EFTA01457334.pdf

From: jeffrey E. [[email protected]] Sent: 5/4/2015 10:07:56 AM To: Vahe Stepanian CC: Paul Morris Sabba ); Ariane Dwye Richard Kahn Subject: Re: DB James Malcolm: Are the Sol shifting stance? Own some cheap optionality (CI these prices seem wrong. please send me bid and ask for each put call and strike. On Mon, May 4, 2015 at 10:00 AM, Vahe Stepanian < > wrote: Classification: Confidential Jeffrey- please find risk reversal pricing below per your request. Spot ref = 120.15 #1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 118.00 Call Strike: 122.45 Notional: USD 10,000,000 USD Expiry: Thu 06-Aug-2015 (3m) Structure Mid: USD -113,000 #2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 117.00 Call Strike: 123.45 Notional: USD 10,000,000 USD Expiry: Thu 05-Nov-2015 (6m) Structure Mid: USD -160,000 #3) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 116.00 Call Strike: 125.00 Notional: USD 10,000,000 USD Expiry: Thu 05-Nov-2015 (6m) Structure Mid: USD -130,000 Thank you, Vahe From: Daniel Sabba Sent: Friday, May 01, 2015 4:35 PM CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116844 CONFIDENTIAL SDNY_GM_00263028 EFTA01457334