EFTA01791226.pdf

From: Richard Kahn Sent: Wednesday, July 6, 2016 8:05 PM To: Jeffrey Epstein Subject: Fwd: Swaption Indications Sent from my iPhone Begin forwarded message: From: "Weitzman, Maria P - NEW YORK N Date: July 6, 2016 at 3:46:31 PM EDT To: Cc: "Darrah, John W - NEW YORK NY" "Pollard, James S" , "Graff, Guido M - NEW YORK NY" Subject: Swaption Indications Rich, John and I were speaking earlier in the day and he had inquired about some indications on interest rate payer swaptions. Below please find indicative pricing on a few iterations of 10 year 10 year payer swaptions: 10yr Reference Swap Rate: 1.2950 10yr ATMF (At the Money Forward Rate): 2.0360 Strikes Upfront Cost 2.0360 (ATM F): 8.60% offer (8.05% mid) 2.0410 (ATMF+50) 6.65% offer (6.15% mid) 3.0360 (ATMF+100): 5.25% offer (4.68% mid) EFTA_R1_00121021 EFTA01791226  To cheapen up the swaption, the client can choose to cap the upside such as: ATMF+100/ATMF+300: 3.35% (2.85% mid) My team is responsible for Rates, FX and Commodities OTC derivative products, so please feel free to reach out to me through John with any additional thoughts or questions. Thanks, Maria Maria Betzios Weitzman Director Merrill Lynch GWRS Markets Group This message, and any attachments, is for the intended recipient(s) only, may contain information that is privileged, confidential and/or proprietary and subject to important terms and conditions available at http://www.bankofamerica.com/emaildisclaimer. If you are not the intended recipient, please delete this message. 2 EFTA_R1_00121022 EFTA01791227