Case File
efta-01386315DOJ Data Set 10OtherEFTA01386315
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Unknown
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DOJ Data Set 10
Reference
efta-01386315
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0
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CTURK 'US Curncy (TURKEY CDS USD SR SY D14) Daily 30007201»-30007 2015
Coprighte 2015 Bloomberg Finance L.P.
30-Oct-2015 10 59:43
1
• Last Price
253.332
T High on 09/29/15 327.000
-s- Average
222.237
J. Low on 12/02/14 154.000
253.332
Dec
Mar
Jun
Sep
2014
2015
2) Revisiting CNH as we know you're generally bearish Asian currencies.
Given vols and skew, indicative pricing for ly, USD/CNH 6.5 — 7.0 call spread:
Spot Ref: 6.3935 (pricing as of 10/27/15)
Leg 1: European Option Call
SOFL buys European USD Call on USD/CNH
Strike: 6.5
Notional: USD 10,000,000
Expiry: Thu 27-Oct-2016 (1y)
Premium: USD 287,100 (2.87%)
Delta: 53%
Strike vol: 6.24%
Leg 2: European Option Call
SOFL sells European USD Call on USD/CNH
Strike: 7.0
Notional: USD 10,000,000
Expiry: Thu 27-Oct-2016 (ly)
Premium: USD -127,100 (1.27%)
Delta: 24%
Strike vol: 9.15%
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0087954
CONFIDENTIAL
SDNY GM_00234138
EFTA01386315
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