EFTA01479692.pdf

Subject: Euro and Yen.... From: Tazia Smith < Date: Wed, 13 Au 2014 09:20:03 -0400 To: Cc: Paul Morris Vahe Stepanian < Matt Glassman < > Classification: Confidential Good Morning Rich - Weak retail sails saw the dollar sell off this morning. Indicative level on the EURUSD risk reversal is 89.5/97.8 vs. 1.3397 spot, or $89,500 bid on 10mm euro notional (9/8/14 EURUSD 1.345:1.38). That's down from -$101k before the retail sails number (inter-day EURUSD chart below). Separately, we've been revisiting USDJPY call/triple one-touch again. As of this morning, a 103 USDJPY lyr call could be funded (for zero-cost up front premium) with 100, 99, and 98 strike one-touches, each with a 1.5% payout if that strike is touched. In other words the vanilla call would cost 2.78%, if USDJPY touched 100 then 1.5% cost, if USDJPY touched 99 than 3% total cost, and if USDJPY touched 98, then 4.5% total cost - so a 4.5% max loss, or -36% more expensive vs. vanilla option in the worst case scenario. If we place a low probability that USDJPY drops back below 100, then this is interesting. Putting this back on the radar - provided Jeffrey's view remains 'yen weaker'. Watching spot and pricing. Recall Jeffrey's current position is at 101 call, 99, 98, 97 one-touch. (lyr and interday charts below). Last - but certainly not least! - please meet Matt Glassman a new sr. member of our team who has joined us this week from Goldman institutional cross-asset sales. Best Regards, Tazia Indicative level, subject to market movement. Source: DB FX Sales, 8/13/14 Spot ref = 102.27 (Very spot sensitive) Could do the following at zero cost... Using a strike of 103.00 for the upside call. Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 103 Notional: USD 10,000,000 Expiry: Thu 13-Aug-2015 (ly) Settlement: Mon 17-Aug-2015 ZoneCut: NY Premium: USD 278,000 Premium Date: Fri 15-Aug-2014 Leg 2: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 100 Payout: USD 150,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate YIN> Expiry: Thu 13-Aug-2015 (ly) EFTA01479692 Settlement: Mon 17-Aug-2015 ZoneCut: NY Premium: USD -110,000 Premium Date: Fri 15-Aug-2014 Leg 3: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 99 Payout: USD 150,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Thu 13-Aug-2015 (ly) Settlement: Mon 17-Aug-2015 ZoneCut: NY Premium: USD -95,000 Premium Date: Fri 15-Aug-2014 Leg 4: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 98 Payout: USD 150,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Thu 13-Aug-2015 (ly) Settlement: Mon 17-Aug-2015 ZoneCut: NY Premium: USD -73,000 Premium Date: Fri 15-Aug-2014 EURUSD Interday Chart (Embedded image moved to file: pic21022.gif) USDJPY Interday Chart (Embedded image moved to file: pic27251.gif) USDJPY 1-Yr Price History (Embedded image moved to file: pic21881.gif) Used with permission of Bloomberg Finance LP (Embedded image moved to file: pic16844.gif) Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue 10154-0004 New York, NY, USA Tel. EFTA01479693 Fax Mobile Email (Embedded image moved to file: pic22610.gif) EFTA01479694