EFTA Document EFTA01457296

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 Strike 1. Expiry Tail ATMF 0 Offer (mid) bps I 26 Break Even 1. UR EUR EUR EUR EUR EUR 00% 1.00% 1.25% 1.25% 1.50% 1.50% 1y 2y 1y 2y 1y 2y Cisf 30y 30y 30y 30y 30y 94% 1.07% 0.94% 1.07% 0.94% 1.07% .... (23) 46 (40) 16 (14) 34 (30) 10 (8) 25 (21) 26% 1.46% 1.41% 1.59% 1.60% 1.76% Terminal Payout Chart for 1% strike CMS Caps on 30v 1.00% 0.80% • 0.60% 0.40% 0.20% 0.00% TerminalPayout (% of notional) 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: J jun SeP .701A Please note these transaction terms are indicative. Regards, Daniel Mar :015 2.3OO3 1.5 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116780 CONFIDENTIAL SDNY_GM_00262964 EFTA01457296