EFTA01461150.pdf

From: Tazia Smith Sent: 11/15/2013 10:14:46 AM To: [email protected] CC: Vahe Stepanian ; Paul Morris Subject: USDcJPYp zero cost one-touch option... ICI Attachments: pic00317.gif; pic23579.gif Classification: Confidential Jeffrey - we know you're bearish yen vs. US dollar. As you've seen, there has been recent momentum in the JPY sell-off vs the USD since last Thursday's breakdown to a 97 handle. USDJPY is presently -100.2. An at-the-money lyr USDc]PYp presently costs -4.6%. Instead of an out right, consider a zero-cost version where you owe a payment (518.7k in this 1mm notional example) if lower levels (in this example 99, 98, 97) are touched (American barriers). The structure below is zero cost, includes 3 knock-in payments that would total —5.6%. If the one-touch levels are not touched and the current momentum continues, or if less than three of the one-touch levels are hit, then the at-the-money u5DcJPYp you own is less expensive than an outright vanilla USDOPYp. If all three one-touch levels hit, your call option is -1% more expensive than an outright, and your break-even would be up above 105.8. Please see below, look forward to your thoughts! Best, Tazia Indicative levels only. Subject to market movement. Source: DB WM FX Sales. 11/15/13 Spot ref = 100.18 Approximate collateral would be 350k Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 100.2 Notional: USD 1,000,000 Expiry: Mon 17-Nov-2014 (ly) Settlement: wed 19-Nov-2014 ZoneCut: NY Premium: USD 46,000 Premium Date: Tue 19-Nov-2013 Leg 2: One Touch <client> sells one Touch on USD/JPY payout Barrier: 99 Payout: USD 18,700 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Mon 17-Nov-2014 (ly) Settlement: wed 19-Nov-2014 ZoneCut: NY Premium: USD -17,000 Premium Date: Tue 19-Nov-2013 Leg 3: One Touch <Client> sells One Touch on USD/JPY payout Barrier: 98 Payout: USD 18,700 Payout Ccy: <PayCurrency> CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123000 CONFIDENTIAL SDNY_GM_00269184 EFTA01461150