From: Xavier Avila
Sent: 12/7/2017 4:10:16 PM
To: Paul Barrett
CC: Stewart Oldfield ; Joshua Shoshan ; Martin Zeman
Subject: RE: DB EX trade idea: EURZAR-USDZAR correlation swap
Attachments: SF_CorrelationSwap_Dec17.xlsx
Paul, I was with trading today. We have seen also good interest in TRY correlation from fast money, the numbers look as
good or better than MXN, similar downside and higher upside vs average and min realized correlation.
Thanks
ZAR Corr Difference
Strike 82.50%
Max 92.68% -10.18%
Average 79.72% 2.78%
Min 48.08% 34.42%
Above Strike 45.09%
Below Strike 54.91%
MXN Corr Difference
Strike 78.00%
Max 87.46% -9.46%
Average 63.70% 14.30%
Min 10.91% 67.09%
Above Strike 17.52%
Below Strike 82.48%
TRY Corr Difference
Strike 81.00%
Max 90.28% -9.28%
Average 61.81% 19.19%
Min 6.43% 74.57%
Above Strike 17.94%
Below Strike 82.06%
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089122
CONFIDENTIAL SDNY_GM_00235306
EFTA01387064