EFTA01446686

PDVSA 5 cP 10/28/IS $ '8S.9,00 ‘.;.21 989.0M op 84.000 Lop PDVSA 5 10/28/15 '.10 1411.7 T 0.250 12/31/2015 Hi 85.500 Lc 83.300 . 1,1 14.489 TRAC fnave As Actions WEdit -' Table Line Chart an" a la" :rcr ' l=anila miLLLIR " In ,M IT Sc Mn Dade P: -& Track t Annptate News Zoom bs,Are'llh IN Last Price 85.500 i T High on 04/01/13 95.300 -t- Average 87.130 .1. Low on 05/31/12 76.740 sI sizlii •Volume .99/000 Mar Jun Sep Dec Jun Sep 2012 Dec 2013 20 95 90 85.500 80 20000 989.000 Used with permission of Bloomberg Finance LP, 1110/14 --- Forwarded by Tama SmithAndbcom on 01/12/2014 03:29 PM -- From: To: Date: Subject: Nav Guptaidb/dbcomeDBEMEA Tazia SmitlVdtokfiroomeDBAMERICAS. 01/10/2014 08:21 AM SY ill Classification: For internal use only Long SY Call Options. We like long expiry options to benelit from the 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 or the top 10 themes of 2014 (p. 5-6) revolves around extended weakness in the Japanese Yen vs. USD. Consider a 10year 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 • It SY trades 90.00 at any time (arguably a scenario in which the option Is no longer wetted) 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 10year option. This also results from the knockout feattre 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 urmound to monetize the profit • The option costs roughly 1/3rd compared to the vanilla 85 strike call • Maximirn loss is premkrn paid CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0100998 CONFIDENTIAL SONY GM_00247182 EFTA01446686