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efta-efta01457794DOJ Data Set 10CorrespondenceEFTA Document EFTA01457794
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DOJ Data Set 10
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efta-efta01457794
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Expiry: Wed 30-Dec-2015 (6m)
Mid Premium: USD 1,351,000:-1,351,000 ($0.00)
Net premium:
zero
2) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal
Put Strike: 1.05
Call Strike: 1.155
Notional: EUR 100,000,000 EUR
Expiry: Wed 30-Dec-2015 (6m)
Mid Premium: USD 1,551,000:-1,551,000 ($0.00)
Net premium: zero
Pricing with bid/ask on each leg:
EUR/USD Spot ref = 1.1092
1) Risk Reversal with 1.04 strike put
SOFL buys European EUR Put on EUR/USD
Strike: 1.04
Notional: EUR 100,000,000
Expiry: Wed 30-Dec-2015 (6m)
Premium: $1,270,000 /
$1,415,000
SOFL sells European EUR Call on EUR/USD
Strike: 1.1615
Notional: EUR 100,000,000
Expiry: Wed 30-Dec-2015 (6m)
Premium: USD $1,324,000 / $1,440,000
2) Risk Reversal with 1.05 strike put
SOFL buys European EUR Put on EUR/USD
Strike: 1.05
Notional: EUR 100,000,000
Expiry: Wed 30-Dec-2015 (6m)
Premium: $1,490,000 / $1,615,000
SOFL sells European EUR Call on EUR/USD
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0117478
CONFIDENTIAL
SONY GM_00283882
EFTA01457794
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