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EFTA Document EFTA01457303EFTA Document EFTA01457305
Case File
sd-10-EFTA01457304Dept. of JusticeOther

EFTA Document EFTA01457304

00 I '01 '02 I '03 '04 05 06 '07 '08 '09 '10 joyr Bunt Yields (RI) • 30yr Bunt Yields (LI) • 10yr EUR Swaps (R2) ..80yr FUR Swaps (12) '11 12 '13 '14 '15 Indicative Transaction Terms: Client buys: CMS Cap on 30y EUR Terminal Payout: Notional max (Terminal CMS rate, Single Look at Expiry 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 ty 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.

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Unknown
Source
Dept. of Justice
Reference
sd-10-EFTA01457304
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1
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Summary

00 I '01 '02 I '03 '04 05 06 '07 '08 '09 '10 joyr Bunt Yields (RI) • 30yr Bunt Yields (LI) • 10yr EUR Swaps (R2) ..80yr FUR Swaps (12) '11 12 '13 '14 '15 Indicative Transaction Terms: Client buys: CMS Cap on 30y EUR Terminal Payout: Notional max (Terminal CMS rate, Single Look at Expiry 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 ty 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.

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Text extracted via OCR from the original document. May contain errors from the scanning process.
00 I '01 '02 I '03 '04 05 06 '07 '08 '09 '10 joyr Bunt Yields (RI) • 30yr Bunt Yields (LI) • 10yr EUR Swaps (R2) ..80yr FUR Swaps (12) '11 12 '13 '14 '15 Indicative Transaction Terms: Client buys: CMS Cap on 30y EUR Terminal Payout: Notional max (Terminal CMS rate, Single Look at Expiry 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 ty 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.94% 1.07% I 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% I 1.41% 1.59% 1.60% 1.75% Terminal Payout Chart for 1% strike CMS Caps on 30y CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116796 CONFIDENTIAL SDNY_GM_00262980 EFTA01457304

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