EFTA01462250

• EURUSD has broken below 1.28 during the last 24 hours • later With US data continuing to firm, the market is recalibrating when the Fed will deliver hikes - earlier rather than • On the other hand, given the ECB's stated determination to spur inflation in the Eurozone, full-blown QE looks likely next year This chart shows the correlation between EURUSD and the spread between EUR and US interest rates ( ellow) EUR BGN Curnc} 95) Save As 96) Actions • 97) Edit - 9'6 Table 09/25/2013 ri9/25/2"14 ID 3D It 6M YTD lY SY Max Daily • Track s Annotate News Zoom O Reset ■ EUR BGN Curncy - Last Price (R1) 1.2716 ■ EUSA2 CMPN Curncy - USSW2 Curncy (R2) -0.5955 Jan Feb Mar Apr May Jun Jul Aug Sep 2014 Source: Bloomberg 25-Sep-2014 EURINR lower as a combined play on continued inflows into India and ECB activism: • Trade: A 6m EURINR 78 put (at-the-money spot) financed by selling the 83 call has zero net premium (spot ref: 77.95, forward: 80.50) • • With the Modi government showing decisiveness in pursuing its reform agenda, capital inflows into India look likely to continue for the foreseeable future • Indian equities are at all-time highs and the entry point is not very attractive • The rupee also embeds carry of no/year, cheapening risk reversals Chart of EURINR spot CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124713 CONFIDENTIAL SDNY_GM_00270897 EFTA01462250