(no subject)

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

DB-SDNY-0073454
SDNY_GM_00219638
EFTA01376966

what do six month levels look like and one year

Classification: Confidential

Looking into it.

Classification: Confidential

Jeffrey - 6m and ly 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

Thank you,

Vahe