EFTA01457309.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) D 30yr Bund Yletds (11) IN 30yr Build VieWS al) ■ Wyr EUR Swaps (R2) • 30yr EUR swaps (t2) 00 l '01 *02 1 '03 I '04 1 *05 1 I '07 Irt) 1 '09 '10 '11I '12 I '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) Currency EUR EUR EUR EUR EUR EUR Strike 1.00% 1.00% 1.25% 1.25% 1.50% 1.50% Expiry ly 2y ty 2y ly 2y Tail 30y 30y I 30y 30y 30y 30y ATTAF 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% 1.75% Terminal Payout Chart for 1% strike CMS Caps on 30y CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 116803 CONFIDENTIAL SDNY_GM_00262987 EFTA01457309