EFTA01457308.pdf

• In the below table we have included indicative pricing (as of 4/28 close) for 1 and 2yr expiries, and 1.00%, 1.25% and 1.50% strikes. In addition, for the 1y CMS cap struck at 1.00%. we have included a terminal payout diagram and a chart showing the strike and breakeven level on the 30yr EUR Swap 1 year chart (Chart 2) Chart 1 (time series of European rates) ED 10yr Bund Yields (R1) • 30yr Bur4 Yields (L1) • 10yr Bill Swaps (R2) • 30yr an Swaps (12) 001 101 '021 4031•041 .051'061 '07 '081 1991 110I '111 1121 .13 14 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) i Currency EUR EUR EUR EUR I EUR EUR ...4 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 i 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) LBreak Even 1.26% 1.46% 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 116800 CONFIDENTIAL SDNY_GM_00262984 EFTA01457308