EFTA01451223

PDVSA 5 cP PDVSA 5 10/28/15 10/28/IS $ '8S.9,00 1411.7 T 0.250 12/31/2015 ‘.;.21 989.0M op 84.000 Hi 85.500 Lc 83.300 . 1,1 14.489 TRAC leave As -- IS Actions Want -' Table Line Chart n" a la" a.. :fl "'"' MI =Ma" ILA/ " In ,M IT Sc Mn Daily P: -& Track t Annptate News Zoom bs,Are'llh IN Last Price 85.500 i T High on 04/01/13 95.300 .4.- 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 Tana Smithdb/dbcom on 01/12/2014 03:29 PM -- From: To: Date: Subject. Nay Guptaklbecoma043EMEA Tazia Smith/db/dbcomaDBAMERICAS. 01/10/2014 08:21 AM SY (I) Classification: For internal use only Long SY Call Options. We like long expiry options to benefit 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 r2 of 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 tx 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 • II SY trades 90.00 at any time (arguably a scenario in which the option Is no longer warted) the option-knocks-our and becomes worthless. While SY might decline to 90, our quantitative analysis indicates the probability of such a decliners sigrificantly (double?) overpriced by the oplons market • The premium of the option is quite sensitive to moves in ST spot - which is atypical for a 10year option. This also results from the knockout featue. 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 unwound to monetize the profit • The option costs roughly 1/3rd compared to the vanilla 85 strike call • Maximirn loss is prernkrn paid CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0107557 CONFIDENTIAL SONY GM_00253741 EFTA01451223