EFTA01447325.pdf

Scenario Analysis for Trade 1 Table shows value of option (as % of notional) on movement in spot, decaying with time Spot % Spot move level 9m 6m 3m lm At exp 6 62.12 0.21 0.15 0.05 0.00 0.00 4 60.94 0.35 0.28 0.14 0.02 0.00 2 59.77 0.61 0.56 0.39 0.13 0.00 0 58.60 1.31. 1.06 0.96 0.65 0.00 -2 57.43 1.73 1.87 1.97 1.90 2.00 -4 56.26 2.71 3.04 3.42 3.72 4.00 -6 55.08 4.00 4.54 5.25 5.85 6.00 Trade 2: Buy a 9month 1% OTM Spot USDINR put and sell a 9m 15% OTM Spot USDINR call for net zero premia Put strike: 58.08, call strike: 67.58 Ref spot: USDINR 58.6 Scenario Analysis for Trade 2 Table shows net value of a long put and short call option (as % of notional) on movement in spot, decaying with time Spot % Spot move level 9m 6m 3m lm At exp 6 62.12 -1.91 -0.98 -0.23 0.00 0.00 4 60.94 -1.37 -0.59 0.09 0.00 0.00 2 59.77 -0.83 -0.19 0.16 0.06 0.00 0 58.60 0.00 0.35 0.61 0.34 0.00 -2 57.43 0.56 1.14 1.45 1.26 2.00 -4 56.26 1.58 2.24 2.74 2.89 4.00 -6 55.08 2.89 3.69 4.44 4.94 6.00 Nav Frcni Jeffrey E ' <. . I In' To Nay Gupt Vinit Sat, Taza Sntiekrta Paul Morriss?f Date 20306/201417.22 Subject. Re: Jeffrey - Rupee Appreciation - Nay can you send me a chart of where this has been over the past 6 months? thaks CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101929 CONFIDENTIAL SDNY_GM_00248113 EFTA01447325