EFTA01437611.pdf

Subject: RE: [/] Trade Idea -> TRY autocall swap From: Stewart Oldfield Date: Mon, 25 Jun 2018 09:55:30 -0400 To: Martin Zeman 4:1 1 This is moving the right way, but can I assume vol has come in significantly? From: Martin Zeman Sent: Wednesday, June 20, 2018 11:58 AM To: 'Paul Barrett ( Cc: Gaurano Chadha < ie ; Liam Osullivan < Subject: [/] Trade Idea -> TRY autocall swap Paul, the dislocation in EM continues and we'd like to offer the below idea that can be traded in a note format and offers a 17-18% annual net coupon. If you don't like Turkey, but would like to see a similar payout structure in Brazil, Mexico, Rubble or a basket or EM currencies, we can price that up as well. this is not principal-protected (client is short an at-expiry knock-in barrier = EKI) but the whole point is that spot, forwards and vol are currently extended and 2 out of 3 (forwards + vol) are likely to come back in the next 12-18 months as political risk in Turkey goes down and inflation dynamics stabilise We have set the final autocall super-high (ATMF = at-the-money- forward) so that if client doesn't get autocalled the likelihood of them receiving the snowball coupon is still relatively high In a note format, the indication we have from WM CRM was that they would give this a 75% LTV. EFTA01437611 IN PLAIN ENGLISH, THE CLIENT TAKES ADVANTAGE OF A DISLOCATION IN TURKEY, RECEIVES AN ANNUALIZED COUPON OF 17-18%, AND WHEN USDTRY TRADES BELOW 4.75 ON ANY QUARTERLY OBSERVATION, THE TRADE ENDS. THE RISK TO THE CLIENT IS MODELED IN THE MARK-TO-MARKET ANALYSIS BELOW. IF USDTRY NEVER FIXES BELOW 4.75 ON ANY QUARTERLY OBSERVATION AND ENDS UP ABOVE 8.90 IN 5 YEARS, THE CLIENT INCURS A SIGNIFICANT LOSS (SEE ANALYSIS BELOW.) Refs: USDTRY Spot = 4.75 USDTRY 5y forward = 8.90 Indicative terms: Format Autocallable Swap Tenor 5 years, subject to early autocall Underlying USDTRY FX Rate Observation Dates Quarterly from Trade Date Autocall Barrier ATMS (= initial level as of Trade Date) for first 19 observation dates but ATMF level for last observation date Client pays EFTA01437612  3m$LIBOR on a quarterly basis, subject to early autocall Client receives 5.20% x t (t = 1,2....20) if USDTRY < Autocall Barrier (and the swap stops) else 0 on that observation date. If never autocalled Then client is short USDTRY EKI Call Option with Strike = ATMS and EKI = ATMF Scenario Analysis assuming $10M notional - at yearly intervals* (the analysis is the MtM on the leg the client receives and does not include the 3mLibor payments) USDTRY Autocallable Swap MtM as of Trade Date Trade Date+ly Trade Date+2y Trade Date+3Y Trade Date+4y at Maturity USDTRY Spot Scenario 3.00 434,548 2,506,839 4,547,947 EFTA01437613 6,615,062 8,702,309 10,400,000 3.40 399,115 2,458,923 4,499,751 6,565,840 8,680,736 10,400,000 3.80 319,582 2,354,432 4,405,681 6,486,303 8,650,596 10,400,000 4.20 138,685 2,101,845 4,255,904 6,405,653 8,635,510 10,400,000 EFTA01437614 4.60 -290,675 1,665,865 3,880,006 6,327,389 8,732,346 10,400,000 5.00 -968,630 898,766 3,282,830 6,156,333 8,847,394 10,400,000 5.40 -1,764,484 -1,764,484 2,449,747 5,569,924 8,721,061 10,400,000 5.80 -2,619,886 EFTA01437615  -2,619,886 1,394,751 4,607,107 8,247,953 10,400,000 6.20 -3,481,588 -3,481,588 203,379 3,362,585 7,558,745 10,400,000 6.60 -4,297,245 -4,297,245 -1,015,976 1,945,424 6,600,819 10,400,000 7.00 -4,968,063 -4,968,063 -2,186,240 480,324 EFTA01437616 5,346,136 10,400,000 7.40 -5,569,177 -5,569,177 -3,266,189 -948,728 3,754,386 10,400,000 7.80 -6,045,274 -6,045,274 -4,221,886 -2,309,102 1,867,575 10,400,000 8.20 -6,456,375 -6,456,375 -5,001,091 -3,516,730 -59,745 10,400,000 8.60 EFTA01437617  -6,796,988 -6,796,988 -5,661,708 -4,467,434 -1,931,011 10,400,000 9.00 -7,068,686 -7,068,686 -6,153,564 -5,219,182 -3,377,233 -4,722,222 9.40 -7,280,117 -7,280,117 -6,522,842 -5,770,923 -4,557,597 -4,946,809 9.80 -7,451,348 -7,451,348 -6,807,704 EFTA01437618  -6,155,720 -5,299,238 -5,153,061 10.20 -7,581,454 -7,581,454 -6,997,152 -6,453,373 -5,804,593 -5,343,137 fcid:[email protected] Martin fcid:[email protected] Martin Zeman Director I Key Client Partners Deutsche Bank Wealth Management DB Securities Inc 345 Park Avenue, 10154-0004 New York, NY, USA Tel. 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