From: Daniel Sabba
Sent: 8/11/2015 11:33:55 AM
To: 'jeffrey E.' [jeevacation@gmail.corn]
CC: Paul Morris Stewart 0ldfield Vahe StepanIan
Ariane Dwyer • Tazia Smith 'Richard
Kahn'
Subject: USDCNH puts [Cl
Attachments: Executed CNH Option 8.25.14.pdf
Classification: Confidential
Jeffrey — Vahe spoke to Rich this morning about the USDCNH puts which Southern Financial purchased last year. Please
see below the execution email and attached the executed official confirm of the transaction. As you purchased USD puts
/ CNH calls, this morning's move of weaker yuan went against the direction of the USDCNH puts you own.
Please let us know if you would like to discuss this matter in further details — we suggest a call to discuss.
Best regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
From orb E • cletyacation mail cony.
To:
Date: 08/12/2014 10 23 AM
Subject: Re: Indicative Levels USDCNH 1yr Options [CI
75 million notional puts at 38 basis points
On Tue, Aug 12, 2014 at 6:55 AM, Tazia Smith wrote:
Classification: Confidential
Jeffrey -
USDCNH Ref: Spot 6.1604; Fwd 6.2723 (i.e. 101.82% of spot)
1y ATMS (6.1604) USDCNH call: 1.041% / 2.215%
1y ATMF (6.2723) USDCNH call: 1.041% / 1.190%
1y ATMF / ATMF +3% call spread: 0.469% / 0.73%
Strikes: 6.2723 /6.4605
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0059651
CONFIDENTIAL SDNY_GM_00205835
EFTA01368001