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EFTA01457767EFTA01457769
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efta-01457768DOJ Data Set 10Other

EFTA01457768

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DOJ Data Set 10
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efta-01457768
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Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR 100mm notional. 1.1220 EURUSD spot ref 1) Expiry 6m SOFL buys vanilla EUR put struck at 1.04 SOH. sells vanilla EUR call struck at 1.1835 Net premium: zero 2) Expiry 6m 5OFL buys vanilla EUR put struck at 1.05 SOH. sells vanilla EUR call struck at 1.1790 Net premium: zero Thank you, Vahe From: Jeffrey E. [mailto:ieevacation@amail.com] Sent: Tuesday, June 30, 2015 5:40 AM To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C] great, how about the 6 month 105 and 104. On Mon, Jun 29, 2015 at 5:15 PM, Vahe Stepanian <v > wrote: Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with a 1.07 strike on the put leg. Pricing is for EUR 100mm notional. 1.1250 EURUSD spot ref 3m SOFL buys EUR put 1.07 strike SOIL sells EUR call 1.1660 strike Net premium: zero 6m CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 117442 CONFIDENTIAL SDNY_GM_00263626 EFTA01457768

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