EFTA01451262.pdf

FINSA 5 10/28/15 $ 185.500 +1.500 1411.7 bp vs T 0.250 12/31/2015 As of Vol989.011 Op 84.000 Hi 85.500 Lo 83.300 Yid 14.489 TRAC P0YSA 5 10/28/15 99 Save As snit OMNI lG IM 6M %T) lr 51 Max Daily V seormista, Fag,: 0 Track Annptate- News Zoom 4 95 lea 90 85.500 • Last Price 85.500 T High on 04/01/13 95.300 80 Average 87.130 1. Low on 05/31/12 76.740 Volume ip 4000 20000 iS10 610, Jun Sep Dec Mar Jun Sep Dec 2012 2013 20 Used with permission of Bloomberg Finance LP, 1110/14 --- Forwarded by Tazia Smithiabidbcom on 01/122014 03.29 PM --- Front Nav Guptardbidbcom@DBEMEA To. Tazia Smith/db/dbcom©DBAME PICAS. Date. 01/10/2014 08:21 AM Subject. $Y (i) Classification: For internal use only Long $Y Call Options. We like long expiry options to benefit from the present dislocation between interest rates and volatility Deutsche Bar* FX Strategists are calling for USDJPY °MI5 by year-end 2014. and 120 by year-end 2015. See DB FX Blueprint published 1;9'14. and note that 02 of the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD Consider a 10year expiry SY call option struck at 85 (spot fit 105, forward fx 77.70). Price 4.7% of USD notional This option has four notable characteristics If $Y 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 warted) the option "knocks-our and becomes worthless. While SY might decline to 90. our quantitative analysis indicates the probability of such a decline is significantly (double?) overpriced by the options market • The premium of the option is quite sensitive to moves in IN spot - vrfach is atypical for a 10year option. This also results from the knockout realise. This means if $Y moves quiokly by 5% the option increases / decreases in value by almost half, so If $Y 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 • Maximum loss is premiuni paid CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0107649 CONFIDENTIAL SONY GM_00253833 EFTA01451262