RE: FW: Longer Dated EUR Downside (3y structures) [C (Vahe Stepanian, June 29, 2015)EFTA Document EFTA01457771
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EFTA Document EFTA01457770
Title Matchefta-efta01457770
Case Filesd-10-EFTA01457770Dept. of JusticeEFTA Document EFTA01457770
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Case File
sd-10-EFTA01457770Dept. of JusticeEFTA Document EFTA01457770
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+485 3y swap points 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 S
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Dept. of Justice
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sd-10-EFTA01457770
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