EFTA01376965.pdf

From: Paul Morris Sent: 6/30/2015 1:27:27 PM To: Vahe Stepanian l; 'jeffrey E.' ([email protected] CC: Daniel Sabba .1; Ariane Dwve ; Stewart Oldfield IIIMMMIIIMIIMIIIM; 'Richard Kahn' Subject: RE: Longer Dated EUR Downside (3y structures Jeffrey are you available to talk with the team? Thx Original Message From: Vahe Stepanian Sent: Tuesday, June 30, 2015 09: I8 AM Eastern Standard Time To: jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR 100mm notional. 1.1220 EURUSD spot ref 1) Expiry 6m SOFL buys vanilla EUR put struck at 1.04 SOFL sells vanilla EUR call struck at 1.1835 Net premium: zero 2) Expiry 6m SOFL buys vanilla EUR put struck at LOS SOFL sells vanilla EUR call struck at 1.1790 Net premium: zero Thank you, Vahe From: Jeffrey E. [mailto:[email protected]] Sent: Tuesday, June 30, 2015 5:40 AM To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C] great, how about the 6 month 105 and 104. On Mon, Jun 29, 2015 at 5:15 PM, Vahe Stepanian < > wrote: Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with a 1.07 strike on the put leg. Pricing is for EUR 100mm notional. • CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073452 CONFIDENTIAL SDNY_GM_00219636 EFTA01376965