EFTA01462682.pdf

Subject: Fw: Euro and Yen.... [C] From: Paul Morris < IMI=> Date: Thu, 14 Au 2014 12:00:05 -0400 To: Classification: Confidential sorry we were cut short yesterday, we can talk again later, want your feedback, thx Paul Morris Managing Director Deutsche Bank Private Bank 345 Park Avenue, 27th Floor New York. NY 10154 Office: Cell: Forwarded by Paul Morris/db/dbcom on 08/14/2014 11:59 AM From: Tazia Smith/db/dbcom To: , Cc: Paul Morris, Vahe Stepanian/db/dbcom@DBAmericas, Matt Glassman/db/dbcom@DBAMERICAS Date: 08/13/2014 09:20 AM Subject: Euro and Yen.... [C] 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 EFTA01462682 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 Y/N> Expiry: Thu 13-Aug-2015 (ly) Settlement: Mon 17-Aug-2015 ZoneCut: NY Premium: USD -110,000 Premium Date: Fri 15-Aug-2014 EFTA01462683 Leg 3: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 99 Payout: USD 150,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate YIN> 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 YIN> 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 USDJPY Interday Chart USDJPY 1-Yr Price History Used with permission of Bloomberg Finance LP EFTA01462684 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. Fax + Mobil Email EFTA01462685