EFTA01446820.pdf

From: Tazia Smith Sent: 1/31/2014 9:50:20 AM To: [email protected] CC: Paul Morris Subject: Re: 10yr $/Y.... Attachments: pic11195.gif; pic05098.gif; pic31531.gif Classification: Confidential Jeffrey - Tried you this morning. Call when you have time to review. No rush; although spot is lower, markets feel quite shaky this morning. In addition to the long dated option, just wanted to borrow a page from the USDCAD structure you have on (working well with spot now at 1.1208), for a shorter-term trade to consider on yen strength: 3mo 102.75 strike USDJPY call, RKI 107 strike (KI at 110). Add a digital one-touch at 100 (1.25% cost if hit). Net premium paid: 0.89% Compare to vanilla 102.75: 1.91% If digital 100 one-touch hit: 2.14% Max loss 2.14% Indicative level only. subject to market movement. source: DB wm Fx sales, 1/31/14. (full detail below) Best Regards, Tazia spot ref = 102.25 Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 102.75 Notional: USD 10,000,000 Expiry: Thu 01-May-2014 (3m) Settlement: wed 07-May-2014 ZoneCut: NY Premium: USD 191,400 Premium Date: Tue 04-Feb-2014 Leg 2: ITM Knockin Call <Client> sells European USD Call on USD/JPY with American Reverse Knock-In strike: 107 Notional: USD 10,000,000 American Reverse Knock-In: 110 Expiry: Thu 01-May-2014 settlement: wed 07-May-2014 ZoneCut: NY Premium: USD -28,300 Premium Date: Tue 04-Feb-2014 Leg 3: one Touch <Client> sells One Touch on USD/JPY payout Barrier: 100 Payout: USD 125,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Thu 01-May-2014 Settlement: wed 07-May-2014 ZoneCut: NY CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101218 CONFIDENTIAL SDNY_GM_00247402 EFTA01446820