EFTA01803177.pdf

From: Daniel Sabba < I Sent: Thursday, November 13, 2014 8:08 PM To: jeffrey E. Subject: Re: Follow-up on EUR hedging discussion [C) Classification: Confidential Could you please sp=cify which structure/size in particular? Thank you, Daniel <=1" From: "jeffrey E." ([email protected] Sent: 11/13/2014 04:05 PM AST =o: Daniel Sabba Subject: Re: Follow-up on EUR hedging=discussion (C) prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel =abba > wrote: Classification: Confidential Classification: Strictly Confidential Jeffrey, I met with the head of FX trading of our investment bank to discuss the EUR hedging question you posed. To build a multi-billion short, a solution would be to implement a combination of spot, forward and options transactions over the course of several trading days/weeks. We propose discussing an execution plan in case you would like to pursue that route. We wanted to share with you the following parameters, which are indications for a EUR lbn short delta executed live in a typical trading day. Indication Considerations: - Spot ref 1.2450/1.2451- a live execution of EUR lbn spot could indicatively be done 20pips below screen bid at 1.243= - 5y EURUSD forward mid 1.3530 - The indications below are for execution of one leg only, not all of them as a package - You mentioned this was a consideration for a client of yours - these indications assume standard ISDA/CSA terms - The levels below would be improved if instead of transacting EUR lbn delta, you did a smaller size. I have also included the levels for EUR 25mm delta Indicative Transaction Terms (for EUR lbn delta): EFTA_R1_00146702 EFTA01803177  A. Sy EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4450). EUR 1.5bn notional per leg would lead to a net delta of EUR 1.05bn B. Short EURUSD lbn 5y forward. Forward points: 1034/1120 C. ly EUR puts struck at 1.2450 (spot) offered at 3.10% - EUR 2.3bn notional would lead to a delta of EUR 967mm Indicative Transaction Terms (for smaller size - EUR 25mm delta): A. Sy EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4600) B. Short EURUSD lbn Sy forward. Forward points: 1040/1125 C. ly EUR puts struck at 1.2450 (spot) offered at 2.90% As you can see the pricing for smaller size is much better. Please advise on how you would like to proceed. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc This communication may contain confidential and/=r privileged information. If you are not the intended recipient (or have received this communicationar> in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of thear> 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 notear> The information contained in this communication is confidential,=may be attorney-client privileged, may constitute inside information, a=d is intended only for the use of the addressee. It is the property of<=r>JEE Unauthorized use, disclosure or copying of this communication =r any part thereof is strictly prohibited and may be unlawful. If you h=ve received this communication in error, please notify us immediately b= 2 EFTA_R1_00146703 EFTA01803178  return e-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this communica=ion and all copies thereof, including all attachments. copyright -all r=ghts reserved This communication may contain confid=ntial and/or privileged information. If you are not the intended recipient (or have received this communication<=r> in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the<=r> 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. 3 EFTA_R1_00146704 EFTA01803179