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EFTA Document EFTA01462113Case File
efta-efta01462113DOJ Data Set 10CorrespondenceEFTA Document EFTA01462113
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DOJ Data Set 10
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efta-efta01462113
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Best Regards,
Tazia
From
letfrey E." cteevacationammaitcoms
To
Tabs SmittVdbidtcom@DBAMERICAS.
08/12/2O141O23 AM
Subjoct:
Re: Indicative Levels - USDCNH 1yr Options (C}
75 million notional puts at 38 basis points
On Tue, Aug 12, 2014 at 6:55 AM, Tazia Smith .,c
)_> 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 lyr Price History
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0 124493
CONFIDENTIAL
SDNY_GM_00270677
EFTA01462113
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