EFTA01461160.pdf

where you owe a payment (318.7k in this 1mm notional example) if lower levels (in this example 99, 98, 97) are touched (American barriers). The structure below is zero cost, includes 3 knock-in payments that would total -5.6%. If the one-touch levels are not touched and the current momentum continues, or if less than three of the one-touch levels are hit, then the at-the-money USDc)PYp you own is less expensive than an outright vanilla USDc)PYp. If all three one-touch levels hit, your call option is —1% more expensive than an outright, and your break-even would be up above 105.8. Please see below, look forward to your thoughts! Best, Tazia Indicative levels only. subject to market movement. source: DB WM FX sales, 11/15/13 spot ref w 100.18 Approximate collateral would be 550k Leg 1: European Option Call <client> buys European USD Call on USDOPY Strike: 100.2 Notional: USD 1,000,000 Expiry: Mon 17-Nov-2014 (ly) Settlement: wed 19-Nov-2014 ZoneCut: NY Premium: USD 46,000 Premium Date: Tue 19-Nov-2013 Leg 2: One Touch <Client> sells One Touch on USD/3PY payout Barrier: 99 Payout: USD 18,700 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate YIN> Expiry: Mon 17-Nov-2014 (ly) settlement: wed 19-Nov-2014 ZoneCut: NY Premium: USD -17,000 Premium Date: Tue 19-Nov-2013 Leg 3: one Touch <client> sells one Touch on USD/)PY payout Barrier: 98 Payout: USD 18,700 Payout Ccy: <Paycurrency> Postpone Rebate: <PostponeRebate v/N> Expiry: Mon 17-Nov-2014 (ly) settlement: wed 19-Nov-2014 ZoneCut: NY Premium: USD -16,000 Premium Date: Tue 19-Nov-2013 Leg 4: one Touch <Client> sells One Touch on USD/)PY payout Barrier: 97 Payout: USD 18,700 Payout Ccy: <PayCurrency> Postpone Rebate: <PostponeRebate Y/N> Expiry: Mon 17-Nov-2014 (1y) Settlement: wed 19-Nov-2014 ZoneCut: NY Premium: USD -13,000 Premium Date: Tue 19-Nov-2013 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123012 CONFIDENTIAL SDNY_GM_00269196 EFTA01461160