Case File
efta-01375553DOJ Data Set 10OtherEFTA01375553
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01375553
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
Chart 1 (time series of European rates)
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Indicative Transaction Terms:
Client buys:
CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout:
Notional * max (Terminal CMS rate — strike, 0)
Currency
EUR
[repeated 6 times]
Strike
1.00%
1.00%
1.25%
1.25%
1.50%
1.50%
Expiry
1y
2y
1y
2y
1y
2y
Tail
30y
[repeated 6 times]
ATMF
0.94%
1.07%
0.94%
1.07%
0.94%
1.07%
Offer (mid) bps
26 (23)
46 (40)
16 (14)
34 (30)
10 (8)
25 (21)
Break Even
1.26%
1.46%
1.41%
1.59%
1.60%
1.76%
Terminal Payout Chart for 1% strike CMS Caps on 30y
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Chart 2 (EUR 30y swap rates and breakeven for the 1y CMS cap struck at 1.00%,)
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0071065
CONFIDENTIAL
SDNY_GM_00217249
EFTA01375553
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