EFTA01446826.pdf

Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate YIN> Expiry: Thu 01-May-2014 Settlement: Wed 07-May-2014 ZoneCut: NY Premium: USD -74,120 Premium Date: Tue 04-Feb-2014 Net Premium: <Client> Pays USD 88,980 From: Tazia Smith To: [email protected], Cc. Paul Morris. vin Sahni/db Nav GueVahe Stepaniank Date: 01/30/201406:26 PM &Moot 10yr $/Y.... IC] Classification: Confidential Jeffrey - Below is the description and scenario analysis from Nav and team for the 10y USDJPY call option, strike 85 with American style KO at 90 (v spot). If you review and like the long-term position ("IRR" like trade, as Vinit said), our suggestion is to leg in, perhaps 55mm notional x2 for total 510mm notional. Let's discuss the below in the morning (Fri) and depending on your review/the market we can potentially add the first leg. Best Regards, Tazia --- Forwarded by Tam Smatklbrdbecim on 01/30.2014 06.14 PM -- Classification: Confidential The trade below is a structure to reduce the cost of a near-dated USDJPY call and express a long-term bearish view on the yen; it's a trade that Vinit and Nav have been kicking around to take advantage of dislocations in FX and like it a lot l0y Expiry: European style USDJPY 85.00 strike, call option which knocks out (KO) if SY trades at 90 at any time during the life of the option Spot Ref 102.5 Mid market 4.0% of USD notional. Offer 4.35% Maximum loss is premium paid Indicative level only. Subject to market movement. Source: DB FX London, 1130/14. Key Points: - We find that buyers often cheapen call options by selling in-the-money knockouts - so if the buyers view is "too right" the option knocks out and becomes worthless CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0101225 CONFIDENTIAL SDNY_GM_00247409 EFTA01446826