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JPY; KRO Call Spreads [C (Vahe Stepanian, October 30, 2015)
Title Matchefta-efta01367768
Case Filesd-10-EFTA01367768Dept. of JusticeJPY; KRO Call Spreads [C (Vahe Stepanian, October 30, 2015)
October 30, 20151p
Case File
sd-10-EFTA01367768Dept. of JusticeJPY; KRO Call Spreads [C (Vahe Stepanian, October 30, 2015)
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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 SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or -$10nun) Expiry: Tue 01-Nov-2016 (1y) Net Premium: S
Date
October 30, 2015
Source
Dept. of Justice
Reference
sd-10-EFTA01367768
Pages
1
Persons
0
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