EFTA01462284

SON 7/1, 1014 x:2:1014 41 191 From: Daniel Sabba II Sent: 1/5/2015 11:38:00 AM To: jeevacation maitcom CC: Paul Morris •, Subject: Commodity currencies: bullish reversals in BRL... IC] Classification: Confidential Jeffrey, Happy new year.This idea looks particularly interesting to USDBRL. Indicative pricing and rationale below: Notional: USD 10mm Expiry: 6m Client buys USDBRL put / sells USDBRLcall Put strike: 2.70 Call strike: 3.10 Net Premium Offer: Zero (mid of put $162.5k and mid on call is $175k) Spot ref. 2.7210 6m forward ref : 2.8560 / 2.8635 Rationale: • Given the recent downward move in commodities, commodity linked currencies have experienced increased volatility and marked depreciation vs. USD (see historical price chart below) • Affected commodity linked currency pairs include AUDUSD, USDBRL, USDCAD, USDMXN, and USDNOK • Premium neutral bullish risk reversals on commodity currencies can take advantage of implied vol, skew and forward dynamics (i.e. client buys foreign currency call and sells foreign currency put) • Looking at volatility adjusted skew amongst commodity currencies, current USDBRL levels provide a compelling entry point into premium neutral risk reversals. Commodity Currencies and Oil • 6 month Normalized Performance nos $ tatl par• — MOW -MSNUSD 80k, — WOOD — NQKUSD CADUSD 70% -OA C emdtv -• SO% 11:1101-1 I/17., 1014 1011015 Other commodity currencies: While for USDBRL call strike is about 14% away from spot while put is about 1% away, for USDMXN the call strike would be approximately 8% away while put strike would be 3% away from spot. Best regards, Daniel Daniel Sabba CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124767 CONFIDENTIAL SDNY_GM_00270951 EFTA01462284