From: Vahe Stepanian To: "jeffrey E." <[email protected]> CC: Daniel Sabba , Ariane D Morris Stewart Oldfield Subject: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 18:09:00 +0000 Inline-Images: image001.png er , Paul , Richard Kahn 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 pair during Asia market hours, and KRO is the offshore currency of KRW. JPYKRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: -1.29% of JPY Notional Net Premium: 5OFL Pays 3.53% of 1PY Notional 9m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: 6.07% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 Expiry: Tue 02-Aug-2016 (9m) Premium: -2.20% of JPY Notional EFTA01131667