EFTA01451183

Consider a 10year expiry SY call option struck at 85 (spot bc 105. lowed fx 77.70). Pnce 4.7% of USD notional This option has four notable charactenstics • 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 winch the option is no longer warded) the option "knocks-out" and becomes worthless. While SY might decline to 90. our quanbtative 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 lOyear option. This also results from the knockout feature. This means if SY moves quickly by 5% the option increases f decreases in value by almost half. so If SY rises to 110 or 115 the option can easily be unisourxl to monetize the profit • The option costs roughly 1/3rd compared to the vanilla 85 strike call • Maximum loss is premilsn paid Nay Gupta Managing Director Deutsche Bank AG. Filiale London Deutsche Asset 8 Wealth Management 105' rs EC2N 1EN London, United Kingdom Tel Mob My proposed ideas are being delivered to you by the DOAWM Key Client Partners IKCP1 London desk for discussion purposes orgy. and do not create any legally bawling obligation on the part of Deutsche Bank AG and I 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 MiFlD). who understand the strategy. characteristics and risks associated wdh any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be object to the relevant internal approvals prior to execution. Petnien, gift, esn Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset 8 Wealth Management 345 Park Avenue, 26th Floor Ne Tel. Fax PAiistitri4v- peefelyn CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0107470 CONFIDENTIAL SONY GM_002536S4 EFTA01451183