From: Daniel Sabba

From: Daniel Sabba To: [email protected] Cc: Paul Morris < >, Subject: Commodity currencies: bullish reversals in BRL... [C] Date: Mon, 05 Jan 2015 16:38:00 +0000 Inline-Images: unnamed 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. 70% Commodity Currencies and Oil - 6 month Normalized Performance -. 110,o 100% 9" ..-1RULASCP - XNUSO sox AMMO - NOKUSD - CADUSD 70% — CLA Candty 50% 50% 7/2/2014 8/2/2014 9/2/2014 10/2/2014 Dat. 11/2/2014 12/2/2014 1/2/2015 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, EFTA01197918 Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01197919