From: Tazia Smith Sent: 8/12/2014 8:06:15 AM To: ApurvaGu•ta CC: Nay Gupta ); Paul Morris • it Aqeel [a; Vahe Stepanian Vinit Sahni Subject: Re: ICI Attachments: pic03093.gif; pic13608.gif Classification: Confidential Thanks Apurva - those levels are in line w what I priced last night. Nam was right in that despite Jeffrey's request for a renminbi call at —40bps , which is inline with a ustvomic ATMS offer and implies he has a view that renminbi could strengthen further vs the dollar, he came back wanting a USDCNH call, which, as we know more expensive from an upfront premium perspective. will show atms, atmf and your call spread. Thanks! be back Tazia Tazia smith Director Key Client Partners - US Deutsche Sank Securities, Inc. Deutsche Asset & wealth Management 345 Park Avenue - 26th Floor New York, NY 10154 Tel: (212) 454-2889 Mobile: (917) 318-4852 Fax: (646) 257-3131 E-mail: Original Message From: Apurva Gupta Sent: 08/12/2014 12:47 PM GDT To: Tazia smith Cc: Nav Gupta; Paul Morris; uzair Ageel; Vahe Stepanian; Vinit Sahni subject: Re: (c] classification: confidential Hey Tazia Following are the indicative levels on trades that Nay mentioned - from trader Ritvik singh (for size 550mm or lesser) (spot 6.1601; Fwd 6.2746, i.e. 101.86% of spot) 1y ATMS (6.1601) put: 0.276% / 0.38% ly ATMF (6.2746) put: 1.039% / 1.174% uzair highlighted, one comment in choosing between the ATMF and ATMS puts would be that if the client picks the ATMF, although he has a larger up-front (1.174% vs 0.38%), he has a better break-even price (6.201 vs 6.137). So basically if spot goes nowhere in 1 years' time, he still ends up ITM on the trade. ly ATMF / ATMF -2% put spread: 0.792% / 0.94% Strikes: 6.2704 / 6.145 Put spread costs 20.3% lesser than the vanilla ATMF put (not great) Max payout of 2.1m for premium of lm Not looking great. And if we try to bring the lower strike closer for more CONFIDENTIAL — PURSUANT TO FED. R. C