EFTA Document EFTA01404771

Subject: Re: Follow-up on EUR hedging discussion [C] From: Paul Morris a> Date: Fri, 14 Nov 2014 12:43:15 -0500 To: Daniel Sabba Cc: Classification: Confidential was there another idea he wanted us to come back on? Paul Morris Managing Director Deutsche Bank Private Bank 345 Park Avenue, 27th Floor From: dbcom Daniel Sabba/db/- To: "jeffrey E." <[email protected]>@DEUBAINT, Cc: Paul Morris/db/dbcom@DBAMERICAS, Stewart , Vahe Date: PM Subject: [C] 11/13/2014 04:33 Re: Follow-up on EUR hedging discussion EFTA01404771 Classification: Confidential Jeffrey, please see below. It would help our hedging if you executed this in the morning since the Euribor market just closed at 4pm EST, so the market for the 5y forward is wider. If we executed this during London hours, we believe the market on this structure would be tighter. Spot ref = 1.2472 Fwd points ref = 1030 Southern Financial buys Put, sells Call on EURUSD in a Risk Reversal Put Strike: 1.2450 Call Strike: 1.4600 Notional: EUR 50,000,000 Expiry: Thu 14-Nov-2019 (5y) Settlement: Mon 18-Nov-2019 ZoneCut: NY Premium Date: Mon 17-Nov-2014 Put Premium Offer: USD 2,928,000 (mid would be USD 2,878,000) Call Premium Bid: (USD 2,946,500) (mid would be USD 2,996,500) Net Premium: Southern Financial Receives USD 18,500 (mid for the structure would be for SF to receive USD 118,500) Please advise on how to proceed. Daniel From: "jeffrey E." <[email protected]> To: Date: PM 11/13/2014 03:15 EFTA01404772 Subject: [C] Re: Follow-up on EUR hedging discussion in the long put at 124 short call at 146 etc On Thu, Nov 13, 2014 at 4:08 PM, Daniel Sabba a wrote: Classification: Confidential Could you please specify which structure/size in particular? Thank you, Daniel From: "jeffrey E." [[email protected]] Sent: 11/13/2014 04:05 PM AST To: Daniel Sabba Subject: Re: Follow-up on EUR hedging discussion [C] prices of puts and calls? On Thu, Nov 13, 2014 at 2:38 PM, Daniel Sabba a 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 lbn short delta executed live in a typical trading day. Indication Considerations: - Spot ref 1.2450/1.2451 - a live execution of EUR lbn 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 EFTA01404773 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 lbn delta, you did a smaller size. I have also included the levels for EUR 25mm delta Indicative Transaction Terms (for EUR lbn 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 lbn 5y forward. Forward points: 1034/1120 C. ly 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 lbn 5y forward. Forward points: 1040/1125 C. ly 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 (Embedded image moved to file: pic21085.gif) Daniel Sabba Key Client Partners • ' s Inc mai (Embedded image moved to file: pic21307.gif) 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. EFTA01404774 please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA01404775