<table><tr><th>From:</th><th>Richard Kahn &lt;r</th><th>M&gt; </th></tr><tr><td>Sent:
To:</td><td>Monday, July 11, 2016 2:00 PM
Jeffrey Epstein</td><td></td></tr><tr><td>Subject:</td><td>Fwd: Swaption Indications</td><td></td></tr></table>

Richard Kahn
HBRK Associat=s Inc.
575 Lexington Avenue, 4th Floor
New York, NY 100=2
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Begin forwarded message:

From: "Weitzman, Maria P - NEW YORK NY" <=>Date: July 8, 2016 at 2:20:15 PM EDT To: Richard Kahn =b>Cc: "Darrah, John W - NEW YORK NY" Ilard, James 5" "Graff, Guido M - N=W YORK NY" "Minsky, Julie" Subject: RE: Swaption Indications

<=div>

Rich,</=>>

## <=p>

Modeling those scenarios w=uld be difficult as there are many variables and underlying assumptions tha= would need to be considered such as volatility and skew. As such, th= trading desk is not comfortable analyzing beyond one year. I am working with the traders to provide something t= you as soon as possible, but it will likely be early next week.

<=p>

Best,</=>>

<=p>

Maria<=>>

<=p>

Maria Betzios Weitzman
Director

## <=p> (cont.)

The email is from Richard Kah, sent on July 8, 2016, at 9:48 AM, to Maria P. Weitzman. The subject is "Re: Swaption Indications." CC recipients include John W. Darrah, James S. Pollard, Guido M. Graff, and Julie Minsky.

My principal likes this trade idea and would like to s=e a graph of profits year 1 though 5 at different spot rates. Th=nk you.

Rich

Sent from my iPhone

On Jul 6, 2016, at 3:46 PM, Weitzman, Maria P - NEW YORK NY <m████████████████████████rote:</:=>

Rich,</:=>

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## <=p>

John and I were speaking e=rlier in the day and he had inquired about some indications on interest rat= payer swaptions. Below please find indicative pricing on a few i=erations of 10 year <=span>10 year payer swaptions:

<table><tr><th>10yr Reference Swa= Rate:</th><th>&amp;nb=p;</th><th>&amp;nb=p;</th><th>1.2950</th><th></th></tr><tr><td colspan="2">10yr ATMF (At the M=ney Forward Rate):</td><td>&amp;nb=p; 2.0360</td><td>=nbsp;</td><td>&amp;nbs=;</td></tr></table>

## <=p> (cont.)

<=p>

Strikes &=bsp; = &nb=p; &nbs=; &n=sp; = Upfront Cost 2.0360 (ATMF): &nb=p; &=bsp; = &n=sp; 8.60% offer (8.05% mid) 2.0410 (ATMF+50) &=bsp; =nbsp; &nbs=; &n=sp; = 6.65% offer (6.15% mid) 3.0360 (ATMF+100): = &nbs=; &n=sp; = &nb=p; 5.25% offer (4.68% mid) <=p> To cheapen up the swaptio=, the client can choose to cap the upside such as: ATMF+100/ATMF+300: =nbsp; &nbs=; &=bsp; = 3.35% (2.85% mid) <=p>

My team is responsible fo= Rates, FX and Commodities OTC derivative products, so please feel free to r=ach out to me through John with any additional thoughts or questions.

Thanks,

Maria

Maria Betzios Weitzman
Director

Merrill Lynch GWRS Market= Group

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## <=p> (cont.)

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