Case File
efta-01455111DOJ Data Set 10OtherEFTA01455111
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Unknown
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DOJ Data Set 10
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efta-01455111
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75mm USD notional
Best Regards,
Tazia
From'
leffrey E." irjeevacationritomall comp.
To.
Tazia Smithldb/dlocomig0BAMERICAS:
Date'
08/12/2014 10:23AM
Subject.
Re: Indicative Levels - USDCNH lyr Options (C)
75 million notional puts at 38 basis points
On Tue, Aug 12, 2014 at 6:55 AM, Tazia Smith ‹
> wrote:
Classification: Confidential
Jeffrey -
USDCNH Ref: Spot 6.1604; Fwd 6.2723 (i.e. 101.82% of spot)
1y ATMS (6.1604) USDCNH call: 1.041% / 2.215%
1y ATMF (6.2723) USDCNH call: 1.041% / 1.190%
1y ATMF / ATMF +3% call spread: 0.469% / 0.73%
Strikes: 6.2723 /6.4605
1y ATMS (6.1604) USDCNH put: 0.256% / 0.38%
1y ATMF (6.2723) USDCNH put: 1.007% / 1.154%
Indicative levels, subject to market movement. Source: DB FX Pricer, 8/12/14
USDCNH 1 yr Price History
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0113649
CONFIDENTIAL
SDNY_GM_00259833
EFTA01455111
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