EFTA02446599

From: Richard Kahn < Sent: Friday, October 14, 2016 6:13 PM To: jeffrey E. Subject: Fwd: Russia i spoke with Paul Barrett and he proposed two ideas on =ussia: Ruble / USD =ut Spreads - 63.017 at 2pm Option 1 buy 63 x 70 spread which will cost 4% to make =1% - 2.75x your premium ex: 100,000,000 x 4% = =,000,000 premium max profit 4,000,000 x 2.75 =3D 11,000,000 Option 2 buy 65 x 75 =pread which will cost 4% to make 16% - 4x your premium ex: 100,000,000 x 4% = 4,000,000 premium max profit 4,000,000 x 4 = 16,000,000 Option 3 buy 70 x 80 spread which will cost 2% to make =4% - 7x your premium ex: 100,000,000 x 2% = =,000,000 premium max profit 2,000,000 x 7 = =4,000,000 RSX - at 18.44 at 2pm do a risk reversal with the following 2 levels for may =017: Option 1 buy 18 puts 1.75 sell 21 calls for .75 net cost =.00 paul =elieves that if RSX goes up 15% to 21 or so then S&P and oil will =ally and potentially your underlying equities will offset any exposure paul also asked if he =an review your equities as well and offer his advice Option 2 buy 17 puts 1.35 sell 22 calls for =60 net cost 0.75 EFTA_R1_01543176 EFTA02446599 Richard Kahn HBRK Associates Inc. 575 Lexington =venue 4th Floor New York, NY 10022 tel fax cell Begin forwarded message: From: =/b>"Ens, Amanda" Subject: =/b>Russia Date: =/b>October 14, 2016 at 10:48:29 AM =DT To: =/b>Richard Kahn Rich, For a bearish Russia =iew in the medium term (without having an ISDA), you could buy puts on =SX — VanEck Vectors Russia ETF. Russian equities are highly =orrelated to RUB (chart below). Buy a RSX vanilla put RSX 19-May 2017 expiry ATM strike =osts about - 12.4% premium Buy a RSX put spread =o:p class=""> * RSX 19-May-2017 18x12 put spread (97% = 65% strikes) costs —$1.60 or 8.9% on the 18-strike leg (3.75x max =ross payoff). You're not saving that much by spreading it, so I =refer the vanilla. We looked at pricing contingent options but liquidity is poor. If there is another market that you're also =earish, we could look to cheapen the premium with a best-of-put (eg. Best-of-put on Russia and China). =igitals and contingent options didn't price well due to =iquidity. 2 EFTA_R1_01543177 EFTA02446600 While optionality =sn't cheap, the trade looks interesting as this is not yet a =onsensus view. Our strategists and much of the Street is =onstructive RUB given a hawkish central bank, decent carry and stronger =il. Russia's central bank governor reiterated that monetary policy should be focused on =aintaining positive real rates, with equilibrium she says around 2.5-3% =n the longer term. Before achieving 4% inflation target, she says real =ates will be kept higher. Reads as hawkish and supportive for RUB in the short term, as positive real rates should support =apital flows. RUB vs MICEX =Russian equity index) Russia is -4% of EM ETFs VWO and EEM More EM =nflows: A large creation in Vanguard FTSE EM ETF (VWO) Source: Bloomberg Amanda Ens Director Bank of America Merrill =ynch Merrill Lynch, =ierce, Fenner & Smith Incorporated One Bryant Park, 5th Floor, New York, NY 10036 Phone: =obile The power =f global connections"' 3 EFTA_R1_01543178 EFTA02446601 This message, and any attachments, is for the intended =ecipient(s) only, may contain information that is privileged, =onfidential and/or proprietary and subject to important terms and =onditions available at http://www.bankofamerica.com/emaildisclaimer. If you =re not the intended recipient, please delete this message. 4 EFTA_R1_01543179 EFTA02446602