EFTA Document EFTA01457769

SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1680 strike Net premium: zero Thank you, Vahe From: Vahe Stepanian Sent: Monday, June 29, 2015 3:38 PM To: Jeffrey Epstein Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Jeffrey — to clarify, given Southern Financial would be long a 6m EURUSD digital put and short a 6m EURUSD digital call, if at expiry: EURUSD is below 1.0750, Southern Financial would receive 100% payout (or EUR 2mm) EURUSD is between the put and call strikes, Southern Financial would receive 0% payout EURUSD is above 1.1845, Southern Financial would pay 100% (or EUR 2mm) 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. [mailto:[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 < > 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 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 117443 CONFIDENTIAL SDNY_GM_00263627 EFTA01457769