EFTA01462088.pdf

From: Apurva Gupta Sent: 8/12/2014 7:47:56 AM To: Tazia Smith( CC: Nay Gupta Paul Morris ; Uzair Agee' I ;Vahe Stepanian j; Vinit Sahni Subject: Re: IC) Attachments: pic02982.gif; pic14982.gif classification: confidential Hey Tazia Following are the indicative levels on trades that Nav mentioned - from trader Ritvik Singh (for size 550mm or lesser) (Spot 6.1601; Fwd 6.2746, i.e. 101.86% of spot) ly ATMS (6.1601) put: 0.276% / 0.38% ly ATMF (6.2746) put: 1.039% / 1.174% uzair highlighted, one comment in choosing between the ATMF and ATMS puts would be that if the client picks the ATMF, although he has a larger up-front (1.174% vs 0.38%), he has a better break-even price (6.201 vs 6.137). So basically if spot goes nowhere in 1 years' time, he still ends up ITM on the trade. ly ATMF / ATMF -2% put spread: 0.792% / 0.94% strikes: 6.2704 / 6.145 Put spread costs 20.3% lesser than the vanilla ATMF put (not great) Max payout of 2.1m for premium of lm Not looking great. And if we try to bring the lower strike closer for more cheapening, the payout ratio falls below 2 1y ATMF / ATMF +3% call spread: 0.567% / 0.74% Strikes: 6.2704 / 6.4585 Call spread costs 39.2% lesser than the vanilla ATMF call Max payout of 4.1m for premium of lm (quite acceptable) Kind regards, Apurva (Embedded image moved to file: pic02982.gif) Apurva Gupta Associate I Key Client Partners Capital Markets Group Deutsche CIB Centre Private Limited Asset and wealth Management Block Bl, Nirlon Knowledge Park Goregaon (E), 400063 Mumbai, India Tel. +91 22 6181 2309 Mobile +91 9167585420 Email apurva.guptalldb.com (Embedded image moved to file: pic14982.gif) I From: ITazia Smith/db/dbcomaDBAMERICAS CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124455 CONFIDENTIAL SDNY_GM_00270639 EFTA01462088