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Where did the expected LIBOR rates come from?. Appendix B Exhibit 3: Date Day Expected LIBOR Floor payments PV 2-Jan-09 90 2.79% 2-Apr-09 181 2.23%

Where did the expected LIBOR rates come from?. Appendix B Exhibit 3: Date Day Expected LIBOR Floor payments PV 2-Jan-09 90 2.79% 2-Apr-09 181 2.23% 2-Jul-09 273 1.67% 1.8305 1.8077 2-Oct-09 365 1.11% ...

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