📄 Extracted Text (178 words)
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 UR 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 Cisf 30y 30y 30y 30y 30y
ATMF 0 94% 1.07% 0.94% 1.07% 0.94% 1.07%
....
Offer (mid) bps I 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 30v
1.00%
TerminalPayout (% of notional)
0.80% •
0.60%
0.40%
0.20%
0.00%
e eccreeetcsk'se e ear e oe
NI ' 1% N \
Terminal Reference Swap Rate (CMS)
Chart 2 EUR 30 swa rates and breakeven for the 1 CMS ca • struck a 1.00%
.sax.
• 30,,sr EUR Swap:
2.3OO3
1.5
J
jun SeP Mar
.701A :015
Please note these transaction terms are indicative.
Regards,
Daniel
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116780
CONFIDENTIAL SDNY_GM_00262964
EFTA01457296
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EFTA01457296
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