RE: Turkey and CNH [C] [I]
Jeffrey — we're following up our phone calls earlier this week with two trade ideas:
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- Buy Turkey 5y CDS — currently @ —253
It seems Turkey has rallied recently on the back of the broader macro EM rally and FOMC dovishness, although fundamentally not much has changed in Turkey
General elections are taking place this weekend, which have created increased tension within Turkey and continue to generate headlines
Recent opinion polls still point to another hung parliament (additional details in attached DB research piece)
Outright short EM positions have cleaned up extensively and we believe it makes sense to slowly build out those positions
Cheap funding has resulted in large rise in corporate debt in Turkey, some of which has been funded in foreign currency
Turkey foreign reserves amongst lowest of EM countries, second only to Ukraine
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- Revisiting CNH as we know you're generally bearish Asian currencies. Given vols and skew, indicative pricing for ly, USD/CNH 6.5 — 7.0 call spread:
Spot Ref: 6.3935 (pricing as of 10/27/15)
Leg 1: European Option Call
SOFL buys European USD Call on USD/CNH
Strike: 6.5
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Notional: USD 10,000,000
Expiry: Thu 27-Oct-2016 (ly)
Premium: USD 287,100 (2.87%)
Delta: 53%
Strike vol: 6.24%
Leg 2: European Option Call
SOFL sells European USD Call on USD/CNH
Strike: 7.0
Notional: USD 10,000,000
Expiry: Thu 27-Oct-2016 (ly)
Premium: USD -127,100 (1.27%)
Delta: 24%
Strike vol: 9.15%
Net premium: USD 160,000 (1.60%)
Thank you,
Vahe
Vahe Stepanian
Assistant Vice President I Key Client Partners
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Deutsche Bank Securities Inc.
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there was an election this weekend? shouldnt that have been part of the analysis. a MAJOR part. an early check has your reccommendation down 7 % on the open. and that is the unleveraged play
Morning where is CDS this am?
Paul — Turkey 5y CDS currently —235 on the back of election results.
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From: Paul Morris Sent: Monday, November 02, 2015 8:07 AM To: Vahe Stepanian; Daniel Sabba Subject: FW: Turkey and CNH [C]
Morning where is CDS this am?