From: "Jeffrey E." <[email protected]> To: Daniel Sabba Cc: Paul Morris , Vahe Stepanian , Ariane Dwyer , Richard Kahn Subject: Re: Higher rates in Europe - timely [C] Date: Thu, 30 Apr 2015 12:51:56 +0000 Inline-Images: image002.png; image003jpg; image00 1 jpg 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 Classification: Confidential > wrote: I wanted to share some thoughts on the risk reward for European fixed income. At yesterday's close, 1 0y 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 '/ 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 Stepanlan; Mane Dwyer; 'Richard Kahn' Subject: Higher rates in Europe - timely [C] Importance: High Classification: Confidential This is timely given this morning's moves... EUR swap rates are up dramatically and markets are fluid - the pricing below is as of last night's close. Trade Rationale: • Yields in the Eurozone have fallen since the start of 2014, and the commencement of the ECB's 1.1 trillion EUR quantitative easing program in March has fueled the dedine to a greater degree than anticipated EFTA01207563