3.725 Coupon 2 Investor Puts in $35 MM KCP Investor .4 B Certificate 35MM Notional @10.64% Trust buys 100mm Bond MTM posting (Recourse) Interest Rate Swap (not respired) DB Puts in $65MM $2.275mm Coupon r4 A Certificate 2 65MM Notional @ 3.5% Unwind Payoff Scenarios•• Bond Price at Unwind 1

(j) Interest Rate Swap. "Interest Rate Swap" means a transaction pursuant to which one party is required to make periodic payments of a fixed amount (or an amount calculat