EFTA01376966.pdf

On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepania wrote: Classification: Confidential Jeffrey - 6m and ly pricing on premium neutral, digital risk reversals are below per your request. Please note these were priced with 2mm EURO payout. 1.1180 EURUSD spot ref 6m Client buys 1.0750 digital put, European observation Client sells 1.1845 digital call, European observation Net premium: zero 1y Client buys 1.0750 digital put, European observation Client sells 1.2175 digital call, European observation Net premium: zero Compared this with vanilla risk reversals: For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium For ly structure: 1.0750 / 1.1630 vanilla reversal is zero net premium Thank you, Vahe From: Daniel Sabba Sent: Monday, June 29, 2015 12:32 PM To: 'Jeffrey E.' Subject: RE: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Looking into it. From: jeffrey E. [mailto:[email protected]] Sent: Monday, June 29, 2015 11:36 AM To: Daniel Sabba Subject: Re: Longer Dated EUR Downside (3y structures) [C] what do six month levels look like and one year On Mon, Jun 29, 2015 at 10:56 AM, Daniel Sabba wrote: CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0073454 CONFIDENTIAL SDNY_GM_00219638 EFTA01376966