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EFTA Document EFTA01457304Case File
efta-efta01457304DOJ Data Set 10CorrespondenceEFTA Document EFTA01457304
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DOJ Data Set 10
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efta-efta01457304
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00 I '01 '02 I '03
'04
05
06
'07
'08
'09
'10
joyr Bunt Yields (RI)
• 30yr Bunt Yields (LI)
• 10yr EUR Swaps (R2)
..80yr FUR Swaps (12)
'11
12 '13
'14
'15
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
EUR
EUR
EUR
EUR
EUR
Strike
1.00%
1.00%
1.25%
1.25%
1.50%
1.50%
Expiry
1y
2y
1y
2y
ty
2y
Tail
30y
30y
30y
30y
30y
30y
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. GRIM. P. 6(e)
DB-SDNY-0 116796
CONFIDENTIAL
SDNY_GM_00262980
EFTA01457304
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