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Jeffrey - follow-up on trades per your request [C]
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Daniel Sabba Jan 7, 2015 9:08 AM
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jeevacation@gmail.com
Cc
Jeffrey,
Per your request, we did a hypothetical performance analysis of the 16 trades we discussed since October 2014. To complete this exercise we needed to assume notional exposures as uniform (either S10mm or EUR10mm), even if this would not have been the path realistically taken. This analysis is to be taken as hypothetical, indicative and for discussion purposes only.
Please let us know of best time to discuss.
| mall Date | Trade Description | Underlier | Notional or Quantity | Strike | Expiry | Underfier level at ception | Underlier teverontres 01.06.2015 | Chang | Premium Paid | 1/6/2015 Indicative Mid | Accrued interest Net Carry | PL | USD FL |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 130/34/20 | D Cue Steepener-CMS curve cap | CMS 5:20 | $10,000,000.00 | 54.50 | MUDA/15 | 75 | 4375 | $15.000.00 | $3.000.00 | nja | $12.000.00 | (5)D | |
| 20/24/20 | USD Digital - Payout | EUTUSO | 10,000,000.00 | 2.20 | 02/03/20 | 2430 | 1.189 | 60% | $3,000,000.0 | 14,000.00 | 1/4 | $4,400.000.0 | $4.670,700 |
| 330/34/2004 | 1y AAPL TRS @ 75bps | AAPL $ | 10.000.000.00 | n/a | 11/11/15 | 105.22 | 106.26 | 0.99% | 124 | $8,640.52 | $80.553.40 | ||
| 411/1/2014 | AAPL Fixed income-bonds | AAP 11/30/22Corp | 10,00,000 | 104 | 11/10/22 | 100 | 101.50 | 1.2% | A/R | 10,192.100.00 | 1616438 | 08.164.38 | $47.50745 |
| 513/3/24 | AAPLEUR doome-1ay bonds | AAL 15/8 11/32 Co | 30.000000 | n/a | 13/10/2 | 835 | 305.316 | 3.32% | 1/4 | €1,800 | €2626712 | 17,87.12 | 5425,564 63 |
| 611/11/2004 | Sy EUR Premium Neutral Risk Reversal | EURUSO | €10,000,000.01 | 1.3850/146 | 11/11/15 | 12477 | 1.369 | -4.70% | €0.00 | €20000710.00 | nw | €20.10 | 53:32.520.00 |
| 713/23/2014 | Short EUR by Form | EURVIC | €10,500.00.00 | n/a | 11/23/15 | 1.3477 | 2.389 | 3.70% | €877.050.00 | na | €477,090.70 | 5867-133.00 | |
| 811/23/2004 | EURUSD Puts | EURUSO € | 10.000.000.00 | 12450 | 11/13/15 | 1.2477 | 1.389 | 4.70% | €250.000.00 | €550.000.00 | nia | €260,000.00 | 5109.245.00 |
| 913/17/2004 | Sort Crude Vor Index Swap | DECAWSV | $10,000 | 150 | 11/17/15 | 76431 | 253-6431 | -6.30% | n/x | 9.35.901.34 | nia | (63 | 15.30,076.54 |
| 30 13/38/2014 | AAP Monday Outperformances | 174 5 | 10.000000 | nda | n/x | 36.30 | 3/4 | £5,960 25 | n/a | ||||
| 11 11/18/2004 | by SP Call Option | SPX index $ | 10.000.000.00 | 2.246.40 | 11/18/15 | 2044 | 2002.60 | 2.42% | 5725.000.00 | $736,000.00 | nia | 50.00 | 50.00 |
| 12 13/18/2004 | By SPX Call Option | sex index $ | 10,000,000.00 | 3452 | 11/18/19 | 2016 | 2002 HE | -2023 | $402.000.0 | $407.06.00 | nia | $5.000.00 | 50.000.00 |
| 33 13/28/294 | ng Dated Kneck-in Call | CL Candy | $10,000 | 100 | A/W/TH | 75.50 | 8753 | -30% | 5357.368.42 | $795.894.38 | nia | $642.326.32 | 3443,528-52 |
| 14/12/12/2014 | CO Menne | CLK 2006-1AC $ | 10.000.000.no | 1/o | NO | 06 | LAK | n/x | 29.500.000.00 | 313,390.06 | 50007 | 39947.84) | |
| 15 12/12/2014 | CLO Mezanine | INGIM 2013-1AG | $100,000.00 | 128 | 800 | 38.23 | -0215 | S375.000.00 | 336.921.90 | $11.921.90 | $11.3290 | ||
| 161/5/2013 | bullich Usco Revertal | USOBAL $ | 30.000.000.00 | 2.70/110 | 00 | 2.706 | 2.7008 | 4.39% | 50.00 | $4.500.00 | na | $4.005.30 | SA GOULDO |
Total $5.901.27194
Best regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
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