EFTA Document EFTA01363737

Southern Financial buys Put, sells Call on EURUSD in a Risk Reversal Put Strike: 1.2450 Call strike: 1.4600 Notional: EUR 50,000,000 Expiry: Thu 14-Nov-2019 (5y) Settlement: Mon 18-Nov-2019 ZoneCut: NV Premium Date: Mon 17-Nov-2014 Put Premium offer: USD 2,928,000 (mid would be USD 2,878,000) Call Premium Bid: (USD 2,946,500) (mid would be USD 2,996,500) Net Premium: southern Financial Receives USD 18,500 (mid for the structure would be for SF to receive USD 118,500) Please advise on how to proceed. Daniel From: "Jeffrey E." <[email protected]> TO: Daniel Sabba/db/dbcomODBAMERICAS, Date: 11/13/2014 03:15 PM Subject: Re: Follow-up on EUR hedging discussion [C] in the long put at 124 short call at 146 etc On Thu, Nov 13, 2014 at 4:08 PM, Daniel sabba > wrote: Classification: Confidential Could you please specify which structure/size in particular? Thank you, Daniel From: "jeffrey E." [[email protected]] sent: 11/13/2014 04:05 PM AST To: Daniel sabba subject: Re: Follow-up on EUR hedging discussion [C] prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel sabba < > wrote: Classification: Confidential Classification: Strictly Confidential Jeffrey, I met with the head of FX trading of our investment bank to discuss the EUR hedging question you posed. To build a multi-billion short, a solution would be to implement a combination of spot, forward and options transactions over the course of several trading days/weeks. We propose discussing an execution plan in case you would like to pursue that route. we wanted to share with you the following parameters, which are indications for a EUR lbn short delta executed live in a typical trading day. Indication Considerations: - Spot ref 1.2450/1.2451 - a live execution of EUR lbn spot could indicatively be done 20pips below screen bid at 1.2430 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0053955 CONFIDENTIAL SDNY_GM_00200139 EFTA01363737