EFTA01462225.pdf

From: Tazia Smith Sent: 9/23/2014 9:25:22 AM To: [email protected] CC: • Paul Morris I I; Vahe Stepanian Subject: USDJPY position (+$67.99k) + FX Update Attachments: pic32520.gif; pic17543.gif; pic20487.git pic13825.gif; pic21841.gif Good morning Jeffrey - Your zero-cost triple-no touch USDJPY position that matures 11/20 is presently valued at S67.99k (detail below, source: DB AWM FX Sales, 9/23/14) Also below are the top-13 trade ideas from our Chief FX Strat, FYI. As you know, some volatility returning to the FX markets. Let us know if you share/have differing views with the below and we will price specific trade implementations accordingly. TDS USDJPY Spot ref - 108.57 Net Premium: <client> Receives USD 67,992 Leg 1: European option call <client> sells European USD call on USD/JPY Strike: 101 Notional: USD 1,000,000 Expiry: Thu 20-Nov-2014 settlement: Tue 25-Nov-2014 ZoneCut: NY Premium: USD -69,420 Premium Date: Thu 25-Sep-2014 Leg 2: One Touch <Client> buys One Touch on VSD/JPY payout Barrier: 99 Payout: USD 21,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate V/N> Expiry: Thu 20-Nov-2014 Settlement: Tue 25-Nov-2014 ZoneCut: NY Premium: USD 618.45 Premium Date: Thu 25-Sep-2014 Leg 3: One Touch <client> buys One Touch on USD/JPY payout Barrier: 98 Payout: USD 21,000 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Thu 20-Nov-2014 settlement: Tue 25-Nov-2014 ZoneCut: NY Premium: USD 456.75 Premium Date: Thu 25-Sep-2014 Leg 4: One Touch <client> buys one Touch on USD/JPY payout Barrier: 97 Payout: USD 21,000 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124674 CONFIDENTIAL SDNY_GM_00270858 EFTA01462225