EFTA01379056.pdf

prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel Sabba > 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 1bn short delta executed live in a typical trading day. Indication Considerations: - Spot ref 1.2450/1.2451 - a live execution of EUR 1bn spot could indicatively be done 20pips below screen bid at 1.2430 - 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 1bn delta, you did a smaller size. I have also included the levels for EUR 25mm delta Indicative Transaction Terms (for EUR 1bn delta): A. 5y 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 1bn 5y forward. Forward points: 1034/1120 C. 1y 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. 5y EURUSD premium neutral risk reversal (long EURUSD put struck at 1.2450 / short EURUSD call struck at 1.4600) B. Short EURUSD 1bn 5y forward. Forward points: 1040/1125 C. 1y 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0076359 CONFIDENTIAL SDNY_GM_00222543 EFTA01379056