EFTA00852840.pdf

From: Vahe Stepanian To: "Jeffrey E." <[email protected]> CC: Daniel Sabba , Ariane D er , Paul Morris , Stewart Oldfield , Richard Kahn Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Date: Tue, 30 Jun 2015 13:18:07 +0000 Classification: Confidential Jeffrey — per your request, we priced vanilla risk reversals with 1.04 and 1.05 strikes on the put leg. Pricing is for EUR 100mm notional. 1.1220 EURU5D spot ref 1) Expiry 6m SOFL buys vanilla EUR put struck at 1.04 SOFL sells vanilla EUR call struck at 1.1835 Net premium: zero 2) Expiry 6m SOFL buys vanilla EUR put struck at 1.05 SOFL sells vanilla EUR call struck at 1.1790 Net premium: zero Thank you, Vahe From: Jeffrey E. [mailto:[email protected] Sent: Tuesday, June 30, 2015 5:40 AM To: Vahe Stepanian Cc: Daniel Sabba; Mane 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 SOFL sells EUR call 1.1660 strike Net premium: zero 6m EFTA00852840 SOFL buys EUR put 1.07 strike SOFL sells EUR call 1.1680 strike Net premium: zero Thank you, Vahe From: Vahe Stepanlan Sent: Monday, June 29, 2015 3:38 PM To: Jeffrey Epstein Cc: Daniel Sabba; Mane Dwyer; Paul Morris; Stewart Oldfield; 'Richard Kahn' Subject: RE: FW: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Jeffrey — to clarify, given Southern Financial would be long a 6m EURUSD digital put and short a 6m EURUSD digital call, if at expiry: EURUSD is below 1.0750, Southern Financial would receive 100% payout (or EUR 2mm) EURUSD is between the put and call strikes, Southern Financial would receive 0% payout EURUSD is above 1.1845, Southern Financial would pay 100% (or EUR 2mm) We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals. Thank you, Vahe From: Jeffrey E. fmallto:jeevacSgi com Sent: Monday, June 29, 2015 3:20 PM To: Vahe Stepanian; Richard Kahn; Paul Morris Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C] what is 2 million euro payout mean On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepanian •MEMn wrote: Classification: Confidential Jeffrey - 6m and 1y pricing on premium neutral, digital risk reversals are below per your request. Please note these were priced with 2mm EURO payout. 1.1180 EURUSD spot ref 6m Client buys 1.0750 digital put, European observation Client sells 1.1845 digital call, European observation Net premium: zero 1y Client buys 1.0750 digital put, European observation Client sells 1.2175 digital call, European observation Net premium: zero Compared this with vanilla risk reversals: EFTA00852841 For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium For ly structure: 1.0750 / 1.1630 vanilla reversal is zero net premium Thank you, Vahe From: Daniel Sabba Sent: Monday, June 29, 2015 12:32 PM To: Jeffrey E.' Subject: RE: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Looking into it. From: Jeffrey E. [mailto:jeevaSgmail.com Sent: Monday, June 29, 2015 11:36 AM To: Daniel Sabba Subject: Re: Longer Dated EUR Downside (3y structures) [C] what do six month levels look like and one year On Mon, Jun 29, 2015 at 10:56 AM, Daniel Sabba > wrote: Classification: Confidential Jeffrey, We wanted to flag an idea on long dated EUR downside. Digital Risk Reversals benefit from the high forwards, along with elevated levels of vols and skew. The following example is a premium neutral trade with observation at expiry. 1.1125 EURUSD spot ref +485 3y swap points 3y 1.0750 / 1.3175 Digital risk reversal (zero net premium) Client buys 3y Digital put struck at 1.0750, European observation Client sells 3y Digital call struck at 1.3175, European observation Net premium: Zero We compared this with vanilla risk reversals - for a 3y structure, 1.0750 / 1.2300 vanilla reversal is zero net premium. Please note the levels below are indications — please reach out for live levels. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. EFTA00852842 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA00852843 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00852844