EFTA Document EFTA01387012

From: Xavier Avila Sent: 12/5/2017 To: Paul Barrett CC: Stewart Oldfield Joshua Shoshan [ Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap 14104 3391 70% 60% 50% 30% 20% — EURZAR-USIZAR 1y re Icon 6062AR-0502AR 3m ral car —83.5% 2007 3XI3 2003 2010 2011 3212 2013 2014 2015 2016 WV EURMXIL USOMX N 1y real car EURMXN•USOMXN 3111 real car 77% f -20% 2037 2006 20W 2010 2011 2012 2013 2014 2015 2016 2017 From: Xavier Avila Sent: Friday, December 01 2017 5:55 PM To: 'Paul Barrett Cc: Stewart Oldfield Joshua Shoshan ; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, see below the note and analysis that Vimal put together. Attached also an indicative termsheet, where you can also see the mathematical Definition of Realized Correlation. Thanks and good weekend. Xavi Following the call yesterday we have attached an example termsheet for a correlation swap. We have also looked at 2 historical periods where USDZAR-EURZAR correlation realized at significantly lower levels, during 2010-2011 and 2015. Overlaying the realized correlation during those periods with USDZAR, EURZAR and EURUSD FX spot rates (each rebased to 1), we can see that lower realized correlation is driven by significant trends and moves in EURUSD particularly relative to ZAR. This coincided with EURUSD realized volatility rising relative to ZAR realized volatility. In other words EURUSD spot became bigger driver compared to ZAR spot. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0089014 CONFIDENTIAL SDNY_GM_00235198 EFTA01387012