Classification: Confidential

Classification: Confidential From: Richard Kahn To: "jeffrey E." <[email protected]> Subject: Fwd: Trade ideas for shorting Asian currencies [C] Date: Mon, 17 Aug 2015 14:55:41 +0000 Attachments: CNY_8.14.15.pdf unclear why Vahe only focused on CNH only not sure if this it to plain vanilla by just shorting FXY ETF by buying puts or selling calls http://finance.yahoo.com/q/op?s=FXY&date=1452816000 please advise thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York NY 10022 tel fax cell Begin forwarded message: From: Vahe Stepanian Subject: FW: Trade ideas for shorting Asian currencies [C] Date: August 17, 2015 at 10:46:28 AM EDT To: "jeffrey E." <jeevacation mail.com> Cc: Daniel Sabba < , Ariane Dw er >. Paul Morris >, Stewart Oldfield < Richard Kahn Jeffrey - I'm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we thought it made sense to revisit CNH options. Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at USDCNH call spreads instead. Indicative pricing: Spot ref = 6.444 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.75 EFTA00848522 Notional: USD 50,000,000 USD Expiry: Tue 17-Nov-2015 (3m) Premium: SOFL pays 324,500 (USD 486,000:-161,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.8 Notional: USD 50,000,000 USD Expiry: Wed 17-Feb-2016 (6m) Premium: SOFL pays 428,000 (USD 794,500:-366,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes: 6.55 / 7.10 Notional: USD 50,000,000 USD Expiry: Wed 17-Aug-2016 (12m) Premium: SOFL pays 783,500 (USD 1,216,000:-432,500) Premium Date: Wed 19-Aug-2015 I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY. Note that the above options use CNH as underlying. Please let us know if you have thoughts. Thank you, Vahe Original Message From: Richard Kahn [mailto Sent: Monday, August 17, 2015 8:04 AM To: Daniel Sabba; Vahe Stepanian Subject: Trade ideas for shorting Asian currencies 1 Can you please send to Jeffrey and myself some trade ideas for shorting Asian currencies. Thank you. Sent from my iPhone 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. EFTA00848523