EFTA01446726

PDVSA 5 10/28/15 $ 185.500 +1.500 1411.7 bp vs T 0.250 12/31/2015 c ' Vol 989.011 Op 84.000 Hi 85.500 Lo 83.300 Yld 14.489 TRAC PDVSA 5 10/28/15 ACISIMS, • 'Fri- we MORO line Qu - r, on-Y. INNIMIIIII Pit>. Dilly • 1 I. Last Price 85.500 T High on 04/01/13 95.300 +- Average 87.130 1. Low on 05/31/12 76.740 Forwarded by Tazia Smithdb/dbcom on 01/12/2014 03 29 PM ---- From To Date Subject: Nav Guptardtildbcom@DBEMEA Tazia Smithrdbldbcom@DBAMERICAS. 01110/2014 08'.21 AM SY (I) si as o r :11 Volume Used with permission of Bloomberg Finance LP. 1/10/14 Classification: For internal use only Long $Y Call Options. We like long expiry options to benefit from the present dislocation between interest rates and volatility Deutsche Bank FX Strategists are caking 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 a2 of the top 10 themes or 2014 (p. 543) revolves arcand extended weakness in the Japanese Yen vs. USD. Consider a 10year expiry $Y call option struck at 85 (spot fx 186. 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 • If SY trades 90.00 at any time (arguably a scenario in which the option is no longer wanted) the option "knocks-our and becomes worthless. While $Y might decline to 90. our quanbtafive 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 $Y spot - which is atypical for a 10year option. This also results from the knockout feattre. This means if $Y 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 unwound to monetize the profit • The option costs roughly 1/3rd compared to the vanilla 85 strike call • Maximum loss is premium paid CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101081 CONFIDENTIAL SDNY_GM_00247265 EFTA01446726