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Rio features the band members in Antony Price suits, singing and playing around on a yacht speeding over the crystal blue Caribbean Sea. Short segments show band members trying to live out their assorted daydreams, only to be teased, tormented, and made fools of by a body-painted vixen named Tula. The music video was shot over the course of three days in May 1982 on the island of Antigua. The yacht scenes were filmed on the bay at English Harbour, the beach scenes at Miller's Beach, and the bit with the raft at Shirley Heights.