SOFL engages in a risk reversal strategy on EUR/USD by buying a put and selling a call. The transaction involves two scenarios with different strike prices for the put option. The notional amount is EUR 100,000,000 with an expiry date of December 30, 2015. The net premium for the transaction is zero.
documents/vol00010-efta01457789-pdf.pdf
{"title":"SOFL Risk Reversal on EUR/USD","document_date":"2015-06-30","document_type":"financial","document_subtype":"Risk Reversal Transaction","key_organizations":["SOFL"],"reference_numbers":["DB-SDNY-0117471","SDNY_GM_00263655","EFTA01457789"]}