EFTA01458676

From: Sent: To: Subject: Attachments: Paul Morris 10/15/2015 5:28:12 PM jeffrey E. [[email protected] FW: Revisiting USDKRW [C] Asia FX Positing on positioning 10.12.15.pdf Classification: Confidential If you're in nyc next week I'm around, thx Paul Morris Managing Director Deutsche Bank Private Bank Office: Cell: From: Vahe Stepanian Sent: Thursday, October 15, 2015 8:11 AM To: jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Revisiting USDKRW [C] Classification: Confidential Jeffrey — revisiting USDKRW trades given the sharp move in Asian currencies this week. Per DB research (see attached), the rebound in recent days can be traced to three drivers: 1) Market re-pricing of the Fed after the weak NFP 2) A more benign view of CNY given better China reserves data, and stronger fixings 3) Stretched long USD/Asia positioning With that said, if you believe USDKRW will reverse in the near term, we've refreshed pricing below. Please let us know indicative size should you wish to trade and we will provide live pricing. All pricing is indicative for 6 month tenor For call spreads, Southern Financial (SOFL) buys low strike and sells high strike Collars are premium neutral, in which SOFL buys the call option and sells the put option (quoted as Call Strike / Put Strike ) Reverse Knock Out (RICO) call options give SOFL the option to buy USD / sell KRW at strike as long as USDKRW remains below barrier through life of trade USDKRW Spot Ref: 6m Fwd: 1140.00 1146.10 Call Spreads (near strike / far strike / premium) 1150/ 1200/ 1.50% 1170/ 1220/ 1.15% Premium Neutral Collar (call strike / put strike) 1180/ 1125 1200/ 1115 RKO Call (strike / barrier / premium) CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00264877 DB-SDNY-0118693 EFTA01458676