EFTA Document EFTA01752846

To: jeevacation gmail.com Cc: Vahe Stepanian subject: [I) From: Tazia Smith Sent Thursday, November 7, 2013 9:14:02 PM Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Attachment Classification: For internal use only Hi Jeffrey - Just tried calling you to check-in. FYI below: TWTR closes at $44.90, touching a high of $50.09 in the early morning flurry and retracing as high as $48.66 late in the day. Risk-off move across the markets today, as you likely saw (S&P down 1.3%, eurostoxx jumped and reversed post ECB, finishing down 44bps). Refreshed pricing on the USDJPY 1yr risk reversal that we talked about at our meeting a couple weeks ago (ATMF/90 strikes) is 2.8% cost: spot ref 97.75 Leg 1: Risk Reversal <Client> buys Call, sells Put on USD/JPY in a Risk Reversal Call Strike: 97.47 Put Strike: 90 Notional: USD 1,000,000 USD Expiry: Mon 10-Nov-2014 (1y) Settlement: Wed 12-Nov-2014 ZoneCut: NY Net Premium Paid: USD 28,000 (2.8%) Premium Date: Tue 12-Nov-2013 EFTA_R1_00051842 EFTA01752846 Indicative levels only. Subject to market movement. Source: DB WM FX Solutions, 11/7/13. Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc -- Forwarded by Tazia Smithldb/dbcom on 11/07/2013 02'.51 PM — From: To: Date: 10(2112013 01:21 PM Subject Re: 1yr USDJPY (I) Classification: For internal use only Keep in mind, none of these include markup so you will have to account for that Risk Reversal selling 90 strike puts (23 delta) cheapens the long call by 1.38% vs the forward that gives you 1- for-1 downside exposure beginning at 97.84. We can change the downside strike to wherever the client is comfortable getting long USDJPY. The one year low in USDJPY has been 79.38 Leg 1: European Option Call <Client> buys European USD Call on USD/JPY Strike: 97.84 (atmf) Notional: USD 1,000,000 Expiry: Tue 21-Oct-2014 (1y) Settlement: Thu 23-Oct-2014 ZoneCut: NY Premium: USD 41,000 Premium Date: Wed 23-Oct-2013 Leg 2: European Option Put <Client> sells European USD Put on USD/JPY Strike: 90 Notional: USD 1,000,000 Expiry: Tue 21.Oct-2014 (1y) EFTA_R1_00051843 EFTA01752847 Settlement: Thu 23-Oct-2014 ZoneCut: NY Premium: USD -13,830 Premium Date: Wed 23-Oct-2013 Kind regards. Harlin Harlin Singh Director Deutsche Bank Securities Inc Solutions & Tradi Grou From: To: Date: Subject: 10/21/2013 12:57 PM Re: 1yr USDJPY Classification: For internal use only rd favor less leverage with some protection (out of the moneyness) built in on the sold option. but would love your input Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset & Wealth Management EFTA_R1_00051844 EFTA01752848 From So Date Subject 1 012 1/20 1 312:36 PI Re: 1yr USDJPY (II Classification: For internal use only for how much in notional? ie how much leverage does he want? Kind regards. Harlin Harlin Singh Director Deutsche Bank Secunttes Inc. Solutions & Tradi Grou From: To: Date: Subject: 10/21/2013 12:32 PM Re: 1yr USDJPY (I] Classification: For internal use only up to $250k in premium EFTA_R1_00051845 EFTA01752849 Tazia Smith Director I Key Client Partners - US Deutsche Bank $ecurit*s Inc Deutsche Asset & Wealth Management From To Date St:erect 10/21/2013 12:30 PM Re: 1yr USDJPY (II Classification: For internal use only How much do you think he's willing to spend in premium? I can solve for possible strikes. Kind regards, Harlin Harlin Singh Director Deutsche Bank Securities Inc. Solutions & Tradi Grou EFTA_R1_00051846 EFTA01752850 From To: Date Subject. Re: lyr USDJPY [I] Classification: For internal use only He's KCP, ISDA almost finakzed....lets talk risk reversal! :) Tazia Smith Director I Key Client Partners • tiS Deutsche Bank Securities Inc Deutsche Asset 8 Wealth Management From To. Dale. Subject. Re: I yr USDJPY [II Classification: For internal use only The 1y forward points are pretty accurate on bberg. The option struck atmf will cost around 4.10% of notional (no markup included) 1y volatility is around 10.3% at the moment. It depends on how you look at it - if you are ok without the downside protection, I would do the forward. If the client is qualified to do forwards though, they could also explore a risk reversal to lower cost and give some protection in the event of a correction. What type of client is it and what size are they thinking to do? EFTA_R1_00051847 EFTA01752851 Kind regards, Harlin Harlin Singh Director Deutsche Bank Socurities Inc. Sokitions & Trading Group From To Date Subject 10121/2013 12:07 PM 1yr USDJPY Classification: External Communication Hi Harlin - can u just confirm that a short jpy long usd 1yr fwd prices out infirm w what I see on bbg? do you have color/thoughts on a fwd vs option as far as premium of the option and leverage vs the fwd? Would love your thoughts! Thanks :) Tazia Smith Director Markets Coverage Group Deutsche Bank Securities, Inc. Deutsche Asset & Wealth Management EFTA_R1_00051848 EFTA01752852 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA_R1_00051849 EFTA01752853