- From: [redacted email]
- Sent: Friday, July 8, 2016 12:51 PM
- To: [redacted]
- Subject: Re: Swaption Indications

Key text (verbatim / encoding artifacts preserved):
- "ask for a graph of profits year 1 though 5 =A0 different spot rates"
- "On Wed, Jul 6, 2016 at 4:05 PM, [redacted] wrote:"
- "=div dir=\"auto\">"
- "Sent from my iPhone"
- "Begin forw=rded message:"

Forwarded message snippets:
- "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:"

Pricing lines:
- "10yr Reference Sw=p Rate: =C2 =A0 =A0 1.2950"
- "10yr ATMF (At the =oney Forward Rate): =C2 2.0360 =C2 =A0"

Notes:
- Large portions of the message (names/lines) are redacted (black bars).

Strikes: 2.0360 (ATMF): 2.0410 (ATMF+50): 3.0360 (ATMF+100):
=C2: =C2 =C2
=A0: =A0 =A0
=C2: =C2 =C2
=A0: =A0 =A0
=C2: =C2 =C2
Upfront Cost: 8.60% offer (8.=5% mid): 6.65% offer (6.15% mid): 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 Weitzman</=pan>
Director

Merrill Lynch GWRS Marke=s Group

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