EFTA01461329.pdf

-12% -10% -5% 0% 5% 10% 15% Spot 90.21 92.26 97.38 102.51 107.64 112.76 117.09 0.05 1.1 3.7 6.4 9.1 11.8 14.4 0.04 0.9 3.1 5.4 7.7 10.1 12.5 0.04 0.8 2.6 4.6 6.7 8.8 10.9 0.03 0.7 2.3 4.0 5.8 7.7 9.5 Prices in %of USD notional Notes: I. premium decays positively if spot is unchanged 2. the premium is sensitive to moves in spot - much more than a regular 10y option 3. the mid price for a 10year expiry 85 strike USDJPY call (without any KO feature) is 10.5% and the mid price for a lyear 102.51 strike call is 4% and compared with either of these the option with the KO feature has better risk:reward in NaVs opinion 4. we suggest sizing it to worst loss Tazia Smith Director I Key Client Partners - US Deutsche Sank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue. 26th Floor New York NY 10154 PoW;7401,6* PW,Onst, CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123302 CONFIDENTIAL SDNY_GM_00269486 EFTA01461329