From: Vahe Stepanian

From: Vahe Stepanian To: "Jeffrey E." <jeevacation@gmail.com> Morris , Stewart Oldfield , Richard Kahn , Ariane Dwyer , Paul CC: Daniel Sabba Subject: FW: Trade ideas for shorting Asian currencies [C] Date: Mon, 17 Aug 2015 22:51:25 +0000 Attachments: CNY_8.14.15.pdf Classification: Confidential Jeffrey — I've included additional pricing below to short Asian currencies on the back of conversations today with Rich. Please let us know your thoughts and we can provide live pricing per your request. Pricing below is indicative and assumes $50mm notional. Thank you, Vahe USDKRW Spot Ref: 1182.80 6m USDKRW Call Spreads SOFL buys low strike and sells high strike (quoted as Low Strike / High Strike/ Premium as % of USD Notional) - 1200 / 1250/ 1.15% - 1220/ 1280/ 1.00% 6m USDKRW Premium Neutral Collars SOFL buys the USDKRW call and sells the put option (quoted as Call Strike / Put Strike) - 1220/ 1170 - 1230/ 1164 USDTWD Spot Ref: 32.35 6m USDTWD Premium Neutral Collars SOFL buys the USDTWD call and sells the put option (quoted as Call Strike / Put Strike) - 33.50 /31.90 - 34.00 / 31.70 USDSGD Spot Ref: 1.4070 6m USDSGD Premium Neutral Collars SOFL buys the USDSGD call and sells the put option (quoted as Call Strike / Put Strike) - 1.4250 / 1.4070 - 1.4500 / 1.3900 EFTA00848473 Vanilla basket call Equally-weighted basket in USDCNH and USDKRW Strike/ Premium: ATMS / 2.51% Basket cheapening to vanillas: 15% Equally -weighted basket in CNN, KRW, SGD and TWD Strike/ Premium: ATMS / 2.20% Basket cheapening to vanillas: 17% 2.5% OTMS / 1.37% 20% 2.5% OTMS/ 1.28% 25% Basket performance is sum of currency performance given by USDCCY final - USDCCY initial / USDCCY final spot Payout = Max (0, Basket Performance - Strike) Strike = 0.0% for ATMS and 2.5% for 2.5% OTMS ATMS = At the money spot OTMS = Out of the money spot From: Vahe Stepanian Sent: Monday, August 17, 2015 10:46 AM To: 'jeffrey E.' Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: FW: Trade ideas for shorting Asian currencies [C] Classification: Confidential Jeffrey - I'm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we thought it made sense to revisit CNH options. Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at USDCNH call spreads instead. Indicative pricing: Spot ref = 6.444 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.75 Notional: USD 50,000,000 USD Expiry: Tue 17-Nov-2015 (3m) Premium: SOFL pays 324,500 (USD 486,000:-161,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.8 Notional: USD 50,000,000 USD Expiry: Wed 17-Feb-2016 (6m) Premium: SOFL pays 428,000 (USD 794,500:-366,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes: 6.55 / 7.10 Notional: USD 50,000,000 USD Expiry: Wed 17-Aug-2016 (12m) Premium: SOFL pays 783,500 (USD 1,216,000:-432,500) Premium Date: Wed 19-Aug-2015 EFTA00848474 I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY. Note that the above options use CNN as underlying. Please let us know if you have thoughts. Thank you, Vahe Original Message From: Richard Kahn [mailto Sent: Monday, August 17, 2015 8:04 AM To: Daniel Sabba; Vahe Stepanian Subject: Trade ideas for shorting Asian currencies 1 Can you please send to Jeffrey and myself some trade ideas for shorting Asian currencies. Thank you. Sent from my iPhone 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. EFTA00848475