📄 Extracted Text (505 words)
From: Richard Kahn <r M>
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,
James 5" "Graff, Guido M - N=W YORK NY"
"Minsky, Julie"
Subject: RE: Swaption Indications
<=div>
Rich</_>
<=p>
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=;
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<=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
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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.
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ℹ️ Document Details
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615214647049a62d683e89db04d3bb3eb5d284d5cf5673fe6aa34130064bdff0
Bates Number
EFTA02457528
Dataset
DataSet-11
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4