From: Vahe Stepanian To: Jeffrey Epstein <[email protected]> , Stewart Oldfield , Richard Kahn , Ariane D er , Paul Morris CC: Daniel Sabba Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Date: Mon, 29 Jun 2015 19:38:02 +0000 Classification: Confidential Jeffrey —to clarify, given Southern Financial would be long a 6m EURUSD digital put and short a 6m EURUSD 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) We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals. Thank you, Vahe From: Jeffrey E. (mailtoleevacation@gmalLoom] Sent: Monday, June 29, 2015 3:20 PM To: Vahe Stepanian; Richard Kahn; Paul Morris Subject: Re: FW: Longer Dated EUR Downside (3y structures) IC) what is 2 million euro payout mean On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepanian < wrote: Classification: Confidential Jeffrey - 6m and 1y pricing on premium neutral, digital risk reversals are below per your request. Please note these were priced with 2mm EURO payout. 1.1180 EURUSD spot ref 6m Client buys 1.0750 digital put, European observation Client sells 1.1845 digital call, European observation Net premium: zero ly Client buys 1.0750 digital put, European observation Client sells 1.2175 digital call, European observation Net premium: zero Compared this with vanilla risk reversals: For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium For 1y structure: 1.0750 / 1.1630 vanilla reversal is zero net premium EFTA00852904