From: Vahe Stepanian

From: Vahe Stepanian To: "jeffrey E." <[email protected]>, Richard Kahn <I CC: Daniel Sabba , Ariane Dwyer , Paul Morris , Stewart Oldfield Subject: RE: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 20:29:05 +0000 Inline-Images: image001.png Classification: Confidential Jeffrey — please confirm, buy JPY 1,200,000,000, (vs. KRO) correct? This is —USD 10mm. Tenor is 9 months. Thank you, Vahe From: Jeffrey E. [[email protected]] Sent: Friday, October 30, 2015 4:25 PM To: Vahe Stepanian; Richard Kahn Subject: Re: JPY/KRO Call Spreads [C] buy 10 millino 9 month On Fri, Oct 30, 2015 at 4:17 PM, Vahe Stepanian c Classification: Confidential Jeffrey — please find live offers to buy the JPY/KRO forwards: 6m Offer = 9.5860 9m Offer = 9.6160 12m Offer = 9.6660 Initial Margin = 15% Please let us know what size you wish to execute. Thank you, Vahe > wrote: From: Jeffrey E. [mailto: eevw j Maion Sent: Friday, October 30, 2015 3:53 PM To: Vahe Stepanian; Richard Kahn Subject: Re: JPY/KRO Call Spreads [C] and to merely by the forward? no options. just a foward jPY EFTA00639096 On Fri, Oct 30, 2015 at 3:50 PM, Vahe Stepanian wrote: Classification: Confidential Jeffrey — please find live pricing below per your conversation with Daniel on the JPY/KRO call spreads. Details as follows: 6m JPY/KRO Forward Ref = 9.5350 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Thu 28-Apr-2016 (6m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Thu 28-Apr-2016 (6m) Net Premium: SOFL Pays 3.10% of JPY Notional (or —$307,947) 9m JPY/KRO Forward Ref = 9.5650 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 02-Aug-2016 (9m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 02-Aug-2016 (9m) Net Premium: SOFL Pays 3.35% of JPY Notional (or —$332,781) 12m JPY/KRO Forward Ref = 9.6050 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 01-Nov-2016 (1y) Leg 2: European Option Call EFTA00639097 SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 01-Nov-2016 (1y) Net Premium: SOFL Pays 3.52% of JPY Notional (or 4349,669) Thank you, Vahe From: Vahe Stepanlan Sent: Friday, October 30, 2015 2:09 PM To: Jeffrey E. Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: JPY/KRO Call Spreads [C] Classification: Confidential Jeffrey — we spoke to trading, and given where skew and vols are, it made sense to price up call spreads on JPY/KRO. Please find below indicative pricing for 6, 9, and 12 month call spreads on JPY/KRO. Note - there is likely to be more liquidity on this currency pair during Asia market hours, and KRO is the offshore currency of KRW. JPYICRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: -1.29% of JPY Notional Net Premium: SOFL Pays 3.53% of JPY Notional 9m Leg I: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: 6.07% of JPY Notional Leg 2: European Option Call EFTA00639098 SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: -2.20% of JPY Notional Net Premium: SOFL Pays 3.88% of JPY Notional 12m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: 7.16% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: -3.04% of JPY Notional Net Premium: SOFL Pays 4.12% of JPY Notional o• Last Price 9.4469 - T High on 08/24/15 10.1240 -9- Average 9.3164 1 Low on 06/05/15 8.8458 2014 I Dec Mar Sep JPYKRW Qrncy (JPY-KRII X-RATE) Daily 3COCT2014-3COCT2015 10.2000 10.0000 9.8000 9.6000 9.4469 9.2000 9.0000 8.8000 Jun 2015 Copyright') 2015 Bloomberg Finance 30-Oct-201514:04:55 Thank you, Vahe Vahe Stepanian EFTA00639099 Assistant Vice President I Key Client Partners rrrrrrWr Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). 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Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note EFTA00639100 The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to jeevacationg4gmail.com and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00639101