From: Tazia Smith To: [email protected] Cc: Paul Morrisale i Nav Gupta , Vahe Stepanian Subject: Re: Indicative Levels - USDCNH lyr Options [C] Date: The, 12 Aug 2014 14:41:47 +0000 lane-Images: unnamed; unnamed(1); unnamed(2) Classification: Confidential Jeffrey — That' done for Southern Fnl at 36.4bps ($173,000 premium) 1yr USDCNH put ATMS strike (6.16) 75mm USD notional Best Regards, Tazia From: jeffrey E? leevacation@gmaitcom> To: Tazia Smithfclbidbcom@DBAMERICAS, Dale: 08/12/2014 10:23 AM Subject: Re: Indicative Levels - USDCNH 1yr Options [CI 75 million notional puts at 38 basis points On Tue, Aug 12, 2014 at 6:55 AM, Tazia Smith < > wrote: Classification: Confidential Jeffrey - USDCNH Ref: Spot 6.1604; Fwd 6.2723 (i.e. 101.82% of spot) 1y ATMS (6.1604) USDCNH call: 1.041% /2.215% 1yATMF (6.2723) USDCNH call: 1.041% / 1.190% 1yATMF /ATMF +3% call spread: 0.469% / 0.73% Strikes: 6.2723 /6.4605 EFTA01202788