EFTA Document EFTA01457309

• 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