Epstein Secrets

h limited downside of premium paid. From: Daniel Sabba Sent: Wednesday, April 29, 2015 11:57 AM To: 'jeffrey E.' Cc: Paul Morris; Vahe Stepanian; Ariane Dwyer; 'Richard Kahn' Subject: Higher rates in Europe - timely [C] Importance: High Classification: Confidential This is timely given this morning's mo

ies of European rates) EFTA00858044 Rcid:[email protected] Indicative Transaction Terms: Client buys: CMS Cap on 30y EUR CMS rate, Single Look at Expiry Terminal Payout: Notional max (Terminal CMS rate— stnke, 0) Currency EUR EUR EUR EUR EUR EUR Strike 1.00% 1.00% 1.25% 1.25%

Confidential From: Daniel Sabba Sent: Wednesday, April 29, 2015 08:56 AM To: jeffrey E. <[email protected]> Cc: Paul Morris; Vahe Stepanian; Ariane Dwyer; Richard Kahn Subject: Higher rates in Europe - timely [C] Classification: Confidential This is timely given this morning's moves... EUR swap rate

ys: Expiry Terminal Payout: Currency EUR EUR EUR EUR EUR EUR Strike 1.00% 1.00% 1.25% 1.25% 1.50% 1.50% CMS Cap on 30y EUR CMS rate, Single Look at Notional * max (Terminal CMS rate — strike, 0) Expiry EFTA01400684 ly 2y ly 2y ly 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.94% 1

as, tx From: jeffrey E. [mailto:[email protected]] Sent: Thursday, April 30, 2015 05:51 AM To: Daniel Sabba Cc: Paul Morris; Vahe Stepanian; Ariane Dwyer; Richard Kahn > Subject: Re: Higher rates in Europe - timely [C] what are the interest rates today or do i need to look at the chart? On Thu, Ap

: Currency EUR EUR EUR EUR EUR EUR Strike 1.00% 1.00% 1.25% 1.25% 1.50% 1.50% Expiry ly 2y ly 2y ly CMS Cap on 30y EUR CMS rate, Single Look at Notional * max (Terminal CMS rate — strike, 0) EFTA01472961 2y Tail 30y 30y 30y 30y 30y 30y ATMF 0.94% 1.07% 0.94% 1.07% 0.94% 1

From: Daniel Sabba Sent: Thursday, April 30, 2015 05:31 AM To: Daniel Sabba; jeffrey E. <[email protected]> Cc: Paul Morris; Vahe Stepanian; Ariane Dwyer; Richard Kahn •c > Subject: RE: Higher rates in Europe - timely [C] Classification: Confidential I wanted to share some thoughts on the risk rewa

rt 1 (time series of European rates) fcid:[email protected] Indicative Transaction Terms: Client buys: CMS Cap on 30y EUR CMS rate, Single Look at EFTA01472955 Expiry Terminal Payout: Notional * max (Terminal CMS rate — strike, 0) Currency EUR EUR EUR EUR EUR EUR Strike 1.00% 1