EFTA Document EFTA01434969

Subject: RE: Indicative R/R on 10Y US rates From: Xavier Avila ‹ > Date: Thu, 07 Dec 2017 07:56:54 -0500 To: Paul Barrett Martin Zeman Cc: Stewart Oldfield 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 Mana in Director Office: Mobile: From: Paul Barret