EFTA00632480.pdf

From: Tazia Smith To: jeevacation@gmail.com Cc: Vahe Stepanian Subject: [I] Date: Thu, 07 Nov 2013 21:14:02 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6); unnamed(7); unnamed(8); unnamed(9); unnamed(10); unnamed(11); unnamed(12); unnamed(13); unnamed(I4); unnamed(I5) Classification: For internal use only Hi Jeffrey - Just tried calling you to check-in. FYI below: TWTR closes at $44.90, touching a high of $50.09 in the early morning flurry and retracing as high as $48.66 late in the day. Risk-off move across the markets today, as you likely saw (S&P down 1.3%, eurostoxx jumped and reversed post ECB, finishing down 44bps). Refreshed pricing on the USDJPY 1yr risk reversal that we talked about at our meeting a couple weeks ago (ATMF/90 strikes) is 2.8% cost: spot ref 97.75 Leg 1: Risk Reversal <Client> buys Call, sells Put on USD/JPY in a Risk Reversal Call Strike: 97.47 Put Strike: 90 Notional: USD 1,000,000 USD Expiry: Mon 10-Nov-2014 (1y) Settlement: Wed 12-Nov-2014 ZoneCut: NY Net Premium Paid: USD 28,000 (2.8%) Premium Date: Tue 12-Nov-2013 Indicative levels only. Subject to market movement. Source: DB WM FX Solutions, 11/7/13. C. Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue. 26th Floor EFTA00632480 -- Forwarded by Tazia Smittildbirlbcom on 11/0712013 02:51 PM ---- From: To: Dale: Subject: Harlin Sing Tazia Srratt 10/211201301:21 PM Re: 1yr USDJPY LIJ Classification: For internal use only Keep in mind, none of these include markup so you will have to account for that Risk Reversal selling 90 strike puts (23 delta) cheapens the long call by 1.38% vs the forward that gives you 1-for-1 downside exposure beginning at 97.84. We can change the downside strike to wherever the client is comfortable getting long USDJPY. The one year low in USDJPY has been 79.38 Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 97.84 (abnf) Notional: USD 1,000,000 Expiry: Tue 21-Oct-2014 (1y) Settlement: Thu 23-Oct-2014 ZoneCut: NY Premium: USD 41,000 Premium Date: Wed 23-Oct-2013 Leg 2: European Option Put <Client> sells European USD Put on USD/JPY Strike: 90 Notional: USD 1,000,000 Expiry: Tue 21-Oct-2014 (1y) Settlement: Thu 23-Oct-2014 ZoneCut: NY Premium: USD -13,830 Premium Date: Wed 23-Oct-2013 Kind regards, Harlin Harlin Singh Director Deutsche Bank Securities Inc. Solutions 8 Trading Group 345 Park Avenue. 10154-0004 New York, NY, USA From: To: Tazia Smith Harlin Sing EFTA00632481 Date: Subject: 10121/2013 12:57 PM Re: lyr USOJPY g] Classification: For internal use only i'd favor less leverage with some protection (out of the moneyness) built in on the sold option. but would love your input ;21 Tazia Smith Director 1 Key Client Partners - US Deutsche Bank Securibes Inc Deutsche Asset & Wealth Management 345 Park Avenue. 261h Fbor New York. NY 10154 uJ From: Hadin Sing To: Tazia Sm Date: 1012172013 12:36 PM Subject: Re: lyr USCUPY g] Classification: For internal use only for how much in notional? ie how much leverage does he want? Kind regards, Harlin Harlin Singh Director Deutsche Bank Securities Inc. Solutions & Trading Group 345 Park Avenue. 10154.0004 New York. NY. USA EFTA00632482 From: Tazia Smithil To: Hadin Sing Dale: 10121/2013 12:32 PM Subject: Re: lyr USCUPY pi Classification: For internal use only up to 5250k in premium C. Tazia Smith Director i Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset 8, Weallh Management 345 ParkAvenue, 26th Fbor New York, NY 10154 2 From: Harfin Sing To: Tazia Smi Date: 10121/2013 12:30 PM Subject: Re: lyr USDJPY [li Classification: For internal use only How much do you think he's willing to spend in premium? I can solve for possible strikes. Kind regards, Harlin VJ Harlin Singh Director Deutsche Bank Securities Inc. Solutions & Trading Group -0004 New York. NY. USA EFTA00632483 From: Tazia Smith To: Harlin Sin Dale: 10/21/2013 12:26 PM Subject: Re: 1yr USOJPY ill Classification: For internal use only He's KCP, ISDA almost finalized....let's talk risk reversal! :) ; -1 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 From: Harlin Sing To: Tazia Smith Date: 10/21/2013 12:19 PM Subject: Re: 1yr USCUPY ill Classification: For internal use only The 1y forward points are pretty accurate on bberg. The option struck atmf will cost around 4.10% of notional (no markup included) 1y volatility is around 10.3% at the moment. It depends on how you look at it - if you are ok without the downside protection, I would do the forward. If the client is qualified to do forwards though, they could also explore a risk reversal to lower cost and give some protection in the event of a correction. What type of client is it and what size are they thinking to do? EFTA00632484 Kind regards, Harlin Harlin Singh Director Deutsche Bank Securities Inc. Solutions & Trading Group 345 ParkAvenue, 10154-0004 New York. NY. USA lir From: To: Date: Subject: Tazia Smith 10.21/2013 12:07 PM 1yr USDJPY Classification: External Communication Hi Harlin - can u just confirm that a short jpy long usd 1yr fwd prices out inline w what I see on bbg? do you have color/thoughts on a fwd vs option as far as premium of the option and leverage vs the fwd? Would love your thoughts! Thanks :) Tazia Smith Director Markets Coverage Group Deutsche Bank Securities, Inc. Deutsche Asset & Wealth Management 345 Park Avenue - 26th Floor New York, NY 10154 EFTA00632485 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. 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