From: Vahe Stepanian <O> To: "Jeffrey E." <jeevacationggmail.com> CC: Daniel Sabba < , Ariane Dwyer , Paul Mon-is >, Stewart Oldfield , Richard Kahn Subject: RE: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 19:50:36 +0000 Inline-Images: image001.png Classification: Confidential Jeffrey — please find live pricing below per your conversation with Daniel on the JPY/KRO call spreads. Details as follows: 6m JPY/KRO Forward Ref = 9.5350 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: Thu 28-Apr-2016 (6m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or - $10mm) Expiry: Thu 28-Apr-2016 (6m) Net Premium: SOFL Pays 3.10% of JPY Notional (or '1307,947) 9m JPY/KRO Forward Ref = 9.5650 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 02-Aug-2016 (9m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 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 EFTA01131674 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 - $10mm) Expiry: Tue 01-Nov-2016 (1y) Net Premium: 5OFL Pays 3.52% of JPY Notional (or - $349,669) Thank you, Vahe From: Vahe Stepanian Sent: Friday, October 30, 2015 2:09 PM To: Jeffrey E. Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: JPY/KRO Call Spreads [C] Classification: Confidential Jeffrey — we spoke to trading, and given where skew and vols are, it made sense to price up call spreads on JPY/KRO. Please find below indicative pricing for 6, 9, and 12 month call spreads on JPY/KRO. Note - there is likely to be more liquidity on this currency pair during Asia market hours, and KRO is the offshore currency of KRW. JPYKRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: -1.29% of JPY Notional Net Premium: 5OFL Pays 3.53% of JPY Notional 9m EFTA01131675 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: 6.07% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: -2.20% of JPY Notional Net Premium: SOFL Pays 3.88% of JPY Notional 12m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: 7.16% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 01-Nov-2016 (1y) Premium: -3.04% of JPY Notional Net Premium: SOFL Pays 4.12% of WY Notional EFTA01131676 Dec Mar Jun 2014 I 2015 Sep • Last Price 9.4469 T High on 08/24/15 10.1240 -9- Average 9.3164 1 Low on 06/05/15 8.8458 10.2000 10.0000 9.8000 9.6000 9.4469 7.4.1JVV 9.2000 9.0000 8.8000 3PYKRW Curncy (3PY-KRW X-RATE) Daily 300CT2014-300CT2015 Capyrighal 2015 Bloomberg Finance 30-Oct-201514:04:55 Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Tel. +1 212 454-1539 Mobile +1 347 854-4676 Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. 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. EFTA01131677