Epstein Files Search

EFTA01385977Set 10

2014-06-261p520w

maximum loss is premium the correlation between 5y and leverage) outlay lOy rates Contingent curve cap Buy 6M 5s10s ATMF curve caps subject to 10s < Front-end of the curve ... flattens 12/6/13 12/19/14 259 bp, a 57% discount to vanilla 5y remains anchored opllOn Curve caps: Buy ly single reset, ATMF Economic recovery disappoints Curve flattens 12/6/13 +21.5 by 12/19/14 ... 5s30s curve cap at 21.5 bp and curve remains steep Long-end US real rates vs long-dated Long dated real rates in the US +60 bp Further sell

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385977.pdf

EFTA01123162Set 9

2015-03-2768p30,795w

negative (Europe) but also the risk of some softer US data. This would favor curve caps and some relief steepening. Volatility should be higher in Stuart Sparks the front ... back end movements remains Quiet flatteners: sell $1bn 6M Option 5s/l0s 9.5bp OTM curve cap vs. Potential for considerable bear flattening Curve steepens. 12/19/14 buy$lbn 6M 5s/10s atmf/9.5 ... expiry Buy $1bn 6M 5s./10s ATMF/15 Deutsche Bank Securities Inc Curve flattens beyond curve cap spread vs. sell Si bn Curve steepens as the market converges Option the floor

https://www.justice.gov/epstein/files/DataSet%209/EFTA01123162.pdf

EFTA01362046Set 10

2013-12-061p442w

maximum loss is premium the correlation between 5y and leverage) outlay 10y rates Contingent curve cap: Buy 6M 5s10s Opti on ATMF curve caps subject to l0s < Front ... discount to anchored, limited sell off in l0s vanilla at 9c o ption Curve caps: Buy ly single reset, ATMF Economic recovery disappoints Curve flattens 12/6/13 +21.5 bp 12/19/14 ... 5s30s curve cap at 21.5 bp and curve remains steep Forward despots: Receive fixed on Slope of 10830s too flat given Swope B({y $115.7 1 mm y30y ly10

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362046.pdf

EFTA01365708Set 10

2014-10-071p474w

curve steepening at expiry. Purchase options on USD curve steepness (CMS SslOs ATMF curve caps) USD curve steepness close to 5 year lows: (Embedded image moved to file: pic23542.gif) Indicative ... terms: Notional USD lbn Client buys CMS curve cap on SslOs in USD Expiry 1 year CMS SslOs Strike ATMF (54.5bps) CMS SslOs Spot 71bps upfront premium offer ... investors while a steepening view can be articulated in various delta-one ways, CMS curve caps allow clients to express a steepening view with limited downside, where the maximum downside

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01365708.pdf

EFTA01409658Set 10

2014-10-145p852w

curve steepening at expiry. Purchase options on USD curve steepness (CMS 5slOs ATMF curve caps) USD curve steepness close to 5 year lows: (Embedded image moved to file: pic23542.gif) Indicative ... terms: Notional USD lbn Client buys CMS curve cap on 5slOs in USD Expiry 1 year CMS 5slOs Strike ATMF (54.5bps) CMS 5slOs Spot 71bps Upfront premium offer ... investors While a steepening view can be articulated in various delta-one ways, CMS curve caps allow clients to express a steepening view with limited downside, where the maximum downside

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01409658.pdf

EFTA01462279Set 10

2014-10-141p367w

curve steepening at expiry. Purchase options on USD curve steepness (CMS 5s10s ATMF curve caps) USD curve steepness close to 5 year lows: ISO 10, 0.'11 20 AY14 ... Indicative terms: Notional USD 1bn Client buys CMS curve cap on 5s10s in USD Expiry 1 year CMS 5s10s Strike ATMF (54.5bps) CMS 5s10s Spot 71bps Upfront premium offer ... investors • While a steepening view can be articulated in various delta-one ways, CMS curve caps allow clients to express a steepening view with limited downside, where the maximum downside

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01462279.pdf

EFTA01145686Set 9

2014-10-143p833w

curve steepening at expiry. Purchase options on USD curve steepness (CMS 5slOs ATMF curve caps) USD curve steepness close to 5 year lows ... 10/07/0, 14/47/10 10/07/11 10/07/12 10/07/13 10/07/14 Indicative terms: Notional USD 1bn Client buys CMS curve cap on 5s10s in USD Expiry 1 year CMS 5s10s Strike ATMF ... EFTA01145686 • While a steepening view can be articulated in various delta-one ways, CMS curve caps allow clients to express a steepening view with limited downside, where the maximum downside

https://www.justice.gov/epstein/files/DataSet%209/EFTA01145686.pdf

EFTA01398382Set 10

2019-01-108p1,398w

Trade Date Maturity Date Notional Revenue Iiiiiiiiiiiuthern Financial LLC Terri Sohrab NY 3M1 5Yr10YR curve cap 01/12/18 04/12/18 100000000 4000 iiiiiiiiiiruthern Financial LLC Terri Sohrab NY 2yr swap 01/12/18 01/16/20 ... Februariiiiiiiiiiiuthern Financial LLC Terri Sohrab NY Unwind 3M1 5Yr10YR curve cap 01/12/18 04/12/18 100000000 0 Februariiiiiiiiiiiruthern Financial LLC 1111111111111 Terri Sohrab NY Unwind 2yr swap 01/12/18 01/16/20 12800000 0 February ... XS1715303779) 05/10/18 05/14/18 1232550 2000 May Southern Financial LLC Terri Sohrab NY 2y 10y2y Curve Cap 0.07% strike 05/22/18 RPM May 45000000 6750 Crown Waterid e Associates, L.P. Deirdre Judge

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01398382.pdf

EFTA01388525Set 10

2018-09-251p156w

Xavier Avila; Martin Zeman ; barn Osullivan ; Stewart Oldfield ; 'Richard Kahn Subject: 2Y 2s10s Curve Cap Confirmation IC] Classification: Confidential Paul, To confirm, you unwound the two 2y10y spread caps ... open per the below: US curve cap Notional: USD 45,000,000 Expiry: May 22, 2020 Settlement: May 27, 2020 Strike: 0.07% Underlying: (10y swap — 2y swap) Premium: DB pays ... Southern Financial LLC $72,500 value September 25, 2018 US curve cap Notional: USD 45,000,000 Expiry: June 1, 2020 Settlement: June 3, 2020 Strike: 0.10% Underlying: (10y swap

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01388525.pdf

EFTA01387669Set 10

2018-06-051p193w

Kahn' CC: Xavier Avila Martin Zeman ; Liam Osullivan I; Stewart Oldfield Subject: 2Y 2sl0s Curve Cap Confirmation Paul, To confirm you bought: US curve cap Notional

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387669.pdf

EFTA01387031Set 10

2018-05-241p375w

Paul Barrett CC: Xavier Avila ; Liam 0sullivan ; Gaurang Chadha 'Richard Kahn' Subject: 2Y 2s10s Curve Cap Confirmation Paul, To confirm you bought: US curve cap Notional

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387031.pdf

EFTA01385917Set 10

2014-11-261p451w

cost expiry Buy Slbn 6M 58/10s ATMF/15 Deutsche Bank Securities Inc Curve flattens beyond curve cap spread vs. sell SIbn Curve steepens as the market converges the floor strike; 9/5/14

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385917.pdf

EFTA00811897Set 9

2018-09-307p2,380w

Southern Financial LLC • Options (DB) _IS curve cap between 2yr and 10yr swap exp 5.22-2020 5122/18 *stows sews 86,528 - 0 JS curve cap between 2yr and 10yr swap

https://www.justice.gov/epstein/files/DataSet%209/EFTA00811897.pdf

EFTA01399714Set 10

2018-01-124p757w

Xavier Avila a wrote: We have traded a USD Rates curve cap with Paul, I have not confirmed this but I think this is the first exotic rates options ever ... Management side: Counterparty Southern Financial LLC -> Summit ID = SOUTHFINANMD Client Buys 5ylOy USD Rates Curve Cap Notional USD 100mio Trade Date 12 Jan 2018 Maturity Date 12 Apr 2018 Strike

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01399714.pdf

EFTA00811866Set 9

2018-08-319p2,586w

Southern Financial LLC - Options (DB) US curve cap between 2yr and 10yr swap exp 5.22.2020 5/22/18 ONILLO) •••• aal 103500 85,435 88.528 -16,972 US curve cap between

https://www.justice.gov/epstein/files/DataSet%209/EFTA00811866.pdf

EFTA01420655Set 10

2018-01-244p943w

Date Notional Revenue Southern Financial LLC (SOUTHFINANMD) Terri Sohrab (MZ) NY ND814115M 3M1 5Yr10YR curve cap 01/12/18 04/12/18 100000000 4000 Southern Financial LLC (SOUTHFINANMD) Terri Sohrab (MZ) NY D814527N ... Southern Financial LLC (SOUTHFINANMD) Terri Sohrab (MZ) NY ND814115M Unwind 3M1 5 Yr10YR curve cap 01/12/18 04/12/18 100000000 0 Southern Financial LLC (SOUTHFINANMD) Terri Sohrab (MZ) NY D814527N Unwind

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01420655.pdf

EFTA01435603Set 10

2018-06-012p189w

Subject: 2Y 2slOs Curve Cap Confirmation From: Davide-A Sferrazza Date: Fri, 01 Jun 2018 12:11:48 -0400 To: "Paul Barrett ( Richard Kahn Cc: Xavier Avila Martin Zeman , Liam ... Osullivan Stewart Oldfield Paul, To confirm you bought: US curve cap Notional: USD 45,000,000 Expiry: June 1, 2020 Settlement: June 3, 2020 Strike: 0.10% Underlying: (10y swap

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435603.pdf

EFTA00811666Set 9

2018-01-319p3,168w

Nick - Loan repayments 25,000 x 2 50,000 DB - Bought Sy10y USD Rates Curve Cap 100,000,000 Notional (41,000) Brice Karen bonus (50,000) Paul Barrett fees ... Short 8.500.000 Exp 4/30/2018 1/25/18 1.2300 100.000 0 80,688 -19,312 Sy100.130 Rates Curve Cap 100,C00,000 Notional 1/12/18 Strike

https://www.justice.gov/epstein/files/DataSet%209/EFTA00811666.pdf

EFTA01385919Set 10

2015-03-271p565w

also the risk of some softer US data. This would Oanni Souks favor curve caps and some relief steepening. Volatility should be higher in Research Analyst the front end relative ... probably won't help you in a rangy market. This suggests carry trades and curve caps are more attractive now than before, relative to outright duration plays. Page 6 Deutsche

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385919.pdf

EFTA01385915Set 10

2014-12-191p504w

movements remains Quiet flatteners: sell $1bn 6M o ption 68/10s 9.6bp OTM curve cap vs. Potential for considerable beer flattening Curve steepens. 12/19/14 buy$1bn 6M 66/10s atmf/9.6 should

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01385915.pdf