EFTA00852892.pdf

From: "Jeffrey E." <jeevacation(iigmail.com> To: Vahe Ste anian . Richard Kahn < >, Paul Morris > Subject: Re: FW: Longer Dated EUR Downside (3y structures) [C] Date: Mon, 29 Jun 2015 19:21:52 +0000 and what are the 105 puts risk reversal look like On Mon, Jun 29, 2015 at 3:19 PM, jeffrey E. <[email protected]> wrote: what is 2 million euro payout mean On Mon, Jun 29, 2015 at 1:19 PM, Vahe Stepanian < =Ele 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: For 6m structure: 1.0750 / 1.1535 vanilla reversal is zero net premium For 1y structure: 1.0750 / 1.1630 vanilla reversal is zero net premium Thank you, EFTA00852892 Vahe From: Daniel Sabba Sent: Monday, June 29, 2015 12:32 PM To: 'Jeffrey E.' Subject: RE: Longer Dated EUR Downside (3y structures) [CJ Classification: Confidential Looking into it. From: Jeffrey E. [mailto:jeevacationegmail.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 EFTA00852893 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. Tel. Mobil Email 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 EFTA00852894  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 jeevacation®gmail.com, and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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 EFTA00852895