EFTA01451131.pdf

Bearish Yen, Positive Carry Trade Deutsche Bank FX Strategists are calling for USDJPY of115 by year-end 2014. and 120 by year-end 2015. See DB FX Blueprint published 119/14. and note that #2 of the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD. Consider a positive carry solution of buying a long-dated in the money call and selling an in the money knock-out for positive carry and time decay, as well as very high gamma for gearing to a short-term move. Example: USDJPY 10yr forward reference: -77.75 Buy 10yr 110% USDcJPYp Sell 10yr 115% USDcJPYp knock-out Net -4.5% premium paid If all else stayed equal, roll yield would result in —10% return, thanks to the steepness of the forward curve. If the yen sold off sharply versus the dollar tomorrow through 109.50, for example, the premium of the option could spike up —40%, for a much greater near-dated return. Max loss is premium paid. Indicative levels only. Subject to market movement. Source: DB Key Client Partners and Bloomberg, 1/7/14. DB Momentum Asset Allocator 6% Index (DBMUUPPN) Start date 3/31/92 I •/ !..•• 10'16s D5HUUPPti Index 99 Save kc 96) Actions • ci Edit Tah.e I •e 03;12/1019 01;1O1014 351 lone mul goon -10-rn . ECM #0„ tie el k•...emervirtel\tv-kw ev tc . . . . . . . . . . 1 . . . . PG .•+-4. ItS AN, 103 le; ml 'Australia 61 2 9777 $600 Brant 5511 3040 4500 Eur 44 20 7930 7500 Coraany 40 69 9201 1210 Nang 14:09 952 2977 0360 Jaoan 81 3 3C01 8900 Soar/cr., CZ C1111 101:0 11 1 212 310 2000 • ; 1. 1 2014 1119064rg Finance P CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 107367 CONFIDENTIAL SDNY_GM_00253551 EFTA01451131