EFTA Document EFTA01387898

Graphs Graph 1: EURZAR-USDZAR implied correlation at highs EPRZAR-LISD7AR fin Ina/Econ. EURZA.4-9502AR ly impleicorr 43% -- —r- ---e 100 2006 2009 2010 2011 2012 2013 2014 2015 2016 2017 Graph 3: 6m realized correlation vs. strike Graph 2: ZAR vols elevated compared to EURUSD vols 5 EURUSOEURZAR lymphoid vol spread -20 - EURUS04/502AR 1y implied wisp:4W 3300 20C$ 2009 2030 2011 2012 2013 2014 2015 2016 2017 Graph 4: lv realized correlation vs. strike 10096 90% 2056 nme, 10056 90% £056 70% I, I fig f 70% ®td 60% 90% 57% 47% 40% — EURZAR-USCEAR 6m railcar 30% EURZAR-USDIA R 3m mica* 3056 20.06 20% 2056 2007 270E MC& 2510 2011 2012 3)13 2014 2315 2016 2017 2707 Sources: Deutsdte Bonk Bloomberg ROW a LP. Bisdokner: httolligobolmorketsdb.cominew/content/304.5.html Martin Zeman Director I Key Client Partners Deutsche Bank Wealth Management DB Securities Inc 54-0004 New York. NY, USA EURZAR-USCEAR ly relcorr EURIAR-USEZAR3m roil cat 83.5% 200E 2003 2310 2011 2012 2013 2014 2315 2016 3517 KCP products and services are intended and available only for persons who are sophisticated institutional investors within the meaning of the FINRA Rule 4512(C)(3). and who are capable of evaluating the strategies, characteristics and investment risks of, and exercising independent judgment in evaluating, the ideas and products discussed herein. Trades and transactions are subject to relevant internal approvals of DB& or its affiliates prior to execution. and the execution of any transaction or idea discussed herein is conditional on your becoming a client of Deutsche Bank. Key Client Partners (KCP) products, investment ideas and solutions and related matters discussed herein are provided for discussion purposes only. and strictly on a non- advisory basis. The KCP Americas desk does not provide investment advice. The information set forth herein is confidential and personal to you and is being presented for your information and for discussion purposes only. Any reproduction and/or redistribution thereof (in whole or in part) or disclosure of its content without our written consent is strictly forbidden. This communication does not create any legally binding obligation on the part of OBSI or any of its affiliates. This communication may contain confidential and/or privileged information. If you are not the intended CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0091116 CONFIDENTIAL SDNY GM_00237300 EFTA01387898