Subject: RE: Longer Dated EUR Downside (3y structures) [C] [I] From: Vahe Stepanian <M ME> Date: Tue, 30 Jun 2015 13:19:27 -0400 To: Paul Morris Cc: Daniel Sabba Ariane Dwyer Classification: For internal use only Yes, we tried to call, but Leslie told Daniel this morning that he won't be available for a while. From: Paul Morris Sent: Tuesday, June 30, 2015 1:12 PM To: Vahe Stepanian Subject: RE: Longer Dated EUR Downside (3y structures) [C] Do u need help reaching him Original Message From: Vahe Stepanian Sent: Tuesday, June 30, 2015 09:18 AM Eastern Standard Time To: jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR 100mm notional. 1.1220 EURUSD spot ref 1) Expiry 6m SOFL buys vanilla EUR put struck at 1.04 EFTA01473730