EFTA00705617.pdf

From: Daniel Sabba < To: [email protected] Cc: Paul Morris , Stewart OleicId < Vahe Stepanian Subject: New trade ideas... [C] Date: Mon, 17 Nov 2014 20:43:39 +0000 Attachments: Approved_Extemal_-_November_2014.pdf Classification: Confidential Jeffrey, Please see below several trade ideas we just put together. There are a couple of transactions we would like to discuss with you in particular: (i) short crude vol through straddles, delta hedged on a daily basis (slide 21). It is a known fact crude has exhibited persistent elevated implied to realized premia, partially caused by the hedging activities of consumers and producers. The current dynamics in crude markets, and recent spike in vol, make harvesting this implied to realized spread an interesting value proposition. (ii) purchase mezzanine CLO debt with shorter weighted average lives (<4y) and high spreads over Libor (slide 23). CLO 2.0 mezz looks cheap compared to other mainstream structured products, while offering high levels of over-collateralization. Not sure of your interest in this area? Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc Tel. Mobile 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. EFTA00705617