EFTA01462141.pdf

From: Tazia Smith Sent: 8 25 20149:20:00 AM To: CC: Vahe Stepanian Paul Morris Subject: Indicative Levels... (CI Classification: Confidential Good Morning Rich - Note, UK is technically on holiday today. That does affect liquidity incrementally. Watching the USDJPY above 104.As you see, the valuation statement shows the triple no-touch position at client receives $26,617 (+$26,617 p/I). Will come back with refreshed pricing this morning after I put together this matrix Jeffrey requested (manual as there is no Bloomberg <OMON> screen on the currency cross) <Client> sells Put, buys Call on EUR/USD in a Risk Reversal Put Strike: 1.345 Call Strike: 1.38 Notional: EUR 10,000,000 EUR Expiry: Mon 08-Sep-2014 Settlement: Wed 10-Sep-2014 ZoneCut: NY Premium: USD -254,400:4,500 (-249,900) Premium Date: Wed 27-Aug-2014 Client receives: $249,000 (+$249,000 p/I) <Client> sells European USD Put on USD/CNH Strike: 6.16 Notional: USD 75,000,000 Expiry: Wed 12-Aug-2015 Settlement: Fri 14-Aug-2015 ZoneCut: TK Premium: USD -186,750 (24.9bps/33.5bps) Premium Date: Wed 27-Aug-2014 Client receives: $186,750 ($86,250 p/I) Source: DB FX Pricer, 8/25/14 Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 P rk Av n 154-0004 New York, NY, LISA Tel. Fax Mobile Email PlA.55;cierf/C1 Pe tfin tert. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124533 CONFIDENTIAL SDNY_GM_00270717 EFTA01462141