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From: letkey E. tevacatianiail.com>
To: Tata Smit
Cc: Richard Kahn
Date: 09/02/201412:41 PM
Subject: Re: FX Indicative Levels {CI
322k unwind euro
On Tuesday, September 2, 2014, Tazia Smith wrote:
Classification: Confidential
Got it Jeffrey - Given time since this morning, refreshed levels here to confirm you still want to unwind
both the EURUSD risk reversal and the USDCNH put. Tightened USDCNH as much as possible with
DB FX trading:
EURUSD Spot Ref: 1.3127
<Client> sells Put, buys Call on EUR/USD in a Risk Reversal
Put Strike: 1.345
Call Strike: 1.38
Notional: EUR 10,000,000 EUR
Expiry: Mon 08-Sep-2014
Settlement: Wed 10-Sep-2014
ZoneCut: NY
Premium: USD -322,700:5,100 (-317,600) ($317,600/$328,300)
Premium Date: Thu 04-Sep-2014
Client receives $317,600 (+317,600 p/I)
Source: DB FX Pricer 9/4/14
USDCNH Spot Ref: 6.1533
Leg 2: European Option Put
<Client> sells European USD Put on USD/CNH
Strike: 6.16
Notional: USD 75,000,000
Expiry: Wed 12-Aug-2015
Settlement: Fri 14-Aug-2015
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0114092
CONFIDENTIAL SDNY_GM_00260276
EFTA01455370