EFTA Document EFTA01360900

We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals. Thank you, Vahe From: Jeffrey E. [[email protected]] Sent: Monday, June 29, 2015 3:20 PM To: Vahe Stepanian; Richard Kahn; Paul Morris Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C] what is 2 million euro payout mean On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepanian <[email protected]> wrote: Classification: Confidential Jeffrey - 6m and ly pricing on premium neutral, digital risk reversals are below per your request. Please note these were priced with 2mm EURO payout. 1.1180 EURUSD spot ref 6m Client buys 1.0750 digital put, European observation Client sells 1.1845 digital call, European observation Net premium: zero ly Client buys 1.0750 digital put, European observation Client sells 1.2175 digital call, European observation Net premium: zero Compared this with vanilla risk reversals: For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium For ly structure: 1.0750 / 1.1630 vanilla reversal is zero net premium Thank you, Vahe. From: Daniel Sabba Sent: Monday, June 29, 2015 12:32 PM To: 'Jeffrey E.' Subject: RE: Longer Dated EUR Downside (3y structures) [C] CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0049540 CONFIDENTIAL SDNY_GM_00195724 EFTA01360900