                           
                                             CA 
                                             , 
                                             
                                               
                                                 1 
                                                 ⁢ 
                                                 m 
                                               
                                               - 
                                               t 
                                             
                                           
                                           t 
                                         
                                         × 
                                         
                                           
                                             10 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 CA 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                           
                                             2 
                                             ⁢ 
                                             yPV 
                                             ⁢ 
                                             
                                                 
                                             
                                             ⁢ 
                                             
                                               01 
                                               
                                                 CA 
                                                 , 
                                                 
                                                   1 
                                                   ⁢ 
                                                   m 
                                                 
                                               
                                               0 
                                             
                                           
                                         
                                       
                                     
                                   
                                 
                               
                             
                           
                           ] 
                         
                       
                       - 
                       
                         TC 
                         CA 
                       
                     
                     ) 
                   
                 
               
               } 
             
           
         
       
     
     For any Calculation Period, Index CA, Final  shall be equal to Index CA, t  where t is the Final Fixing Date for such Calculation Period. 
     For the purpose of evaluating whether a Suspension Event should occur the Index CA  may be valued intra-day by the Calculation Agent using current market data at the time to calculate the swap rates, but following the same formula and methodology as above. 
     TC CA    
     The Transaction Costs will be charged based on the cost of rolling the position from one Calculation Period to another and the cost of implementing/unwinding new positions from one Calculation Period to another. 
     i) If the sign of Signal CA   Previous  is different from the sign of Signal US :
 
 TC   CA =|Signal CA −Signal CA   Previous |×0.0050%×10 yPV 01 CA,1m   0  
 
     ii) Otherwise, 
     
       
         
           
             
               TC 
               CA 
             
             = 
             
               
                 { 
                 
                   
                     
                       
                         
                           
                             min 
                             ⁡ 
                             
                               ( 
                               
                                 
                                    
                                   
                                     Signal 
                                     CA 
                                   
                                    
                                 
                                 ; 
                                 
                                    
                                   
                                     Signal 
                                     CA 
                                     Previous 
                                   
                                    
                                 
                               
                               ) 
                             
                           
                           × 
                           0.0010 
                           ⁢ 
                           % 
                         
                         + 
                       
                     
                   
                   
                     
                       
                         
                            
                           
                             
                               Signal 
                               CA 
                             
                             - 
                             
                               Signal 
                               CA 
                               Previous 
                             
                           
                            
                         
                         × 
                         0.0050 
                         ⁢ 
                         % 
                       
                     
                   
                 
                 } 
               
               × 
               10 
               ⁢ 
               yPV 
               ⁢ 
               
                   
               
               ⁢ 
               
                 01 
                 
                   CA 
                   , 
                   
                     1 
                     ⁢ 
                     m 
                   
                 
                 0 
               
             
           
         
       
     
     Where Signal CA   Previous  is equal to Signal CA  for the previous Calculation Period (or zero in the case of the Initial Calculation Period). 
     Signal CA    
     For any Calculation Period, the value of the CA Global COMPASS signal calculated on or about [08:00 am London time] by the Calculation Agent one CA Business Day before the Initial Fixing Date. 
     Initial Fixing Date 
     For any Calculation Period, the Final Fixing Date of the preceding Calculation Period subject to adjustment with the Following CA Business Day Convention. 
     Final Fixing Date 
     For any Calculation Period, the last Index Business Day of such Calculation Period. 
     Forward Start Date CA    
     For any Calculation Period, the day that is one month following the Initial Fixing Date for such Calculation Period subject to adjustment with the Following CA Business Day Convention. 
     10yFwd CA,1m   0    
     For any Calculation Period, the forward rate for a semi-annual CAD swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     10yFwd CA,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual CAD swap transaction with a maturity of 10 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on such day. 
     For any Index Business Day t which is not a CA Business Day, 10yFwd CA,1m-t   t  will be equal to 10yFwd CA,1m-(t-1)   (t-1) . 
     2yFwd CA,1m   0    
     For any Calculation Period, the forward rate for a semi-annual CAD swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     2yFwd CA,1m-t   t    
     For any Index Business Day t during a Calculation Period (to and including the Final Fixing Date), the forward rate for a semi-annual CAD swap transaction with a maturity of 2 years on a 30/360 basis and with an effective date on the Forward Start Date, to be calculated by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on such day. 
     For any Index Business Day t which is not a CA Business Day, 2yFwd CA,1m-t   t  will be equal to 2yFwd CA,1m-(t-1)   (t-1) . 
     10yPV01 CA,1m   0    
     For any Calculation Period, the present value in CAD of CAD 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd CA,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     10yPV01 CA,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value in CAD of CAD 1 per annum paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 10yFwd CA,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on that day. 
     For any Index Business Day t which is not a CA Business Day, 10yPV01 CA,1m-t   t  will be equal to 10yPV01 CA,1m-(t-1)   (t-1)    
     2yPV01 CA,1m   0    
     For any Calculation Period, the present value in CAD of CAD 1 per annum paid semi-annually, 30/360, unadjusted, following, from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd CA,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on the Initial Fixing Date. 
     2yPV01 CA,1m-t   t    
     For any Index Business Day t during a Calculation Period, the present value of 0.01% paid semi-annually, 30/360, unadjusted, following from and including the Forward Start Date for such Calculation Period to but excluding the maturity date of such 2yFwd CA,1m   0  as determined by the Calculation Agent with reference to market data observed as of 11:00 am New York Time on that day. 
     For any Index Business Day t which is not a CA Business Day, 2yPV01 CA,1m-t   t  will be equal to 2yPV01 CA,1m-(t-1)   (t-1) . 
     CA Business Days 
     Toronto. 
     Global COMPASS Signals 
     As explained above, the Global COMPASS Index aims to capture the changes in the slope of swap curves. The underlying strategies are steepeners or flatteners on the slope of the six swap curves of the largest financial geographies: United States (US), Euro-area (EU), Japan (JN), United Kingdom (UK), Canada (CA), Australia (AU). 
     Following the calculation of weekly signals based on the dynamics of the different monetary policy regimes, steepener or flattener positions are implemented in the respective curves. Sub-indices for the various geographies are created. The returns of each of these sub-indices, with weights based on relative GDP figures, determine the returns of the Global COMPASS Index. 
     MP i,t    
     The Monetary Policy Indicator aims to assess the current local monetary policy regime (tightening vs. easing cycles) through the past quarter change in the Central Bank target rate—easing regimes are when there is considerable steepening of the yield curve. 
     For any Business Day, t, the Monetary Policy Signal for Currency i , MP i,t  should be equal to: 
     
       
         
           
             
               
                 
                   
                     MP 
                     
                       i 
                       , 
                       t 
                     
                   
                   = 
                     
                   ⁢ 
                   
                     
                       
                         
                           - 
                           1 
                         
                       
                       
                         
                           
                             if 
                             ⁢ 
                             
                                 
                             
                             ⁢ 
                             
                               
                                 R 
                                 i 
                               
                               ⁡ 
                               
                                 ( 
                                 t 
                                 ) 
                               
                             
                           
                           &gt; 
                           
                             
                               R 
                               i 
                             
                             ⁡ 
                             
                               ( 
                               
                                 t 
                                 - 
                                 
                                   3 
                                   ⁢ 
                                   m 
                                 
                               
                               ) 
                             
                           
                         
                       
                     
                   
                 
               
             
             
               
                 
                     
                   ⁢ 
                   
                     
                       
                         
                           + 
                           1 
                         
                       
                       
                         otherwise 
                       
                     
                   
                 
               
             
           
         
       
     
     Where: 
     R i (t) is defined as the value of the Central Bank Rate, on day t subject to adjustment with the Preceding Business Day i Convention as determined by the Calculation Agent with reference to Bloomberg Page i    
     R i (t−3m) is defined as the value of the Central Bank Rate, on a day that is 3 months prior to day t subject to adjustment with the Business Day i Convention as determined by the Calculation Agent. 
     MS i,t    
     The Monetary Policy Surprise Indicator identifies the recent surprises in monetary policy by the comparison of short rates priced in by forwards with actual realized short rates. 
     For any Business Day i  t, the Monetary Policy Surprise Signal for Currency i , MS i,t  should be equal to: 
     
       
         
           
             
               
                 
                   
                     MS 
                     
                       i 
                       , 
                       t 
                     
                   
                   = 
                     
                   ⁢ 
                   
                     - 
                     1 
                   
                 
               
               
                 
                     
                   ⁢ 
                   
                     
                       if 
                       ⁢ 
                       
                           
                       
                       ⁢ 
                       
                         
                           N 
                           
                             suprise 
                             , 
                             i 
                           
                         
                         ⁡ 
                         
                           ( 
                           t 
                           ) 
                         
                       
                     
                     &gt; 
                     0 
                   
                 
               
             
             
               
                 
                     
                   ⁢ 
                   0 
                 
               
               
                 
                     
                   ⁢ 
                   
                     
                       if 
                       ⁢ 
                       
                           
                       
                       ⁢ 
                       
                         
                           N 
                           
                             suprise 
                             , 
                             i 
                           
                         
                         ⁡ 
                         
                           ( 
                           t 
                           ) 
                         
                       
                     
                     = 
                     0 
                   
                 
               
             
             
               
                 
                     
                   ⁢ 
                   
                     + 
                     1 
                   
                 
               
               
                 
                     
                   ⁢ 
                   
                     
                       if 
                       ⁢ 
                       
                           
                       
                       ⁢ 
                       
                         
                           N 
                           
                             suprise 
                             , 
                             i 
                           
                         
                         ⁡ 
                         
                           ( 
                           t 
                           ) 
                         
                       
                     
                     &lt; 
                     0 
                   
                 
               
             
           
         
       
       
         
           
             
               P 
               
                 suprise 
                 , 
                 i 
               
             
             ⁡ 
             
               ( 
               t 
               ) 
             
           
         
       
       
         
           
             
               3 
               ⁢ 
               
                 mFwd 
                 
                   i 
                   , 
                   
                     3 
                     ⁢ 
                     m 
                   
                 
                 
                   t 
                   - 
                   
                     3 
                     ⁢ 
                     m 
                   
                 
               
             
             - 
             
               3 
               ⁢ 
               
                 mLibor 
                 i 
                 t 
               
             
           
         
       
       
         
           
             
               N 
               
                 suprise 
                 , 
                 i 
               
             
             ⁡ 
             
               ( 
               t 
               ) 
             
           
         
       
     
     For any Business Day i  t, the normalised rate change N surprise,i  (t) is defined as:
 
 N   surprise,i ( t )=( P   surprise,i ( t )−Average{ P   surprise,i ( t )}/Standard Deviation{ P   surprise,i ( t )})
 
     Where both the Average and Standard Deviation is computed from and excluding the day that is 10 years before day t subject to adjustment with the Business Day i Convention to and including such day t. 
     3mLibor i   t    
     For any Business Day i  t, the rate for deposits in Currency i  for a period of 3 months on such day t. 
     3mFwd i,3m   t-3m    
     For any Business Day, t, the 3-month forward rate for a 3-month deposit calculated by the Calculation Agent. 
     Signal i,t    
     For any Business Day i  t, Signal i,t  is defined as the average of the Local Monetary Policy Signal (MP i,t ), the US Monetary Policy Signal (MP l,t ) and the Local Monetary Policy Surprise (MS i,t ):
 
Signal i,t =⅓×( MP   i,t   +MP   l,t   +MS   i,t )
 
     
       
         
               
             
               
               
               
               
               
             
           
               
                 TABLE 11 
               
             
             
               
                   
               
               
                 Other Definitions 
               
             
          
           
               
                   
                   
                   
                   
                 Bloomberg 
               
               
                 i 
                 Currency i   
                 Business Day i   
                 Central Bank Rate: R i   
                 Page i   
               
               
                   
               
               
                 1 
                 USD 
                 New York 
                 Fed Funds Target Rate  
                 FDTR Index 
               
               
                 2 
                 EUR 
                 Target 
                 ECB Minimum Bid 
                 EURR002W 
               
               
                   
                   
                   
                 Refinancing Rate 
                 Index 
               
               
                 3 
                 JPY 
                 Tokyo 
                 BoJ Target 
                 BOJDTR Index 
               
               
                 4 
                 GBP 
                 London 
                 UK Base Rate 
                 UKBRBASE 
               
               
                   
                   
                   
                   
                 Index 
               
               
                 5 
                 CAD 
                 Toronto 
                 BoC Overnight Lending  
                 CABROVER 
               
               
                   
                   
                   
                 Rate 
                 Index 
               
               
                 6 
                 AUD 
                 Sydney 
                 RBA Cash Target Rate 
                 RBACTRD 
               
               
                   
                   
                   
                   
                 Index 
               
               
                   
               
             
          
         
       
     
     Embodiments of the present invention comprise computer components and computer-implemented steps that will be apparent to those skilled in the art. For example, calculations and communications can be performed electronically. An exemplary system is depicted in  FIG. 16 . As shown, computers  1600  communicate via network  1610  with a central server  1630 . A plurality of sources of data  1660 ,  1670  relating to, for example, trading volume data, also communicate via network  1610  with a central server  1630 , processor  1650 , and/or other component to calculate and transmit, for example, volume forecast data. The server  1630  may be coupled to one or more storage devices  1640 , one or more processors  1650 , and software  1660 . 
     Other components and combinations of components may also be used to support processing data or other calculations described herein as will be evident to those skilled in the art. Server  1630  may facilitate communication of data from a storage device  1640  to and from processor  1650 , and communications to computers  1600 . Processor  1650  may optionally include local or networked storage (not shown) which may be used to store temporary information. Software  1660  can be installed locally at a computer  1600 , processor  1650  and/or centrally supported for facilitating calculations and applications. 
     For ease of exposition, not every step or element of the present invention is described herein as part of a computer system and/or software, but those skilled in the art will recognize that each step or element may have (and typically will have) a corresponding computer system or software component. Such computer system and/or software components are therefore enabled by describing their corresponding steps or elements (that is, their functionality), and are within the scope of the present invention. 
     Moreover, where a computer system is described or claimed as having a processor for performing a particular function, it will be understood by those skilled in the art that such usage should not be interpreted to exclude systems where a single processor, for example, performs some or all of the tasks delegated to the various processors. That is, any combination of, or all of, the processors specified in the description and/or claims could be the same processor. All such combinations are within the scope of the invention. 
     Alternatively, the processing and decision steps described herein can be performed by functionally equivalent circuits such as a digital signal processor circuit or an application specific integrated circuit. The details described herein do not specify the syntax of any particular programming language, but rather provide sufficient functional information to enable one of ordinary skill in the art to perform the functions/processes in accordance with the present invention. It should be noted that many routine program elements, such as initialization of loops and variables and the use of temporary variables are not shown herein since they are already well-understood by those skilled in the art. Such elements will be nevertheless be understood to be part of corresponding embodiments by those skilled in the art. 
     It will be appreciated by those of ordinary skill in the art that unless otherwise indicated herein, the particular sequence of steps described is illustrative only and can be varied without departing from the scope of the invention. 
     The present invention has been described by way of example only, and the invention is not limited by the specific embodiments described herein. As will be recognized by those skilled in the art, improvements and modifications may be made to the invention and the illustrative embodiments described herein without departing from the scope or spirit of the invention.