EFTA01375498.pdf

Basket performance is sum of currency performance given by USDCCY final - USDCCY initial / USDCCY final spot Payout = Max (0, Basket Performance - Strike) Strike = 0.0% for ATMS and 2.5% for 2.5% OT7v1S ATMS = At the money spot OTMS = Out of the money spot From: Vahe Stepanian Sent: Monday, August 17, 2015 10:46 AM To: 'Jeffrey E.' Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: FW: Trade ideas for shorting Asian currencies [C] Classification: Confidential Jeffrey - Pm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we thought it made sense to revisit CNH options. Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at USDCNH call spreads instead. Indicative pricing: Spot ref = 6.444 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.75 Notional: USD 50,000,000 USD Expiry: Tue 17-Nov-2015 (3m) Premium: SOFL pays 324,500 (USD 486,000:-161,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.8 Notional: USD 50,000,000 USD Expiry: Wed 17-Feb-2016 (6m) Premium: SOFL pays 428,000 (USD 794,500:-366,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes: 6.55 / 7.10 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0071000 CONFIDENTIAL SDNY_GM_00217184 EFTA01375498