Exhibit 12.5 illussrates the pricing of a Euro-medium-term note. Assume that an EMTN is sold on March 25, 2001, with a maturity on September 30, 2003, and with set coupon dates of June 30 and December 31. The coupon rate is \(8 \%\) but the issuc is sold to yield \(6 \%\). Calculate the price at which the nore should be sold.

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Exhibit 12.5 Structure and Pricing of a Euro-Medium-Term Note Euro-medium-term notes (EMTNs), because they are shelf registered with fixed coupon and maturity dates, result in some rather awkward valuations. For example, let us assume a EMTN is issued on November 1, 1999, in the denomination of US$1000. The note matures on June 15, 2001, with set coupon dates of May I and November I cach year. The coupon is 7.0% per annum and is paid semi annually to the bearer. Since the note is issued on November 15, 1999, and the next scheduled coupon payment is on May 1 of 200H1, the first coupon period is only 165 days and therefore the buyer will not receive the full coupon payment (only 165/180 percent of the $35.00 semi-annual coupon). The full valuation of this specific issue off-the-shelf appears as follows. Number of Days since Days as Percentage Amount of Cash Flow Date Prev. Date of 180 Days Cash Flow First coupon 1 May 2000 165 92% $ 32.08 Second coupon 1 Nov 2000 180 100% $ 35.00 Third coupon 1 May 2001 180 100% $ 35.00 Final coupon 15 June 2001 45 25% $ 8.75 Principal 15 June 2001 45 25% $1000.00