looking to stop doing this, but for that to happen USDILS needs to stop moving lower. That's why I don't think they can
be the trigger, but if USDILS starts moving higher, they will reassess their hedging strategy and hedge less of the FX
exposure (As this is expensive for them) — that could accelerate the move higher in USDILS.
Figure 5: Transactions in foreign exchange assets vis-a•vis change
in NiStfore gn currency derivatives' (S billion, transactions conducted
during the period)
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2m 25d skew Is elevated
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0089870
CONFIDENTIAL SDNY_GM_00236054
EFTA01387376