From: Tazia Smith a>

From: Tazia Smith a> To: jeevacationggmail.com Cc: ,Na' Gupta , Vahe Stepanian , Paul Morris , Vinit Sahni Subject: JPY Swaption Trade + European-property-backed structure [I] Date: Tue, 29 Jul 2014 14:30:49 +0000 Attachments: Reviewed_Les_Bordes_Teaser_Final.pdf Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3) Classification: For internal use only Good Morning Jeffrey - Hope this finds you well. 1- Below is a highlight trade idea from Nav's team on JPY payers. 2- Attached is a summary of the French property that Paul shot you a note about - would like to get your feedback on a prospective structure (premium collected by client) backed by this property. Please give Paul or me a call for an overview to see if you'd like to discuss further; as Paul mentioned, this will be a discussion for a very limited number of qualified investors. Many Thanks, Tazia We are increasingly fielding questions from clients who want to know how to efficiently bet against the super-low level of yields in Japan. Without opining on where yields might go, the outlook for inflation, whether the BoJ increases QQE in October or debt sustainability We suggest investors who want to position short to look into buying swaption payer spreads The first chart is the l0y swap rate (JYSW10) The 2nd chart is the 1y implied volatility into l0y swaps (1y10y swaption vol, Bloomberg ticker JYSN0110 index) As yields declined the cost of buying payers swaptions to position for higher yields has also fallen dramatically. Payer swaption skew however hasn't fallen so payers spreads rather than outright payers stand out to me ExampleTrade 1 Buy 1y10y 1.00%! 1.50% OTC payer spread for 45cents ie 4.8bp running. bleven approx. 1.05% Example Trade 2 Buy 1.5y/10y 1.25% / 1.75% OTC payer spread for 45cents ie 4.9bp running. b/even approx 1.30% Max loss in each case is premium paid. Japan l0y swap rate is 0.665% (10y history) EFTA01199508 2.20000 2.00000 1.80000 1.60000 1.40000 1.20000 1.00000 0.80000 66500 U...,.. 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 JYSW10 Curncy (JPY SWAP 10 YR) Weekly LARL2004-23JUL2014 Copp-igen 2014 Bloamberg Finance LP. 23-Jul-201418:55:11 Add: Used with Permission of Bloomberg Finance LP. 1y Implied Volatility into 10y Yen Swaps (5yr history) 70 60 50 40 27.8600 2009 2010 2011 2012 2013 2014 31510110 Curncy (3I:N SMAI, TICIt IC W4 1Y10Y) Daily 243U1.20C9-allA2014 OapyrigIna 2014 Bloomberg Finance . 23-Jul-2014 18:25:18 Used with Permission of Bloomberg Finance LP. lyfwd 10y swap rate 0.82% mid 18mth fwd 10y swap rate approx 91% mid Please call with any questions, or for live pricing This material has been prepared solely for informational purposes only and is not an offer to buy or sell, or a solicitation of an offer to buy or sell any swap, security or financial instrument, or to participate in any particular trading strategy. All rates are indicative and subject to change. Any terms and conditions included herein are to illustrate the logistics of a swap, and any offer of a swap eventually made may contain terms which are substantially different. Any decision to enter into a swap, such as those described herein, should only be made after reviewing the final swap confirmation and conducting such investigation in order to independently determine the suitability and consequences of participating in swaps. Any finalized terms and conditions of a prospective swap transaction will be subject to discussion and negotiation and will be evidenced by a formal agreement. Deutsche Bank is not acting and does not purport to act in any way as an advisor or in a fiduciary capacity. We therefore strongly suggest that recipients seek their own independent advice in relation to any investment, financial, legal, tax, EFTA01199509 accounting or regulatory issues discussed herein. Analyses and opinions contained herein may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. Furthermore, past performance is not necessarily indicative of future results. Deutsche Bank may engage in transactions in a manner inconsistent with the views discussed herein. Deutsche Bank trades or may trade as principal in the instruments (or related derivatives), and may have proprietary positions in the instruments (or related derivatives) discussed herein, and these may be known to the author. Deutsche Bank may make a market in the instruments (or related derivatives) discussed herein. Assumptions, estimates and opinions expressed constitute the author's judgment as of the date of this material and are subject to change without notice. Information contained herein is subject to change without notice. Tazia Smith pirectorIxeychempwirmm-us DB Securities Inc Deutsche Asset & Wealth Mana cement Pan-in.-1r Pe 'farm. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the 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. EFTA01199510