From: Vahe Stepanian

From: Vahe Stepanian To: "jeffrey E." <[email protected]> CC: Daniel Sabba , Ariane D Monis Stewart Oldfield Subject: RE: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 20:39:50 +0000 Inline-Images: image001.png er , Paul , Richard Kahn Classification: Confidential Got it, we will be back with your trade report. From: Jeffrey E. [mallto:[email protected]] Sent: Friday, October 30, 2015 4:31 PM To: Vahe Stepanian Subject: Re: JPY/KRO Call Spreads [C] Yes On Fri, Oct 30, 2015 at 4:29 PM, Vahe Stepanian < Classification: Confidential wrote: Jeffrey — please confirm, buy JPY 1 200 000 000 (vs. KRO) correct? This is —USD 10mm. Tenor is 9 months. Thank you, Vahe From: Jeffrey E. [mailto:jeevacSgmail com Sent: Friday, October 30, 2015 4:25 PM To: Vahe Stepanian; Richard Kahn Subject: Re: JPY/KRO Call Spreads [C] buy 10 millino 9 month On Fri, Oct 30, 2015 at 4:17 PM, Vahe Stepanian < Classification: Confidential Jeffrey — please find live offers to buy the JPY/KRO forwards: 6m Offer = 9.5860 9m Offer = 9.6160 12m Offer = 9.6660 wrote: EFTA00666235 Initial Margin = 15% Please let us know what size you wish to execute. Thank you, Vahe From: Jeffrey E. [mailto:jeevacSgmail com Sent: Friday, October 30, 2015 3:53 PM To: Vahe Stepanian; Richard Kahn Subject: Re: JPY/KRO Call Spreads [C] and to merely by the forward? no options. just a foward jpy krw On Fri, Oct 30, 2015 at 3:50 PM, Vahe Stepanian > wrote: 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 SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) 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 —$10mm) Expiry: Thu 28-Apr-2016 (6m) Net Premium: SOFL Pays 3.10% of JPY Notional (or 4307,947) 9m JPY/KRO Forward Ref = 9.5650 Leg I: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) 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 —$10mm) Expiry: Tue 02-Aug-2016 (9m) EFTA00666236 Net Premium: SOFL Pays 3.35% of JPY Notional (or —$332,781) 12m JPY/KRO Forward Ref = 9.6050 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 01-Nov-2016 (1y) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 01-Nov-2016 (1y) Net Premium: SOFL Pays 3.52% of JPY Notional (or —$349,669) Thank you, Vahe From: Vahe Stepanlan Sent: Friday, October 30, 2015 2:09 PM To: Jeffrey E. Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: JPY/KRO Call Spreads [C] Classification: Confidential Jeffrey — we spoke to trading, and given where skew and vols are, it made sense to price up call spreads on JPY/KRO. Please find below indicative pricing for 6, 9, and 12 month call spreads on JPY/KRO. Note - there is likely to be more liquidity on this currency pair during Asia market hours, and KRO is the offshore currency of KRW. JPYICRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) EFTA00666237 Premium: -1.29% of JPY Notional Net Premium: SOFL Pays 3.53% of JPY Notional 9m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: 6.07% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: -2.20% of JPY Notional Net Premium: SOFL Pays 3.88% of JPY Notional 12m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: 7.16% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: -3.04% of JPY Notional Net Premium: SOFL Pays 4.12% of JPY Notional EFTA00666238 • Last Price 9.4469 T High on 08/24/15 10.1240 -9- Average 9.3164 .L. Low on 06/05/15 8.8458 Dec Mar Jun Sep 2014 I 2015 JPYKRM Cumcy (JPY-KRW X-RATE) Daily 300CT2014-300C12015 Copyright@ 2015 Bloomberg Finance L.P. Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Tel. +1 212 454-1539 Mobile +1 347 854-4676 Email Thank you, Vahe 9.2000 30-Oct-2015 14:04:55 All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note EFTA00666239 The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note EFTA00666240 The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to jeevacationg4gmail.com and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00666241