EFTA Document EFTA01387225

From: Xavier Avila Sent: 12/7/2017 7:56:54 AM To: Paul Barrett Martin Zeman CC: Stewart 0ldfield Subject: RE: Indicative R/R on 10Y US rates 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 Managing Director MEM From: Paul Barrett Date: Wednesday, To: Martin Zeman < Cc: Xavier Avil , Stewart Oldfield Subject: Re: Indicative R/R on 10Y US rates What is the collateral on the short leg? Paul Barrett Alpha Group Capital LLC 142 W 57 h Street, 11.1' Floor, New York, NY 10019 On Dec 6, 2017, at 5:24 PM, Martin Zeman Paul, wrote: Here are the indicative rates options prices. I haven't marked up anything so let's talk about it. 1. 1. Client buy 6m10y 2.5 payers 10mm Client sells 6m10y 2.2 receivers 10mm 2. Offered at 0.32% (mid=0.30%) 3. (payer mid is 1.07%) 4. 5. 2. Client buys 6m10y 2.4 payers 10mm 6. Client sells 6m10y 2.2 receivers 10mm 7. Offered at 0.7075% (mid=0.6875%) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089424 CONFIDENTIAL SDNY_GM_00235608 EFTA01387225