EFTA01387647.pdf

From: Paul Barrett Sent: 12/6/2017 11:33:00 PIA To: Martin Zeman [- CC: Xavier Avila [ Stewart Oldfield Subject: Re: Indicative R/R on 1.0y US rates What is the collateral on the short leg? Paul Barrett Alpha Group Capital LLC 142 W Sth Street 1? Floor, New York, NY 10019 On Dec 6, 2017, at 5:24 PM, Martin Zeman <[email protected]> wrote: Paul, Here are the indicative rates options prices. I haven't marked up anything so let's talk about it. 1. <!--[if !supportLists]--><!--[endif]-->1. Client buy 6m10y 2.5 payers 10mm Client sells 6ml0y 2.2 receivers 10mm 2. !supponLists]--><!--[endif]--> Offered at 0.32% (mid=0.30%) 3. <!--[if !supportLists]—><!--[endi f]--> (payer mid is 1.07%) 4. <!--[if !supportLists]--><!--[endif]--> 5. <!--[if !supportLists]--><!--[enditl-->2. Client buys 6m l0y 2.4 payers 10mm 6. <!--[if !supportLists]--><!--[endif]--> Client sells 6m10y 2.2 receivers 10mm 7. <!--[if !supportLists]—><!--[enditi--> Offered at 0.7075% (mid=0.6875%) 8. <!--[if !supportLists]--><!--[endif]--> (payer mid is 1.465%) price in spot premium to be settled T+2 from trade date fwd swap rate reference 2.393% - need to refresh for live level on execution Martin <itnage00 I . gi f> Martin Zeman Director I Key Client Partners Deutsche Bank Wealth Management DB Securities Inc 345 Park Avenue 10154-0004 New York. NY. USA KCP products and services are intended and available only for persons who are sophisticated institutional investors within the meaning of the F1NRA Rule 4512(C)(3), and who are capable of evaluating the strategies, characteristics and investment risks of and exercising independent judgment in evaluating. the ideas and products discussed herein. Trades and transactions are subject to relevant internal approvals of CeSI or its affiliates prior to execution, and the execution of any transaction or idea discussed herein is conditional on your becoming a client ofDeutsche Bank. Key Client Partners (KCP) products, investment ideas and solutions and related matters discussed herein are provided for discussion purposes only, and strictly on a non-advisory basis. The CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0090685 CONFIDENTIAL SDNY_GM_00236869 EFTA01387647