EFTA01462142.pdf

From: Tazia Smith Sent: 8/25/2014 9:20:00 AM To: CC: Vahe Stepanian I I ; Paul Morris Subject: Indicative Levels... ICI Attachments: pic05284.gif; pic05253.gif 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/1). 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 (+4249,000 p/l) <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.Sbps) Premium Date: wed 27-Aug-2014 Client receives: $186,750 (-$86,250 p/1) Source: DB FX Pricer, 8/25/14 (Embedded image moved to file: pic05284.gif) Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue, 10154-0004 New York, NY, USA Tel. Fax Mobi Email (Embedded image moved to file: pic05253.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124534 CONFIDENTIAL SDNY_GM_00270718 EFTA01462142