From: Vahe Stepanian Sent: 8/17/2015 10:46:28 AM To: jeffrey E. [email protected] CC: Daniel Sabba [ 1; Ariane Dwyer Stewart Oldfield I; Richard Kahn Subject: FW: Trade ideas for shorting Asian currencies [CI Attachments: CNY 8.14.15.pdf Classification: Confidential ; Paul Morris Jeffrey - I'm following up on Rich's email below about shorting Asian currency. Given your CNH maturity last week, we thought it made sense to revisit CNH options. Initially looked at premium neutral risk reversals, but given USD calls are nearly 4 vols over the puts, we decided to look at USDCNH call spreads instead. Indicative pricing: Spot ref = 6.444 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.75 Notional: USD 50,000,000 USD Expiry: Tue 17-Nov-2015 (3m) Premium: SOFL pays 324,500 (USD 486,000:-161,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes 6.55 / 6.8 Notional: USD 50,000,000 USD Expiry: Wed 17-Feb-2016 (6m) Premium: SOFL pays 428,000 (USD 794,500:-366,500) Premium Date: Wed 19-Aug-2015 SOFL buys Call, sells Call on USD/CNH in a Call Spread Strikes: 6.55 / 7.10 Notional: USD 50,000,000 USD Expiry: Wed 17-Aug-2016 (12m) Premium: SOFL pays 783,500 (USD 1,216,000:-432,500) Premium Date: Wed 19-Aug-2015 I've also attached a short DB Research note from Friday which details recent forecast revisions to CNY. Note that the above options use CNH as underlying. Please let us know if you have thoughts. Thank you, Vahe Original Message From: Richard Kahn Imailto Sent: Monday, August 17, 2015 8:04 AM To: Daniel Sabba; Vahe Stepanian Subject: Trade ideas for shorting Asian currencies CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0051412 CONFIDENTIAL SDNY_GM_00197596 EFTA01362105