Question: Explain the spread. pread =0.00% for the first two years (i.e., up to December 13 , 2008), then =Max[0.00%, previous spread +2Max(2.00% Euribor 3M set

Explain the spread.

pread =0.00% for the first two years (i.e., up to December 13 , 2008), then =Max[0.00%, previous spread +2Max(2.00% Euribor 3M set in advance; 0)+2 Max (Euribor 3M set in advance 6.00%; 0) - DigiCoupon] Where, DigiCoupon =0.50% if 2.00%

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