EFTA01462128.pdf

From: Tazia Smit Sent: 8/15/2014 10:20:08 AM To: 'eevacation@ mail.com CC: aul Morris I; Nay Gupta Vahe Stepanian Matt Glassman Subject: EURUSD 1.345:1.38 risk reversal - matures Attachments: pic01939.gif; pic20318.gif; pic09413.gif; pic28647.gif Classification: Confidential Good Morning Jeffrey - Keeping on your radar that your EURUSD 1.345:1.38 risk reversal matures in 3 weeks (9/8/14). Incremental upside on your current position may be asymmetric to the risk of a bounce, eating into your gains on your in-the-money position. Spot's rallying a bit this morning (3-day chart below), but on a reversion back toward 1.336 spot, consider taking gains. Perhaps roll into a new 3mo structure if your view remains that there is extended downside to EURUSD. Current indicative levels on your current position below, along with current levels on a new 3mo risk reversal: EURUSD Spot Ref 1.3394 Current: <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 -89,300:4,200 (-85,100) Premium Date: Tue 19-Aug-2014 Client Receives 585,100 3-Month Risk Reversal: <Client> buys Put, sells Call on EUR/USD in a Risk Reversal Put strike: 1.32 Call Strike: 1.3547 Notional: EUR 10,000,000 EUR Expiry: Mon 17-Nov-2014 Settlement: Wed 19-Nov-2014 ZoneCut: NY Premium: USD 74,100:-74,100 (-0) Premium Date: Tue 19-Aug-2014 Client Receives/Pays: SO Indicative Levels. Subject to market movement. Source: DB FX Pricer, 8/15/14. EURUSD 3-day Price History (Embedded image moved to file: pic01939.gif) EURUSD 12mo Price History (Embedded image moved to file: pic20318.gif) Used with permission of Bloomberg Finance LP (Embedded image moved to file: pic09413.gif) Tazia Smith Director I Key Client Partners - US CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0124515 CONFIDENTIAL SDNY_GM_00270699 EFTA01462128