Re: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:ieevacation@gmail.com, June 30, 2015)RE: Longer Dated EUR Downside (3y structures) [C (Daniel Sabba, June 29, 2015)
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Re: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:leevacation@omail.com, June 29, 2015)
Title Matchefta-efta01368493
Case Filesd-10-EFTA01368493Dept. of JusticeRe: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:leevacation@omail.com, June 29, 2015)
June 29, 20151p
Case File
sd-10-EFTA01368493Dept. of JusticeRe: FW: Longer Dated EUR Downside (3y structures) [C (Jeffrey E. [mailto:leevacation@omail.com, June 29, 2015)
Email
Jeffrey - to clarify, given Southern Financial would be long a 6m EURUSD digital put and short a 6m EURUSD digital call, if at expiry: EURUSD is below 1.0750, Southern Financial would receive 100% payout (or EUR 2mm) EURUSD is between the put and call strikes, Southern Financial would receive 0% payout EURUSD is above 1.1845, Southern Financial would pay 100% (or EUR 2mm) We will be back to you with 6m and ly pricing on 1.05 strike put, premium neutral digital risk reversals. Thank you, V
Date
June 29, 2015
Source
Dept. of Justice
Reference
sd-10-EFTA01368493
Pages
1
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0
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