EFTA01141174.pdf

From: Tazia Smith To: [email protected] Cc: , Vinit Sahni , Nav Gupta Paul Morris , Vahe Stepanian Subject: PVDSA chart + USDJPY Trade [C] Date: Sun, 12 Jan 2014 20:38:05 +0000 Attachments: DB_FX_Blueprintn Outlook_2014.pdf Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4) Classification: Confidential Jeffrey: Please find the chart of PDVSA 5% 10/28115 price history below. as well as a description of the USDJPY 10yr trade that we briefly discussed on Friday. Speak with you soon. Tazia PDVSA 5 10/28/15 $ 185.500 +1.500 1411.7 bp vs T 0.250 12/31/2015 As of 10 Jan Vol 989.011 2ai__Ifi Et t% eadj u i(X) Lo 83.3 PDVSA 5 10/28/15 r 99 Save AC - the rt laln?enarcote riMki 5Y Fa> Daily • Security/Stuty 101 Event 0 + Track z AnnOtate 'a News 0, Zoom was imam1-Tioerwr - firrlimuFrori ffr,i' - Used with permission of Bloomberg Finance LP, 1/10114 -- Forwarded by Tazia Smith/db/dbcom on 01/12/2014 03:29 PM ---- From: Nav Guptaidbidbcom@DBEMEA To: Tazia Smith/db/dbcom@DBAMERICAS. Date: 01/1012014 08:21 AM Subject: SY [I) Classification: For internal use only EFTA01141174  Long SY Call Options. We like long expiry options to benefit from the present dislocation between interest rates and volatility Deutsche Bank FX Strategists are calling for USOJPY of 115 by year-end 2014. and 120 by year-end 2015. See DB FX Blueprint published 1/9/14. and note that #2 of the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD. Consider a 10year expiry SY call option struck at 85 (spot fx 105. forward fx 77.70). Price 4.7% of USD notional This option has four notable characteristics • If SY stays at these levels the option decays positively by approx 15-20% per year • If SY trades 90.00 at any time (arguably a scenario in which the option is no longer wanted) the option "knocks-out" and becomes worthless. While SY might decline to 90. our quantitative analysis indicates the probability of such a decline is significantly (double?) overpriced by the options market • The premium of the option is quite sensitive to moves in SY spot - which is atypical for a 10year option. This also results from the knockout feature. This means if SY moves quickly by 5% the option increases / decreases in value by almost half, so If SY rises to 110 or 115 the option can easily be unwound to monetize the profit • The option costs roughly 1/3rd compared to the vanilta 85 strike call • Maximum loss is premium paid Nay Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset 8 Wealth Management 105/108 Old Broad St (Pinners Hall). EC2N lEN London. United Kingdom Email Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID). who understand the strategy. characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. Petnio-pcia- Perform. Tazia Smith Director i Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset 8 Wealth Management 345 Park Avenue. 26th Floor New York. NY 10154 Tel. +1 (212) 454-2889 011iiiiill ?ascii:n-4v Perfunn This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication EFTA01141175 in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01141176