EFTA02678061.pdf

From: Tazia Smith <-> Sent: Thursday, November 7, 2013 9:14 PM To: jeevacation@ mail.com Cc: ; Vahe Stepanian Subject: III 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 lyr 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 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 Deutsche Asset & Wealth Management EFTA_R1_01974892 EFTA02678061 Tel. +1 (212) 454-2889 Fax +1(646) 257.3131 Mobile +1(917) 327.4107 Email <mailto Forwarded by Tazia Smith/db/dbcom on 11/07/2013 02:51 PM From: Harlin Singh/db/dbcom@DBAMERICAS To: Tazia Smith/db/dbcom@DBAMERICAS@DBCOEX, Date: 10/21/2013 01:21 PM Subject: Re: lyr USDJPY 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 (ly) 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 (ly) Settlement: Thu 23-Oct-2014 ZoneCut: NY Premium: USD -13,830 Premium Date: Wed 23-Oct-2013 Kind regards, Harlin 2 EFTA_R1_01974893 EFTA02678062 Harlin Singh Director Deutsche Bank Securities Inc. +1(212) 454-8865 Fax +1 (732) 935-2037 Mobile +1(908) 209- 0909 Email From: Tazia Smith/db/dbcom@DBAMERICAS To: Harlin Singh/db/dbcom@DBAMERICAS@DBCOEX, Date: 10/21/2013 12:57 PM Subject: Re: lyr USDJPY [I) Classification: For internal use only I'd 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 ent Tel. +1(212) 454-2889 Fax +1(646) 257.3131 Mobile +1(917) 327-4107 Email <mailto 3 EFTA_R1_01974894 EFTA02678063 From: Harlin Singh/db/dbcom@DBAMERICAS To: Tazia Smith/db/dbcom@DBAMERICAS@DBCOEX, Date: 10/21/2013 12:36 PM Subject: Re: lyr USDJPY 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 Securities Inc. +1(212) 454-8865 Fax +1 (732) 935-2037 Mobile +1 (908) 209- 0909 Email <mailto From: Tazia Smith/db/dbcom@DBAMERICAS To: Harlin Singh/db/dbcom@DBAMERICAS@DBCOEX, Date: 10/21/2013 12:32 PM Subject: Re: lyr USDJPY (I) Classification: For internal use only up to $250k in premium 4 EFTA_R1_01974895 EFTA02678064 Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc gement Tel. +1(212) 454-2889 Fax +1(646) 257.3131 Mobile +1 (917) 327-4107 Email <mailto From: Harlin Singh/db/dbcom@DBAMERICAS To: Tazia Smith/db/dbcom@DBAMERICAS@DBCOEX, Date: 10/21/2013 12:30 PM Subject: Re: lyr USDJPY 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 & Trading Group . +1(212) 454.8865 Fax +1 (732) 935-2037 Mobile +1 (908) 209- 0909 Email <mailto 5 EFTA_R1_01974896 EFTA02678065 From: To: Date: Subject: Re: lyr USDJPY (I] Classification: For internal use only He's KCP, ISDA almost finalized....let's talk risk reversal! :) Tazia Smith Director Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset & Wealth Management Tel. +1 212 454-2889 Fax +1(646) 257.3131 Mobile +1 (917) 327-4107 Email <mato From: Harlin Singh/db/dbcom@DBAMERICAS To: Tazia Smith/db/dbcom@DBAMERICAS@DBCOEX, Date: 10/21/2013 12:19 PM Subject: Re: lyr USDJPY (lj Classification: For internal use only 6 EFTA_R1_01974897 EFTA02678066 The ly forward points are pretty accurate on bberg. The option struck atmf will cost around 4.10% of notional (no markup included) ly 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? Kind regards, Harlin Harlin Singh Director Deutsche Bank Securities Inc. Solutions & Trading Group 345 Park Avenue, 10154-0004 New York, NY, USA Tel. +1 212) 454-8865 Fax +1 (732) 935-2037 Mobile +1 (908) 209- 0909 Email <mailto From: Tazia Smith/db/dbcom@DBAMERICAS To: Date: 10/21/2013 12:07 PM Subject: lyr USD.] PY Classification: External Communication Hi Harlin - can u just confirm that a short jpy long usd lyr fwd prices out inline 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 7 EFTA_R1_01974898 EFTA02678067 Markets Coverage Group Deutsche Bank Securities, Inc. Deutsche Asset & Wealth Management 345 Park Avenue - 26th Floor New York, NY 10154 Tel: (212) 454-2889 Mobile: (917) 327-4107 Fax: (646) 257-3131 E-mail: 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. 8 EFTA_R1_01974899 EFTA02678068