Re: FW: Longer Dated EUR Downside (3y structures) [C]

Jeffrey — to clarify, given Southern Financial would be long a 6m EURUSD digital put and short a 6m EURUSD digital call, if at expiry:

EURUSD is below 1.0750, Southern Financial would receive 100% payout (or EUR 2mm) EURUSD is between the put and call strikes, Southern Financial would receive 0% payout EURUSD is above 1.1845, Southern Financial would pay 100% (or EUR 2mm)

We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals.

Thank you,

Vahe

Classification: Confidential

Jeffrey - 6m and 1y pricing on premium neutral, digital risk reversals are below per your request. Please note these were priced with 2mm EURO payout.

1.1180 EURUSD spot ref

6m
Client buys 1.0750 digital put, European observation
Client sells 1.1845 digital call, European observation
Net premium: zero

1y

Client buys 1.0750 digital put, European observation Client sells 1.2175 digital call, European observation Net premium: zero

Compared this with vanilla risk reversals:

For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium

For ly structure: 1.0750 / 1.1630 vanilla reversal is zero net premium

CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL

DB-SDNY-0060243
SDNY_GM_00206427
EFTA01368493

what is 2 million euro payout mean