EFTA01475491.pdf

Subject: RE: Turkey and CNH [C] From: Vahe Stepanian sz: > Date: Fri, 30 Oct 2015 14:13:55 -0400 To: Paul Morris < Cc: Ariane Dwyer Daniel Sabba Classification: Confidential Paul — we just hit send on pricing and followed up with a call. We'll let you know if he comes back. Thank you, Vahe From: Paul Morris Sent: Friday, October 30, 2015 1:36 PM To: Vahe Stepanian; Daniel Sabba Subject: RE: Turkey and CNH [C] Classification: Confidential Vahe sound like he is looking for pricing for long yen /short Korean won, let's get this to him today not Monday, he's looking to trade thanks Paul Morris Managing Director Deutsche Bank Private Bank EFTA01475491 From: Vahe Stepanian Sent: Friday, October 30, 2015 11:27 AM To: jeffrey E. Cc: Daniel Sabba; Ariane Dwyer; Paul Morris; Stewart Oldfield; Richard Kahn Subject: Turkey and CNH [C] Classification: Confidential Jeffrey — we're following up our phone calls earlier this week with two trade ideas: 1) Buy Turkey 5y CDS — currently @ —253 It seems Turkey has rallied recently on the back of the broader macro EM rally and FOMC dovishness, although fundamentally not much has changed in Turkey General elections are taking place this weekend, which have created increased tension within Turkey and continue to generate headlines Recent opinion polls still point to another hung parliament (additional details in attached DB research piece) Outright short EM positions have cleaned up extensively and we believe it makes sense to slowly build out those positions Cheap funding has resulted in large rise in corporate debt in Turkey, some of which has been funded in foreign currency Turkey foreign reserves amongst lowest of EM countries, second only to Ukraine {cid:[email protected]} 2) Revisiting CNN as we know you're generally bearish Asian currencies. Given vols and skew, indicative pricing for ly, USD/CNH 6.5 — 7.0 call EFTA01475492 spread: Spot Ref: 6.3935 (pricing as of 10/27/15) Leg 1: European Option Call SOFL buys European USD Call on USD/CNH Strike: 6.5 Notional: USD 10,000,000 Expiry: Thu 27-Oct-2016 (ly) Premium: USD 287,100 (2.87%) Delta: 53% Strike vol: 6.24% Leg 2: European Option Call SOFL sells European USD Call on USD/CNH Strike: 7.0 Notional: USD 10,000,000 Expiry: Thu 27-Oct-2016 (ly) Premium: USD -127,100 (1.27%) Delta: 24% Strike vol: 9.15% EFTA01475493 Net premium: USD 160,000 (1.60%) Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. EFTA01475494