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"Realized Correlation"
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Corpus: 1990-03-17 – 2025-12-01
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EFTA01459755
Dataset 10
1p
854w
…2 1.0 1.6 9% 9% low Up Yes Wow 3 Correlation (S&P 500) 11A Implied Correlation 42.4 03 43.6 1.7 43.3 40.1 37.0 69% 69% Normal Up No below 40 1PA
Realized Correlation
44.9 -0.1 51.5 2.8 39.2 37.7 32.7 81% 81% High UP No below 40 114 Correl Premium (Implied- Reakired) -2-5 0.5 -AO -1.1 4.1 2.4 2…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01459755.pdf
EFTA01387684
Dataset 10
2017-12-05
1p
204w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier
To:
Paul Barrett
…2014 2015 2016 2017 From: Xavier Avila Sent: Friday, December 01 2017 5:55 PM To: 'Paul Barrett Cc: Stewart Oldfield < >; Joshua Shoshan < >; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, see below the note and analysis that Vimal put together. Attached also an indicative termsheet, where you can also see the mathematical Definition of
Realized Correlation
. Thanks and good weekend. Xavi CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) …
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387684.pdf
EFTA01387012
Dataset 10
2017-12-01
1p
249w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila
To:
Paul Barrett
…also see the mathematical Definition of
Realized Correlation
. Thanks and good weekend. Xavi Following the call yesterday we have attached an example termsheet for a correlation swap. We have also looked at 2 historical periods where USDZAR-EURZAR correlation realized at significantly lower levels, during 2010-2011 and 2015. Overlaying the
realized correlation
during those periods with USDZAR, EURZAR and EURUSD FX spot rates (each rebased to 1), we can see that lower
realized correlation
is driven by significant trends…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387012.pdf
EFTA01387685
Dataset 10
1p
191w
…an example termsheet for a correlation swap. We have also looked at 2 historical periods where USDZAR-EURZAR correlation realized at significantly lower levels, during 2010-2011 and 2015. Overlaying the
realized correlation
during those periods with USDZAR, EURZAR and EURUSD FX spot rates (each rebased to 1), we can see that lower
realized correlation
is driven by significant trends and moves in EURUSD particularly relative to ZAR. This coincided with EURUSD realized volatility rising relative to ZAR realized volatility…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387685.pdf
EFTA01435685
Dataset 10
2017-12-05
8p
1,142w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila
To:
"Paul Barrett
…highs to now sit close to current strikes (see graphs 3 & 4) The correlation swap provides a limited loss way of fading elevated MXN volatilities and buying cheap EURUSD volatility, which could perform in the event of rising Italian election and Catalonia independence concerns Graphs Graph 1: EURMXN-USDMXN implied correlation at highs Graph 2: MXN vols elevated compared to EURUSD vols EFTA01435687 Graph 3: ly
realized correlation
vs. strike Graph 4: 2y
realized correlation
vs. strike Sources: Deutsche Bank…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435685.pdf
EFTA01371252
Dataset 10
1p
391w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
To:
'Paul Barrett
…2: MXN vols elevated compared to EURUSO vols IDON 5 90% 0 toe -at -s 7056 r EON -10 SON -15 a EURMXN.USOMXst 1y 'mole:Ian -20 —EUMISO-EURMXN ly implied vol spread 3016 — EURMXN.USDMXN 2y impliedcar EURUS0USOMX14 ly irroied yolspead 2096 -25 2007 3301 2003 2010 2011 2012 2013 2014 2015 2016 2017 2007 2003 2009 2010 3311 2012 2013 2014 2015 3216 2017 Graph 3: 1v
realized correlation
vs. strike Graph 4: 2y
realized correlation
vs…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01371252.pdf
EFTA01387898
Dataset 10
1p
376w
Graphs Graph 1: EURZAR-USDZAR implied correlation at highs Graph 2: ZAR vols elevated compared to EURUSD vols 5 EPRZAR-LISD7AR fin Ina/Econ. EURUSOEURZAR lymphoid vol spread EURZA.4-9502AR ly impleicorr - EURUS04/502AR 1y implied wisp:4W 43% -- —r- ---e -20 100 2006 2009 2010 2011 2012 2013 2014 2015 2016 2017 3300 20C$ 2009 2030 2011 2012 2013 2014 2015 2016 2017 Graph 3: 6m
realized correlation
vs. strike Graph 4: lv
realized correlation
vs. strike 10096 …
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387898.pdf
EFTA01387064
Dataset 10
2017-12-07
1p
142w
Subject:
RE: DB EX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila
To:
Paul Barrett
…similar downside and higher upside vs average and min
realized correlation
. Thanks ZAR Corr Difference Strike 82.50% Max 92.68% -10.18% Average 79.72% 2.78% Min 48.08% 34.42% Above Strike 45.09% Below Strike 54.91% MXN Corr Difference Strike 78.00% Max 87.46% -9.46% Average 63.70% 14.30% Min 10.91% 67.09% Above Strike 17.52% Below Strike 82.48% TRY Corr Difference Strike 81.00% Max 90.28% -9…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387064.pdf
EFTA01387014
Dataset 10
1p
392w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
To:
'Paul Barrett
…Graph 2: MXN vols elevated compared to EURUSO vols /OM 5 9034 0 toe -at -s 7056 r 1034 -10 5036 -15 401 EuR14014.1SOMOt 1y impliedcar -20 —EUR1150-EURMXN ly implied spread 3016 — EURMOMJSOMXN 2y impel car EURUS0USONECN ly irroied yolspead 2096 1 -25 2OO7 3301 2003 2010 2011 2012 2013 2014 2015 2016 2017 2007 20W 2009 2010 3311 2012 2013 2014 2015 3316 2017 Graph 3: 1v
realized correlation
vs. strike Graph 4: 2y
realized correlation
vs…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387014.pdf
EFTA01435952
Dataset 10
2017-11-28
4p
564w
Subject:
DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Martin Zeman
To:
"Paul Barrett (
…to now sit close to current strikes (see graphs 3 & 4) The correlation swap provides a limited loss way of fading elevated ZAR volatilities and buying cheap EURUSD volatility, which could perform in the event of any Eurozone concerns such as the Italian election Graphs Graph 1: EURZAR-USDZAR implied correlation at highs Graph 2: ZAR vols elevated compared to EURUSD vols Graph 3: 6m
realized correlation
vs. strike Graph 4: ly
realized correlation
vs. strike EFTA01435953 Sources: Deutsche Bank…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435952.pdf
EFTA01416150
Dataset 10
2017-12-06
8p
1,174w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila ‹ >
To:
"Paul Barrett (
…to now sit close to current strikes (see graphs 3 & 4) The correlation swap provides a limited loss way of fading elevated ZAR volatilities and buying cheap EURUSD volatility, which could perform in the event of any Eurozone concerns such as the Italian election Graphs Graph 1: EURZAR-USDZAR implied correlation at highs Graph 2: ZAR vols elevated compared to EURUSD vols EFTA01416155 Graph 3: 6m
realized correlation
vs. strike Graph 4: ly
realized correlation
vs. strike Sources: Deutsche Bank…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01416150.pdf
EFTA01436019
Dataset 10
2017-12-01
6p
894w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila
To:
"Paul Barrett (
…to now sit close to current strikes (see graphs 3 & 4) The correlation swap provides a limited loss way of fading elevated ZAR volatilities and buying cheap EURUSD volatility, which could perform in the event of any Eurozone concerns such as the Italian election Graphs Graph 1: EURZAR-USDZAR implied correlation at highs Graph 2: ZAR vols elevated compared to EURUSD vols Graph 3: 6m
realized correlation
vs. strike Graph 4: ly
realized correlation
vs. strike EFTA01436022 Sources: Deutsche Bank…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01436019.pdf
EFTA01434448
Dataset 10
2017-12-05
7p
1,095w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila <IM= I>
To:
"Paul Barrett (
…to now sit close to current strikes (see graphs 3 & 4) The correlation swap provides a limited loss way of fading elevated ZAR volatilities and buying cheap EURUSD volatility, which could perform in the event of any Eurozone concerns such as the Italian election Graphs Graph 1: EURZAR-USDZAR implied correlation at highs Graph 2: ZAR vols elevated compared to EURUSD vols EFTA01434452 Graph 3: 6m
realized correlation
vs. strike Graph 4: ly
realized correlation
vs. strike Sources: Deutsche Bank…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434448.pdf
EFTA01435956
Dataset 10
2p
307w
…been driven by ZAR implied volatilities trading at their highest levels relative to EURUSD volatility since the financial crisis (see graph 2) • Since 2007 the highest 6m
realized correlation
is 94% and the lowest is 41%. For ly the highest is 93% and the lowest is 48%. Looking at shorter dated metrics, 3m
realized correlation
has fallen from recent highs to now sit close to current strikes (see graphs 3 & 4) • The correlation swap provides a limited loss way of…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435956.pdf
EFTA01434591
Dataset 10
2017-12-07
9p
1,375w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From:
Xavier Avila <IM= I>
To:
"Paul Barrett
…to now sit close to current strikes (see graphs 3 & 4) The correlation swap provides a limited loss way of fading elevated ZAR volatilities and buying cheap EURUSD volatility, which could perform in the event of any Eurozone concerns such as the Italian election Graphs Graph 1: EURZAR-USDZAR implied correlation at highs EFTA01434597 Graph 2: ZAR vols elevated compared to EURUSD vols Graph 3: 6m
realized correlation
vs. strike Graph 4: ly
realized correlation
vs. strike Sources: Deutsche Bank…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434591.pdf
EFTA01388938
Dataset 10
1p
312w
…Graph 2: ZAR vols elevated compared to EMUS() vols 100% 90% •01•04 RD% • 70% - 60% 50% • 44% — EuRZAR-uSOZAR 6m 'frond corr •—••• EuRt$50601ZAR ly molted 'nilKral EUICALUSOZAR lv inwied art — EURUSO•USOWI 1Y IMO NIKI veal gain 40% -20 2007 2003 2009 2020 2011 2012 2013 2014 2015 2016 2017 200; 2003 2009 2020 2011 2012 2013 2014 MI5 2016 2017 Graph 3: 6m
realized correlation
vs. strike Graph 4: 1y
realized correlation
vs. strike CONFIDENTIAL - PURSUANT TO FED…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01388938.pdf
EFTA01387068
Dataset 10
2017-11-28
1p
356w
…2: MXN vols elevated compared to EURUSO vols 100% 0 803£ A -5 -Axe 1 - 60% -ID 50% -15 43% — EIAMMUSDPAXN ly implialtorr -20 Eu gt.5O6 WM% ly inwlSd e$ spend 30% — EuRfAXISUSL*004 2y impliedear EtiRUSD-USINAM iY impied vial spied Xs% -25 • 2207 2336 2009 2010 IOU 2012 2013 2014 2015 2016 2017 2007 2008 2013 2010 2011 2012 2013 2014 2315 2016 2017 Graph 3: 1v
realized correlation
vs. strike Graph 4: 2v
realized correlation
vs…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387068.pdf
EFTA01472080
Dataset 10
2015-02-03
2p
282w
Subject:
Short Latam FX Ideas [I]
From:
Daniel Sabba cffi.
To:
jeffrey E. <
[email protected]
>
…MXN and PEN have all depreciated against USD, falling 17.8%, 28.2%, 15.0%, 16.0% and 10.1% respectively. These currencies have also exhibited a high positive
realized correlation
over this period. {cid:1
[email protected]
} {cid:2
[email protected]
} COP, CLP, MXN and PEN benefit from significantly lower carry costs compared to BRL. In addition, many of these currencies currently have lower implied volatilities and less pronounced skew. Therefore it maybe more efficient to express…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01472080.pdf
EFTA01458543
Dataset 10
1p
833w
…No below 18 1M Vol Premium (Implied -Realised) 47 5.9 -7.5 -A0 4.2 1.3 1.6 22% 22% Low Down Yes below 3 Correlation (SSP 500) 1M ImPlIed Correlation 50.2 2.8 514 8.0 40.3 40.6 37.0 85% La Nib Up No below 40 1M
Realized Correlation
64.1 -6.2 71.0 35.4 331 37.0 32.2 96% 96% High UP No below 40 1M Correl Premium (Implied…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01458543.pdf
EFTA01456565
Dataset 10
2015-02-03
1p
236w
Subject:
Short Latam FX Ideas llj
From:
Daniel Sabba
To:
jeffrey E.
…falling 17.8%, 28.2%, 15.0%, 16.0% and 10.1% respectively. These currencies have also exhibited a high positive
realized correlation
over this period. 115% 110% "5% 100% Realised Correlation BRL COP CLP MXN PEN BRL 100% 47% 40% 39% COP 100% 36% CLP 100% 40% 40% MXN 100% 46% PEN 100% COP, CLP, MXN and PEN benefit from significantly lower carry costs compared to BRL. In addition, many of these currencies currently have lower implied volatilities and…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01456565.pdf
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