EFTA01446822

because long dated FX forwards trade so far below spot (due to the interest rate differential) that the 90 strike KO is worth a lot - arguably too much based on probabilities of where DB forecasts spot to roll up to. Simple scenario analysis for usD)PY Call option, strike 85 with American style KO at 90 Spot Ref 102.51, l0y Fwd 77.10 This analysis implies that all else except spot remains equal (eg. volatility, rates) At 90.0 and below the option is worth SO. Full premium would be lost. Max loss is premium paid. (Embedded image moved to file: pic11195.gif) Notes: premium decays positively if spot is unchanged the premium is sensitive to moves in spot - much more than a regular l0y option the mid price for a l0year expiry 85 strike USCOPY call (without any KO feature) is 10.5% and the mid price for a lyear 102.51 strike call is 4% and compared with either of these the option with the KO feature has better risk:reward in Nay's opinion we suggest sizing it to worst loss (Embedded image moved to file: pic05098.gif) Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset & wealth Management 345 Park Avenue, 26th Floor New York, NY 10154 (Embedded image moved to file: pic31531.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101220 CONFIDENTIAL SDNY_GM_00247404 EFTA01446822