EFTA Document EFTA01455668

EURUSD has broken below 1.28 during the last 24 hours with uS data continuing to firm, the market is recalibrating when the Fed will deliver hikes - earlier rather than later On the other hand, given the KB's stated determination to spur inflation in the Eurozone, full-blown QE looks likely next year This chart shows the correlation between EURUSD and the spread between EUR and uS interest rates (yellow) (Embedded image moved to file: pic10860.gif) Source: Bloomberg 25-sep-2014 EURINR lower as a combined play on continued inflows into India and ECB activism: Trade: A 6m EURINR 78 put (at-the-money spot) financed by selling the 83 call has zero net premium (spot ref: 77.95, forward: 80.50) with the Modi government showing decisiveness in pursuing its reform agenda, capital inflows into India look likely to continue for the foreseeable future Indian equities are at all-time highs and the entry point is not very attractive The rupee also embeds carry of 7%/year, cheapening risk reversals chart of EURINR spot (Embedded image moved to file: pic32708.gif) Source: Bloomberg 25-Sep-2014 S&P 500 Put options dislocated relative to Call options Trade: A 6m 110% calls financed by 6m 90% puts in a ratio of 4 calls bought per put sold has zero net premium (spot ref: 1998) Very high demand for SPX puts makes it possible to buy multiple calls for each call sold Across major indices, the ratio of calls-to-puts is highest for uS equities Skew (y-axis) vs ATM vol (x-axis) is stretched (Embedded image moved to file: pic21650.gif) Source: Bloomberg 24-Sep-2014 Renewed interest in Japanese equities ahead of GPIF re-allocation and policy momentum Trade: A 6m 110% call financed by 6m 90% put has zero net premium (spot ref: 16374) Investors are waiting for the giant Japanese pension funds to re-allocate away from bonds to equities The Abe administration is looking for additional ways to stimulate the economy Nikkei vols are high and skew is poor -- no easy way to get into the trade, best to do calls vs puts 1-to-1 struck around major technical levels chart showing NKY history with strike of 90% put highlighted (Embedded image moved to file: pic14872.gif) Source: Bloomberg 25-Sep-2014 Past performance is not a reliable indicator of future results. Best regards, Uzair Aqeel Investment Specialist CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0114558 CONFIDENTIAL SDNY_GM_00260742 EFTA01455668