From: Daniel Sabba

From: Daniel Sabba To: Daniel Sabba Cc: [email protected], Paul Morris Subject: Re: Commodity currencies: bullish reversals in BRL... [C] Date: Mon, 05 Jan 2015 21:55:29 +0000 I nline-Images: unnamed; unnamed(I); unnamed(2) Classification: Confidential • Last Price 2.7060 T High on 09/30/02 3.7395 -9- Average 1.7639 I. Low on 03/31/92 0.0007 4.0000 3.5000 3.0000 2.7060 L.5000 2.0000 1.5000 1.0000 0.5000 0.0000 992-1994 1995-1999 2000-2004 2005-2009 2010-2014 20 USDBRL Curacy (USD-BRL X-RATE) Quarterly 013AN1991-05)A1(2015 Comnigla 2015 Bloomberg Finance . 05-Ian-201516:55:21 From: Daniel Sabba/db/dbcom To. jeevacabon@gmailcom. Cc: Paul Morris. Date: 01/05/2015 04:54 PM Subject: Re: Commodity currencies: bullish reversals in BRL... (CI Classification: Confidential Jeffrey - per our that, please see USDBRL chart attached for the past 5 years. EFTA01200028 T High on 12/16/14 2.7387 -0- Average 1.9836 1 Low on 07/26/11 1.5391 2010 2011 2012 USDBRL Curacy (USD-BRL X-RATE) Daily 063AN2010-053AN201S 2.8000 2.7060 2.6000 2.4000 2.2000 2.0000 1.8000 1.6000 2013 2014 Copyright@ 2015 Bloomberg Finance . 05-Jan-201516:53:43 From: Daniel Sabba/db/dbcom To: jeevacabon@gmailcom. Cc: Paul Morris. Date: 01/0512015 11:38AM Subject: Commodity currencies: bullish reversals in BRL... [C) 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. EFTA01200029 110% 10096 90% 80% 70% 60% 50% Commodity Currencies and Oil - 6 month Normalized Performance 110% 8/2/2014 9/2/2014 10/2/20/4 11/1/1014 11/2/1014 on 7/2/2014 100% 9" —flwso - 1,6 MUSD sco* —AMMO — NOKUSD MUSD 70% .—(LA Candy 60% 50% 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, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email Th - is 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. EFTA01200030