EFTA01451197.pdf

Classification: Confidential Jeffrey. Please find the chart of PDVSA 5% 1012&45 price history below, as well as a description of the USDJPY 1Cnyr trade that we bnefly discussed on Friday Speak vAth you soon. Tazia <mime.gif> Used with permission of Bloomberg Finance LP, 1110/14 --- Forwarded by Tazia SmithdbAbcom on 011122014 03.29 PM --- From. Nav Guptaidbfdbcom(ODBEMEA To. Tazia SmithldbfdbcormeDBAMERICAS, Date' 01/1020140821 AM Subject SY tit Classification: For internal use only 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 USDJPV of 115 by year-end 2014. and 120 by year-end 2015. See DB F)( Blueprint published 1/9/14, and note that 112 of the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD. Consider a lOyear expiry SY call option struck at 85 (spot tx 108 forward he 77.70). Price 41% 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 "knacks-our and becomes worthless. While IN might decline to 90, our quantitative analysis indicates the probability of such a decline is significantly (doublet) overpriced by the options market • The premium of the option is quite sensitive to moves in SY spot - which is atypical for a lOyear option. This also results from the knockout feattre. This means if SY moves (wieldy by 5% the option increases decreases n 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 vanilla 85 strike call • Maximtrn loss is premium paid Nay Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset 8 Wealth Management 1051108 Old &oad St Pinion; Hall). EC2N lEN London. United Kingdom My 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,. Those 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 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0107503 CONFIDENTIAL SONY GM_00253687 EFTA01451197