EFTA01446711

PDVSA 5 10/28/15 $ 185.500 +1.500 1411.7 bp vs T 0.250 12/31/2015 - of Vol989.011 Op 84.000 l-li 85.500 Lo 83.300 'rid 14.489 TRAC 99 Save As '— Nr/aPPTIMPrIllI,Prrratre Line MOH harove s "Er IC i7. 114 611 %T) Iti 51 Max Drily If SE“:"17., rat, tae':: 0 News , Zoom .t >4:t o• Last Price 85.500 T High on 04/01/13 95.300 -9- Average 87.130 1. Low on 05/31/12 76.740 TM Volume P 4000 Jun Sep 2012 Mar Jun 2013 Sep Dec Dec volne 20 95 90 85.500 80 20000 Used with permission of Bloomberg Finance LP, 1110/14 Forwarded by Tanta Smith6b/dbcom on 01/122014 03 .29 PM --- Front To. On Subject. Nav Gupta/dbidbcom@DBEMEA Tazia Smithidb/dbcom©DBAN4E PICAS. 01/10/2014 08:21 AM $Y (I) 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 412 or 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 $Y stays at these levels the option decays positively by approx 15-20% per year • If $Y 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 ST 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 $T spot - which is atypical for a lOyear 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 II 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 • Maximirn loss et premiun paid CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101048 CONFIDENTIAL SDNY_GM_00247232 EFTA01446711