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sd-10-EFTA01446837Dept. of JusticeOther

EFTA Document EFTA01446837

From. Tazia SmIlh/db/dhcom To. jeevacationfarnailuom. Cc: Paul Morris Date: 01/31/2014 09:50 AM Subject: Re: 1Cyr $/Y.... [C) Classification: Confidential Jeffrey - Tried you this morning. Call when you have time to review. No rush; although spot is lower, markets feel quite shaky this morning. In addition to the long dated option, just wanted to borrow a page from the USDCAD structure you have on (working well with spot now at 1.1208), for a shorter-term trade to consider on yen

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sd-10-EFTA01446837
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From. Tazia SmIlh/db/dhcom To. jeevacationfarnailuom. Cc: Paul Morris Date: 01/31/2014 09:50 AM Subject: Re: 1Cyr $/Y.... [C) Classification: Confidential Jeffrey - Tried you this morning. Call when you have time to review. No rush; although spot is lower, markets feel quite shaky this morning. In addition to the long dated option, just wanted to borrow a page from the USDCAD structure you have on (working well with spot now at 1.1208), for a shorter-term trade to consider on yen

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From. Tazia SmIlh/db/dhcom To. jeevacationfarnailuom. Cc: Paul Morris Date: 01/31/2014 09:50 AM Subject: Re: 1Cyr $/Y.... [C) Classification: Confidential Jeffrey - Tried you this morning. Call when you have time to review. No rush; although spot is lower, markets feel quite shaky this morning. In addition to the long dated option, just wanted to borrow a page from the USDCAD structure you have on (working well with spot now at 1.1208), for a shorter-term trade to consider on yen strength: 3mo 102.75 strike USDJPY call, RKI 107 strike (KI at 110). Add a digital one-touch at 100 (1.25% cost if hit). Net premium paid: 0.89% Compare to vanilla 102.75: 1.91% If digital 100 one-touch hit: 2.14% Max loss 2.14% Indicative level only. Subject to market movement. Source: DB WM FX Sales, 1/31/14. (full detail below) Best Regards, Tazia Spot ref = 102.25 Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 102.75 Notional: USD 10,000,000 Expiry: Thu 01-May-2014 (3m) Settlement: Wed 07-May-2014 ZoneCut: NY Premium: USD 191,400 Premium Date: Tue 04-Feb-2014 Leg 2: ITM Knockin Call <Client> sells European USD Call on USD/JPY with American Reverse Knock-In Strike: 107 Notional: USD 10,000,000 American Reverse Knock-In: 110 Expiry: Thu 01-May-2014 Settlement: Wed 07-May-2014 ZoneCut: NY Premium: USD -28,300 Premium Date: Tue 04-Feb-2014 Leg 3: One Touch <Client> sells One Touch on USD/JPY payout CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101238 CONFIDENTIAL SDNY_GM_00247422 EFTA01446837

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