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