Cr Tazia Smith
, "Nav Gupta (DEUTSCHE ASSET MANAG)"
Paul Morris 4
Vahe Stepanian
Inline-Images: unnamed; unnamed(1); unnamed(2)
thanks , lets keep
On Mon, Jan 13, 2014 at 7:47 AM, Vinit Sahni <
> wrote:
Classification: Confidential
This attached image shows the current pricing on the curve, which is slightly weaker than it was in
early December. I have also added the term structure of PDVSA and VENZ sovereign bonds, which
gives us some relative value across the curve
Bouts of volatility will likely remain an issue and therefore it will trade like a short tail risk trade.
However, given that access to dollars remains key for Venezuela, we should expect the government
to do whatever they can to avoid a problem servicing these bonds (or even the perception of the
same). They do have a heavy amortization schedule in 2014 and 2015.
Vinit Sahni
Managing Director I Global Head - Professional Client Group & Key Client Partners Capital Markets Group
Deutsche Asset & Wealth Management
105/108 Old Broad St (Pinners Hall). EC2N 1EN London, United Kingdom
Panunecfr Perform,
From:
Tazia Smith
To:
Jeffrey epstein" 4eevassti@ gm
on
ail.corn»
Cc:
"Wind Sahn
e.
"Nay Gupta (DEUTSCHE ASSET MANAC
Date:
12/0112014 22:52
EFTA01141017
Classification: Confidential
Looping in Vinit here as he was recently involved with a large offering in the pdvsa credit and may have some
take-aways.
My view is the bonds are money good in 2015, as of now, but you are not looking for yield carry (as
discussed), and the risks of restructuring and near-term downside due to politics specific to venezuela and
chatter around EM assets at large are likely greater than implied by the bonds' current —85 levels; would use
Friday's rally to sell (particularly if you believe it was rates driven vs credit). For what it's worth, we've found
Latam family offices that are very familiar the credit (and do like carry) are fully loaded and do not have
incremental demand.
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
345 Park Avenue - 26th Floor
New York, NY 10154
do you think money good in 15
On Sun, Jan 12, 2014 at 4:38 PM, Tazia Smith
> wrote:
Classification: Confidential
Jeffrey:
Please find the chart of PDVSA 5% 10128/15 price history below. as well as a description of the USDJPY 10yr trade that we briefly discussed on Friday.
Speak with you soon,
Tazia
EFTA01141018
IPDVSA 5 10/28/15 $
185.500
+1.500 1411.7 bp vs T 0.250 12/31/2015
As of 10 Jan Vol 989.011
84.000
Hi 85.500
Lo 83.300
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Used with permission of Bloomberg Finance LP. 1110114
-- Forwarded by Tazia San
01/12/2014 03:29 PM ---
From:
To:
Date:
Subject:
Nay Gupt
Tazia Srriit
01/10/2014 08:21 AM
SY (II
Classification: For internal use only
Long $Y Call Options. We like long expiry options to benefit from the present dislocation between interest rates and volatility
Deutsche Bank FX Strategists are calling for USDJPY of 115 by year-end 2014. and 120 by year-end 2015. See DB FX Blueprint published 1/9/14. and note that
p2 of the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD.
Consider a 10year expiry $Y call option shuck at 85 (spot fx 105. forward fx 77.70). Price 4.7% of USD notional
This option has four notable characteristics
•
If SY stays at these levels the option decays positively by approx 15-20% per year
•
If SY trades 90.00 at any time (arguably a scenario in which the option is no longer wanted) the option 'knocks-our and becomes worthless. While SY
might decline to 90. our quantitative analysis indicates the probability of such a decline is significantly (double?) overpriced by the options market
•
The premium of the option is quite sensitive to moves in SY spot - which is atypical for a 10year option. This also results from the knockout feature. This
means if SY moves quickly by 5% the option increases /decreases in value by almost half. so If SY rises to 110 or 115 the option can easily be unwound
to monetize the profit
•
The option costs roughly 1/3rd compared to the vanilla 85 strike call
•
Maximum loss is premium paid
EFTA01141019
Nay Gupta
Managing Director
Deutsche Bank AG, Filiale London
Deutsche Asset & Wealth Management
105!108 Id Broad t Winners Hall). EC2N lEN London. United Kingdom
Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ("Kan London desk for discussion purposes only, and do not create any
legally binding obligation on the part of Deutsche Bank AG and or its affiliates ("DEC). These ideas are for the consideration of the intended recipients of this
mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID), who understand
the strategy. characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall
be subject to the relevant internal approvals prior to execution.
Tazia Smith
Director I Key Client Partners - US
Deutsche Bank Securities Inc
Deutsche Asset & Wealth Management
345 Park Avenue. 26th Floor
New York NY 10154
This communication may contain confidential and/or privileged information.
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