EFTA01365873.pdf

From: Paul Morris [ Sent: 6/30/2015 81.1 il l To: Vahe Stepanian Daniel Sabba CC: Stewart 0ldfield - Subject: FW: FW: Longer Dated EUR Downside (3y structures) [CI [II Classification: For Internal use only Can we priced this up through AWM? Paul Morris Managing Director Deutsche Bank Private Bank From: Jeffrey E. [mailto:[email protected]] Sent: Tuesday, June 30, 2015 5:40 AM To: Vahe Stepanian Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C] great, how about the 6 month 105 and 104. On Mon, Jun 29, 2015 at 5:15 PM, Vahe Stepanian < wrote: Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with a 1.07 strike on the put leg. Pricing is for EUR 100mm notional. 1.1250 EURUSD spot ref 3m SOFL buys EUR put 1.07 strike SOIL sells EUR call 1.1660 strike Net premium: zero 6m SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1680 strike Net premium: zero Thank you, Vahe From: Vahe Stepanian Sent: Monday, June 29, 2015 3:38 PM CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0057199 CONFIDENTIAL SDNY_GM_00203383 EFTA01365873