EFTA01447431.pdf

Spot % Spot Time to expiry move level 3m 2m lm At exp 6% 1.4427 -4.98% -4.94% -4.90% -5.15% 4% 1.4154 -3.24% -3.18% -3.21% -3.17% 2% 1.3882 -1.56% -1.50% -1.48% -1.18% 0% 1.3610 0.00% -0.02% -0.06% 0.00% -2% 1.3338 1.48% 1.40% 1.28% 0.98% -4% 1.3066 3.25% 3.18% 3.13% 3.00% -6% 1.2793 5.32% 5.30% 5.30% 5.02% CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0102060 CONFIDENTIAL SDNY_GM_00248244 EFTA01447431