Vahe From: Daniel Sabba Sent: Monday, June 29, 2015 12:32 PM To: 'jeffrey E.' Subject: RE: Longer Dated EUR Downside (3y structures) [C] Classification: Confidential Looking into it. From: jeffrey E. [mailto:[email protected]] Sent: Monday, June 29, 2015 11:36 AM To: Daniel Sabba Subject: Re: Longer Dated EUR Downside (3y structures) [C] what do six month levels look like and one year On Mon, Jun 29, 2015 at 10:56 AM, Daniel Sabba a wrote: Classification: Confidential Jeffrey, We wanted to flag an idea on long dated EUR downside. Digital Risk Reversals benefit from the high forwards, along with elevated levels of vols and skew. The following example is a premium neutral trade with observation at expiry. 1.1125 EURUSD spot ref +485 3y swap points EFTA01473725

3y 1.0750 / 1.3175 Digital risk reversal (zero net premium) Client buys 3y Digital put struck at 1.0750, European observation Client sells 3y Digital call struck at 1.3175, European observation Net premium: Zero We compared this with vanilla risk reversals — for a 3y structure, 1.0750 / 1.2300 vanilla reversal is zero net premium. Please note the levels below are indications — please reach out for live levels. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobi Email 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. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01473726

please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for EFTA01473727

the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved 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. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA01473728

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