EFTA Document EFTA01435956

DB FX Trade Idea EURZAR-USDZAR Correlation Swap Trade Idea • Sell 6m EURZAR-USDZAR correlation swap • Sell ly EURZAR-USDZAR correlation swap Rationale • EURZAR-USDZAR implied correlations are 2007 (see graph 1) • This has been driven by ZAR implied volatilities trading at their highest levels relative to EURUSD volatility since the financial crisis (see graph 2) • Since 2007 the highest 6m realized correlation is 94% and the lowest is 41%. For ly the highest is 93% and the lowest is