📄 Extracted Text (296 words)
From: Paul Morris
Sent: 10/15/2015 5:28:12 PM
To: jeffrey E. [[email protected]
Subject: FW: Revisiting USDKRW [C]
Attachments: Asia FX Positing on positioning 10.12.15.pdf
Classification: Confidential
If you're in nyc next week I'm around, thx
Paul Morris
Managing Director
Deutsche Bank Private Bank
Office:
Cell:
From: Vahe Stepanian
Sent: Thursday, October 15, 2015 8:11 AM
To: jeffrey E.
Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn
Subject: Revisiting USDKRW [C]
Classification: Confidential
Jeffrey — revisiting USDKRW trades given the sharp move in Asian currencies this week.
Per DB research (see attached), the rebound in recent days can be traced to three drivers:
1) Market re-pricing of the Fed after the weak NFP
2) A more benign view of CNY given better China reserves data, and stronger fixings
3) Stretched long USD/Asia positioning
With that said, if you believe USDKRW will reverse in the near term, we've refreshed pricing below.
Please let us know indicative size should you wish to trade and we will provide live pricing.
All pricing is indicative for 6 month tenor
For call spreads, Southern Financial (SOFL) buys low strike and sells high strike
Collars are premium neutral, in which SOFL buys the call option and sells the put option (quoted as Call Strike /
Put Strike )
Reverse Knock Out (RICO) call options give SOFL the option to buy USD / sell KRW at strike as long as USDKRW
remains below barrier through life of trade
USDKRW
Spot Ref: 1140.00
6m Fwd: 1146.10
Call Spreads (near strike / far strike / premium)
1150/ 1200/ 1.50%
1170/ 1220/ 1.15%
Premium Neutral Collar (call strike / put strike)
1180/ 1125
1200/ 1115
RKO Call (strike / barrier / premium)
CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0118693
CONFIDENTIAL SDNY_GM_00264877
EFTA01458676
ℹ️ Document Details
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2403592ac422179f26f902177cf72dcce6abebe3af854b5aedfe5a4d458638a7
Bates Number
EFTA01458676
Dataset
DataSet-10
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document
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1
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