From: "jeffrey E." <[email protected]> To: Vahe Stepanian >, Richard Kahn -4a Subject: Re: JPY/KRO Call Spreads [C] Date: Fri, 30 Oct 2015 19:53:16 +0000 Inline-Images: image001.png and to merely by the forward? no options. just a foward .iPY On Fri, Oct 30, 2015 at 3:50 PM, Vahe Stepanian > wrote: Classification: Confidential Jeffrey — please find live pricing below per your conversation with Daniel on the JPY/KRO call spreads. Details as follows: 6m JPY/KRO Forward Ref = 9.5350 Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Thu 28-Apr-2016 (6m) Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 Notional: JPY 1,200,000,000 (or —$10mm) Expiry: Thu 28-Apr-2016 (6m) Net Premium: SOFL Pays 3.10% of JPY Notional (or —S307,947) EFTA01131678