EFTA Document EFTA01451200

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 lOyear 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 lOyear 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 Nav Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset & Wealth Management 105/108 Old Broad St (Pinners Hall), EC2N lEN London, United Kingdom Any proposed ideas are being delivered to you by the DeAWM 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. 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 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 107508 CONFIDENTIAL SDNY_GM_00253692 EFTA01451200