EFTA01382207.pdf

From: Vahe Stepanian Sent: 9/22/2015 4:16:55 PM To: jeffrey E. [[email protected]) CC: Daniel Sabba ' e Dwyer Paul Morris Stewart Oldfield Richard Kahn Subject: USDKRW ICI Classification: Confidential Jeffrey — we are following up on USDKRW per your meeting with Todd and Daniel. Please let us know indicative size should you wish to trade and we will provide live pricing. All pricing is indicative for 6 month tenor For call spreads, Southern Financial (SOFL) buys low strike and sells high strike Collars are premium neutral, in which SOFL buys the call option and sells the put option (quoted as Call Strike / Put Strike ) Reverse Knock Out (RKO) call options give SOFL the option to buy USD / sell KRW at strike as long as USDKRW remains below barrier through life of trade USDKRW Spot Ref: 1186.60 6m Fwd: 1192.10 Call Spreads (near strike / far strike / premium) 1200/ 1250/ 1.30% 1220/ 1270/ 1.05% Premium Neutral Collar (call strike / put strike) 1220/ 1177 1230/ 1170 RKO Call (strike / barrier / premium) 1200 / 1300 / 0.70% 1220/ 1280/ 0.45% USDKRW 1y historical chart CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0081477 CONFIDENTIAL SDNY_GM_00227661 EFTA01382207