Confidential
Classification: Confidential
Jeffrey - please find refreshed indicative levels below per Rich's request.
Thank you,
Vahe
Selling 1.12 EUR Call/Buying 1.0675 EUR Put 6 months expiry
Spot Ref 1.0938
Leg 1: European Option Call
SOFL sells European EUR Call on EUR/USD
Strike: 1.12
Notional: EUR 100,000,000
Expiry: Tue 06-Sep-2016
Settlement: Thu 08-Sep-2016
Leg 2: European Option Put
SOFL buys European EUR Put on EUR/USD
Strike: 1.075
Notional: EUR 100,000,000
Expiry: Tue 06-Sep-2016
Settlement: Thu 08-Sep-2016
Net Premium:
SOFL Pays USD 0
Selling 1.13 Call/ Buying 1.056 EUR Put 6 month expiry
Spot Ref 1.0938
Leg 1: European Option Call
SOFL sells European EUR Call on EUR/USD
Strike: 1.13
Notional: EUR 100,000,000
Expiry: Tue 06-Sep-2016
Settlement: Thu 08-Sep-2016
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL
