EFTA01461682.pdf

From: (Embedded (Embedded image moved to file: pic19508.jpg) image moved [email protected], DBComAdmins@dbcom, to file: pic17321.jp 9) To: (Embedded (Embedded image moved to file: pic32442.jpg) image moved Tazia smith/db/dbcomODBAmERIcAs, Paul to file: Morris/db/dbcom@OBAMERICAS, [email protected] pic30811.jp 9) Cc: (Embedded (Embedded image moved to file: pic11234.jpg) image moved 05/20/2014 01:13 PM to file: pic30353.jp 9) Date: (Embedded (Embedded image moved to file: pic09407.jpg) image moved Jeffrey - Two 9month expiry Rupee option trades + historical to file: charts pic15457.jp 9) Subject: USDINR - 6 Month History (Embedded image moved to file: pic23679.gif) USDINR 12 Month History (Embedded image moved to file: pic26466.gif) Trade 1: 9month expiry vanilla USDINR puts Ref spot: USDINR 58.6 (Embedded image moved to file: pic25151.gif) (Embedded image moved to file: pic18762.gif) Scenario Analysis for Trade 1 Table shows value of option (as % of notional) on movement in spot, decaying with time (Embedded image moved to file: pic20148.gif) Trade 2: Buy a 9month 1% OTM Spot USDINR put and sell a 9m 15% OTM Spot USDINR call for net zero premia Put strike: 58.08, call strike: 67.58 Ref spot: USDINR 58.6 Scenario Analysis for Trade 2 Table shows net value of a long put and short call option (as % of notional) on movement in spot, decaying with time (Embedded image moved to file: pic02692.gif) Nay CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123860 CONFIDENTIAL SDNY_GM_00270044 EFTA01461682