Case File
efta-01457791DOJ Data Set 10OtherEFTA01457791
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01457791
Pages
1
Persons
0
Integrity
Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
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)
Net premium: zero
Pricing with bid/ask on each leg:
EUR/USD Spot ref= 1.1092
1) Risk Reversal with 1.04 strike put
SOFL buys European EUR Put on EUR/USD
Strike: 1.04
Notional: EUR 100,000,000
Expiry: Wed 30-Dec-2015 (6m)
Premium: $1,270,000 /
$1,415,000
SOFL sells European EUR Call on EUR/USD
Strike: 1.1615
Notional: EUR 100,000,000
Expiry: Wed 30-Dec-2015 (6m)
Premium: USD $1,324,000 / $1,440,000
2) Risk Reversal with 1.05 strike put
SOFL buys European EUR Put on EUR/USD
Strike: 1.05
Notional: EUR 100,000,000
Expiry: Wed 30-Dec-2015 (6m)
Premium: $1,490,000 / $1,615,000
SOFL sells European EUR Call on EUR/USD
Strike: 1.155
Notional: EUR 100,000,000
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0117474
CONFIDENTIAL
SONY GM_00263658
EFTA01457791
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