The Yield to Maturity is an estimated annualised return gross of taxation and our service fee and is calculated using the purchase price of the Note, the fixed component of the coupon and the present day (31/07/16) forecast of the Libor rates (if the underlying loan or bond floating rate) is a to the maturity date of the Note. This does not constitute a guaranteed annual return over the life of the Note.
Your actual return at any moment in time may differ from the expected rate of return if the forward Libor curve moves up or down or the interest margin changes due to an amendment of the underlying senior secured loan or bond contract or if you sell your Note at a price lower than where you purchased it.
Please be aware that the expected rate of return is a forecast only at one point in time. It is not a guaranteed return nor should it be relied upon in making an investment decision.