EFTA00707101.pdf

From: Tazia Smith •tt > To: jeevacation@gmail.com Cc: MIM , Vahe Stepanian alMa>, Paul Morris Subject: USDcJPYp zero cost one-touch option... [C] Date: Fri, 15 Nov 2013 15:14:49 +0000 Inline-Images: unnamed; unnamed(I) Classification: Confidential Jeffrey - We know you're bearish yen vs. US dollar. As you've seen, there has been recent momentum in the JPY sell-off vs the USD since last Thursday's breakdown to a 97 handle. USDJPY is presently —100.2. An at-the-money 1yr USDcJPYp presently costs -4.6%. Instead of an out right, consider a zero-cost version where you owe a payment ($18.7k in this 1mm notional example) if lower levels (in this example 99, 98, 97) are touched (American barriers). The structure below is zero cost, includes 3 knock-in payments that would total -5.6%. If the one-touch levels are not touched and the current momentum continues, or if less than three of the one-touch levels are hit, then the at-the-money USDcJPYp you own is less expensive than an outright vanilla USDcJPYp. If all three one-touch levels hit, your call option is -1% more expensive than an outright, and your break-even would be up above 105.8. Please see below, look forward to your thoughts! Best. Tazia Indicative levels only. Subject to market movement. Source: DB WM FX Sales, 11/15/13 Spot ref = 100.18 Approximate collateral would be $50k Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 100.2 Notional: USD 1,000,000 Expiry: Mon 17-Nov-2014 (1y) Settlement: Wed 19-Nov-2014 ZoneCut: NY Premium: USD 46,000 Premium Date: Tue 19-Nov-2013 Leg 2: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 99 Payout: USD 18,700 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Mon 17-Nov-2014 (1y) Settlement: Wed 19-Nov-2014 ZoneCut: NY Premium: USD -17,000 EFTA00707101 Premium Date: Tue 19-Nov-2013 Leg 3: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 98 Payout: USD 18,700 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Mon 17-Nov-2014 (1y) Settlement: Wed 19-Nov-2014 ZoneCut: NY Premium: USD -16,000 Premium Date: Tue 19-Nov-2013 Leg 4: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 97 Payout: USD 18,700 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Mon 17-Nov-2014 (1y) Settlement: Wed 19-Nov-2014 ZoneCut: NY Premium: USD -13,000 Premium Date: Tue 19-Nov-2013 Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset 8 Wealth Management 345 Park Avenue, 26th Floor New York. 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