EFTA Document EFTA01367643

From. "jeffrey E7 loeyacationCgmail.com> To. Daniel SabbaidbAlbcomeDEIAMERICAS. Dale. 11/13/2014 03:15 PM Sublea Re: Follow-up on EUR hedging discussion (CI in the long put at 124 short call at 146 etc On Thu, Nov 13, 2014 at 4:08 PM, Daniel Sabba > wrote: Classification: Confidential Could you please specify which structure/size in particular? Thank you, Daniel From: "jeffrey E." heevacation(i_kinail.coml 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 Sabha > 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 1 bn short delta executed live in a typical trading day. Indication Considerations: - Spot ref 1.2450/1.2451 - a live execution of EUR 1 bn 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 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 1 bn 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 1bn 5y forward. Forward points: 1034/1120 C. 1y EUR puts struck at 1.2450 (spot) offered at 3.10% - EUR 2.3bn notional would lead to a delta of CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0059236 CONFIDENTIAL SDNY_GM_00205420 EFTA01367643