EFTA Document EFTA01366066

From: Stewart Oldfield SeM: 5/4/2015 2:55:09 PM To: Paul Morris Subject: RE: DB James Malcolm: Are the Bpi shifting stance? Own some cheap optionality [C] Classification: For Internal use only Remarkably, Vahe actually copied me on that one From: Paul Morris Sent: Monday, May 04, 2015 2:55 PM To: Stewart Oldfield Subject: FW: DB James Malcolm: Are the Bo) shifting stance? Own some cheap optionality [C] [I] Classification. For internal use only Paul Morris Managing Director Deutsche Bank Private Bank Office: Cell: From: Vahe Stepanian Sent: Monday, May 04, 2015 1:44 PM To: 'Jeffrey Epstein' Cc: Paul Morris; 'Richard Kahn'; Daniel Sabba; Arlene Dwyer; Stewart Oldfield Subject: RE: DB James Malcolm: Are the Bo) shifting stance? Own some cheap optionality [C] Jeffrey- bid/ask below per your request. There was a typo in the previous email, the mid represented was not the mid on the structure but an offer on one of the legs. To clarify, we priced the structures by choosing a strike on the USD/JPY put sale, then solving for the call. Spot ref = 120.15 #1) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 118.00 Call Strike: 122.45 Notional: USD 10,000,000 USD Expiry: Thu 06-Aug-2015 (3m) As a spread: Price on the 118.00 is 103,000 / 113,000 Price on the 122.45 is 103,000 choice #2) SFLLC sells Put, buys Call on USD/JPY in a premium neutral Risk Reversal Put Strike: 117.00 Call Strike: 123.45 Notional: USD 10,000,000 USD Expiry: Thu 05-Nov-2015 (6m) Settlement: Mon 09-Nov-2015 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0057572 CONFIDENTIAL SONY GM_00203756 EFTA01366066