EFTA01457789.pdf

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) 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 Expiry: Wed 30-Dec-2015 (6m) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0117471 CONFIDENTIAL SONY GM_00263655 EFTA01457789