EFTA01455557.pdf

Date: 09/10/2014 03:05 AM Subject: Re: epstein [I] Classification: For internal use only Paul - FX 1) sell 3mth 102 5v Puts vs buy 111 5v calls roughly zero upfront prem (spot 106.50) 2) sell 3mth 1.5150 08P put vs buy 1.685 calls roughly zero upfront prem (spot 1.6150) 3) sell 6mth 1.35 eurusd calls vs buy 6mth 1.215 puts (spot 1.2950) of the 3 only the gbp has a decent vol pickup due to fear of yes vote in scotland referendum - but i like all the trades. if cable trades down to 1.50 there will be lots of UK real assets 3E should be buying at that time. we beginning to think that some of the asian currencies where international investors are positioned for carry (like Indian rupee and indonsian rupiah) could begin to unwind if the usd continues to strengthen. can look at usd calls there overall like the us rates higher / stronger usd play. mkt shrugged off 140k payroll. its cheaper to bet on higher dollar than higher us rates. pricing some us rates risk/reversals will let u know if anything interesting USD Debt only loan funds which Vinit showed him earlier look attractive to us in US debt. anything with a core rates component looks like poor value as core rates are too low Financial SUB Debt in Europe T1 bank cocos are 50-100bp higher in yield compared to a month ago. they recovered more slowly after the summer selloff and have lagged both ends of the credit spectrum ie bank equity and snr debt. a typical french bank tl coco like socgen in usd perp callable in 2018 yields 6.60% mid. same credit ud perp callable in 2023 yields 7.40 mid id go for the 4y Japan - dont like the the play some investors are making buying payer swaptions to position for higher interest rates. 803 will go down the same path as ecb and take rates -ve to encourage spending. nikkei risk reversals could make sense. cc'd Uzair who just joined the team. former trader and hf strategist. Nay From: Paul Morris/db/dbcom@DBAMERICAS To: [email protected], [email protected], [email protected], Date: 09/09/2014 14:30 Subject: epstein [I] CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0114385 CONFIDENTIAL SDNY_GM_00260569 EFTA01455557