EFTA01451195

Fonvarded by Tazia Smithdbidbcom on 011121201403:29 PM — From' Nav Gupta/db/dbcom@DBEMEA To' Tazia SmitVelb/dbcomeDBAMERICAS, Date 01/102014 C6:21 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 1,914, 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 106, 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-our 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 lOyear option. This also results from the la-lockout Teatime. 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 • Maximun loss is premium paid Nay Gupta Managing Director Deutsche Bank AG. Fatale London Deutsche Asset 8 Wealth Management 105,108 Old Broad St (Pinners Hall). EC2N lEN London. United Kingdom Tel. Mobil Email Any proposed ideas are being delivered to you by the DeAWM Key Client Partners CKCP') London desk for discussion purposes only. arid do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affthates ("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. IOW Tazia Smith Director Key Client Partners - US CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0107498 CONFIDENTIAL SONY GM_00253882 EFTA01451195