From: jeffrey E. [[email protected] Sent: 6/30/2015 5:39:43 AM To: Vahe Stepanian [email protected] CC: Daniel Sabba I; Ariane Dwyer ; Paul Morris Stewart Oldfield I; Richard Kahn Subject: Re: FW: Longer Dated EUR Downside (3y structures) ICI great, how about the 6 month 105 and 104. On Mon, Jun 29, 2015 at 5:15 PM, Vahe Stepanian singinalps wrote: Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with a 1.07 strike on the put leg. Pricing is for EUR 100mm notional. 1.1250 EURUSD spot ref 3m SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1660 strike Net premium: zero 6m SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1680 strike Net premium: zero Thank you, Vahe From: Vahe Stepanian Sent: Monday, June 29, 2015 3:38 PM To: Jeffrey Epstein Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Jeffrey — to clarify, given Southern Financial would be long a 6m EURUSO digital put and short a 6m EURUSO 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) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0049539 CONFIDENTIAL SDNY_GM_00195723 EFTA01360899