EFTA01359469.pdf

From: Vahe Stepanian Sent: 10/30/2015 3:50:36 PM To: jeffrey E. [jeeyacation@ mail corn CC: Daniel Sabba • Ariane Dwyer • Paul Morris Stewart Oldfield I; Richard Kahn Subject: RE: JPY/KRO Call Spreads ICI Classification: Confidential Jeffrey — please find live pricing below per your conversation with Daniel on the JPY/KRO call spreads. Details as follows: 6m JPY/KRO Forward Ref = 9.5350 Leg 1: European Option Call SOIL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or - 510mm) Expiry: Thu 28-Apr-2016 (6m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or - 510mm) Expiry: Thu 28-Apr-2016 (6m) Net Premium: SOFL Pays 3.10% of JPY Notional (or - 5307,947) 9m JPY/KRO Forward Ref = 9.5650 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or - 510mm) Expiry: Tue 02-Aug-2016 (9m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or - 510mm) Expiry: Tue 02-Aug-2016 (9m) Net Premium: SOIL Pays 3.35% of JPY Notional (or - 5332,781) 12m JPY/KRO Forward Ref = 9.6050 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0047551 CONFIDENTIAL SDNY_GM_00193735 EFTA01359469