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EFTA Document EFTA01361309
Title Matchefta-efta01361309
Case Filesd-10-EFTA01361309Dept. of JusticeEFTA Document EFTA01361309
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Case File
sd-10-EFTA01361309Dept. of JusticeEFTA Document EFTA01361309
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Indicative Transaction Terms: Investor buys: 5s10s USD CMS curve floors Expiry: 6 months Strike: ATMF (56bps) Notional $100mm Offer: 10bps (mid 8bps) Terminal Payout: Notional x max (Strike - terminal 5s10s spread,0) Ref. 5s10s Forward: 55 bps Source for graphs: DB Markets Research US Fixed Income Weekly, September 4 2015 and Bloomberg. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. All trade execution information contained herein is being provided as an
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Dept. of Justice
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sd-10-EFTA01361309
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