EFTA01387684

From: Xavier Sent: 12/5/2017 4:16:56 PM To: Paul Barrett CC: Stewart Oldfield ; Joshua Shoshan ; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Attachments: ZAR_CorrelationSwap_Dec17.xlsx Paul, file attached to look at calculations of implied and realized. Thanks From: Xavier Avila Sent: Tuesday, December 05, 2017 11:17 AM To: 'Paul Barrett Cc: Stewart Oldfield < Joshua Shoshan < Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap J 4096 EURZAR-USOZAR ly COVICOff Sox EURZAR-USCZAR 3m tel car £0.94 2007 2201 2009 2010 2011 2012 3)/3 2014 2015 2016 2017 10(94 90% 97% 40% 20% OP4 -20* 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 — Eurtmx lee USCIXON ly rsai ton EURFAXN•USIDMXN 3m cal car — 77% From: Xavier Avila Sent: Friday, December 01 2017 5:55 PM To: 'Paul Barrett Cc: Stewart Oldfield < >; Martin Zeman >; Joshua Shoshan < >; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, see below the note and analysis that Vimal put together. Attached also an indicative termsheet, where you can also see the mathematical Definition of Realized Correlation. Thanks and good weekend. Xavi CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0090762 CONFIDENTIAL SDNY_GM_00236946 EFTA01387684