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EFTA Document EFTA01375552EFTA Document EFTA01375554
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sd-10-EFTA01375553Dept. of JusticeOther

EFTA Document EFTA01375553

Chart 1 (time series of European rates) • 10O 5--ti vies (R:i • Rtfr vieks : • 100 Et& Sra0l tR.70 • ar to Saps ft:: J. 1.3,X<X, 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 EUR EUR EUR EUR EUR Strike 1.00% 1.00% 1.25% 1.25% 1.50% 1.50% Expiry 1y 2y 1y 2y 1y 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.94% 1.07% 0.94% 1.07% 0.94% 1.0

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Dept. of Justice
Reference
sd-10-EFTA01375553
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Chart 1 (time series of European rates) • 10O 5--ti vies (R:i • Rtfr vieks : • 100 Et& Sra0l tR.70 • ar to Saps ft:: J. 1.3,X<X, 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 EUR EUR EUR EUR EUR Strike 1.00% 1.00% 1.25% 1.25% 1.50% 1.50% Expiry 1y 2y 1y 2y 1y 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.94% 1.07% 0.94% 1.07% 0.94% 1.0

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Text extracted via OCR from the original document. May contain errors from the scanning process.
Chart 1 (time series of European rates) • 10O 5--ti vies (R:i • Rtfr vieks : • 100 Et& Sra0l tR.70 • ar to Saps ft:: J. 1.3,X<X, 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 Uri O .1 04:" OVA CAOS 020% CDA • 04.,c4 .04.nntn 4. „ ,Ar Terriand Rena *op Iota KW 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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