From: jeffrey E. <[email protected]> Sent: Thursday, November 13, 2014 8:15 PM To: Daniel Sabba Subject: Re: Follow-up on EUR hedging discussion [C] in the long put at 124 short call at 146 etc On Thu, N=v 13, 2014 at 4:08 PM, Daniel Sabba =wrote: Classification: Confiden=ial Could you please specify which structure/size in particular? Th=nk you, Daniel From: "jeffre= E." [[email protected] <[email protected]> ] Sent: 11/13/2014 04:05 PM AST Daniel Sabba Subject: Re: Follow-up on EUR=hedging discussion [C] prices of puts and calls? wrote: On Thu, Nov 13, 2014 at 2:38 PM, Daniel =abba Classification: Confidential Classification: Strictly Confidential Jeffrey, <mailto: I met with the head of FX trading of our investment bank to discuss the EUR hedging question you posed. To build a multi-billion short, a solution would be to implement a combination of spot, forward and options transactions over the course of several trading days/weeks. We propose discussing an execution plan in case you would like to pursue that route. We wanted to share with you the following parameters, which are indications for a EUR lbn short delta executed live in a typical trading day. Indication Considerations: - Spot ref 1.2450/1.2451 - a live execution of EUR lbn spot could indicatively be done 20pips below screen bid at 1.243= - 5y EURUSD forward mid 1.3530 - The indications below are for execution of one leg only, not all of them as a package EFTA_R1_01778592 EFTA02594560