Subject: FW: EURUSD Risk Reversal Pricing [C] From: Paul Morris e > Date: Wed, 01 Jul 2015 15:17:29 -0400 To: Vahe Stepanian e > Did u get back to him Original Message From: jeffrey E. [[email protected]] Sent: Wednesday, July 01, 2015 11:38 AM Eastern Standard Time To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Re: EURUSD Risk Reversal Pricing [C] please check your prices I have gone to three other banks and yours is the only one with a 141 price on the 104 puts, not one other house has that wide a spread. NOT ONE-- all other show the same bid On Wed, Jul 1, 2015 at 3:53 PM, Vahe Stepanian e > wrote: Classification: Confidential Jeffrey - we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. We provided levels as a spread, and with bid/asks on each leg per your request. Note that if executed as a spread, you would only cross bid/- ask once and pay mid premium on the put leg. Pricing as spread: EUR/USD Spot ref = 1.1092 1) SOFL buys Put, sells Call on EUR/USD in a Risk Reversal Put Strike: 1.0400 Call Strike: 1.1615 Notional: EUR 100,000,000 EUR EFTA01473806