Epstein Secrets

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

reads [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

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) EFTA00631068 Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO St

From: Vahe Stepanian To: "jeffrey E." <[email protected]> CC: Daniel Sabba Morris , Ariane D Stewart Oldfield Subject: RE: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 20:17:24 +0000 Inline-Images: image001.png er , Paul , Richard Kahn Classification: Confidential Jeffr

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

preads [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

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/KR

n Classification: Confidential wrote: 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

JPY Notional (or —$332,781) 12m 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

Spreads [C] Classification: COnidendal 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