EFTA01455499.pdf

From: Tazia Smith [[email protected]] Sent: 9/11/2014 11:37:13 AM To: Paul Morris[[email protected] Subject: Fw: JPY Swaption Trade + European-property-backed structure [I] Attachments: Reviewed Les Bordes Teaser Final.pdf; pic19352.gif; pic30261.gif; pic11141.gif; pic11790.gif Classification: For internal use only For your records, what was sent to JE. Forwarded by Tazia Smith/db/dbcom on 09/11/2014 11:36 AM From: Tazia Smith/db/dbcom To: [email protected], Cc: [email protected], Paul Morris, Vinit Sahni/db/dbcom@DBEMEA, Nav Gupta/db/dbcom@DBEMEA, vahe Stepanian/db/dbcom@DBAmericas Date: 07/29/2014 10:30 AM Subject: JPY Swaption Trade + European-property-backed structure [I] Classification: For internal use only Good Morning Jeffrey - Hope this finds you well. 1- Below is a highlight trade idea from Hav's team on JPY payers. 2- Attached is a summary of the French property that Paul shot you a note about - would like to get your feedback on a prospective structure (premium collected by client) backed by this property. Please give Paul or me a call for an overview to see if you'd like to discuss further; as Paul mentioned, this will be a discussion for a very limited number of qualified investors. Many Thanks, Tazia (See attached file: Reviewed Les Bordes Teaser Final.pdf) we are increasingly fielding questions from clients who want to know how to efficiently bet against the super-low level of yields in Japan. Without opining on where yields might go, the outlook for inflation, whether the Bo) increases QQE in October or debt sustainability we suggest investors who want to position short to look into buying swaption payer spreads The first chart is the lOy swap rate ()YSW10) The 2nd chart is the ly implied volatility into lOy swaps (lylOy swaption vol, Bloomberg ticker JYSN0110 index) As yields declined the cost of buying payers swaptions to position for higher yields has also fallen dramatically. Payer swaption skew however hasn't fallen so payers spreads rather than outright payers stand out to me ExampleTrade 1 Buy lylOy 1.00% / 1.50% OTC payer spread for 45cents ie 4.8bp running. b/even approx. 1.05% Example Trade 2 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 114285 CONFIDENTIAL SDNY_GM_00260469 EFTA01455499