EFTA01457786.pdf

From: Paul Morris Sent: 7/1/2015 3:17:29 PM To: Vahe Stepanian Subject: FW: EURUSD Risk Reversal Pricing [CI Did u get back to him ---Original Message--- From: Jeffrey E. [jeevacation©gmail.com] Sent: Wednesday, July 01, 2015 11:38 AM Eastern Standard Time To: Vahe Stepanian Cc: Daniel Sabba; Mane Dwyer; Paul Morns; Stewart Oldfield; Richard Kahn Subject: Re: EURUSD Risk Reversal Pricing [C] please check your prices I have gone to three other banks and yours is the only one with a 141 price on the 104 puts, not one other house has that wide a spread. NOT ONE-- all other show the same bid On Wed, Jul 1, 2015 at 3:53 PM, Vahe Stepanian wrote: classification: Confidential Jeffrey - we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. We provided levels as a spread, and with bid/asks on each leg per your request. Note that if executed as a spread, you would only cross bid/ask once and pay mid premium on the put leg. Pricing as spread: EUR/USD Spot ref = 1.1092 1) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.0400 Call Strike: 1.1615 Notional: EUR 100,000,000 EUR Expiry: Wed 30-Dec-2015 (6m) Mid Premium: USD 1,351,000:-1,351,000 ($0.00) Net premium: zero 2) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.05 Call Strike: 1.155 Notional: EUR 100,000,000 EUR Expiry: Wed 30-Dec-2015 (6m) Mid Premium: USD 1,551,000:-1,551,000 ($0.00) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0117467 CONFIDENTIAL SONY GM_00263651 EFTA01457786