EFTA02457528.pdf

James 5" Subject: RE: Swaption Indications <=div> Rich </_> <=p> From: Richard Kahn <r Sent: Monday, July 11, 2016 2:00 PM To: Jeffrey Epstein Subject: Fwd: Swaption Indications Richard Kahn HBRK Associat=s Inc. 575 Lexington Avenue, 4th Floor New York, NY 100=2 Begin forwarded message: From: "Weitzman, Maria P - NEW YORK NY" <=>Date: July 8, 2016 at 2:20:15 PM EDT To: Richard Kahn =b>Cc: "Darrah, John W - NEW YORK NY" Ilard, "Graff, Guido M - N=W YORK NY" "Minsky, Julie" M> Modeling those scenarios w=uld be difficult as there are many variables and underlying assumptions tha= would need to be considered such as volatility and skew. As such, th= trading desk is not comfortable analyzing beyond one year. I am working with the traders to provide something t= you as soon as possible, but it will likely be early next week. <=p> Best,</=> <=p> Maria</=> <=p> Maria Betzios Weitzman Director EFTA_R1_01561389 EFTA02457528 Merrill Lynch GWRS Market= Group <=p> <=p> From: Richard Kah= Sent: Friday, July 08, 2016 9:48 AM To: Weitzman, Maria P - NEW YORK NY Cc: Darrah, John W • NEW YORK NY; Pollard, James 5; Graff, Guido M - N=W YORK NY; Minsky, Julie Subject: Re: Swaption Indications My principal likes this trade idea and would like to s=e a graph of profits year 1 though 5 at different spot rates. Th=nk you. Rich Sent from my iPhone On Jul 6, 2016, at 3:46 PM, Weitzman, Maria P - NEW YORK NY Cfrate:</=> Rich,</=> <=p> John and I were speaking e=rlier in the day and he had inquired about some indications on interest rat= payer swaptions. Below please find indicative pricing on a few i=erations of 10 year <=span>10 year payer swaptions: 10yr Reference Swa= Rate: &nb=p; &nb=p; 1.2950 10yr ATMF (At the M=ney Forward Rate): &nb=p; 2.0360 =nbsp; &nbs=; 2 EFTA_R1_01561390 EFTA02457529 <=p> Strikes &=bsp; = &nb=p; &nbs=; &n=sp; = Upfront Cost 2.0360 (ATM F): &nb=p; &=bsp; = &n=sp; 8.60% offer (8.05% mid) 2.0410 (ATMF+50) &=bsp; =nbsp; &nbs=; &n=sp; = 6.65% offer (6.15% mid) 3.0360 (ATMF+100): = &nbs=; &n=sp; = &nb=p; 5.25% offer (4.68% mid) <=p> To cheapen up the swaptio=, the client can choose to cap the upside such as: ATMF+100/ATMF+300: =nbsp; &nbs=; &=bsp; = 3.35% (2.85% mid) <=p> My team is responsible fo= Rates, FX and Commodities OTC derivative products, so please feel free to r=ach out to me through John with any additional thoughts or questions. Thanks, Maria Maria Betzios Weitzman Director Merrill Lynch GWRS Market= Group This message, and any attachments, is f=r the intended recipient(s) only, may contain information that is privilege=, confidential and/or proprietary and subject to important terms and conditions available at http://www.bankofamerica.com/emaildisclaimer <http://www.bankofamerica.com/e=aildisclaimer> . If you are not the intende= recipient, please delete this message. 3 EFTA_R1_01561391 EFTA02457530 This message, and any attachments, is for the intended recipient(s) only= may contain information that is privileged, confidential and/or proprietar= and subject to important terms and conditions available at http://www.bankofamerica.com/email=isclaimer. If you are not the intended recipient, please delete this m=ssage. 4 EFTA_R1_01561392 EFTA02457531