EFTA01473806.pdf

Subject: FW: EURUSD Risk Reversal Pricing [C] From: Paul Morris e > Date: Wed, 01 Jul 2015 15:17:29 -0400 To: Vahe Stepanian e > Did u get back to him Original Message From: jeffrey E. [[email protected]] Sent: Wednesday, July 01, 2015 11:38 AM Eastern Standard Time To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Re: EURUSD Risk Reversal Pricing [C] please check your prices I have gone to three other banks and yours is the only one with a 141 price on the 104 puts, not one other house has that wide a spread. NOT ONE-- all other show the same bid On Wed, Jul 1, 2015 at 3:53 PM, Vahe Stepanian e > wrote: Classification: Confidential Jeffrey - we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. We provided levels as a spread, and with bid/asks on each leg per your request. Note that if executed as a spread, you would only cross bid/- ask once and pay mid premium on the put leg. Pricing as spread: EUR/USD Spot ref = 1.1092 1) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.0400 Call Strike: 1.1615 Notional: EUR 100,000,000 EUR EFTA01473806 Expiry: Wed 30-Dec-2015 (6m) Mid Premium: USD 1,351,000:-1,351,000 ($0.00) Net premium: zero 2) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.05 Call Strike: 1.155 Notional: EUR 100,000,000 EUR Expiry: Wed 30-Dec-2015 (6m) Mid Premium: USD 1,551,000:-1,551,000 ($0.00) Net premium: zero Pricing with bid/ask on each leg: EUR/USD Spot ref = 1.1092 1) Risk Reversal with 1.04 strike put SOFL buys European EUR Put on EUR/USD Strike: 1.04 Notional: EUR 100,000,000 Expiry: Wed 30-Dec-2015 (6m) EFTA01473807 Premium: $1,270,000 / $1,415,000 SOFL sells European EUR Call on EUR/USD Strike: 1.1615 Notional: EUR 100,000,000 Expiry: Wed 30-Dec-2015 (6m) Premium: USD $1,324,000 / $1,440,000 2) Risk Reversal with 1.05 strike put SOFL buys European EUR Put on EUR/USD Strike: 1.05 Notional: EUR 100,000,000 Expiry: Wed 30-Dec-2015 (6m) Premium: $1,490,000 / $1,615,000 SOFL sells European EUR Call on EUR/USD Strike: 1.155 Notional: EUR 100,000,000 EFTA01473808 Expiry: Wed 30-Dec-2015 (6m) Premium: USD -1,550,000 / $1,650,000 Please let us know if you wish to execute. Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Tel. +1 212 454-1539 Mobile +1 347 854-4676 Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01473809  please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA01473810