Re: First BRL note valuation date 3/20, poised to settle beyond barrier (down ~20%) [C]
Jeffrey -
First BRL note's valuation date is this Thursday, 3/20 (settles 3/27); presently down 19.8%, intrinsic. Your original investment was $1mm notional.
Initial strike: 1.9619
15% european barrier: 2.2562
Current USDBRL spot: 2.3505
Your second note has a final valuation of 4/14. Initial strike 2.0035, european barrier =2.3040.
Recall that the payout on these was as follows:
a) make 28.5% if BRL is up more than 3% vs. USD at maturity, b) make 5% if BRL is up between 0-3% vs USD, c) get your principal down less than 15% vs. USD, d) loose 1 for 1 if BRL is down more than 15% vs USD at maturity (max loss 100%)
Used with permission of Bloomberg Finance LP
Tazia Smith
EFTA01467932
Director | Key Client Partners - US
Deutsche Bank Securities Inc
Deutsche Asset & Wealth Management
345 Park Avenue, 26th Floor
New York, NY 10154
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EFTA01467933
is there a number ???
Mark-to-market on the note was $799k (down $201k) intrinsic value is $802k (down $198k), subject to moves in BRL for the next 3 days.
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
345 Park Avenue - 26th Floor
New York, NY 10154
Tel:
Mobile:
Fax:
E-mail:
EFTA01467931
When did jp put this one on? And I guess there is no way to get out of them, thx
lyr ago
The risk reward was such it made sense to hold. if brl recouped (or just bounced!) 3-10pct over the time they were here at DB, he could get back 100c on the dollar vs 75-80c (20-25c loss/'sunk cost'); on otherwords, there was <10pct likely downside and >20pct potential upside from levels where the notes were from where we got them. We discussed few times w him, and w Vinit/- Nay. Not just me. Outcome should not be a surprise.
Tazia Smith
Director
Key Client Partners - US
Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
345 Park Avenue - 26th Floor
New York, NY 10154
Tel:
Mobile:
Fax:
E-mail:
EFTA01467930
Thx, I know we spoke with him about these, thx