EFTA01367642.pdf

From: Paul Morris Sent: 11/14/2014 12:43:15 PM To: Daniel Sabba CC: Subject: Re: Follow-up on EUR hedging discussion (C] Classification: Confidential was there another idea he wanted us to come back on? Paul Morris Managing Director Deutsche Bank Private Bank 345 Park Avenue, 27th Floor New York, NY 10154 From Daniel Sabbaidtildbcom To: "Jeffrey E7 yeevacationaigmall.ccin>@DEUBAINT. Cc: Data 11/13!201404:33 PM Subject Re: Follow-up on EUR hedging discussion IC) Classification: Confidential Jeffrey, please see below. It would help our hedging if you executed this in the moming since the Euribor market just closed at 4pm EST, so the market for the 5y forward is wider. If we executed this during London hours, we believe the market on this structure would be tighter. Spot ref = 1.2472 Fwd points ref = 1030 Southern Financial buys Put, sells Call on EURUSD in a Risk Reversal Put Strike: 1.2450 Call Strike: 1.4600 Notional: EUR 50,000,000 Expiry: Thu 14-Nov-2019 (5y) Settlement: Mon 18-Nov-2019 ZoneCut: NY Premium Date: Mon 17-Nov-2014 Put Premium Offer: USD 2,928,000 (mid would be USD 2,878,000) Call Premium Bid: (USD 2,946,500) (mid would be USD 2,996,500) Net Premium: Southern Financial Receives USD 18,500 (mid for the structure would be for SF to receive USD 118,500) Please advise on how to proceed. Daniel CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0059235 CONFIDENTIAL SDNY_GM_00205419 EFTA01367642