EFTA01455131.pdf

To: Tazia Smith/db/dbcom@OBAMERICAS, Date: 08/12/2014 10:43 AM Subject: Re: Indicative Levels - USDCNH lyr Options [C] that does not sound right , are you sure its on 75 milion On Tue, Aug 12, 2014 at 8:41 AM, Tazia Smith <[email protected]> wrote: Classification: confidential Jeffrey -- That' done for Southern Fnl at 36.4bps (5173,000 premium) lyr USDCNH put ATMS strike (6.16) 75mm USD notional Best Regards, Tazia From: "jeffrey E." <[email protected]> To: Tazia Smith/db/dbcom@OBAMERICAS, Date: 08/12/2014 10:23 AM Subject: Re: Indicative Levels - USDCNH lyr Options [C] 75 million notional puts at 38 basis points On Tue, Aug 12, 2014 at 6:55 AM, Tazia Smith <[email protected]> wrote: Classification: Confidential Jeffrey - USDCNH Ref: spot 6.1604; Fwd 6.2723 (i.e. 101.82% of spot) ly ATMS (6.1604) USDCNH call: 1.041% / 2.215% ly ATMF (6.2723) USDCNH call: 1.041% / 1.190% ly ATMF / ATMF +3% call spread: 0.469% / 0.73% Strikes: 6.2723 /6.4605 ly ATMS (6.1604) USDCNH put: 0.256% / 0.38% ly ATMF (6.2723) USDCNH put: 1.007% / 1.154% Indicative levels, subject to market movement. Source: DB FX Pricer, 8/12/14 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 113680 CONFIDENTIAL SDNY_GM_00259864 EFTA01455131