EFTA01446748

PDVSA 5 PDVSA 5 10/28/15 11" 1.1: IM 6M 10/28/15 $ 185.500 +1.500 1411.7 br vs T 0.250 12/31/2015 \, ..21 989.0M Op 84.000 Hi 85.500 Lc 83.300 Yid 14.489 TRAC fitave As -- WS Actions- WEdit - tine—Mir an" a oar L merm rmanam lY 5, Hit= D;Mbl • Track fi Annotate hvArNYld ir ;ally Ek+,--. 0 News .., Zocm f 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 yin Volume a9t000 at ikno nl ik Jun Sep 2012 Mar Jun 2013 Sep Dec 20' 95 80 Used with permission of Bloomberg Finance LP, 1/10/14 Forwarded by Tam Smithdb/dbcom on 01/12/2014 03:29 PM --- From: To: Date: Subject: Nay Gupta Tazia Srnith/rIbk 01/10.2014 08:21 AM $Y (I] 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 1/9114, and note that #2 of the top 10 themes of 2014 (p. 5.6) revolves around extended weakness in the Japanese Yen vs. USD. Consider a 10year expiry $Y call option struck at 85 (spot fx 105. forward Ix 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-out" and becomes worthless. While SY might decline to 90. our quanbtatrve 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 resuts from the knockout feature. 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 • Maximisn loss is premium paid CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0101114 CONFIDENTIAL SDNY_GM_00247298 EFTA01446748