EFTA01457351.pdf

From: Paul Morris Sent: 5/6/2035 11:07:46 AM To: Daniel Sabba Subject: FW: DB James Malcolm: Are the Bal shifting stance? Own some cheap optionality [CI [II Classification: For interval use only Daniel, are you reviewing before going out to clients? Paul Morris Managing Director Deutsche Bank Private Bank From: jeffrey E. [mailto:jeevacation©gmail.com] Sent: Monday, May 04, 2015 10:08 AM To: Vahe Stepanian Cc: Paul Morris; Daniel Sabba; Ariane Dwyer; Richard Kahn Subject: Re: DB James Malcolm: Are the Bo) shifting stance? Own some cheap optionality..... [C] these prices seem wrong. please send me bid and ask for each put call and strike. On Mon, May 4, 2015 at 10:00 AM, Vahe Stepanian wrote: Classification: Confidential Jeffrey- please find risk reversal pricing below per your request. Spot ref = 120.15 #1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 118.00 Call Strike: 122.45 Notional: USD 10,000,000 USD Expiry: Thu 06-Aug-2015 (3m) Structure Mid: USD -113,000 #2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 117.00 Call Strike: 123.45 Notional: USD 10,000,000 USD Expiry: Thu 05-Nov-2015 (6m) Structure Mid: USD -160,000 #3) SFLLC sells Put, buys Call on USD/WY in a premium neutral Risk Reversal Put Strike: 116.00 CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116864 CONFIDENTIAL SDNY_GM_00263048 EFTA01457351