From: jeffrey E. <[email protected]> Sent: Friday, October 30, 2015 7:27 PM To: Vahe Stepanian Subject: Re: JPY/KRO Call Spreads (C) still waiting??? ? On Fri, Oct 30, 2015 at 2:09 PM, Vahe Stepanian Classification: Confidential wrote: Jeffrey — we spoke to trading, and given where skew and vols are, it made sense to price up call spreads on JPY/KRO. Please find below indicative pricing for 6, 9, and 12 month call spreads on JPY/KRO. Note - there is likely to be more liquidity on this currency pair during Asia market hours, and KRO is the offshore currency of KRW. JPYKRO Spot Ref = 9.4689 6m Leg 1: European Option Call SOFL buys European JPY Call on JPY/KRO Strike: 9.4538 Notional: JPY 1,200,000,000 Expiry: Thu 28-Apr-2016 (6m) Premium: 4.82% of JPY Notional Leg 2: European Option Call SOFL sells European JPY Call on JPY/KRO Strike: 10.39918 EFTA_R1_01599937 EFTA02482996