Trade execution details for Jun14 WTI involving a zero cost risk reversal with SOFL as the counterparty. SOFL buys a $101 call and sells a $93.5 put with a notional of 100,000 barrels on each leg. Both legs knock out if COI fixes below $20/bbl. Initial margin is 13%.
doj/DataSet10/EFTA01453352.pdf
{"title":"Trade Report 3/13/14 - WTI Zero Cost Risk Reversal","key_people":["Jeffrey","Tazia Smith"],"document_date":"2014-03-13","document_type":"correspondence","key_locations":["345 Park Avenue, New York, NY 10154"],"document_subtype":"trade report","key_organizations":["Deutsche Bank Securities, Inc.","Deutsche Asset & Wealth Management"],"reference_numbers":["DB-SDNY-0110902","SDNY_GM_00257086","EFTA01453352"]}