EFTA Document EFTA01357637

6.000w 5.000c 4.000. 4 3.000. 2.000.4 1.000• 0.000q It 10yr Bund vieWs (R1) • 30yr Butt Yie.cis ■ loyr EUR Swaps (R2) ■ 30yr EUR Swaps (L2) '00 I 101 E '02 I '031 '04 I '05 '06 I T7 I '08 '091 '10 I '11 1 '11 I '13 I '14 '15 ►6.0000 ►5.0000 ►4.0000 ►3.0000 ►2.0000 . 1.0030 ►6.0000 Indicative Transaction Terms: Client buys: CMS Cap on 30y EUR Terminal Payout: Notional max (Terminal CMS rate, Single Look at Expiry 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 ty 2y Tail 30y [repeated 6 times] ATMF 0.94% 1.07% I 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% I 1.41% 1.59% 1.60% 1.75% Terminal Payout Chart for 1% strike CMS Caps on 30y CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0044303 CONFIDENTIAL PROT1 PROT0