From: Richard Kahn Sent: Wednesday, July 6, 2016 8:05 PM To: Jeffrey Epstein Subject: Fwd: Swaption Indications Sent from my iPhone Begin forwarded message: From: "Weitzman, Maria P - NEW YORK N Date: July 6, 2016 at 3:46:31 PM EDT To: Cc: "Darrah, John W - NEW YORK NY" James S" , "Graff, Guido M - NEW YORK NY" Subject: Swaption Indications Rich, "Pollard, John and I were speaking earlier in the day and he had inquired about some indications on interest rate payer swaptions. Below please find indicative pricing on a few iterations of 10 year 10 year payer swaptions: 10yr Reference Swap Rate: 1.2950 10yr ATMF (At the Money Forward Rate): 2.0360 Strikes Upfront Cost 2.0360 (ATM F): 8.60% offer (8.05% mid) 2.0410 (ATM F+50) 6.65% offer (6.15% mid) 3.0360 (ATM F+100): 5.25% offer (4.68% mid) EFTA_R1_00121021 EFTA01791226