EFTA01434591Set 10
2017-12-079p1,375w
good or better than MXN,
similar downside and higher upside vs average and min realized correlation.
Thanks
fcid:image001.png@OlD36F73.10ECCECO1
From: Xavier Avila
Sent: Wednesday, December ... compares vs ZAR.
Data in the file, since 2007 on a rolling daily lyr realized correlation
basis.
The strike is lower (78% vs 82.50%), but the diff of strike ... Attached also
an indicative termsheet, where you can also see the mathematical Definition
of Realized Correlation. Thanks and good weekend. Xavi
Following the call yesterday we have attached an example
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434591.pdf
EFTA01416150Set 10
2017-12-068p1,174w
Attached also
an indicative termsheet, where you can also see the mathematical Definition
of Realized Correlation. Thanks and good weekend. Xavi
Following the call yesterday we have attached an example ... EURZAR correlation
realized at significantly lower levels, during 2010-2011 and 2015.
Overlaying the realized correlation during those periods with USDZAR, EURZAR
and EURUSD FX spot rates (each rebased ... that lower realized
correlation is driven by significant trends and moves in EURUSD particularly
relative to ZAR. This coincided with EURUSD realized volatility rising
relative to ZAR realized volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01416150.pdf
EFTA01434448Set 10
2017-12-057p1,095w
Attached also
an indicative termsheet, where you can also see the mathematical Definition
of Realized Correlation. Thanks and good weekend. Xavi
Following the call yesterday we have attached an example ... EURZAR correlation
realized at significantly lower levels, during 2010-2011 and 2015.
Overlaying the realized correlation during those periods with USDZAR, EURZAR
and EURUSD FX spot rates (each rebased ... that lower realized
correlation is driven by significant trends and moves in EURUSD particularly
relative to ZAR. This coincided with EURUSD realized volatility rising
relative to ZAR realized volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434448.pdf
EFTA01435685Set 10
2017-12-058p1,142w
Attached also
an indicative termsheet, where you can also see the mathematical Definition
of Realized Correlation. Thanks and good weekend. Xavi
Following the call yesterday we have attached an example ... EURZAR correlation
realized at significantly lower levels, during 2010-2011 and 2015.
Overlaying the realized correlation during those periods with USDZAR, EURZAR
and EURUSD FX spot rates (each rebased ... that lower realized
correlation is driven by significant trends and moves in EURUSD particularly
relative to ZAR. This coincided with EURUSD realized volatility rising
relative to ZAR realized volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435685.pdf
EFTA01387012Set 10
2017-12-011p249w
Attached also an indicative termsheet, where you can
also see the mathematical Definition of Realized Correlation. Thanks and good weekend. Xavi
Following the call yesterday we have attached an example ... EURZAR correlation realized at significantly lower levels,
during 2010-2011 and 2015. Overlaying the realized correlation during those periods with USDZAR, EURZAR and EURUSD
FX spot rates (each rebased ... that lower realized correlation is driven by significant trends and moves in
EURUSD particularly relative to ZAR. This coincided with EURUSD realized volatility rising relative to ZAR realized
volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387012.pdf
EFTA00643874Set 9
2016-07-194p1,669w
Bonds) up 16% on a total return basis [Chart 1]
• Despite this, bond-equity realized correlation remains strongly negative and is near 3yr lows, creating attractive entry points for
directional ... equities and long-dated Treasuries recently hit al-time highs, with However, bond-equity realized correlation has fallen to near 3yr lows as
YTD total returns
https://www.justice.gov/epstein/files/DataSet%209/EFTA00643874.pdf