EFTA Document EFTA01451230

From: Nay Guptaidb/ To: Tazia Smith/db, Date: 01/10/2014 08:21 AM Subject: SY [I] Classification: For internal use only Long SY call options. we like long expiry options to benefit from the present dislocation between interest rates and volatility Deutsche Bank FX strategists are calling for USDJPY of 115 by year-end 2014, and 120 by year-end 2015. see DB FX Blueprint published 1/9/14, and note that *2 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 fx 105, forward fx 77.70). Price 4.7% of USD notional This option has four notable characteristics If SY 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 wanted) the option "knocks-out" 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 SY spot - which is atypical for a l0year option. This also results from the knockout feature. This means if SY moves quickly by 5% the option increases / decreases in value by almost half, so If SY 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 premium paid Nay Gupta managing Director Deutsche Bank AG, Filiale London Deutsche Asset & wealth management 105/10R ners Hall), EC2N lEN London, United Kingdom Tel. mobi Emai Any proposed ideas are being delivered to you by the neAwm Key client Partners ("KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID), who understand the strategy, characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 107565 CONFIDENTIAL SDNY_GM_00253749 EFTA01451230