EFTA Document EFTA01368001

From: Daniel Sabba Sent: 8/11/2015 11:33:55 AM To: 'jeffrey E.' [[email protected]] CC: Paul Morris Stewart 0ldfield Vahe StepanIan Ariane Dwyer • Tazia Smith 'Richard Kahn' Subject: USDCNH puts [Cl Attachments: Executed CNH Option 8.25.14.pdf Classification: Confidential Jeffrey — Vahe spoke to Rich this morning about the USDCNH puts which Southern Financial purchased last year. Please see below the execution email and attached the executed official confirm of the transaction. As you purchased USD puts / CNH calls, this morning's move of weaker yuan went against the direction of the USDCNH puts you own. Please let us know if you would like to discuss this matter in further details — we suggest a call to discuss. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. From To: Date: Subject: orb E • cletyacation mail cony. 08/12/2014 10 23 AM Re: Indicative Levels USDCNH 1yr Options [CI 75 million notional puts at 38 basis points On Tue, Aug 12, 2014 at 6:55 AM, Tazia Smith 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0059651 CONFIDENTIAL SDNY_GM_00205835 EFTA01368001