From: "jeffrey E." <jeevacation@grnail.com>
To: Vahe Stepanian
Cc: Daniel Sabba , Ariane D er , Paul
Morris Stewart Oldfield , Richard Kahn
Subject: Re: Turkey and CNH [C]
Date: Mon, 02 Nov 2015 10:23:17 +0000
Inline-Images: image001.png
there was an election this weekend? shouldnt that have been part of the analysis. a MAJOR part. an early
check has your reccommendation down 7 % on the open. and that is the unleveraged play
On Fri, Oct 30, 2015 at 11:27 AM, Vahe Stepanian < > wrote:
Classification: Confidential
Jeffrey — we're following up our phone calls earlier this week with two trade ideas:
I) Buy Turkey 5y CDS — currently @ —253
• It seems Turkey has rallied recently on the back of the broader macro EM rally and FOMC dovishness,
although fundamentally not much has changed in Turkey
• General elections are taking place this weekend, which have created increased tension within Turkey and
continue to generate headlines
• Recent opinion polls still point to another hung parliament (additional details in attached DB research
piece)
• Outright short EM positions have cleaned up extensively and we believe it makes sense to slowly build
out those positions
• Cheap funding has resulted in large rise in corporate debt in Turkey, some of which has been funded in
foreign currency
• Turkey foreign reserves amongst lowest of EM countries, second only to Ukraine
EFTA01131569
■ Last Price 253.332
T High on 09/29/15 327.000 300
-0- Average 222.237
1. Low on 12/02/14 154.000
253.332
700
150
Dec Mar Jun Sep
2014 2015
CTLISK1LIS Curncy (TURKEY CDS USD SR 5Y D14) Daily 300CT2014-300CT2015 Copyrights 2015 Bloamberg Finance
30-00-2015 10:59:43
2) Revisiting CNH as we know you're generally bearish Asian currencies.
Given vols and skew, indicative pricing for ly, USD/CNH 6.5 — 7.0 call spread:
Spot Ref: 6.3935 (pricing as of 10/27/15)
Leg 1: European Option Call
SOFL buys European USD Call on USD/CNH
Strike: 6.5
Notional: USD 10,000,000
Expiry: Thu 27-Oct-2016 (1y)
Premium: USD 287,100 (2.87%)
Delta: 53%
Strike vol: 6.24%
Leg 2: European Option Call
SOFL sells European USD Call on USD/CNH
Strike: 7.0
EFTA01131570
Notional: USD 10,000,000
Expiry: Thu 27-Oct-2016 (1y)
Premium: USD -127,100 (1.27%)
Delta: 24%
Strike vol: 9.15%
Net premium: USD 160,000 (1.60%)
Thank you,
Vahe
Vahe Stepanian
Assistant Vice President I Key Client Partners
Deutsche Bank Securities Inc.
Tel.
Mobile
Email
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