EFTA Document EFTA01434969

Subject: RE: Indicative R/R on 10Y US rates From: Xavier Avila ‹ > Date: Thu, 07 Dec 2017 07:56:54 -0500 To: Paul Barrett Martin Zeman Cc: Stewart Oldfield Do you plan to cash settle the swaptions or get delivered? Vanilla swaps are between 2 and I would say 5% max on 5-10yrs, but if you cash settle in 6m it should be on the low end of this. Also, the IA for the corr swaps are 10% of notional or 10 corr points. Thanks Xavier Avila Mana in Director Office: Mobile: From: Paul Barrett ‹ > Date: Wednesday, Dec 06, 2017, 23:33 To: Martin Zeman Cc: Xavier Avila , Stewart Oldfield Subject: Re: Indicative R/R on 10Y US rates What is the collateral on the short leg? Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor, New York, NY 10019 (o) (c) On Dec 6, 2017, at 5:24 PM, Martin Zeman < > wrote: EFTA01434969 Paul, Here are the indicative rates options prices. I haven't marked up anything so let's talk about it. 1. 1. Client buy 6mlOy 2.5 payers 10mm Client sells 6mlOy 2.2 receivers 10mm 2. Offered at 0.32% (mid=0.30%) 3. (payer mid is 1.07%) 4. 5. 2. Client buys 6mlOy 2.4 payers 10mm 6. Client sells 6mlOy 2.2 receivers 10mm 7. Offered at 0.7075% (mid=0.6875%) 8. (payer mid is 1.465%) price in spot premium to be settled T+2 from trade date fwd swap rate reference 2.393% - need to refresh for live level on execution Martin <image001.gif> Martin Zeman Director I Key Client Partners Deutsche Bank Wealth Management DB Securities Inc 345 Park Avenue, 10154-0004 New York, NY, USA Tel. Mobile EFTA01434970 Email KCP products and services are intended and available only for persons who are sophisticated institutional investors within the meaning of the FINRA Rule 4512(C)(3), and who are capable of evaluating the strategies, characteristics and investment risks of, and exercising independent judgment in evaluating, the ideas and products discussed herein. Trades and transactions are subject to relevant internal approvals of DBSI or its affiliates prior to execution, and the execution of any transaction or idea discussed herein is conditional on your becoming a client of Deutsche Bank. Key Client Partners (KCP) products, investment ideas and solutions and related matters discussed herein are provided for discussion purposes only, and strictly on a non-advisory basis. The KCP Americas desk does not provide investment advice. The information set forth herein is confidential and personal to you and is being presented for your information and for discussion purposes only. Any reproduction and/or redistribution thereof (in whole or in part) or disclosure of its content without our written consent is strictly forbidden. This communication does not create any legally binding obligation on the part of DBSI or any of its affiliates. 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. Please refer to for additional EU corporate and regulatory disclosures. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. 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. Please refer to for additional EU corporate and EFTA01434971 regulatory disclosures. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01434972