<table><tr><th>From:</th><th>Richard Kahn &lt;</th></tr><tr><td>Sent:</td><td>Friday, October 14, 2016 6:13 PM</td></tr><tr><td>To:</td><td>jeffrey E.</td></tr><tr><td>Subject:</td><td>Fwd: Russia</td></tr></table>

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

## Option 2 (cont.)

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.

## Option 2 (cont.)

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"'

## Option 2 (cont.)

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