From: Vahe Stepanian Sent: 10/15/2015 8:11.13 AM To: Jeffrey E. CC: Daniel Sabba • Ariane Dwyer • Paul Morris Stewart Oldfield I I; Richard Kahn Subject: Revisiting USDKRW ICI Attachments: Asia FX Positing on positioning 10.12.15.pdf Classification: Confidential Jeffrey — revisiting USDKRW trades given the sharp move in Asian currencies this week. Per DB research (see attached), the rebound in recent days can be traced to three drivers: 1) Market re-pricing of the Fed after the weak NFP 2) A more benign view of CNY given better China reserves data, and stronger fixings 3) Stretched long USD/Asia positioning With that said, if you believe USDKRW will reverse in the near term, we've refreshed pricing below. Please let us know indicative size should you wish to trade and we will provide live pricing. All pricing is indicative for 6 month tenor For call spreads, Southern Financial (SOFL) buys low strike and sells high strike Collars are premium neutral, in which SOH. buys the call option and sells the put option (quoted as Call Strike / Put Strike ) Reverse Knock Out (RKO) call options give SOFL the option to buy USD / sell KRW at strike as long as USDKRW remains below barrier through life of trade USDKRW Spot Ref: 6m Fwd: 1140.00 1146.10 Call Spreads (near strike / far strike / premium) 1150 / 1200 / 1.50% 1170/ 1220/ 1.15% Premium Neutral Collar (call strike / put strike) 1180/ 1125 1200/ 1115 RKO Call (strike / barrier / premium) 1150/ 1250/ 0.80% 1170 / 1250 / 0.45% USDKRW ly historical chart CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0080320 CONFIDENTIAL SDNY_GM_00226504 EFTA01381382