EFTA Document EFTA01363472

00% 30 SO, ZIAro. 20 Ors - MOO, t009s • 1 Wit • Oot tO 3 no% Historical 10y Swap Rates: 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% Al 514 0 010 4) \O* nc, foe, itt„.0-‘ +04 43.;\ +04 s cp Source: Bloomberg Mao; Payout comtitgaill OII tuissat Tito cookitimi ID) M %of Rofiere me Spot 120 Indicative Transaction Terms: Notional: USD 10mm Expiry: 1 Year Payout: SPX 90% Put subject to l0y USD CMS rate > ATMF + 40bps at expiry (ISDAFIX3) Offer: 1.00% Vanilla ref: 4.00% Ref SPc1: 2069 Ref l0y ATMF: 2.265% (this is vanilla swap forward reference) Market to market analysis and terminal payout scenarios: SPX knl at RON *taco Spei -1.0% -O 5% 00% 0.5% 1.0% 50% 60% 70% 80% 90% 100% 110% 120% 130% 140% 328% '2 27% 1,33% 3 66% 800% 565% 345% 181% 15 98% 11 56% 7 38% 4 10% 25.80% 18 95% 1244% C 7.19% ..... 3395% 2414% 1676% 986% 0 29% 13% 0.06% 004% 003% 0.02% 084% 038% 020% 0.12% 0.07% 006% 2 00% 1 00% 0 52% 0 33% 022% 0 14% ) 3.70% 1.83% 1.04% 068% 0 47% 0.32% 523% 267% 156% 101% 070% 048% The table shows the option prices for corresponding changes in the equity and rates level immediately after buying the option. For example if the SPX drops by 20% and the l0y USD CMS rate increases by 50bps immediately after the trade, the option value would move from 1.00% to 7.19%. Source: Deutsche Bank Hybrid Desk. Scenarios run with same parameters. DB research report: DB Global Markets Research believes risk assets are at a bifurcation point — their future path depends on the way the economy and stimulus unwind and interact with one another. This research report addresses this market scenario as well as the transaction (slide 22). Attached as "US Fixed Income Weekly 3.27.15.pdr CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0053484 SDNY_GM_00199668 EFTA01363472