EFTA01455111.pdf

75mm USD notional Best Regards, Tazia From' leffrey E." irjeevacationritomall comp. To. Tazia Smithldb/dlocomig0BAMERICAS: Date' 08/12/2014 10:23AM 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 ‹ > wrote: Classification: Confidential Jeffrey - USDCNH Ref: Spot 6.1604; Fwd 6.2723 (i.e. 101.82% of spot) 1y ATMS (6.1604) USDCNH call: 1.041% / 2.215% 1y ATMF (6.2723) USDCNH call: 1.041% / 1.190% 1y ATMF / ATMF +3% call spread: 0.469% / 0.73% Strikes: 6.2723 /6.4605 1y ATMS (6.1604) USDCNH put: 0.256% / 0.38% 1y ATMF (6.2723) USDCNH put: 1.007% / 1.154% Indicative levels, subject to market movement. Source: DB FX Pricer, 8/12/14 USDCNH 1yr Price History CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0113649 CONFIDENTIAL SDNY_GM_00259833 EFTA01455111