EFTA02458376

From: jeffrey E. <[email protected]> Sent: Friday, July 8, 2016 12:51 PM To: Richard Kahn Subject: Re: Swaption Indications ask for a graph of profits year 1 though 5 =AO different spot rates On Wed, Jul 6, 2016 at 4:05 PM, Richard Kahn wrote: =div dir="auto"> Sent from my iPhone Begin forw=rded message: man, Maria P - NEW YORK NY" <mailto: a e: u=y , at 3:46:31 PM EDT Subject: Swaption Indic=tions Rich, John and I were speaking=earlier in the day and he had inquired about some indications on interest =ate payer swaptions. Below please find indicative pricing on a few =terations of 10 year =/span>10 year payer swaptions: 10yr Reference Sw=p Rate: =C2 =AO =A0 1.2950 10yr ATMF (At the =oney Forward Rate): =C2 2.0360 =C2 =A0 EFTA_R1_01562720 EFTA02458376 Strikes =C2 =AO =C2 =AO =C2 =C2 Upfront Cost 2.0360 (ATMF): =C2 =C2 =AO =A0 8.60% offer (8.=5% mid) 2.0410 (ATMF+50) =C2 =AO =C2 =AO =A0 6.65% offer (6.15% mid) 3.0360 (ATMF+100): =AO =C2 =AO = =C2 5.25% offer (4.68% mid) To cheapen up the swapti=n, the client can choose to cap the upside such as:</=> ATMF+100/ATMF+300: 3.35% (2.85% mid) My team is responsible f=r Rates, FX and Commodities OTC derivative products, so please feel free t= reach out to me through John with any additional thoughts or questions. Thanks, Maria Maria Betzios Weitzmanq=pan> Director Merrill Lynch GWRS Marke=s Group This message, and any attachments, is for the intended recipient(s) onl=, may contain information that is privileged, confidential and/or propriet=ry and subject to important terms and conditions available at http://www.b=nkofamerica.com/emaildisclaimer. If you are not the intended recipie=t, please delete this message. 2 EFTA_R1_01562721 EFTA02458377 please note Th= information contained in this communication is confidential, may be at=orney-client privileged, may constitute inside information, and is inte=ded only for the use of the addressee. It is the property of JEE =nauthorized use, disclosure or copying of this communication or any par= thereof is strictly prohibited and may be unlawful. If you have receiv=d this communication in error, please notify us immediately by retur= e-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this communication and a=l copies thereof, including all attachments. copyright -all rights rese=ved 3 EFTA_R1_01562722 EFTA02458378