EFTA02518645.pdf

From: Jeffrey Epstein <[email protected]> Sent: Sunday, January 12, 2014 8:56 PM To: Tazia Smith Subject: Re: PVDSA chart + USDJPY Trade (C] do you think money good in 15 On Sun, Jan 12, 2014 at 4:38 PM,=Tazia Smith <mailto > wrote: Classification: Co=fidential Jeffrey: Please find the chart of PDVSA 5% =0/28/15 price history below, as well as a description of the USDJPY 10yr trade that we briefly discussed on Friday. Speak with you soon, Tazia Used with permission of Bloombe=g Finance LP, 1/10/14 Forwarded =y Tazia Smith/db/dbcom on 01/12/2014 03:29 PM From: Nav Gupta To: Tazia Smith Date: 01/10/2014 08:21 AM Subject: SY [I] Classification: For internal us= only Long $Y Call Options. We like long expiry options to benefit from the prese=t dislocation between interest rates and volatility Deutsche Bank FX Strategists are c=lling for USDJPY 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 $Y call op=ion struck at 85 (spot fx 105, forward fx 77.70). Price 4.7% of USD notional EFTA_R1_01654373 EFTA02518645  This option has four notable chara=teristics • If $Y stays at these levels the option decays positively by approx 15.20% per year • If $Y trades 90.00 at any tim= (arguably a scenario in which the option is no longer wanted) the option "knocks=out" and becomes worthless. While $11might decline to 90, our quantitative analy=is indicates the probability of such a decline is significantly (double?) overpriced by the options market • The premium of the option is =uite sensitive to moves in $Y spot - which is atypical for a 10year option. This also results from the knockout feature. This means if $Y 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 1/3r= compared to the vanilla 85 strike call • Maximum loss is premium paid<=font> Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue, 26th Floor New York, NY 10154 Tel. <tek% Fax <telAMMOOMONEMinin> Mobile <tel:° Email <mailto: This communication may contain confidential and/=r privileged information. If you are not the intended recipient (or have received this communication<=r> in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the<=r> 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. <=> 2 EFTA_R1_01654374 EFTA02518646 The information contained in =his communication is confidential, may be attorney-client privileged, may constitute inside i=formation, and is intended only for the use of the addressee. It is the=property of Jeffrey Epstein Unauthorized use, disclosure or copying=of this communication or any part thereof is strictly prohibited and may be unla=ful. If you have received this communication in error, please notify us=immediately by return e-mail or by e-mail to [email protected] <mailto:[email protected]> , and destroy this communication and all copies thereof, including all attachm=nts. copyright -all rights reserved 3 EFTA_R1_01654375 EFTA02518647