EFTA01131667.pdf

From: Vahe Stepanian To: "jeffrey E." <[email protected]> CC: Daniel Sabba , Ariane D er , Paul Morris Stewart Oldfield , Richard Kahn Subject: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 18:09:00 +0000 Inline-Images: image001.png Classification: Confidential Jeffrey — we spoke to trading, and given where skew and vols are, it made sense to price up call spreads on JPY/KRO. Please find below indicative pricing for 6, 9, and 12 month call spreads on JPY/KRO. Note - there is likely to be more liquidity on this currency pair during Asia market hours, and KRO is the offshore currency of KRW. JPYKRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: -1.29% of JPY Notional Net Premium: 5OFL Pays 3.53% of 1PY Notional 9m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: 6.07% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: -2.20% of JPY Notional EFTA01131667 Net Premium: SOFL Pays 3.88% of JPY Notional 12m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: 7.16% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: -3.04% of JPY Notional Net Premium: SOFL Pays 4.12% of JPY Notional 10.2000 1 • Last Price 9.4469 T High on 08/24/15 10.1240 10.0000 -9- Average 9.3164 1.. Low on 06/05/15 8.8458 9.8000 9.6000 9.4469 7.41.Ut/ 9.2000 9.0000 8.8000 Dec Mar Jun Sep 2014 2015 JPYKIIM Comcy (JPY-KRM X-RATE) Daily 3COCT2014-3COCT2015 O:opting 2015 Bloomberg Finance 30-Oct-2015 14.04.55 Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email EFTA01131668 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. EFTA01131669