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ow him thx Paul Morris Managing Director Deutsche Bank Private Bank Offic Cell: From: Daniel Sabba Sent: Tuesday, June 09, 2015 11:06 AM To: jeffrey E. Cc: Paul Morris; Stewart Oldfield; Vahe Stepanian; Ariane Dwyer; Richard Kahn Subject: RE: Idea for US equity hedging... [C] Classification: Confident
shallow sell-off in both equities and bonds. Happy to discuss in further details. From: Daniel Sabba Sent: Wednesday, June 03, 2015 9:43 AM To: 'jeffrey E.' Cc: Paul Morris; Stewart Oldfield; Vahe Stepanian; Ariane Dwyer; 'Richard Kahn' Subject: Idea for US equity hedging... [C] Classification: Confid
ul Morris; Stewart Oldfield; Vahe Stepanian; Ariane Dwyer; 'Richard Kahn' Subject: Idea for US equity hedging... [C] Classification: Confidential Jeffrey, We wanted to share this US equity hedging idea with you. We think it is relevant since US equity indices are near historic highs, implied volatili
and higher lOy US swap rates (CMS, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent on lOy USD CMS > atmf+25bps at expiry Notional: Expiry: Offer (mid): Ref vanilla: Ref SPX future: 2115 USD50mm 18 Dec 2015 4.30%
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From: jeffrey E. <[email protected]> Sent: Wednesday, June 3, 2015 2:02 PM To: Daniel Sabba Subject: Re: Idea for US equity hedging... [C] too complex for me
AM, Daniel Sabba < Classification: Confidential Jeffrey,</=pan> > wrote: We wanted to share this =5 equ
nd higher 10y US swap rates (CM=, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105%/95% Put Spread contingent o= l0y USD CMS > atmf+25bps at expiry Notional: USD50mm EFTA_R1_01628736 EFTA02501299 Expiry: 18 Dec 2015 Offer (mid):
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Classification: Confidential Jeffrey, We wanted to share this US equity hedging idea with you. We think it is relevant since US equity indices are near historic highs, implied volatili
and higher l0y US swap rates (CMS, 25bps over its forward level). Indicative transaction terms (as of 06/03/2015): Client buys: OTC SPX 105°4/95% Put Spread contingent on l0y USD CMS > atmf+25bps at expiry Notional: USDS0mm Expiry: 18 Dec 2015 Offer (mid): 2.00% (1.60%) Ref vanilla: 4.30% Ref SPX
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