From: Paul Morris < To: [email protected] <[email protected]> Subject: Re: Higher rates in Europe - timely [C] Date: Thu, 30 Apr 2015 23:10:54 +0000 Inline-Images: image002.png; image003jpg; imagealljpg Classification: Confidential Let me know when you're in town, want to get your thoughts on couple ideas, tx From: Jeffrey E. [mailto:[email protected]] Sent: Thursday, April 30, 2015 05:51 AM To: Daniel Sabba Cc: Paul Morris; Vahe Stepanian; Mane Dwyer; Richard Kahn < Subject: Re: Higher rates in Europe - timely [C] what are the interest rates today or do i need to look at the chart? On Thu, Apr 30, 2015 at 8:31 AM, Daniel Sabba fr> wrote: Classification: Confidential I wanted to share some thoughts on the risk reward for European fixed income. At yesterday's close, 10y EUR swaps and l0y bunds were up 0.098% and 0.122% respectively. For a holder of l0y sovereign German bond (DBR 0 1/2 02/15/25), yesterday's MTM movement represented the yield its owner would have earned for about 7 years. The equivalent movement for the 30y German bond (DBR 2 1/2 08/15/46) represents about 6 years of yield. This begs the question of whether market participants who own European government debt will rethink the risk reward of that investment. Is such an asset worth owning once one realizes such a daily blip in interest rates has the potential to wipe out multiple years of yield? The options below allow investors to position for a lift-off in European swap rates with limited downside of premium paid. From: Daniel Sabba Sent: Wednesday, April 29, 2015 11:57 AM To: 'Jeffrey E.' Cc: Paul Morris; Vahe Stepanian; Mane Dwyer; 'Richard Kahn' Subject: Higher rates in Europe - timely [C] Importance: High Classification: Confidential EFTA00857856