RE: Indicative R/R on 10Y US rates (Xavier Avila, 12/7/2017)

From: Xavier Avila Sent: 12/7/2017 7:56:54 AM To: Paul Barrett Martin Zeman CC: Stewart 0ldfield Subject: RE: Indicative R/R on 10Y US rates Do you plan to cash settle the swaptions or get delivered? Vanilla swaps are between 2 and I would say 5% max on 5-10yrs, but if you cash settle in 6m it should be on the low end of this. Also, the IA for the corr swaps are 10% of notional or 10 corr points. Thanks Xavier Avila Managing Director MEM From: Paul Barrett Date: Wednesday, T