-12% -10% -5% 0% 5% 10% 15%
Spot
90.21 92.26 97.38 102.51 107.64 112.76 117.09
0.05 1.1 3.7 6.4 9.1 11.8 14.4
0.04 0.9 3.1 5.4 7.7 10.1 12.5
0.04 0.8 2.6 4.6 6.7 8.8 10.9
0.03 0.7 2.3 4.0 5.8 7.7 9.5
Prices in %of USD notional
Notes:
I. premium decays positively if spot is unchanged
2. the premium is sensitive to moves in spot - much more than a regular 10y option
3. the mid price for a 10year expiry 85 strike USDJPY call (without any KO feature) is 10.5% and the mid price for a
lyear 102.51 strike call is 4% and compared with either of these the option with the KO feature has better risk:reward in
NaVs opinion
4. we suggest sizing it to worst loss
Tazia Smith
Director I Key Client Partners - US
Deutsche Sank Securities Inc
Deutsche Asset & Wealth Management
345 Park Avenue. 26th Floor
New York NY 10154
PoW;7401,6* PW,Onst,
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123302
CONFIDENTIAL SDNY_GM_00269486
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