Epstein Secrets

onal: JPY 1,200,000,000 (or —$10mm) Expiry: Tue 02-Aug-2016 (9m) EFTA00666236 Net Premium: SOFL Pays 3.35% of 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 0

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

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 —S332,781) 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 0

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

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 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 0

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