EFTA01207563Set 9
2015-04-304p923w
themselves
for a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear payout
on the 30yr ... 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 ... 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
https://www.justice.gov/epstein/files/DataSet%209/EFTA01207563.pdf
EFTA00857856Set 9
2015-04-305p928w
themselves
for a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear payout
on the 30yr ... 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 ... European rates)
beljcid:image004.jpg@Ol D08273.86[378850
EFTA00857857
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout: Notional * max (Terminal CMS
https://www.justice.gov/epstein/files/DataSet%209/EFTA00857856.pdf
EFTA01400683Set 10
2015-04-295p476w
themselves for a rise in European rates
To articulate this view, investors can purchase CMS caps on the
30yr EUR swap rate that provides a linear payout on the 30yr ... expiries, and 1.00%, 1.25% and 1.50% strikes. In
addition, for the ly CMS cap struck at 1.00%, we have included a terminal
EFTA01400683
payout diagram and a chart showing ... time series of European rates)
fcid:image004.jpg@OlD08273.866786501
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at
Expiry
Terminal Payout: Notional * max (Terminal CMS
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01400683.pdf
EFTA01472959Set 10
2015-04-306p917w
themselves for a rise in European rates
To articulate this view, investors can purchase CMS caps on the
30yr EUR swap rate that provides a linear payout on the 30yr ... expiries, and 1.00%, 1.25% and 1.50% strikes. In
addition, for the ly CMS cap struck at 1.00%, we have included a terminal
payout diagram and a chart showing the strike ... time series of European rates)
fcid:image004.jpg@OlD08273.866786501
EFTA01472960
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at
Expiry
Terminal Payout: Notional * max (Terminal
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01472959.pdf
EFTA01421855Set 10
2015-04-295p539w
themselves for a rise in European rates
To articulate this view, investors can purchase CMS caps on the
30yr EUR swap rate that provides a linear payout on the 30yr ... expiries, and 1.00%, 1.25% and 1.50% strikes. In
addition, for the ly CMS cap struck at 1.00%, we have included a terminal
payout diagram and a chart showing the strike ... time series of European rates)
fcid:image004.jpg@OlD08273.866786501
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at
Expiry
Terminal Payout: Notional * max (Terminal CMS
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01421855.pdf
EFTA00858048Set 9
2015-04-305p970w
themselves for
a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear payout on
the 30yr ... 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 ... time series of European rates)
EFTA00858049
Rcid:image004.jpg(0101D08273.86B78B50
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout: Notional max (Terminal
https://www.justice.gov/epstein/files/DataSet%209/EFTA00858048.pdf
EFTA01472954Set 10
2015-04-305p657w
themselves for a rise in European rates
To articulate this view, investors can purchase CMS caps on the
30yr EUR swap rate that provides a linear payout on the 30yr ... expiries, and 1.00%, 1.25% and 1.50% strikes. In
addition, for the ly CMS cap struck at 1.00%, we have included a terminal
payout diagram and a chart showing the strike ... time series of European rates)
fcid:image004.jpg@OlD08273.866786501
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at
EFTA01472955
Expiry
Terminal Payout: Notional * max (Terminal
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01472954.pdf
EFTA00858199Set 9
2015-04-293p527w
themselves
for a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear payout
on the 30yr ... 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 ... time series of European rates)
EFTA00858199
Rcid:image004.jpg@01D08273.86B78650
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout: Notional max (Terminal
https://www.justice.gov/epstein/files/DataSet%209/EFTA00858199.pdf
EFTA00858044Set 9
2015-04-303p703w
themselves
for a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear payout
on the 30yr ... 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 ... time series of European rates)
EFTA00858044
Rcid:image004.jpg@01D08273.86B78650
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout: Notional max (Terminal
https://www.justice.gov/epstein/files/DataSet%209/EFTA00858044.pdf
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Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout: Notional * max (Terminal ... Break Even 1.26% 1.46% 1.41% 1.59% 1.60% 1.76%
Terminal Payout Chart for 1% strike CMS Caps on 30y
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Chart 2 (EUR 30y swap rates and breakeven for the 1y CMS cap struck at 1.00%,)
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01375553.pdf
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 ... 110I '111 1121 .13 14
Indicative Transaction Terms:
Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry
Terminal Payout: Notional max (Terminal CMS rate — strike ... LBreak Even 1.26% 1.46% 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
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01457308.pdf
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 ... 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 ... Break Even 1.26% 1.46% 1.41% 1.59% 1.60% 1.75%
Terminal Payout Chart for 1% strike CMS Caps on 30y
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01457309.pdf
EFTA01357636Set 10
2015-04-291p351w
themselves
for a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear
payout on the 30yr ... 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
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01357636.pdf
EFTA01375552Set 10
2015-04-291p403w
themselves
for a rise in European rates
• To articulate this view, investors can purchase CMS caps on the 30yr EUR swap rate that provides a linear
payout on the 30yr ... 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
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01375552.pdf